G5GSEF7VJP5I7OUK5573-2022-12-31-T01

The Strategic Report was approved by the Board of Directors on 14 February 2023 and signed on their behalf by the Chairman.

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 (BPLC) or, depending on the context, the Barclays Group. 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 Group-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. Our 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 comprises Investment Banking, Corporate Banking and Global Markets, aiding money managers, financial institutions, governments,

supranational organisations and corporate clients to manage their funding, financing, strategic and risk management needs.

•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 working capital, transaction banking (including trade and payments), and lending for multinational, large and

medium corporates, and for financial institutions.

•Our Global Markets business provides a broad range of clients with market insight, execution services, tailored risk management and financing

solutions across equities, credit, securitisations, rates and foreign exchange products.

CC&P

CC&P is comprised of our International Cards and Consumer Bank, Private Bank and Barclaycard Payments business.

•As part of our International Cards and Consumer Bank, in the US we have a partnership-focused business model, offering co-branded and

private-label credit cards to consumers through our relationships with some of America's well known brands, including American Airlines and

Gap Inc. We also offer online retail deposits products (savings and certificates of deposit), personal loans, instalment payments and point-of-

sale financing.

•In Germany, we offer multiple consumer products, including own-branded and co-branded credit cards, online loans, electronic Point of Sale

(ePOS) financing and deposits.

•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.

•Barclaycard Payments enables businesses of all sizes to make and receive payments.

Market and operating environment

CIB

We saw geopolitical unrest due to the Russian invasion of Ukraine, global inflationary pressures and responsive monetary policy action. Bond markets in

particular were affected, with growths in yields not seen for decades. Global equity markets declined double digit percentages in the context of these

macro drivers1.

As a consequence of this macroeconomic instability, global capital markets retreated to pre-pandemic levels from their record highs in 2021. Market

volatility, inflation and geopolitical uncertainty created headwinds for dealmaking across all products, with significant declines in High Yield bonds

(-80%) and Initial Public Offerings (-70%)2.

Across our CIB businesses, the opportunities presented by the climate transition change and the broader sustainability agenda continued to grow

despite challenging market conditions.

Note

1 Bloomberg

2 Dealogic for the period covering 1 January 2021 to 31 December 2022

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Performance review


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CC&P

We continue to see recovery in consumer activity and spending post the COVID-19 pandemic. As cash usage declines and online transactions grow, the

shift towards digital services and payments continues.

We are seeing a rise in the popularity of alternative payment methods such as Buy Now Pay Later and Open Banking, not only online but also face to

face, as consumer behaviour continues to evolve and the need for omni-channel integrated solutions increases.

The rise in inflation and the interest rate environment are driving changes in consumer behaviour, particularly around demand for personal loans and

the impact of the increasing cost of borrowing.

Market uncertainty has moderated Private Bank clients' appetite to invest in regular equity related strategies, while the comeback of significant positive

fixed income yields has created strong tailwinds for alternate strategies. In parallel, higher market volatility is supporting strong investment in

transactional activity and revenue as well as supporting demand for private market funds.

With an increasing regulatory focus on consumer protection (including the FCA’s Consumer Duty due to come into force in July 2023), we continue to

provide customers and clients with the information and tools to select the right products and services best suited for their needs. This is at the

foundation of our business, ensuring we act to deliver good outcomes and avoid harms for our customers and clients.

Focus areas

CIB

We continue to invest to deliver sustainable growth in the CIB.

•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.

•Becoming an electronic-first Global Markets business, growing in targeted areas: In Global Markets, we are prioritising service excellence for our

clients through simplification of our systems architecture, investing in Prime Brokerage, further bolstering our intermediation businesses and

focusing on financing solutions to build a diversified portfolio that performs across the economic cycle.

•Capturing opportunities as we transition to a low-carbon economy: We aim to support clients who want to make their business models more

sustainable, and use our scale and capital markets expertise to mobilise capital for the transition to a low-carbon economy.

•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. In Corporate Banking we will continue to focus on delivering enhancements to how

we engage with clients through our digital proposition, and will continue to build our capabilities in the US and Europe. Broadly, we are focused on

being a leading provider of digitally-enabled lending and transaction banking services to our clients in our chosen markets across the globe.

CC&P

We strive to deliver next-generation, digitised consumer financial services, offering best-in-class finance, private banking and payment solutions.

•Responding to changing consumer behaviour: We continue to invest in the digitalisation 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.

•Growing in key markets: We are continuing to drive growth in our strategic home and international markets. In 2023 the planned integration of the

Private Bank and Barclays Bank UK PLC's Wealth and Investment Management business will strengthen our position in the UK, while we continue to

deepen our existing footprint outside the UK and further strengthen and expand our product capabilities.

Year in review

CIB

•Investment Banking revenue declined compared with a strong performance in 2021, driven by significant declines in the overall market opportunity.

We are ranked sixth in overall global fee share for the third year running and are top five in Debt Capital Markets3.

•We continued to invest in our Investment Banking coverage of high-growth sectors, including expanding our Sustainable Financing business.

Founded in 2019, our sustainability-focused investment banking effort last year continued to advise and raise capital for companies seeking to

address environmental or social challenges, helping our firm deliver on its strategic priority of assisting our clients with the transition to a low-

carbon economy.

•Our Global Markets business acted as a market-maker and liquidity provider to clients across the globe, playing an important role in helping them to

find opportunities and manage risk during a continued period of heightened market disruption. During a year of several distinct episodes of

volatility, we materially increased revenues and captured market share relative to our peers4.

•The importance of business diversification across Global Markets was evidenced by the gains in our FICC businesses, which helped to offset

declines in our Equities business.

Note

3 Dealogic for the period covering 1 January 2020 to 31 December 2022.

4 Market share for Barclays is based on our share of top 10 banks' reported revenues. Peer banks include BoA, BNP, CITI, CS, DB, GS, JPM, MS and UBS.

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•We continued to invest in enhancing our Global Markets digital proposition, including our electronic trading capabilities and our digital self-service

platform, as well as our financing platforms across Fixed Income and Equities.

•In Corporate Banking, revenues grew off the back of strong interest income given the rising interest rate environment, although this performance

was partly offset by rising impairments owing to the increasingly challenging business environment.

•2022 was defined by an increased focus on capital discipline, including increased selectivity around risk taking and a streamlined and consistent

approval process across all of CIB lending.

•We made significant progress in 2022 in expanding our international capabilities, particularly with the build out of our Corporate Banking

businesses in the US and Europe. We have also continued to invest in strengthening our digital capabilities, including driving the adoption of iPortal

to provide our clients with seamless access to our transaction banking product set.

•Our Research team continued to deliver differentiated insights to our clients, acting as a driver of thought leadership for the CIB. We sought to

further drive the environmental, social and governance ESG agenda in support of our climate strategy in 2022, through establishing a new

Sustainable and Thematic Research team, focused on identifying multi-sector thematic trends that could shape the future business environment,

and partnering with our Data and Investment Science teams to bring data-driven insights to our clients.

CC&P

•We successfully launched a new long-term programme with Gap Inc., the largest speciality apparel company in the US5, to issue both co-branded

and private label credit cards and also renewed our existing partnership agreement with Carnival Cruise Lines, among other partners. Both are good

examples of how we maintained our position as a top 10 credit card issuer6 in the US.

•We continued to invest in our digital servicing model, reaching a digital active user rate of 74.1%7. We have seen a slight improvement on the Care

Net Promoter Score8,9 in the US Consumer Bank, reaching +44.0, versus +43.4 in 2021.

•Our Payments business maintained its position as one of the foremost payment processors in Europe10. We secured new client relationships, and

retained others, including Ryanair and Getir UK. We’ve also added to our capabilities with the launch of Smartpay Touch, our new card acceptance

solution as well as Cashback Without Purchase, a new service enabling UK consumers to withdraw cash for free from thousands of local retailers

and small businesses.

•In Germany, we continue to be a leading provider of consumer finance11 through our credit cards and personal loans businesses. We relaunched our

Deposits Open Market offering to further diversify our revenue structure.

•The Private Bank continued to drive its market strategy, and deepen its footprint in established markets, while monetising recent investments in

Asia and the European Economic Area (EEA) through new client acquisition. A referral agreement was also undertaken with Credit Suisse, enabling

the Private Bank to grow its business in Africa. We continued to drive enhancements to client experience, as well as product offering, including asset

management capabilities.

Notes

5 Gap Inc., 2020.

6 Nilson Report #1204 (mid-year ranking).

7 Excluding new GAP customers.

8 Care tNPS provides an accurate measure of customer sentiment across our Fraud, Dispute, Credit and Care channels and replaces the relationship NPS reported in 2021

Annual report.

9 ®Net Promoter, Net Promoter System, Net Promoter Score, NPS and the NPS-related emoticons are registered trademarks of Bain & Company, Inc., Fred Reichheld and

Satmetrix Systems, Inc.

10 Nilson Report #1197 (May 2022).

11 Deutsche Bundesbank, Advanzia Bank S.A, plus own calculations.

Looking ahead

CIB

Across our CIB, we remain focused on maintaining our client-centric approach and developing opportunities to grow our business and increase returns.

We 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-led business, investing in low touch and machine learning capabilities to

drive efficiency and scale and better serve the needs of our investor base. We will continue to invest in growth in Securitised Products, Emerging

Markets, and parts of our Rates and Foreign Exchange businesses.

Investment Banking continues to invest in high-priority sectors, particularly in Healthcare and in Technology in the US and Europe. More broadly, we

aim to build on momentum and improve revenue contribution from our equity and advisory offerings.

Aligned to our new climate-related target to facilitate $1trn of Sustainable and Transition Financing, we will continue to invest in creating a centre of

excellence for sustainable finance and broaden the range of ESG capital market product types we offer across more client segments.

In Corporate Banking, we 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 continue to invest in our trade, payments and wholesale lending offerings and look to further enhance our digital proposition.

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Performance review


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CC&P

Within CC&P, we continue to invest in building our technology and digital capabilities, to meet consumer demand and to respond to an increasingly

difficult economic environment.

We aim to further scale our Payments business. Our goal is to deliver a world-class unified payments experience for customers, by combining payments

and banking technology.

We continue to: deepen our relationships with corporates by collaborating with the Corporate and Investment Bank; grow our offering to small

businesses; and evolve with our multinational customers.

In Germany, we are leveraging proprietary and partner distribution channels, and developing seamless onboarding and underwriting capabilities to

grow our core business.

As we focus on our partnership-centric business model in the US, we intend to scale our existing proposition to deliver greater value to partners across a

broader range of sectors. The launch of our Gap Inc. partnership in 2022 is helping to accelerate our entry into the US retail sector.

The Private Bank remains focused on targeted markets, deepening our client footprint in the UK, Europe, the Middle East and Africa, and Asia. The

appetite for sustainable investing carries on growing at pace and we continue to manage sustainable portfolios for a broad range of clients. We intend

to enhance product capabilities and drive better client experiences by improving end-to-end platform automation and delivering our digital agenda. We

continue to make good progress with our plan to integrate Barclays Bank UK PLC's Wealth and Investment Management business with our Private Bank

to provide a more seamless client experience.

Measuring where we are

CIB

a.Income 2022: £13.7bn, 2021: £12.5bn

b.Operating Expenses 2022: £9.2bn, 2021: £7.4bn

c.Profit before Tax 2022: £4.4bn, 2021: £5.5bn

d.Investment Banking global fee ranking 2022: 6th, 2021:6th12

CC&P

a.Income 2022: £4.5bn, 2021: £3.3bn

b.Operating Expenses 2022: £3.0bn, 2021: £2.4bn

c.Profit before Tax 2022: £0.7bn, 2021: £0.8bn,

d.US Consumer Bank Care Net Promoter Score (tNPS) 2022: +44.0, 2021: +43.4

e.CC&P US Customer Digital Engagement 2022: 74.1%13, 2021: 71.8%

Note

12 Dealogic for the period covering 1 January 2021 to 31 December 2022.

13 Excluding new GAP customers.

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Performance review


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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


		Restateda
Barclays Bank Group results	2022	2021	2020
For the year ended 31 December	£m	£m	£m
Total income	18,194	15,408	15,778
Operating expenses	(10,971)	(9,885)	(9,383)
Litigation and conduct	(1,427)	(374)	(76)
Total operating expenses	(12,398)	(10,259)	(9,459)
Other net income/(expenses)	4	(8)	133
Profit before impairment	5,800	5,141	6,452
Credit impairment (charges)/releases	(933)	277	(3,377)
Profit before tax	4,867	5,418	3,075
Taxation	(485)	(830)	(624)
Profit after tax	4,382	4,588	2,451
Other equity instrument holders	(732)	(631)	(677)
Attributable profit	3,650	3,957	1,774

a.2021 financial metrics have been restated to reflect the impact of the Over-issuance of Securities. Over-issuance of Securities denotes the Over-issuance of Securities

under Barclays Bank PLC’s US shelf registration statements on Form F-3 filed with the US Securities and Exchange Commission (SEC) in 2018 and 2019. See Restatement

of financial statements (Note 1a) on page 180 for further details.

Income Statement commentary

The Barclays Bank Group’s profit before tax decreased 10% to £4,867m as a strong income performance, across CIB and CC&P, and a non-repeat of a

prior year structural cost action charge were more than offset by litigation and conduct charges and the non-recurrence of a prior year impairment

release.

Litigation and conduct charges included £966m in relation to the Over-issuance of Securities. The FY22 results included £292m of income related to

hedging arrangements to manage the risks of the rescission offer in relation to the Over-issuance of Securities.

2022 compared to 2021

•Profit before tax decreased to £4,867m (2021: £5,418m) driven by a decrease in CIB to £4,406m (2021: £5,528m) and in CC&P to £704m (2021:

£729m), partially offset by a reduced loss in Head Office of £243m (2021: £839m loss)

•The Barclays Bank Group has a diverse income profile across businesses and geographies including a significant presence in the US. The 10%

appreciation of average USD against GBP positively impacted income and profits and adversely impacted credit impairment charges, total operating

expenses and RWAs

•Total income increased 18% to £18,194m

–CIB income increased 10% to £13,722m. Global Markets income increased 39%, reflecting higher levels of activity as we supported our

clients through a period of market volatility, and included £292m of income related to hedging arrangements to manage the risks of the

rescission offer in relation to the Over-issuance of Securities. Investment Banking fees decreased 39% due to the reduced fee pool,

particularly in Equity and Debt capital markets1. Corporate income increased 4% reflecting improved margins and growth in deposits and

higher fee income, partially offset by fair value losses on leverage finance lending of c.£335m net of mark to market gains on related

hedges and higher costs of hedging and credit protection

–CC&P income increased 36% to £4,547m reflecting higher cards balances, including the Gap portfolio acquisition, turnover growth in

Payments from the easing of lockdown restrictions, and client balance growth and improved margins in the Private Bank

–Head Office income was a net expense of £75m (2021: £410m net expense) which primarily reflected hedge accounting losses and

funding costs in relation to legacy capital instruments

•Total operating expenses increased 21% to £12,398m

–CIB total operating expenses increased 24% to £9,200m. Operating expenses excluding litigation and conduct charges increased 12% to

£8,011m driven by continued investment in talent and technology, and the impact of inflation. Litigation and conduct charges were

£1,189m (2021: £237m) including £966m in relation to the Over-issuance of Securities and £165m provision relating to the Devices

Settlements2

–CC&P total operating expenses increased 25% to £3,030m. Operating expenses excluding litigation and conduct charges increased 21%

to £2,800m, including higher investment spend reflecting an increase in marketing and partnership costs. Litigation and conduct charges

were £230m (2021: £108m) mainly driven by customer remediation costs relating to legacy loan portfolios

–Head Office total operating expenses reduced to £168m (2021: £429m) reflecting the non-repeat of the £266m charge related to a

structural cost action taken as part of the real estate review in June 2021

Note

1Data source: Dealogic for the period covering 1 January 2021 to 31 December 2022

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Performance measures


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2 Refers to the settlements with the SEC and CFTC in connection with their investigations of the use of unauthorised devices for business communications

•Credit impairment charges were £933m (2021: £277m net release) driven by a deteriorating macroeconomic forecast

–CIB credit impairment charges of £119m (2021: £461m net release) were driven by a net increase in modelled impairment and single

name charges, partially offset by the benefit of credit protection

–CC&P credit impairment charges increased to £814m (2021: £185m), driven by higher balances in US cards, including the day one impact

of acquiring the Gap portfolio, macroeconomic deterioration and a gradual increase in delinquencies, partially offset by the utilisation of

economic uncertainty post-model adjustments (PMAs) and the release of COVID-19 related adjustments informed by refreshed

macroeconomic scenarios. As at 31 December 2022, US cards 30 and 90 day arrears remain below pre-pandemic levels3 at 2.2% (Q421:

1.6%) and 1.2% (Q421: 0.8%) respectively. The US cards business is supported by a total coverage ratio of 8.1% (December 2021:

10.6%)

•The effective tax rate (ETR) was 10.0% (2021: 15.3%). The tax charge included a £183m re-measurement of the Barclays Bank Group’s UK deferred

tax assets (DTAs) due to the enactment of legislation to reduce the UK banking surcharge rate. Excluding this DTAs downward re-measurement,

the ETR was 6.2%, reflecting the impact of tax benefits arising in the current year, primarily arising from tax relief related to government bonds

linked to the high prevailing rate of inflation in 2022, as well as beneficial adjustments in respect of prior years

Note

3As at 31 December 2019, US cards 30 and 90 day arrears were 2.7% and 1.4% respectively

Balance Sheet Information

The following assets and liabilities represent key balance sheet items for the Barclays Bank Group


	2022	2021
As at 31 December	£m	£m
Assets
Cash and balances at central banks	202,142	169,085
Loans and advances at amortised cost	182,507	145,259
Trading portfolio assets	133,771	146,871
Financial assets at fair value through the income statement	211,128	188,226
Derivative financial instruments	302,976	262,291
Liabilities
Deposits at amortised cost	291,579	262,828
Financial liabilities designated at fair value	272,055	251,131
Derivative financial instruments	289,206	256,523

Balance Sheet commentary

•Cash and balances at central banks increased £33.1bn to £202.1bn due to strong client deposit growth

•Loans and advances at amortised cost increased £37.2bn to £182.5bn due to increased lending to customers across CIB and CC&P, inclusive of the

Gap portfolio acquisition, appreciation of USD against GBP and increased investment in debt securities

•Trading portfolio assets decreased £13.1bn to £133.8bn due to a reduction in equity securities as clients repositioned, partially offset by increased

trading activity in debt securities

•Financial assets at fair value through the income statement increased £22.9bn to £211.1bn driven by increased reverse repurchase activity

•Derivative financial instrument assets and liabilities increased £40.7bn to £303.0bn and £32.7bn to £289.2bn respectively driven by market volatility

and increased activity

•Deposits at amortised cost increased £28.8bn to £291.6bn primarily due to growth in Corporate deposits and an increase in short-term money

market deposits

•Financial liabilities designated at fair value increased £20.9bn to £272.1bn driven by increased prime brokerage deposits and repurchase activity

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 Capitala

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. 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.


		Restatedb
	2022	2021	2020
Common equity tier 1 (CET1) ratio	12.7%	12.9%	14.2%
Total risk weighted assets (RWAs)	£203.8bn	£185.5bn	£178.2bn
UK Leverage ratio	4.6%	3.7%	3.9%
Liquidity coverage ratio	148%	140.0%	145.0%
Net stable funding ratioc	108%

Note

a.Capital, RWAs and leverage are calculated applying the IFRS 9 transitional arrangements of the Capital Requirements Regulation (CRR) as amended by CRR II.

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b.2021 capital metrics have been restated to reflect the impact of the Over-issuance of Securities. See Restatement of financial statements (Note 1a) on page 180 for

further details.

c.Average represents the last four spot quarter-end positions. No prior comparative available

Capital Commentary

As at 31 December 2022, Barclays Bank PLC’s solo-consolidated CET1 ratio was 12.7%, which exceeded the CET1 minimum regulatory capital

requirement of 9.9%.

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 2022 on pages 60 to 62.

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Performance measures


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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

At Barclays Bank Group, risks are identified and overseen in accordance with 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 Group identifies and manages its risks.

The management of risk is then embedded into each level of the business, with all colleagues being responsible for identifying and controlling risk.

Given the increasing risks associated with climate change, and to support the Barclays Bank Group’s ambition to be a net zero bank by 2050. Climate

risk became a Principal Risk at the start of 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 sets its risk appetite in terms of performance metrics as well as a set of mandate and scale limits to monitor risks (i.e. to

ensure business activities are aligned with expectations and are of an appropriate scale relative to the risk and reward of the underlying activities).

During 2022, the Barclays Bank Group’s performance remained within its risk appetite limits.

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. Employees in the first line have primary responsibility for their risks and their activities are subject to oversight from the relevant parts of

the second and third lines.

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 Bank PLC Board and the Barclays Bank PLC

Executive Committee on 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 of defence. The Legal

function is responsible for the identification of all legal and regulatory risks. Except in relation to the legal advice it provides or procures, it is subject to

second line oversight with respect to its own operational and conduct risks, as well as with respect to the legal and regulatory risks to which the

Barclays Bank Group is exposed.

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, which are derived by mapping risk drivers, identified through horizon

scanning, to risk themes, and similar analysis.

During 2022, the Barclays Group ran a stress test to assess its capital adequacy and resilience under a severe but plausible macroeconomic scenario.

The internal stress test was informed by the Bank of England 2022 regulatory stress test featuring high and persistent inflation, rising global interest

rates, a severe UK recession brought by falling household real incomes, job losses leading to a high unemployment rate, energy and cost of goods

shocks, increasing corporate defaults, and severe house and real estate price shocks.

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 the full Risk review on pages 39 to 143.

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Managing risk


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The Enterprise Risk Management Framework defines nine Principal Risks
	Principal Risks	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 the Barclays Group's 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 (which apply to the Barclays Bank Group).
	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 Conduct Risk Management Framework (CRMF) sets out the control objectives and minimum control requirements which must be implemented to manage Conduct Risk. A selection of tools is mandated in the CRMF and Barclays Control Framework to support with the assessment of Conduct Risks, whilst the governance of Conduct Risk is fulfilled through management committees and forums with clear escalation and reporting lines to Board-level committees.
	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. Each business assesses reputation risk using standardised tools and the governance is fulfilled through management committees and forums, clear escalation and reporting lines to the Barclays Bank PLC Board.
	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 is managed by the identification of legal risks by the Legal Function, the engagement of the Legal Function in situations that have the potential for legal risk, and the escalation of legal risk as necessary.

Note

The ERMF defines nine Principal risks. For further information on how these Financial and Operational Principal Risks apply specifically to the Barclays Bank Group, please see

pages 58 to 65.

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Managing risk


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At Barclays Bank PLC, we seek to understand our customers' and clients' expectations and aspirations, and develop products and services which

support them, especially during difficult economic conditions. We believe that transparency of information in our products and services is key to

empowering consumers to make sound financial decisions.

The following sub-sections include a summary of the Barclays Bank PLC specific items from the Barclays PLC Annual Report 2022. For full details, refer

to the Customer and clients section of the Barclays PLC Annual Report 2022.

Customers and clients are at the heart of our business. For us to deliver value for them, we need to continue building confidence in our organisation, our

products and services, understand and anticipate our customers' and clients' needs, and use our expertise to become a trusted partner. In order to

understand those needs and measure our progress towards delivering on them, we use a range of non-financial measures.

Net Promoter Score

Net Promoter® Score (NPS) is used widely across industries to measure the strength of customer relationships. We track NPS to identify both our

strengths and where there is room for improvement. This, combined with our transactional NPS data, becomes a powerful tool to inform how we

should develop our services and products in the future, and benchmark our performance against the rest of the market.

US Consumer NPS

We have seen a slight improvement on the Care Net Promoter Score[c] in the US Consumer Bank, reaching +44.0, versus +43.4 in 2021.

US Consumer Bank Digital tNPS

The Digital tNPS is a newly tracked metric for the US Consumer Bank which is measured at the digital journey level. This is a recognised and respected

industry measure of customer experience. Digital tNPS is trending positive, attributed to increased web and app ease of use.

Consumer, Cards and Payments US customer digital engagement

Digital engagement is used as a KPI to assess the performance of our digital value proposition and the quality of the user experience. We measure usage

over a 90-day period, as a percentage of the total of active customers, to illustrate the interactivity with our platforms and uncover potential use cases

for our online and app channels. This KPI reflects the general health of the digital experience, and allows us to look at how this is performing and what

issues, if any, we should address.

We launched significant digital engagement features and technology advancements. Highlights included Gap ecommerce integration, asynchronous

chat for servicing, card delivery tracking, payments journey enhancements, as well as ongoing human-centered UX improvements.

The addition of the Gap partnership initially decreased the overall digital engagement rate due to retail segment behaviour differences. Excluding Gap,

the rate increased YoY to 74.1%.

Complaints data

Barclays Bank PLC's reportable1 complaint volumes in 2022 increased 2% in comparison to 2021. This reflects the return to normality after the

coronavirus pandemic which saw business closures/restrictions on non-essential business in 2021. Volumes of transactions and customer interactions

increased in 2022 and whilst complaints saw a small increase, the complaints received per 1,000 accounts held reduced during 2022 from 6.8 to 6.1.

Barclays Bank PLC remains focused on improving the overall customer experience by identifying and supporting the removal of the root causes of

customer complaints where possible.

Corporate and Investment Bank revenue ranks and market shares

Revenue ranks and market shares are a good indicator to monitor success. We use them to measure how successful our Corporate and Investment

Bank has been, and where there is the ability to progress.

By using Dealogic Investment Banking global fee ranking and share, and a comparison to global peers share of reported revenues for Global Markets, we

can assess our relative performance versus a defined peer group, clearly and transparently.

In 2022, we maintained our performance of prior years, illustrating the continued success of the CIB for the clients we work for. In Global Markets, we

maintained our ranking of 6th and grew share by 100bps, a particularly strong result given challenging market conditions and driven by the excellent

performance of our FICC businesses.

In Investment Banking we solidly maintained our overall ranking of 6th in a year of suppressed dealmaking.

We have adopted a new performance measure for Global Markets based on its share of reported revenues of the Markets businesses of the Top 10

Banks. The peer group contains BoA, BNP, CITI, CS, DB, GS, JPM, MS and UBS. Where any of the peer group have not published results when we report,

we use the consensus estimate for their quarterly performance. While acknowledging accounting treatment differences in peer reporting (e.g.

treatment of cost of income) and inclusions of business lines we do not operate in (e.g. Commodities), we have adopted this measure as it provides the

most consistent and timely view of the performance of our Global Markets business relative to our global competitor set. The measure is a simple and

effective way of understanding relative performance on a global scale.

Note

1 Reportable reflects the FCA’s definition of a complaint which must be reported to the FCA on a half-yearly basis and published externally on the Barclays website.

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Customer and clients


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Financial inclusion in our US consumer business

The Community Reinvestment Act (CRA) is a US federal law designed to encourage commercial banks and savings associations to help meet the needs

of borrowers in all segments of their communities, including low and moderate-income neighbourhoods. Barclays meets the CRA requirement by

supporting and investing in local Community Development Financial Institutions (CDFIs), small-medium businesses and non-profits.

The success of CDFIs, small-medium businesses and non-profits are key to a thriving community. Barclays has predefined goals with specific

performance targets that we must meet each year in order to be considered in compliance with CRA guidelines. Barclays has met its CRA goals for

2022, evidencing that we are continuing to invest in the communities where we live, work and serve.

Barclays Bank Delaware (BBDE) is committed to fair and equitable treatment of all prospective and existing customers without regard to race, sex,

colour, national origin, religion, age, marital status, disability, sexual orientation, military status, gender identity, familial status, Limited English

Proficiency, receipt of public assistance income, and good faith exercise of rights under the Consumer Credit Protection Act.

We believe Barclays’ core values of Respect, Integrity, Service, Excellence, and Stewardship reflect our commitment to fair lending and fair treatment

principles and practices. We strive to develop long-term relationships by providing products and services that meet prospective and existing customer

needs, avoid causing prospective and existing customer detriment or harm, and place our prospective and existing customers' interests at the heart of

our strategy, planning, and decision-making processes.

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Customer and clients


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The following sub-sections include a summary of the Barclays Bank PLC specific items from the Barclays PLC Annual Report 2022. For full details, refer

to the Society section of the Barclays PLC Annual Report 2022.

We believe that 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 in light of all relevant risk and other factors and through the commitments we make to support our communities and to champion

sustainability for the long-term. We recognise that we are at our best when our clients, customers, communities, and colleagues all progress.

Our focus on society falls broadly into three categories: Climate, Communities and Suppliers.

Climate

Addressing climate change is an urgent and complex challenge but also an opportunity. It requires a fundamental transformation of the global

economy. The financial sector has an important role to play in supporting the transition to a low-carbon economy and at Barclays, we are determined to

play our part consistent with our Purpose and relevant business and risk considerations.

In 2020, Barclays announced an ambition to be a net zero bank by 2050, across all of our direct and indirect emissions, and we committed to align all of

our financing activities with the goals and timelines of the Paris Agreement. We made it clear at the time that we would approach the climate challenge

thoughtfully and transparently, engaging with our shareholders and other stakeholders, and reporting our progress.

In doing so, we also recognise the importance of supporting a just transition considering the social risks and opportunities of the transitions and seeking

to ensure effective dialogue with affected stakeholders.

Communities

In the communities in which we operate, Barclays Bank Group is supporting people to develop the skills and confidence they need to succeed, now and

in the future, and working to help businesses create jobs. We collaborate with experienced partners, employability experts and businesses to develop

meaningful and innovative programmes that deliver a significant positive impact over the long-term.

Suppliers

As a global institution, we have a responsibility for a large supply chain. We engage directly with our suppliers seeking to promote diversity, equity and

inclusion and we work to identify and address modern slavery risks across our operations, supply chain, and customer and client relationships.

We engage 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.

Barclays Climate Strategy

Our climate strategy is driven by consideration of relevant risks and opportunities and our Purpose to deploy finance responsibly to support people and

businesses, acting with empathy and integrity, championing innovation and sustainability, for the common good and the long-term.

In March 2020, Barclays announced its ambition to be a net zero bank by 2050, becoming one of the first banks to do so.

We are committed to achieving net zero operations and have made progress, having sourced 100% renewable electricity for our global real estate

portfolio operationsa and created a pathway to address our supply chain emissions. We achieved 100% renewable energy by matching 100% of our

electricity consumption with energy attribute certificates and green tariffs which is for us a transitional solution as we seek to increase the proportion of

on-site renewable electricity sources and Power Purchase Agreements.

We are also committed to reducing our financed emissions, those deriving from the activities of the clients that we finance and those generated in their

respective value chains, by providing financial advice and support as they transition to a low-carbon economy. We have now set 2030 reduction targets

across five of the high emitting sectors in our portfolio: Energy, Power, Cement, Steel and Automotive manufacturing and have assessed the baseline

and convergence point for our Residential real estate portfolio.

We have developed a methodology for measuring our financed emissions and tracking them at a portfolio level against the goals and timelines of the

Paris Agreement – this methodology is called BlueTrack™. For further information refer to the Barclays PLC Annual Report 2022. All of our 2030 target-

setting includes the integration of 1.5°C aligned scenarios, such as the IEA Net Zero 2050 scenario in our financed emission targets, and including the

upper end of ranges for certain sectors.

1) Achieving net zero operations

Barclays is working to reduce its Scope 1, Scope 2 and Scope 3b operational emissions consistent with a 1.5°C aligned pathway and counterbalance any

residual emissions.

2) Reducing our financed emissions

Barclays is committed to aligning its financing with the goals and timelines of the Paris Agreement, consistent with limiting the increase in global

temperatures to 1.5°C.

3) Financing the transition

Barclays is helping to provide the green and sustainable finance required to transform the economies, customers and clients we serve.

Our strategy is underpinned by the way we assess and manage our exposure to climate-related risk.

Note

a.Global real estate portfolio includes offices, branches, campuses and data centres.

b.We define our Scope 3 operational emissions to include supply chain, waste, business travel and leased assets

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Society


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As a large global financial intermediary, Barclays also has an important role in helping channel investment into new green technologies and low-carbon

infrastructure projects.

The transition to a low-carbon economy is today’s defining opportunity for innovation and growth. With the scale of investment needed estimated to be

$4trn per year in renewables and a further $4-6trn1 per year to get to a low carbon economy over the next 30 years, Barclays is helping to provide the

green and sustainable finance required to transform the economies we serve. We surpassed our 2018 target to deliver £150bn of social and

environmental financing by 2025 and we are still on track to meet our goal to deliver £100bn of green finance well ahead of 2030.

We keep our policies, targets and progress under review in light of the rapidly changing external environment and the need to support governments and

clients in delivering an orderly energy transition and providing energy security. The trajectory for our clients’ transition to a low-carbon economy is

influenced by a number of external factors, including market developments, technological advancement, the public policy environment, geopolitical

developments and regional variations, behavioural change in society and the scale of change needed to adapt their business models. Client transition

pathways will vary, even within the same sectors and geographies.

Many highly carbon-intensive sectors require finance to transition. Restricting the flow of capital to these sectors could be harmful to the pace of the

transition, limiting the real terms impact on global warming. However, we anticipate that companies which are unwilling to reduce or eliminate their

emissions consistent with internationally accepted pathways may find it increasingly difficult to access financing, including through Barclays.

Our strategy is underpinned by the way we assess and manage our exposure to climate-related risk. Climate risk became a Principal Risk at Barclays in

2022.

We monitor financing transactions through our due diligence and have declined financing to clients that have not been able to meet our policies after

taking into account all relevant considerations.

After a strategic review of the Barclays Group’s capabilities, market demand and growth opportunities, we announced in December 2022, new targets

to:

•Facilitate $1 trillion of Sustainable and Transition Financing between 2023 and the end of 2030.

•Increase investment into global climate tech start-ups to £500m through our Sustainable Impact Capital portfolio by the end of 2027.

Over the coming years, our strategy will continue to evolve and adapt to reflect external factors affecting the shape and timing of the transition to a low-

carbon economy, similar to those impacting our clients' transitions. Progress is likely to vary year to year and we need to be able to adapt our approach

to respond to external circumstances and to manage the effectiveness and impact of our support for the transition, whilst remaining focused on our

ambition of becoming a net zero bank by 2050.

Note

1.$4-6trn as referenced at COP27 at unfccc.int/documents/624444 as well as the United Nations Environment Programme - Emissions Gap Report 2022 at unep.org/

resources/emissions-gap-report-2022.

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Society


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The following sub-sections include a summary of the BBPLC specific items from the Barclays PLC Annual Report 2022. For full details, refer to the Our

people and culture section of the Barclays PLC Annual Report 2022. Figures mentioned are for the Barclays Group, other than where specifically

mentioned.

Empowering our Colleagues

Our people and our culture are our greatest assets. We are committed to making Barclays a great place to work, enabling colleagues to deliver strong

results for our customers, clients, communities and each other.

During 2022, we continued to embed the Barclays Mindset, helped colleagues to adapt to hybrid working, supported colleague wellbeing and made

further progress against our diversity, equity and inclusion (DEI) ambitions. Through our colleague listening survey, Your View, we saw improved scores

across all our indices.

Our data-led approach, underpinned by our Wellbeing Index (now in its second year), brings together actionable insights for people leaders. It also

enables curation of content for colleagues that is grounded in clinical evidence to help them better manage their own health. Ongoing leader-led

campaigns are at the forefront of the way we engage with colleagues, with regular expert speaker events chaired by senior executives. Our ‘Talk Money’

week in the UK challenged the stigma around talking about money, building confidence with financial management and signposting to free and

confidential support. This is complemented by practical resources and guidance offered through our global Be Well portal (with 45% of colleagues

registered), and our Employee Assistance Programme.

In response to increases in living costs experienced by our UK colleagues, we brought forward part of the 2023 pay increase, awarding 35,000 UK-based

junior colleagues a £1,200 salary increase effective from August 2022, ahead of our annual salary review. In January 2023, Barclays worked closely with

Unite the Union to agree a 2023 UK pay deal which, combined with the August 2022 increases, brought the total average salary increase for our lowest

paid colleagues up to 11%. By doing this we ensured that our minimum rate of pay in the UK remains well ahead of Living Wage Foundation

benchmarks.

Similarly, we brought forward part of the 2023 pay increase for our most junior colleagues in Belgium, France, Ireland, Italy, Luxembourg, Netherlands,

Portugal and Spain, awarding them €1,500 effective from 1 November 2022. In November 2022, we also awarded junior colleagues in Germany a one-

off payment of €2,000 as that approach, whilst having the same effect, was more appropriate under local rules.

Our approach to diversity, equity and inclusion

We launched our refreshed DEI vision and strategy to incorporate 'equity’ into how we talk about, and take action to progress, our DEI activities.

Our vision is to strengthen our diverse, equitable and inclusive culture, with a view to attracting and retaining the best talent, building high-performing

teams which generate better outcomes for our customers and clients, whilst also meeting the expectations of our regulators, shareholders and other

stakeholders.

We have five strategic priorities: workforce diversity; inclusive and equitable culture; leadership accountability; data transparency and accountability and

optimisation of external relationships. These priorities are underpinned by our guiding principles of accountability, transparency and engagement. These

principles and priorities help us to deliver against our six core agendas - disability, gender, LGBT+, multicultural, multigenerational and socio-economic.

Workforce diversity

Developing diverse talent pipelines

We are focused on recruiting the best talent and have created, and participated in, dedicated recruitment schemes across our agendas and regions to

increase access to diverse talent, for example, the Barclays Military and Veterans Outreach programme, in the UK and US, and our partnership with the

Thurgood Marshall College Fund in the US.

Globally, there is training and support available for all hiring managers and interviewers to ensure inclusivity and consistency throughout the hiring

journey. We are an equal opportunities employer and give full and fair consideration to all populations based on their competencies, strengths and

potential.

Additionally, 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 people leaders 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.

For further information on our work on developing diverse talent pipelines, please visit our DEI website.

Providing tools and support for colleagues to succeed and progress at every stage of their career

We offer multiple development programmes to support the growth of our colleagues, providing them with the opportunities and resources necessary to

strengthen key skills to progress and reach their full potential.

The Black Professionals Resource Group (BPRG) created Ascent, a six-month programme for Analysts in the UK and US, to support the development of

Black colleagues across Barclays and was the first such programme conceived and delivered by a Barclays Employee Resource Group (ERG).

Inclusive and equitable culture

At Barclays, we are committed to building a supportive and inclusive culture. We believe that making our organisation more equitable will help us to

make the most of the different backgrounds, perspectives and experiences of our colleagues, and to better serve our customers and clients.

As part of our Continuous Listening strategy, we ask colleagues to participate in surveys, providing regular opportunities to feed back on their

experience of working at Barclays. Colleagues are asked to share their feedback on topics ranging from inclusion to wellbeing, and responses help us to

assess progress on our DEI journey and identify areas of focus.

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Our people and culture


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Employee Resource Groups (ERGs)

Colleague networks have long played an important role at Barclays, through creating communities and fostering belonging. More recently, they have

acted as a sounding board for the business, driving a better understanding of the needs of our customers, clients and communities. With over 24,000

colleagues globally participating in one or more of the ERGs, these colleague-led communities amplify the unique challenges of diverse groups at

Barclays and provide insight into colleague sentiment and experience.

Socio-economic inclusion agenda

To support the launch of the socio-economic agenda, colleagues created the Inspire ERG, which aims to amplify the voices of those who identify as

coming from a lower socio-economic background. Members and allies of the ERG are encouraged to develop their understanding of how socio-

economic status can impact a person’s work and life experiences. Through Inspire, we are also connecting with schools and universities to remove

barriers for people of varied backgrounds to join Barclays.

Pronouns

In 2022, we added two new features to our internal phonebook where colleagues can opt to display their personal pronouns, as well as the phonetic

spelling or audio recording of their name. We also proudly partnered with Microsoft, to pilot a pronoun feature on Microsoft Teams.

Wellbeing and policies

Prioritising the wellbeing of our colleagues is central to creating productive teams where all individuals feel valued and included. Our holistic and

inclusive perspective requires us to measure wellbeing, using our Wellbeing Index and to educate and empower our colleagues and leaders to actively

manage their health and support that of others. We continue to deploy training, which recognises the importance of mental wellbeing and building a

supportive and inclusive culture. We have also partnered with our DEI ERGs and leaders on global campaigns to normalise conversations about mental

health and wellbeing topics. In the UK, Barclays pioneered ‘This is Me’, now in its ninth year, where individual colleagues talk openly about the

challenges they have faced, with the aim of tackling the stigma associated with mental ill health.

For the first time in 2022 we expanded the DEI performance objective to include wellbeing, with colleagues now being asked to develop their

understanding of the factors contributing to their resilience and sustaining high performance; and managers now being asked to champion and support

team wellbeing. This was bolstered by the launch, on World Mental Health Day, of a new toolkit to help people leaders lead their teams in a way that

protects and enhances colleague health with a focus on practices such as workload management, fostering autonomy and enabling growth.

We also made enhancements to our provision of workplace adjustments for colleagues with disabilities and health conditions, to drive consistency in

how we support our colleagues globally. Colleagues now have greater control over their own individual requirements and an improved experience

through the implementation of a new self-service process for the ordering of equipment for office and home working use, as required.

We regularly revisit our people policies to ensure they are in line with our broader DEI and people strategy. This includes making updates to our HR

policies, processes and support materials on a range of topics such as flexible working and workplace support for menopause.

Leadership accountability

Our leadership play an important role in progressing our DEI journey and meeting the rising expectations of colleagues, customers, clients and

communities. Accountable Executives (AEs) from the Barclays Group Executive Committee have been appointed as visible advocates for the DEI

agendas, shaping priorities and delivering against these.

Every colleague continues to have a mandatory inclusion performance objective against which they are assessed as part of their performance review.

The objective encourages inclusive and supportive behaviours that recognise every individual’s background as key drivers of our Purpose, Values and

Mindset.

Data transparency and accountability

Data plays an essential role in delivering our DEI strategy, allowing senior leaders to make informed decisions and track our progress.

In an effort to ensure colleagues’ personal data records are accurate, this year we held another ‘Count Me In’ campaign, inviting colleagues in the UK

and US to review and share their personal details in our HR systems, in line with local privacy laws. Maintaining up to date personal data records also

helps us to develop and update programmes, practices and policies to best support colleagues at every level.

In late summer, we began producing an enhanced monthly management pack for senior leaders, containing a detailed breakdown of their team's

progress against our Race at Work and gender ambitions.

Optimisation of external relationships

We develop relationships with external partners to challenge our thinking, leverage best practices and access diverse pools of talent. We partner with

organisations across all six agendas (disability, gender, LGBT+, multicultural, multigenerational and socio-economic) and in each region.

Recognising our colleagues

Over the past year, Barclays and several of our colleagues have been recognised for our efforts to advance diversity, equity and inclusion. For further

details, refer to the Our people and culture section in the Barclays PLC Annual Report 2022.

Talent now and for the future

Talent attraction – now and for the future

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Our people and culture


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Across 2022, demand for talent has remained high, alongside a greater focus from candidates seeking flexible working options and on wellness and

wellbeing. In response, we have pursued opportunities to attract and recruit talent as quickly and efficiently as possible, including doubling the number

of recruiters to support our businesses and the launch of the Onboarding app, giving new joiners and their people leaders access to information

required prior to joining Barclays, including the ability to sign employment contracts via the app.

Barclays was ranked number one in the LinkedIn Top Companies UK 2022 list, for the second year in a row. Based on LinkedIn-owned data, the list is a

resource for jobseekers and career builders to explore open vacancies, enhance their skills and identify companies that invest in their talent. This was

further recognised by the Learning and Performance Institute, where Barclays won a Bronze Learning Leader Award.

Delivering world-class customer service and care remains of paramount importance to Barclays. In order to meet the demand, we significantly grew our

customer care teams globally; for example, following the acquisition of the Gap credit card portfolio in the US, we nearly doubled our footprint in our US

contact centre in Nevada, with over 1,800 new hires and saw demand triple for roles supporting our customers in the UK.

Developing our colleagues

We remain committed to our culture of lifelong learning, through a development proposition that supports colleagues at every stage of their career.

The Barclays Learning Lab is our learning ecosystem. Consisting of Barclays-designed knowledge and skills modules, as well as modules from external

specialists, it provides our colleagues with the development tools needed to support them in their current and future roles. Colleagues can access a wide

range of workshops, split between colleague and people leader development. This is complemented by our digital content providers, whose content has

been mapped against role-specific learning pathways, making it easy for colleagues to navigate development resources suitable for their needs. The

Learning Lab also offers a selection of self-assessment tools, empowering colleagues to understand their strengths and development areas. These are

supported by business-led solutions that encompass professional and technical resources encouraging colleagues to drive their own development.

People leadership at Barclays is about helping others to achieve their potential. To equip our people leaders with the critical skills and behaviours to

inspire, develop and support their teams today and into the future, we have refreshed our Management Unlocked programme. The programme provides

participants with extensive digital content, as well as our Evolution programme, which supports new people leaders as they transition into leadership

roles.

We also operate three high-potential flagship leadership programmes: The Enterprise Leaders Summit, for Managing Directors; the Strategic Leaders

Programme, for Directors; and Aspire, for Vice Presidents. These programmes aim to build enterprise-wide leadership, alongside strong people

leadership capabilities, helping colleagues tackle people management situations confidently, in line with our Values and Mindset.

Listening to our colleagues

Listening to colleagues allows us to obtain insights into what we are doing well and areas where we need to focus our attention.

Our biannual all-colleague Your View surveys measure colleague considerations across a breadth of topics including colleague engagement,

organisational culture, including the Mindset and Values, wellbeing, inclusion and working practices and tools. The 2022 survey results indicated good

progress for both engagement and cultural measures. Senior leaders continue to receive and review the results from these surveys to inform decisions.

Results from our surveys and other employee engagement mechanisms were shared with colleagues and discussed with the Barclays PLC Board,

Barclays Bank PLC Board, their Executive Committees and people leaders.

We have also evolved our Continuous Listening strategy, leveraging pulse surveys, as well as additional surveys deployed throughout the employee

lifecycle, to capture insights which help us better understand our culture and improve colleague experience.

We have adopted a number of methods for engagement with our workforce, in line with the UK Corporate Governance Code. These engagement

mechanisms, including all-colleague townhalls, skip-level meetings, DEI summits, site visits and engagement surveys, enable colleagues to share ideas

and feedback with senior management and the Board.

We keep colleagues updated on the strategy, performance and progress of the organisation through a combination of leader-led engagement, digital

and print communication, blogs, vlogs and podcasts. In 2022, the Barclays Group CEO held over 50 engagement sessions throughout the year with

colleagues, including quarterly townhalls on financial performance, listening sessions on flagship talent programmes and Q&A sessions. Other

workforce engagement activities have also been carried out by both Board and management to deliver meaningful, regular two-way dialogue with

colleagues. This helps our Board reflect colleague feedback in their decision-making. The range of direct engagement mechanisms we use, across

multiple channels throughout the year, combined with a comprehensive reporting approach, enables us to effectively engage with our workforce.

The Barclays Bank PLC Board has engaged, and will continue to engage, directly with colleagues and listen to feedback from the annual Your View

surveys. The President of Barclays Bank PLC continues to chair the Corporate and Investment Bank Critics Working Group, where a rotating cohort of

Corporate and Investment Bank colleagues are invited to share day to day pain points, alongside ideas to solve these issues. The forum was established

in November 2020 and is now on its seventh cohort. Additionally, regular town halls and skip level sessions took place throughout 2022 in Corporate

and Investment Bank, Consumer, Cards and Payments, and UK Corporate and Transaction Banking, alongside regular Managing Director calls hosted by

Corporate and Investment Banking and Consumer, Cards and Payments leadership to provide updates on strategy, business performance and other key

people priorities such as inclusion, Your View scores and hybrid working. We keep colleagues updated on the strategy, performance and progress of the

organisation through a combination of leader-led engagement, digital and print communication, blogs, vlogs and podcasts.

We maintain a strong and effective partnership with Unite and the Barclays Group European Forum, whom we brief on our strategy and progress to

obtain feedback on how we can improve the colleague experience. In 2022, we engaged with Unite on the transition to hybrid working and our updated

DEI strategy. We also consult with colleague representatives on major change programmes which impact our people, to minimise compulsory job

losses, and focus on reskilling and redeployment. In 2022, this included the launch of an enhanced mobility service to further mitigate redundancies

across the organisation, redeploying colleagues into roles commensurate with their skills and experience, and upskilling colleagues where required.

Strategic Report

Our people and culture


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Our policies

Our people policies are designed to recruit the best people, provide equal opportunities and create an inclusive culture, in line with our Purpose, Values,

Mindset 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 the International Labour Organisation (ILO) Declaration on Fundamental Principles and Rights at Work.

We regularly review and update these policies to ensure that they are in line with our broader DEI and people strategy. To support the transition to

hybrid working in 2022, we updated our policies on Working Flexibly to enable an approach that meets the requirements of each role, while also taking

into account the needs of our colleagues. We also updated our policies and guidance on a range of topics including workplace support for menopause

and baby loss.

We are committed to paying our people fairly and appropriately relative to their role, skills, experience and performance. This means our remuneration

policies reward performance that is in line with our Purpose, Values and Mindset, as well as our risk expectations. We also encourage our people to

benefit from Barclays’ performance by enrolling in our share ownership plans.

Strategic Report

Our people and culture


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How the Board has regard to the interests of stakeholders

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 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 2022, refer to our Governance Report on pages 20 to 38. Details of how the Barclays Group engages with

its stakeholders can be found on pages 16 to 22 of the Barclays PLC Annual Report 2022 and are incorporated by reference into this statement.

How the Board engages with stakeholders

Throughout the year, the Board engages directly and indirectly with stakeholders to ensure it has a comprehensive understanding of the impact of the

Barclays Bank Group's operations on key stakeholders, as well as their interests and views. This engagement, both directly and through regular reports

from individual business areas and key functions ensures the Board is well-versed on key issues to enable the Directors to comply with their legal duty

under Section 172(1).

Over-issuance of Securities

The Board has worked alongside management this year to assess and respond to the Over-issuance of Securities.

The Barclays Group operates a structured products business through the Company, through which it issues structured notes and exchange traded

notes to customers in the US and elsewhere. In order to issue securities of this nature in the US, the Company maintains a US shelf registration

statement with the US Securities and Exchange Commission (SEC).

In March 2022, management became aware that the Company had issued securities materially in excess of the amount registered under the Company's

shelf registration statement on Form F-3, as declared effective by the SEC in August 2019 (2019 F-3). Subsequently, management also became aware of

issuances in excess of the amount registered under BBPLC's prior shelf registration statement (the Predecessor Shelf). Due to an SEC settlement order in

2017, at the time the 2019 F-3 was filed and the Predecessor Shelf was amended, the Company had ceased to be a 'well known seasoned issuer' (or

WKSI) and was required to register upfront a fixed amount of securities with the SEC.

When management became aware of the Over-issuance of Securities, the matter was escalated to senior management and to the Board, and Barclays’

regulators in the US and the UK were notified. As part of its response, the Board considered both the immediate impact of the Over-issuance of

Securities, and the underlying causes of this issue.

The securities issued in excess of the registered amounts were considered to be ‘unregistered securities’ for the purposes of US securities law and

certain offers and sales of these securities were not made in compliance with the US Securities Act of 1933, which requires that offers and sales of

securities be registered unless there is an exemption from registration. This gave rise to rights of rescission for certain purchasers of relevant securities

under US securities laws. As a result, the Company elected to conduct a rescission offer, as approved by the Board, to eligible purchasers of relevant

securities.

Barclays also commissioned a review led by external counsel of the facts and circumstances relating to the Over-issuance of Securities and, among

other matters, the control environment related to such issuances (the Review). The Board carefully considered the outcome of the Review which

concluded that the Over-issuance of Securities occurred because Barclays did not put in place a mechanism to track issuances after the Company

became subject to a limit on such issuances as a result of losing its WKSI status. Among the principal causes of the Over-issuance of Securities were,

first, the failure to identify and escalate to senior executives the consequences of the loss of WKSI status and, secondly, a decentralised ownership

structure for securities issuances. The Review further concluded that the occurrence of the Over-issuance of Securities was not the result of a general

lack of attention to controls by Barclays, and that Barclays’ management has consistently emphasised the importance of maintaining effective controls.

Alongside the BPLC Board, the Board has worked to address the root cause and impacts of the Over-issuance of Securities, including through the

Review, and deeply regrets its occurrence. The Over-issuance of Securities also underlined to the Board the need to continue to focus on embedding

Barclays’ Values and Mindset at all levels of the organisation to achieve operational and controls excellence. Further, the Board has supported the

creation of a Barclays Group-wide programme, established by the Group Chief Executive. This programme will seek to identify issues and lessons

learned across the Barclays Group’s remediation initiatives to help ensure that Barclays is consistently excellent, in customer and client service, in

operational capability and in financial performance, with all activities underpinned by a strong risk management culture.

For more information on the Over-issuance of Securities, please refer to the Shareholder Q&A on pages 188 to 189 of the Barclays PLC Annual Report

2022.

Nigel Higgins

Chairman – Barclays Bank PLC

14 February 2023

Strategic report

Section 172(1) statement


home.barclays/annualreport	Barclays Bank PLC Annual Report	18

Our corporate governance processes and the role they play in supporting the delivery of our strategy


Governance		Page
	•Chairman’s introduction	20
	•Corporate Governance Statement	22
	•Directors’ report	35

Governance

Contents


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The 2022 Corporate Governance Statement (Governance Report) for the Company provides an overview of how the Barclays Bank PLC (BBPLC)

governance framework operates and of the Board’s key areas of focus during the year.

Strategy and performance

2022 was a year of almost unprecedented challenges for Barclays and for society more broadly. As an organisation we continued to demonstrate our

resilience and our ability and commitment to supporting our stakeholders in ever-changing economic conditions. As 2021 closed, we all hoped for

some return of normality as the COVID-19 pandemic restrictions began to be lifted. However, the intervening year has been far from settled with the

Russian invasion of Ukraine, a resulting energy crisis and a sustained rise in interest rates, alongside pressure on households and businesses from rising

costs.

As noted in our Strategic Report, global inflationary pressures significantly affected the financial markets in 2022, resulting in weaker performance in

Investment Banking, which was consistent with declines in capital market activity across the industry. However, the Corporate and Investment Bank

(CIB) achieved growing market share, particularly in our trading business, which compensated for this decline in activity. Opportunities presented by the

climate transition and the broader sustainability agenda continued to grow, despite the challenging market conditions, as we continue to seek to

capture these opportunities through the transition to the low-carbon economy.

In Consumer, Cards and Payments (CC&P), whilst the rises in inflation and interest rates are driving changes in consumer behaviour, particularly the

level of demand for personal loans, there has been continued recovery in consumer activity and spending post the COVID-19 pandemic and the shift

toward digital services and payments continues to grow.

In terms of our strategic focus areas, our aim in CIB continues to be to provide comprehensive and integrated services to clients, delivering solutions

across Investment Banking, Corporate Banking and Global Markets, and to capture opportunities presented by climate change. Within CC&P, we strive

to deliver next-generation consumer businesses, offering best-in-class consumer finance, private banking and payment solutions.

You can read more about our strategy and performance during 2022 in our Strategic Report on pages 1 to 18.

I am also pleased to report that our new Chief Executive, C.S. Venkatakrishnan (known as Venkat), has navigated well the challenges of his first year.

However, Venkat, his Executive Committee colleagues, and the Board as a whole, are very conscious that there is much work ahead. In particular, we

have to improve aspects of the way Barclays operates in order to eliminate the type of error that led to the loss relating to the issuance of securities

materially in excess of the limits under certain of our US registration statements. This incident reflects internal failings which we are determined to

remedy; you can read more about this in the Barclays PLC Annual Report 2022, including the Shareholder Q&A on pages 188 to 189 of that document.

The Board

2022 saw a number of changes to our Board. Anna Cross joined the Board as an Executive Director on 23 April 2022. Anna was also appointed to the

role of Group Finance Director and as an Executive Director of the Barclays PLC (BPLC) Board. Anna joined Barclays in 2013 and worked in a number of

roles, including as Deputy Group Finance Director from 2020. With her deep knowledge of the Barclays Group, Anna brings significant skills and

experience to the Board and was able to step immediately into the role, ensuring a smooth transition, and supporting our Chief Executive and his

leadership team with the ongoing delivery of the Barclays' Group strategy.

Tushar Morzaria stepped down as an Executive Director of the Board with effect from 22 April 2022. Tushar has been an invaluable member of the

senior management team at Barclays since 2013, when he joined as Group Finance Director, and played a significant role in the rebuilding of the

Barclays Group’s financial and operational resilience. The Board is grateful for his hard work and we are delighted that Tushar has a continuing role

within the Barclays Group in his role as Chairman of the Global Financial Institutions Group.

Robert Berry was appointed to the Board as a Non-Executive Director on 8 February 2022, and as Chair of the Board Risk Committee and a member of

the Board Audit Committee with effect from 1 March 2022. Robert brings with him a wealth of risk management experience from his distinguished

career at Goldman Sachs.

Tim Breedon stepped down as a member of the Board and as Chair of the Board Risk Committee with effect from 28 February 2022. He remains the

Chair of Barclays Bank Ireland PLC. The Board extends its thanks to Tim for the significant contribution he made to both the Board and the Board Risk

Committee during his tenure.

We also recently welcomed Marc Moses to the Board as a Non-Executive Director and member of the Board Audit and Risk Committees, with effect

from 23 January 2023. Marc brings a strong technical finance background with a deep knowledge of banking and financial services, and his

appointment further reinforces the recent and relevant financial expertise on the Board.

On 1 April 2023 we look forward to welcoming Julia Wilson to the Board as a Non-Executive Director. Julia is already a Non-Executive Director of BPLC

and a member of the BPLC Board Audit, Risk and Nominations Committees. From 1 April 2023, Julia will take on the role of Chair of the BPLC and BBPLC

Board Audit Committees (subject to regulatory approval), as our current Board Audit Committee Chair, Mike Ashley, steps down from this role. Mike will

also be stepping down from the Board and the BPLC Board at the conclusion of the 2023 BPLC Annual General Meeting (AGM).

I am deeply grateful for the ongoing support and hard work of all my Board colleagues during 2022. Scheduled Board and Committee meetings were

supplemented by a number of additional meetings (including a number at short notice) in order to discuss key issues arising throughout the year.

Governance

Chairman’s introduction


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The future

The Board continues to believe that the diversification of the Barclays Bank Group remains a key strength, providing balance, resilience and opportunity.

Within CIB, we will continue to focus on maintaining our client-centric approach, exploring opportunities for growth and driving returns, whilst across

CC&P, we remain committed to investing to build our technology and digital capabilities, in line with the Barclays Group strategy.

On behalf of myself and my fellow Board members, let me finish by expressing our gratitude to all those with whom we have worked alongside in 2022

- our colleagues, clients, customers, regulators and governments.

Nigel Higgins

Chairman – Barclays Bank Group

14 February 2023

Governance

Chairman’s introduction


home.barclays/annualreport	Barclays Bank PLC Annual Report	21

Overview of Governance Framework

The membership of the BPLC and BBPLC Boards was partially consolidated and streamlined in 2019, to improve coordination and efficiency whilst

reducing complexity and unnecessary duplication. As a result, membership of the BBPLC Board is a subset of the BPLC Board, with all members of the

BPLC Board (except the Senior Independent Director, the Chair of Barclays Bank UK PLC (BBUKPLC) and at least one other Non-Executive Director) also

serving on the Board of BBPLC. 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 BBPLC’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.

Further, whilst fully supportive of the Wates Corporate Governance Principles for Large Private Companies (in particular the focus on purpose, culture

and colleague 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 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 framework:

•ensures we have an effective and entrepreneurial Board which makes decisions and provides oversight to promote BBPLC's success, creating long-

term sustainable value for the shareholder and the ultimate shareholders of BPLC, having regard to the interests of all our other stakeholders

•promotes our Purpose, Values, Mindset and culture, and seeks to ensure that our decision-making is aligned with these

•is effective in providing constructive challenge, strategic guidance and support to management

•provides checks and balances and drives informed, collaborative and accountable decision-making.

Set out below are the principles which underpin our corporate governance arrangements and how these principles have been applied during 2022.

Certain additional information, signposted throughout this section, is available in the Strategic Report and the Board and Board Committees sections on

pages 25 to 34.

The Barclays 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 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 2022 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 of the Barclays Purpose, Values and Mindset is articulated, underpinning and defining the

strategy and culture of the organisation, which is embedded at every level of management.

▪Following the introduction of the Barclays Mindset in 2021 - Empower, Challenge and Drive - which acts as an operating manual for how to get

things done at Barclays, the Board has continued to track the progress of its embedment in everyday activities.

▪The Board believes that a positive culture, supported by an 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 site visits. Refer to the Our people

and culture section on pages 14 to 17 for more information on workforce matters.

▪Given its fundamental importance, the Board regularly considered strategy matters at its 2022 meetings, continuing to deepen its understanding of

the Barclays Bank Group's business, as well as the risks and opportunities the Barclays Group and the wider banking industry faces. This included

regular corporate strategy sessions, as well as a series of business and function reviews, covering areas including the CIB, Consumer, Cards and

Payments, US Consumer Bank, Legal, Risk and HR. The Board also received a series of sessions during the year on 'horizontal topics' impacting the

wider Barclays Group such as cyber, climate and data strategy.

▪Further detail on the Company’s strategy can be found on pages 1 to 4 of the Strategic Report and details of the Barclays' Group strategy can be

found on pages 12 to 15 of the Barclays PLC Annual Report 2022.

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 . 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 each role can be found on page 25 of this report. Page

25 sets out the details of the Board members, the majority of whom are independent Non-Executive Directors.

▪Policies and protocols are in place to support effective decision-making and independent challenge, including the Barclays Charter of Expectations

which sets out the individual role profiles and required behaviours and competencies of each Director. In accordance with the Charter of

Expectations, the Non-Executive Directors are responsible for providing effective oversight, strategic guidance and constructive challenge while

holding the Executive Directors to account against agreed performance objectives. The Chairman meets privately with the Non-Executive Directors

when appropriate, to promote independence.

Governance

Corporate Governance Statement


home.barclays/annualreport	Barclays Bank PLC Annual Report	22

▪The Board's responsibilities are executed in part through the Board Committees, each of which has its own Committee Terms of Reference which

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 Board Committees and their core responsibilities and activities in 2022 are set out on pages 27 to 31 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 25 for further details.

▪The Barclays Group Corporate Governance Operating Manual sets out guidelines as to how Barclays Group entities (and their respective Boards and

Board Committees) should interact with each other, while 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 Barclays Bank Group. There is a good balance between Executive and

independent Non-Executive Directors, with the Non-Executive Directors able to provide essential independent challenge. Board members have a

strong combination of technical, finance (including significant financial services experience) and commercial skills along with broader experience in

culture and colleague engagement.

▪The membership of the Board is drawn exclusively from the BPLC Board. On 23 April 2022, the Board appointed Anna Cross as an Executive

Director following Tushar Morzaria's retirement as an Executive Director on 22 April 2022. The Board appointed Robert Berry as a Non-Executive

Director with effect from 8 February 2022, and Tim Breedon retired as a Non-Executive Director with effect from 28 February 2022. Marc Moses

joined the Board as a Non-Executive Director on 23 January 2023. Julia Wilson will join the Board as a Non-Executive Director with effect from 1 April

2023 and in addition will take on the role of Chair of the Board Audit Committee (subject to regulatory approval). Mike Ashley will step down from

the Board at the conclusion of the BPLC 2023 AGM.

▪All appointments to the Board and senior management are based on merit and an objective criteria, with a continued strong belief in the benefits of

diversity (of skills, regional and industry experience, social and ethnic background, race, gender and other distinctions such as cognitive and

personal strengths) for an effective Board and organisation. The Company continues to strive to build a workforce that reflects the diversity of its

customers and the communities it serves. Across the Barclays Group, diversity, equity and inclusion (DEI) remains a key area of focus. Further

information can be found on pages 31 to 38 of the Our People and Culture section of the Barclays PLC Annual Report 2022 and in Barclays’ DEI

report, which will be made available on the Barclays website later in the year. The report explains Barclays’ DEI strategy and progress in this area.

▪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 2022. You can read more about these on page 33 of this report.

▪Effectiveness is supported through annual evaluations of the Board, Board Committees and individual Directors. In 2022, the Board, Board

Committee and individual Director effectiveness evaluations were conducted internally. Key findings are included for the Board and each Board

Committee on pages 27 to 31 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 can be found in the Training and Induction section of this report on

page 34.

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 controls that enables the 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 place to evaluate and manage such risks including regular reporting to, and oversight by, the Board 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. 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 8 to 9 of the Strategic Report.

▪The Board approves the Barclays Bank Group's risk appetite (the amount of risk the Barclays Bank Group is able to take to earn an appropriate

return while meeting minimum internal and regulatory capital requirements in a severe but plausible stress environment), including testing whether

the Barclays Bank Group’s financial position and risk profile provide sufficient resilience to withstand the impact of severe but plausible economic

scenarios) within the parameters set by the BPLC Board 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 Board Risk Committee (responsible for providing oversight on

current and potential future risk exposures) and the Board Audit Committee (responsible for evaluating the effectiveness of internal controls).

Please see pages 27 to 31 for further detail on the role of these Committees.

▪The Board Audit Committee also has 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 27 to 28 of this report.

Governance

Corporate Governance Statement


home.barclays/annualreport	Barclays Bank PLC Annual Report	23

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 Board Remuneration Committee, and reviewed and adopted by the Company’s Board

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 Barclays Group’s formal procedures (ensuring

no Director is involved in deciding their own remuneration outcome), having regard to wider workforce remuneration policies and alignment of

incentives and rewards with performance and culture, as reviewed annually by the BPLC Board Remuneration Committee and shared with the

Company’s Board Remuneration Committee.

▪The Board 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 representation gaps where they exist, and the pay gaps that result. Barclays is

due to publish its 2022 gender pay gap statistics on the government's gender pay gap reporting portal and will publish the Group's UK Pay Gaps

2022 disclosure on the Barclays website on 15 February 2023. This will include the voluntary disclosure of Barclays' ethnicity pay gaps in the UK. For

2022, Barclays will also publish a Fair Pay Report summarising its approach to pay fairness.

Principle Six: Stakeholder relationships and engagement

Directors should foster effective stakeholder relationships aligned to the company’s purpose. The board should recognise the importance of listening to,

and understanding the views of its stakeholders, including the workforce, and specifically the impact of the company’s behaviour and business on

customers and clients, colleagues, suppliers, communities and society more broadly; having regard to these views and impact when taking decisions.

▪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 page 18 of the Strategic Report for details of our key stakeholders.

▪The Board and management engage throughout the year with the Company's 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 Section 172(1) statement on page 18 of the Strategic Report for further information about our engagement with

stakeholders.

▪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 in the Our people and culture section

on pages 14 to 17 of the Strategic Report.

Governance

Corporate Governance Statement


home.barclays/annualreport	Barclays Bank PLC Annual Report	24

The Board

The Directors who served during the financial year ended 31 December 2022 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*
Robert Berry Independent Non-Executive Director	M+	M+	C+
Anna Cross Executive Director	M++
Mohamed A. El-Erian Independent Non-Executive Director	M		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
Former Directors
Tim Breedon Independent Non-Executive Director	M**		C**		M**
Tushar Morzaria Executive Director	M***
Directors appointed post 31 December 2022 but prior to publication of this report
Marc Moses Independent Non-Executive Director	M++++	M++++	M++++

C Chair of Board or Committee

M Member of Board or Committee

* Mike Ashley stepped down from the Board Nominations Committee on 1 September 2022

** Tim Breedon retired from the Board, as Chair and member of the Board Risk Committee and as a member of the Board Nominations Committee, in each case with effect

from 28 February 2022

*** Tushar Morzaria retired from the Board on 22 April 2022

+ Robert Berry was appointed to the Board on 8 February 2022 and was appointed Chair of the Board Risk Committee with effect from 1 March 2022. Robert also joined the

Board Audit Committee with effect from 1 March 2022

++ Anna Cross joined the Board as an Executive Director with effect from 23 April 2022

+++ Mohamed A. El-Erian joined the Board Nominations Committee with effect from 1 September 2022

++++ Marc Moses was appointed to the Board and as a member of the Board Audit and Risk Committees on 23 January 2023

Tushar Morzaria retired from the Board with effect from 22 April 2022, with Anna Cross succeeding him as a member of the Board on 23 April 2022.

The Board is grateful for Tushar's valuable contribution to the Board and are delighted that he has a continuing role with the Barclays Group as

Chairman of the Global Financial Institutions Group.

We welcomed Robert Berry to the Board as a Non-Executive Director on 8 February 2022. Robert was appointed Chair of the Board Risk Committee with

effect from 1 March 2022, when he also joined the Board Audit Committee as an additional member. Tim Breedon retired as a member of the Board and

Board Nominations Committee 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 made as a Board member and to the Board Risk Committee during his tenure. Marc Moses joined the Board as a Non-Executive

Director on 23 January 2023 and Julia Wilson will join the Board as a Non-Executive Director with effect from 1 April 2023. Mike Ashley will step down

from the Board at the conclusion of the BPLC 2023 AGM.

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 in directing the Company, demonstrating objective

judgement and promoting a culture of openness and inclusion, and facilitating and encouraging constructive challenge and debate between all

Directors, and which challenges executives where appropriate. The Chair facilitates constructive Board relations and the effective contribution of all

Non-Executive Directors, and ensures Directors receive all information in an accurate, timely and clear form that is relevant to discharge their

obligations. 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 International division, comprising the

CIB and CC&P businesses.

Governance

Corporate Governance Statement


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The BBPLC Matters Reserved to the Board ensures that appropriate coordination with the governance of the partially consolidated BPLC and BBPLC

Boards is in place. The Matters Reserved to the Board specifies those decisions reserved solely to the decision-making power of the Board. Those

matters include 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 and the approval of share allotments, dividends and share buybacks. 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 Executive Committee.

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.

Attendance

Directors are expected to attend every Board meeting. Owing to a prior commitment, Mohamed A. El-Erian was unable to attend one scheduled

meeting and Dawn Fitzpatrick was unable to attend two scheduled Board meetings (held on consecutive days) due to a bereavement. During 2022,

there were five ad hoc Board meetings, a number of which were convened at short notice which resulted in some Directors being unable to attend.

Attendance at meetings in 2022 is reflected in the table below:


Director	Scheduled eligible meetings attendance	Ad hoc eligible meetings attendance	Effective Date
Nigel Higgins	14/14	5/5	Appointed 1 March 2019
Mike Ashley	14/14	5/5	Appointed 25 September 2019
Robert Berry	14/14	5/5	Appointed 8 February 2022
Anna Cross	12/12	3/3	Appointed 23 April 2022
Mohamed A. El-Erian	13/14	2/5	Appointed 1 January 2020
Mary Francis	14/14	3/5	Appointed 25 September 2019
Dawn Fitzpatrick	12/14	5/5	Appointed 25 September 2019
Diane Schueneman	14/14	4/5	Appointed 25 September 2019
C.S. Venkatakrishnan	14/14	5/5	Appointed 1 November 2021
Former Directors
Tim Breedon	2/2	1/1	Stepped down 28 February 2022
Tushar Morzaria	2/2	2/2	Stepped down 22 April 2022

What the Board did in 2022

During 2022, the Board focused on the following specific areas:

Strategy and operational matters

▪Considered strategy matters regularly throughout the year. In addition to considering matters of corporate strategy, the Board participated in a

series of business and function reviews covering areas including CIB, Consumer, Cards and Payments, US Consumer Bank, Legal, Risk and HR. The

Board also had regular focus sessions on 'horizontal topics' impacting the wider Barclays Group, including on cyber, climate and data.

▪Received updates on climate and sustainability matters, including updates from management on BBPLC's climate strategy in capturing

opportunities as the Barclays Group and wider ecosystem transitions towards a low carbon economy.

▪Discussed regular updates from the Chief Executive and President of BBPLC on the progress being made against the Barclays Bank Group strategy

and business performance, and also on operational and technology matters.

▪Continued to focus on culture and colleague engagement. 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 and site visits. The Board also considered the impact

of hybrid working to understand what works well for colleagues remotely and on site.

▪Reviewed and considered updates on the progress that has been made against the Race at Work Ambition, Gender Ambition (including actions to

promote gender diversity in the CIB) and progress towards creating an inclusive and equitable workforce to underpin business performance.

Finance

▪Regularly assessed the financial performance of the various businesses and the Barclays Bank Group results through reports from the 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 in March 2022 by BBPLC of a third interim dividend for the year ended 31 December 2021. Details of

dividends paid in 2022 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)

▪Received regular updates on the development of the Financial Conduct Authority's (FCA) Consumer Duty and established a Consumer Duty

Committee to oversee implementation of the Consumer Duty for the Barclays Bank Group. The Board approved the appointment of Mary Francis as

Governance

Corporate Governance Statement


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the BBPLC Consumer Duty Champion and the scope of the responsibilities of the role, which are aligned with FCA guidance. The Board oversaw the

activities of the Consumer Duty Committee, including the Consumer Duty Committee's review and approval of the BBPLC implementation plan

ahead of the regulatory deadline.

▪Received regular updates on key risk themes, including on the impacts of the Russian invasion of Ukraine, market volatility and 'cost of living'

pressures, and approved the Company’s risk appetite.

▪Considered regular updates on the Over-issuance of Securities, including its financial impact and associated hedging arrangements, the implications

of the Over-issuance of Securities for the Company's financial statements, including the approval of the restatement of the BBPLC 2021 financial

statements included in the amended annual report on Form 20-F for the year ended 31 December 2021. The Board also approved the launch of the

rescission offer and had oversight of the remediation of the material weakness in internal control over financial reporting which led to the Over-

issuance of Securities, as well as work required to address the specific requirements of the US Securities and Exchange Commission (SEC), set out in

its order of 29 September 2022. The Board has also reviewed the findings of a review by external counsel of the facts and circumstances relating to

the Over-issuance of Securities and, among other things, the control environment related to such issuances.

▪Received reports on operational resilience, including in relation to cyber security.

▪Considered and approved appointments of Directors following recommendations from the Board Nominations Committee.

▪Received regular reports from the Chair of each Board Committee. Please see the reports on each Board Committee which set out the principal

activities of each Committee, below on pages 27 to 31.

▪Received and considered feedback from the Barclays Group’s principal regulators.

▪Considered the results of the internally facilitated 2022 Board effectiveness evaluation.

Board Committees

The Board is supported in its work by its Board Committees - the Board Audit Committee, the Board Nominations Committee, the Board Remuneration

Committee and the Board Risk Committee. Pursuant to authority granted under the Company’s Articles of Association (Articles), each Board Committee

has specific responsibilities delegated to it by the Board. Each Board Committee has its own terms of reference clearly setting out its remit and decision-

making powers. You can read about what each of the Board Committees did during 2022 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, and also provides periodic written reports to the Board on the work of the Committee.

Board Audit Committee

The Board Audit Committee is comprised solely of independent Non-Executive Directors, with membership of the Board Audit Committee largely

aligned with the BPLC Board 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 Board Audit Committee is chaired by Mike Ashley who has over 20 years'

accounting and audit experience. Diane Schueneman and Robert Berry are the other members of the Committee, with Robert's appointment to the

Committee having taken effect on 1 March 2022. Marc Moses joined the Committee on 23 January 2023. On her appointment to the Board as a Non-

Executive Director on 1 April 2023, Julia Wilson will join the Board Audit Committee and will succeed Mike Ashley as Chair of the Board Audit Committee

(subject to regulatory approval).

In addition to scheduled meetings, the Board Audit Committee also held four ad-hoc meetings during 2022. Owing to prior commitments, Diane

Schueneman was unable to attend two ad-hoc meetings. Attendance by the Board Audit Committee members is shown below. Board Audit Committee

meetings were attended by representatives from the Barclays Group and/or BBPLC management in respect of matters relevant to their function or

business area, including the Chief Executive, the Chief Financial Officer, the President of BBPLC, the Barclays Group and/or BBPLC Chief Compliance

Officer, the Chief Controls Officer, the Barclays Group Chief Operating Officer, the Barclays Group Chief Internal Auditor, the BBPLC Chief Internal

Auditor, the Barclays Group General Counsel, as appropriate, and the Company’s statutory auditors, KPMG.

The Board Audit Committee held a number of separate private sessions with the Barclays 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 Board Audit Committee, the BBUKPLC

Board Audit Committee and the Committee, Mike Ashley held regular meetings during 2022 with the BBUKPLC Board Audit Committee Chair to share

relevant information and to ensure embedment of information flows and governance practice. In addition, discussions were held with the Board Audit

Committee Chairs of the Company’s other major subsidiaries, Barclays Bank Ireland PLC and Barclays US LLC.

Attendance at the Board Audit Committee during 2022 was as follows:


Member	Meetings attended/eligible to attend	Effective Date
Mike Ashley (Chair)	14/14	Appointed 25 September 2019
Robert Berry	12/12	Appointed 1 March 2022
Diane Schueneman	12/14	Appointed 25 September 2019

The principal role and responsibilities of the Board 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.

Governance

Corporate Governance Statement


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During 2022, the principal activities of the Board Audit Committee included:

•Financial reporting: assessing the appropriateness of financial disclosures and scrutinising management's approach to judgements, including in

respect of Expected Credit Loss and Post-Model Adjustments. The Committee also considered the effect of the Over-issuance of Securities on the

Company's financial statements and recommended to the Board for approval the restated financial statements for the year ended 31 December

2021, as filed with the SEC on 23 May 2022 in an amended annual report on Form 20-F. The Committee further recommended to the Board that it

did not believe that it was necessary or appropriate to revise the 2021 UK financial statements to reflect the impact of the Over-issuance of

Securities. Instead, the prior year comparatives have been restated in this 2022 Annual Report and Accounts to reflect the impact of the Over-

issuance of Securities.

▪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 in particular the impact of the

uncertain macroeconomic environment.

▪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.

▪Tax: overseeing tax matters relating to the Barclays Bank Group, including tax risk provisions, regulatory matters and the impact of announcements

made by the UK government in relation to the future rate of corporation tax.

▪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, the impact of hybrid

working, the annual data protection update, and monitoring Client Asset Sourcebook (CASS) updates and compliance with CASS. The Committee

also monitored the remediation of internal control over financial reporting in relation to the identification and monitoring of issuance limits,

following the Over-issuance of Securities, and monitored the work carried out to address the specific requirements of the SEC set out in its order of

29 September 2022.

▪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. The Committee approved enhancements to certain elements of the Group

whistleblowing process (as it applies to BBPLC) following an external benchmarking review.

▪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.

▪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 2022 audit. The Committee also reviewed audit quality and discussed KPMG’s feedback on the Barclays Bank Group's critical

accounting estimates and judgements.

An internal review of the effectiveness of the Board Audit Committee was undertaken in 2022. The results of the review confirm the Committee is

operating effectively. It is considered well constituted, providing an effective and appropriate level of challenge and oversight of the areas within its

remit. The review noted that the Committee’s interaction with the Board, Board Committees and senior management is considered effective. Feedback

indicated that concurrent meetings of the BPLC and BBPLC Board Audit Committee continue to be effective, with coverage of BBPLC matters within

concurrent meetings considered adequate.

Board Nominations Committee

The Board Nominations Committee is comprised solely of independent Non-Executive Directors. The Board Nominations Committee members are Nigel

Higgins, as Chairman of the BBPLC Board, along with Diane Schueneman and Mohamed A. El-Erian (appointed 1 September 2022). Tim Breedon and

Mike Ashley stepped down as members of the Board Nominations Committee with effect from 28 February 2022 and 1 September 2022, respectively.

The Committee is grateful to Tim and Mike for their valuable contributions to the Committee during their tenure.

In addition to scheduled meetings, the Board Nominations Committee also held two ad-hoc meetings during 2022. Attendance by the Board

Nominations Committee members is shown in the table below. Board 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 Board Nominations Committee during 2022 was as follows:


Member	Meetings attended/eligible to attend	Effective Date
Nigel Higgins (Chair)	5/5	Appointed 1 March 2019
Mike Ashley	3/3	Stepped down 1 September 2022
Tim Breedon	2/2	Stepped down 28 February 2022
Mohamed A. El-Erian	2/2	Appointed 1 September 2022
Diane Schueneman	5/5	Appointed 25 September 2019

The principal role and responsibilities of the Board 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.

Governance

Corporate Governance Statement


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During 2022, 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, including Executive Committee

succession planning and reviewing and approving proposed changes to Executive Committee composition as detailed on page 33.

▪Continuing to support, alongside the Board, the Barclays Group’s Gender Ambition and Multicultural agenda, including Barclays' Race at Work

Ambitions. You can read more about Barclays' approach to DEI, including Barclays’ DEI vision and strategy and Global Race at Work Action Plan,

and data on gender and ethnic diversity, on pages 31 to 38 of the Our People and Culture section of the Barclays PLC Annual Report 2022 and in the

Barclays DEI report which will be made available on the Barclays website later in the year.

▪Reviewing and adopting a revised Board Diversity Policy on 15 December 2022, including adopting an increased gender diversity target to ensure

that, by 2025 (i) the proportion of women on the Board is at least 40% and (ii) at least one of the Chair, Chief Executive, Senior Independent

Director or Chief Financial Officer is held by a woman, and that this is to be maintained going forward, and an ethnic diversity target aligned with

the Parker Review on the ethnic diversity of UK Boards (at least one Board member to be from an ethnic minority background excluding white

ethnic groups, and this is maintained going forward). Please refer to page 34 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 externally facilitated 2021 Board, Board Committee and individual Director effectiveness reviews

undertaken by Christopher Saul Associates (CSA), and overseeing the internally conducted 2022 Board, Board Committee and individual Director

effectiveness reviews. As reported in our 2021 Annual Report, CSA has no connection to the Barclays Group or any individual Director, save as

disclosed on page 166 of the Barclays PLC Annual Report 2022.

An internal review of the effectiveness of the Board Nominations Committee was undertaken in 2022. The results of the review confirm the Committee

is operating effectively. It is considered well constituted, providing an effective and appropriate level of challenge and oversight of the areas within its

remit. The Committee’s interaction with the Board, Board Committees and senior management is considered effective. Feedback indicated that

concurrent meetings of the BPLC and BBPLC Board Nominations Committee continue to be effective, with coverage of BBPLC matters within concurrent

meetings considered adequate.

Board Remuneration Committee

The Board Remuneration Committee is comprised solely of independent Non-Executive Directors. The Board Remuneration Committee is chaired by

Mary Francis with Dawn Fitzpatrick as the other member.

The principal role and responsibilities of the Board 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 Board 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 Board Remuneration Committee.

In addition to scheduled meetings, the Board Remuneration Committee also held two ad-hoc meetings during 2022. Attendance by the Board

Remuneration Committee members is shown in the table below. Board Remuneration Committee meetings are attended by management, including the

Chief Executive and the BPLC HR Director.

Attendance at the Board Remuneration Committee during 2022 was as follows:


Member	Meetings attended/eligible to attend	Effective Date
Mary Francis (Chair, effective 24 May 2021)	6/6	Appointed 25 September 2019
Dawn Fitzpatrick	6/6	Appointed 1 July 2021

During 2022, the principal activities of the Committee included:

▪Reviewing and adopting the Barclays Group People Risk Reward Policy and 2022 Incentive Funding Frameworks.

▪Reviewing the Remuneration Control Framework and the Committee's Terms of Reference.

▪Reviewing Fair Pay agenda and pay gaps, and ethnicity pay gaps reporting.

▪Endorsing the 2022 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 Board Remuneration Committee’s remit.

An internal review of the effectiveness of the Board Remuneration Committee was undertaken in 2022. The results of the review confirm the Committee

is operating effectively. It is considered well constituted, providing an effective and appropriate level of challenge and oversight of the areas within its

remit. The Committee’s interaction with the Board, Board Committees and senior management is considered effective. Following the consolidation of

the membership of the Committee with the BPLC Board Remuneration Committee in September 2019 (with the exception of the BPLC Committee Chair,

who attends as an observer only for matters relating to BBPLC), coverage of BBPLC matters within aligned meetings was considered adequate.

Governance

Corporate Governance Statement


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Board Risk Committee

The Board Risk Committee is comprised solely of independent Non-Executive Directors with membership of the Committee broadly aligned with the

BPLC Board Risk Committee. The Board Risk Committee is chaired by Robert Berry. Mike Ashley, Mohamed A. El-Erian, Dawn Fitzpatrick and Diane

Schueneman are the other members of the Committee. In addition to scheduled meetings, the Board Risk Committee also held a number of ad-hoc

meetings during 2022. Tim Breedon stepped down as a member and Chair of the Committee with effect from 28 February 2022. Robert Berry joined the

Committee on 1 March 2022 as the Chair. Marc Moses joined the Committee as an additional member on 23 January 2023.

One of the key roles of the Board 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. Board Risk Committee meetings are attended by management,

including the Chief Executive, Barclays Group Finance Director, 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.

In addition to scheduled meetings, the Board Risk Committee also held three ad-hoc meetings during 2022. Attendance by the Board Risk Committee

members is shown in the table below. Owing to prior commitments, Mohamed A. El-Erian was unable to attend one scheduled meeting and two ad-hoc

meetings, and Diane Schueneman was unable to attend three scheduled meetings and one ad-hoc meeting.

Attendance at the Board Risk Committee during 2022 was as follows:


Member	Meetings attended/eligible to attend	Effective Date
Robert Berry (Chair)	11/11	Appointed 1 March 2022
Tim Breedon	2/2	Stepped down 28 February 2022
Mike Ashley	12/12	Appointed 25 September 2019
Mohamed El-Erian	9/12	Appointed 1 July 2020
Dawn Fitzpatrick	12/12	Appointed 1 January 2020
Diane Schueneman	8/12	Appointed 25 September 2019

The principal role and responsibilities of the Board 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 2022, the principal activities of the Board Risk Committee included:

▪Advising the Board on the appropriate risk appetite and risk tolerance for the Barclays Bank Group in respect of 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 macroeconomic, geopolitical, macro-prudential and financial

environment and their impact on the Company’s risk appetite and risk profile.

▪Reviewing updates on Credit and Market risk including within the CIB, with particular consideration given to structured lending and finance and

leveraged finance portfolios, including management's actions to manage the size of these portfolios in light of the deterioration in market

conditions.

▪Considering Climate risk, as a new Principal Risk with effect from 1 January 2022, and receiving regular reporting on areas of elevated Climate risk

and progress against sector targets in the form of a Climate Risk Dashboard.

▪Considering updates on the Over-issuance of Securities, including the hedging arrangements designed to manage the risks to Barclays arising out of

the rescission offer.

▪Considering and approving the Company’s internal stress test themes and the results of internal stress testing.

▪Monitoring the capital, liquidity and financial resources of BBPLC to ensure it meets its regulatory requirements and obligations, taking into account

potential impacts of the increased cost of living, geopolitical tensions, and other macroeconomic factors.

▪Reviewing and considering the operational risks arising from the Company’s procedures, processes, systems and policies.

▪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.

▪Advising the Board Remuneration Committee when making remuneration adjustment decisions for 2022.

▪Discussing reports on key risk areas specific to the Barclays Bank Group which were provided to the Board Risk Committee throughout the year

including, amongst others, reports on US consumer credit weakness, actions taken by central banks to combat high and increasingly persistent

inflation, weakening economic conditions and deteriorating consumer confidence, financial markets remaining volatile and the growth of digital

currencies.

The Board 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 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 Board Risk Committee), including a

briefing on the financial and operational risks of climate change.

Governance

Corporate Governance Statement


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An internal review of the effectiveness of the Board Risk Committee was undertaken in 2022. The results of the review confirm the Committee is

operating effectively. It is considered well constituted, providing an effective and appropriate level of challenge and oversight of the areas within its

remit. The review concluded that the Committee’s interaction with the Board, Board Committees and senior management is considered effective.

Feedback indicated that concurrent meetings of the BPLC and BBPLC Board Risk Committee continue to be effective, with coverage of BBPLC matters

within concurrent meetings considered adequate.

Charter of Expectations

The Barclays Charter of Expectations sets out the individual role profiles, required behaviours and competencies for the Chair, Non-Executive Directors,

Executive Directors and Committee Chairs. Non-Executive Directors provide effective oversight, strategic guidance and constructive challenge, whilst

holding the Executive Directors to account against their agreed performance objectives, as outlined in the Charter of Expectations; a copy of which can

be found at home.barclays/who-we-are/ourgovernance/board-responsibilities.

Appointment and retirement of Directors

The appointment and retirement of Directors is governed by the 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 and any Director so appointed holds office only until the next AGM where they may offer themselves for re-election. As

both Marc Moses and (on her appointment on 1 April 2023) Julia Wilson have been appointed since the 2022 AGM, both will offer themselves for re-

election at the 2023 AGM.

All appointments to the Board and senior management are viewed through a diversity lens and are based on merit and objective criteria, which focus on

the skills, experience and knowledge required for the Board’s effectiveness and to support the continued delivery of the Company’s strategy. Board

appointments are made following a formal, rigorous and transparent procedure, facilitated by the Board Nominations Committee, with the aid of

external search consultancy firms. You can read more about the work of the Board Nominations Committee on pages 28 to 29.

DEI across the Barclays Group remains a key area of focus. For more detail on the Barclays Group's actions to increase DEI please see page 14 and the

Our people and culture section on pages 31 to 38 of the Barclays PLC Annual Report 2022.

The Board Nominations Committee regularly reviews the composition of the Board, Board Committees and Executive Committee and the core skills,

experience, knowledge and diversity 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, although this period may be extended where considered appropriate by the Board Nominations Committee.

Effectiveness

The Company considers the composition of the 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, including attending and preparing for formal Board and Board Committee

meetings, as well as allowing time to understand the business and complete training. Barclays' Charter of Expectations sets out the Chair's

responsibilities for ensuring Directors receive all information in an accurate, timely and clear form that is relevant to discharge their obligations.

An effectiveness review of the Board, Board Committees and individual Directors for 2022 was conducted internally. Feedback from the Board

effectiveness review indicated that the Board is operating well and effectively, with Board members commenting favourably on the open and

collaborative culture of the Board. The review indicated that Board composition is considered to be a strength, bringing together a range of diverse and

complementary backgrounds and expertise. The review highlighted an appropriate level of support and challenge to management.

Feedback from the effectiveness reviews of each Board Committee can be found in their respective reports elsewhere in this report.

The Board is responsible for setting the Barclays Bank Group risk appetite within the overall parameters set by the Barclays Group, being the level of risk

it is prepared to accept in the context of achieving the Barclays Group's strategic objectives. The ERMF is designed to identify and set the minimum

requirements in respect of the main risks to achieving Barclays’ strategic objectives.

The Board, assisted by the Board Risk Committee, conducts robust assessments of the Principal Risks facing the Barclays Bank Group, including those

that would threaten its business model, future performance, solvency or liquidity.

The Board Audit Committee oversees the effectiveness of BBPLC's 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 Board 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 Board Remuneration Committee report on page 29 of this report.

The Board has delegated responsibility to the Board 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 Board 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 wider workforce remuneration and related policies and the alignment of incentives and rewards with

culture. All Board Remuneration Committee members are expected to demonstrate independent judgement and discretion when determining and

approving remuneration outcomes. The Board as a whole, with the Non-Executive Directors abstaining, considers annually the fees paid to Non-

Executive Directors.

Governance

Corporate Governance Statement


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Audit, Risk and Internal Control

The Board, together with the Board Audit Committee, is responsible for ensuring the independence and effectiveness of the internal and external audit

functions. For this reason, the Board Audit Committee members met regularly with both the Barclays 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 Board

Audit Committee can be found on pages 27 to 28 of this report.

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 only provide reasonable, and not absolute, assurance against material misstatement or loss.

Processes are in place for identifying, evaluating and managing the Principal Risks facing the Company. A key component of the framework is the ERMF

which supports the business in its aim to embed effective risk management and a strong risk management culture. The ERMF is designed to identify

and set minimum requirements, in respect of the main risks, to achieve the Company’s strategic objectives and to provide reasonable assurance that

internal controls are effective. The Board Risk Committee reviews annually the Principal Risks and as appropriate makes recommendations to the Board

for updating of the relevant BBPLC elements of the BPLC Group ERMF. Further detail on the Principal Risks and management of them can be found in

the managing risk section of the Strategic Report on pages 8 to 9.

The effectiveness of the risk management and internal control systems is reviewed regularly by the Board Risk Committee and the Board Audit

Committee (as detailed above).

The Board 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 Board Risk Committee can be found on pages 30 to

31 of this report.

As referenced above, the Board 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 whistleblowing arrangements and oversight of the work of the external and

internal auditors. It has concluded that, save for the material weakness relating to the Over-issuance of Securities, throughout the year ended

31 December 2022 and to the date of this report, the Barclays Bank Group has operated an effective system of internal control that provides reasonable

assurance of financial and operational controls and compliance with laws and regulations.

Whist the control environment was determined to be effective, the Over-issuance of Securities underlined to the Board the need to continue to focus on

embedding Barclays' Values and Mindset at all levels of the Barclays Bank Group to achieve operational and controls excellence. The Board has therefore

supported the creation of a Barclays Group-wide programme, established by the Group Chief Executive. This programme will seek to identify issues and

lessons learned across the Barclays Group's remediation initiatives to help ensure that the Barclays Bank Group is consistently excellent, in customer and

client service, in operational capability and in financial performance, with all activities underpinned by a strong risk management culture.

Further information in relation to controls over financial reporting, including the remediation of material weakness relating to the Over-issuance of

Securities, is contained in the next section.

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 help ensure that they have been subject to

adequate verification and comply with applicable standards and legislation.

Where appropriate, these committees report their conclusions to the Board Audit Committee, which debates such conclusions and provides further

challenge. Finally, the Board scrutinises and approves results announcements and the Annual Report to ensure that appropriate disclosures have been

made. This governance process is designed to ensure 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.

Management's report on internal control over financial reporting

Management is responsible for establishing and maintaining adequate internal controls over financial reporting under the supervision of the principal

executive and financial officers, to provide reasonable assurance regarding the reliability of financial reporting and the preparation of financial

statements, in accordance with (a) UK-adopted international accounting standards; (b) International Financial Reporting 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 UK-

adopted international accounting standards and IFRS 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 over financial reporting may become inadequate because of

changes in conditions or that the degree of compliance with the policies or procedures may deteriorate.

Governance

Corporate Governance Statement


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Management has assessed internal control over financial reporting as at 31 December 2022. In making its assessment, management utilised the criteria

set out in the 2013 COSO framework. Management has specifically assessed the controls put in place to address the material weakness in internal

control over financial reporting relating to the Over-issuance of Securities, as further discussed below. Management has concluded that, based on its

assessment, internal control over financial reporting was effective as at 31 December 2022.

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 136 to 143.

Identification and Remediation of a Material Weakness

A material weakness is a deficiency, or a combination of deficiencies, in internal control over financial reporting such that there is a reasonable

possibility that a material misstatement of the Company’s annual or interim financial statements will not be prevented or detected on a timely basis.

In March 2022, the Company’s management became aware that BBPLC had issued securities materially in excess of the amount BBPLC had registered

with the SEC under its 2019 US shelf registration statement and subsequently became aware that securities had also been issued in excess of the set

amount under the predecessor US shelf registration statement. A proportion of the costs associated with the impact of the Over-issuance of Securities

was attributable to the Company’s financial statements for the year ended 31 December 2021. Accordingly, in the UK, the Company has restated the

prior period comparatives in this 2022 Annual Report and Accounts to reflect the impact of the Over-issuance of Securities. In the US, the Company

amended its annual report on Form 20-F for the year ended 31 December 2021 to include restated financial statements to reflect the impact of the

Over-issuance of Securities.

The fact that the Over-issuance of Securities occurred and was not immediately identified highlighted a weakness in controls over the identification of

external regulatory limits related to securities issuance and monitoring against these limits that constituted a material weakness in internal control over

financial reporting under “COSO Principle 9: Identifies and Analyses Significant Change - The organisation identifies and assesses changes that could

significantly impact the system of internal control”.

Since the identification of this material weakness, management has strengthened the internal controls relating to the tracking of issuance programme

limits through the implementation and strengthening of a series of controls across the Barclays Group, together with central governance, with key

actions being:

•development of a Group Issuance Standard, which includes minimum control requirements

•documentation of and agreement on roles and responsibilities

•implementation of a Group Issuance Oversight Committee, with senior management representation, to monitor issuance activity against agreed

limits

The strengthened controls over financial reporting have operated for a sufficient period of time and management has concluded, through testing, that

these controls are operating effectively.

Changes in internal control over financial reporting

As noted above, management has strengthened and effectively operated controls to remediate the material weakness in respect of the Over-issuance of

Securities which was identified in March 2022. These remediation efforts represent a significant improvement to the Company’s internal control

environment.

There have been no other changes to highlight during the period covered by this report, which have materially affected or are reasonably likely to

materially affect the Barclays Bank Group’s internal control over financial reporting.

Executive Committee

During 2022, the Executive Committee membership included the Chief Executive, the Global Head of the CIB and President of BBPLC, the Co-Heads of

Global Markets, the Co-Heads of Investment Banking, the Head of Consumer Banking and Payments, the Chief Financial Officer, Chief Risk Officer and

other functional partners.

In 2022, David Farrow, Interim Head of Corporate Banking and Abib Bocresion, Chief Risk Officer, BBPLC stepped down from the Executive Committee,

while we welcomed both Alexander Andreadis as Chief Compliance Officer, CIB and BBPLC in March 2022, and David Head as Interim Chief Risk Officer

of BBPLC in October 2022.

In January 2023, Bevan Cowie joined the Executive Committee as Chief Risk Officer of BBPLC (subject to regulatory approval), and in February 2023, we

welcomed Vim Maru as Global Head of Consumer Banking and Payments (subject to regulatory approval), replacing Alistair Currie who stepped down

from the Executive Committee in February 2023.

The Executive Committee meets quarterly and is chaired by the Global Head of the CIB and President of BBPLC. In addition to the day-to-day

management of the Company, the Executive Committee supports the Chief Executive in ensuring that the Barclays values, strategy and culture align, are

implemented and are communicated consistently to colleagues - for example, through regular leadership team conferences, and communications that

are available to all colleagues.

Non-Executive Directors' time commitment and conflicts 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 prior to appointment and are monitored by the Board Nominations Committee. All Directors must

seek approval (providing an indication of expected time commitments) before accepting any significant new commitments outside of Barclays. The

Board is satisfied that there are no Directors whose time commitment is considered to be a matter for concern. The Company Secretary maintains a

record of each Director's time commitments.

Governance

Corporate Governance Statement


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In accordance with the Act and the Articles, the Board has authority to authorise conflicts of interest, and this ensures that the influence of third parties

does not compromise or override the independent judgement of the Board. The Company Secretary maintains a conflicts register, which is a record of

actual and potential conflicts, together with any Board authorisation of the conflict.

Training and induction

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. In 2022, training and development was supported through briefings for Board members on key 'horizontal topics', and

business 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. In addition, the Board received updates on Public Policy and Corporate Responsibility

matters and developments in corporate governance, and a briefing on competition law-related matters.

On appointment, all Directors receive a comprehensive induction tailored to their individual requirements, designed to provide them with an

understanding of how the Barclays Bank Group works and the key issues that the Company and the Barclays Bank Group face. When a Director joins a

Board Committee, the schedule also includes an induction to the operation of that Board Committee.

Diversity, equity and inclusion

Promoting and delivering diversity – which includes but is not limited to skills, regional and industry experience, social and ethnic background, race,

gender and other distinctions such as cognitive and personal strengths – is a vital element of the Board Nominations Committee’s role in leading

appointments and succession planning for the Board, Board Committees and the Executive Committee. Both the Board Nominations Committee and the

Board consider diversity essential to maintaining a competitive advantage, driving effective governance and mitigating the risk of ‘group think’. With this

in mind, the Board adopted a revised version of the Board Diversity Policy on 15 December 2022, including adopting an increased gender diversity

target and including an ethnic diversity target as detailed on page 29.

Further to the appointment of Robert Berry on 8 February 2022, the retirement of Tim Breedon on 28 February 2022, the appointments of Anna Cross

on 23 April 2022 and Marc Moses on 23 January 2023, and as at the date of this report, BBPLC Board gender diversity stands at 40% female (with four

female directors on the Board), meeting the Board target of 40% gender diversity. The Company also satisfies the Board's target of having at least one

Board member who is from an ethnic minority background (excluding white ethnic groups).

In addition, the Company recognises that being a diverse and inclusive company is an integral part of our success. The Barclays Group’s DEI vision and

strategy, which was refreshed in 2022, includes a series of guiding principles and strategic priorities designed to help it deliver against its six core DEI

agendas: Disability, Gender, LGBT+, Multicultural, Multigenerational, and Socio-economic, in support of that ambition. Further information on the Board

Diversity Policy, as adopted by the Board, and DEI strategy can be found on pages 31 to 38 and 161 and 162 of the Barclays PLC Annual Report 2022.

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 2022.

Section 414A of the Act requires the Directors to present a Strategic Report in the Annual Report. The report can be found on pages 1 to 18.

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 2022 on pages 60 to 62. 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	5 to 7
Corporate Governance Statement	22 to 34
Risk Management	41 to 42
Principal Risks	9, 41, 56 to 65

Disclosures required pursuant to the 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 Section 172(1) Statement)	16 to 17
Policy concerning the employment of disabled persons (Sch.7 Para 10 Regs 2008)	14
Financial Instruments (Sch.7 Para 6 Regs 2008)	200
Hedge accounting policy (Sch.7 Para 6 Regs 2008)	200

Profits and dividends

The results of the Barclays Bank Group show statutory profit after tax of £4,382m (2021: £4,588m). The Barclays Bank Group had net assets of

£58,953m as at 31 December 2022 (2021: £56,317m).

The Company will pay a £700m dividend to its parent, BPLC.

Dividends paid on preference shares for the year ended 31 December 2022 amounted to £31m (2021: £27m).

Further details on dividends on ordinary shares and preference shares paid in 2022 are set out in Note 10 to the financial statements.

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 and allot 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 2022. The Directors are authorised to

issue and allot shares and to buy back shares subject to annual shareholder approval at the AGM. Such authorities were granted by shareholders at the

2022 AGM. It will be proposed at the 2023 AGM that the Directors be granted new authorities to allot and buy back shares.

Repurchase of preference shares

1,000 Sterling Cumulative preference shares of £1 each were redeemed by the Company on 9 September 2022.

Directors

The list of current Directors of the Company can be found in the Corporate Governance Statement on page 25. Changes to Directors during 2022 and

up to the date of signing this report are set out below.


Name	Role	Effective date
Robert Berry	Non-Executive Director	Appointed 8 February 2022
Tim Breedon	Non-Executive Director	Resigned 28 February 2022
Anna Cross	Executive Director	Appointed 23 April 2022
Tushar Morzaria	Executive Director	Resigned 22 April 2022
Marc Moses	Non-Executive Director	Appointed 23 January 2023

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 2022 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

Governance Report

Directors’ report


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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 Barclays Group also maintains

Directors’ & Officers’ Liability Insurance which gives appropriate cover for legal action brought against its Directors.

Qualifying pension scheme indemnity provisions (as defined by section 235 of the Act) were in force during the course of the financial year ended

31 December 2022 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 Barclays PLC Annual Report 2022.

Environment

As part of the overall strategy of the Barclays Group, the Barclays Bank Group is determined to play its part in supporting the transition to a low-carbon

economy. In March 2020, the Barclays Group announced its ambition to be a net zero bank by 2050. Our climate strategy is driven by considerations of

all relevant risks as well as our Purpose to deploy finance responsibly to support people and businesses, acting with empathy and integrity, championing

innovation and sustainability, for the common good and the long term.

We have a three-part strategy to turn that ambition into action:

1.Achieving net zero operations - Barclays is working to reduce its Scope 1, Scope 2 and Scope 3 operational emissions consistent with a 1.5°C

aligned pathway and counterbalance any residual emissions.

2.Reducing our financed emissions - Barclays is committed to aligning its financing with the goals and timelines of the Paris Agreement,

consistent with limiting the increase in global temperatures to 1.5°C.

3.Financing the transition - Barclays is helping to provide the green and sustainable finance required to transform the economies, customers

and clients we serve.

Please see the Barclays PLC 2022 Annual Report for further detail on the above.

Our strategy is underpinned by the way we assess and manage our exposure to climate-related risks. Climate risk became a Principal Risk under

Barclays’ ERMF in January 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

of climate change. We have developed our approach to scenario analysis through detailed quantitative and qualitative risk assessments of particular

portfolios and activities. Since 2018, Barclays has progressively enhanced its scenario analysis capabilities, developing-in house methodologies,

collaborating with external subject matter experts, and participating in regulatory exercises. The Barclays Group has developed key metrics and targets

to track progress against its climate strategy. Please see the Barclays PLC 2022 Annual Report for further details on scenario analysis and key metrics.

Engagement with customers, suppliers and others in a business relationship with the Company

Barclays must effectively manage, monitor and mitigate risks in our supply chain. The Directors, via management, have regard to the need to foster

business relationships with suppliers. Our suppliers act on behalf of Barclays and we expect them to make responsible decisions that take our

stakeholders’ needs into account in both the short and long-term. Suppliers that are assessed as being at a heightened risk from a business risk

perspective are subject to Barclays’ Supplier Control Obligations (SCOs). These suppliers are required to complete a pre-contractual questionnaire and

annual self-certification which captures their adherence to the SCOs and Barclays’ Third Party Code of Conduct (TPCoC). The TPCoC encourages our

suppliers to adopt our approach to doing business when acting on behalf of Barclays and details our expectations for matters including environmental

management, human rights, diversity and inclusion and also for living the Barclays Values. Barclays is proud to be a signatory of the Prompt Payment

Code in the UK. Further information on ‘Supporting our supply chain’ is set out in the Barclays PLC 2022 Annual Report

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 take effect, alter or terminate on 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 Board 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 Board 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.

Governance Report

Directors’ report


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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 Board 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 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 a large complex organisation as Barclays to ensure a top

quality audit. Further, there has been significant turnover of the senior members of the KPMG audit team since 2017, which supports in reducing any

potential familiarisation threat.

Non-audit services

In order to safeguard the statutory auditor’s independence and objectivity, the Barclays Group has in place a policy on the Provision of Services by the

Barclays Group Statutory Auditor (the 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 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 permitted.

Under the Policy, except for specific categories of ‘permitted’ services that require explicit Board Audit Committee approval, the BPLC Board 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, but expected to be less than £250,000, must be approved by the Chair of the BPLC Board Audit Committee before work is

permitted to begin. Services where the fees are expected to be £250,000 or higher must be approved by the BPLC Board Audit Committee as a whole.

All expenses and disbursements must be included in the fees calculation. More information on this can be found in the Barclays PLC Annual Report

2022.

The Audit Committee considered KPMG’s independence in particular as regards to the breach of the UK ethical requirements referred to in their audit

report. The Audit Committee agrees with KPMG's assessment that this does not impair their integrity and objectivity.

The fees payable to KPMG for the year ended 31 December 2022 amounted to £47m (2021: £41m), of which £9m (2021: £8m) 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 statements, which should be read in conjunction with the auditor’s report set out on pages 145 to 165, are 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's 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 and the Company 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 review 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.

Governance Report

Directors’ report


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Directors are responsible for such internal controls as they determine are 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 keep accounting records which disclose, with reasonable

accuracy, the financial position of the Company and the Barclays Bank Group, and which enable them to ensure that the accounts comply with the Act.

The Directors are also responsible for preparing a Strategic Report, Directors’ Report and Corporate Governance Statement in accordance with

applicable law and regulations.

The Directors are responsible for the maintenance and integrity of the Annual Report and Financial Statements as they appear on the Barclays 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 25, 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 18, 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

14 February 2023

Barclays Bank PLC

Registered in England. Company No. 1026167

Registered office, 1 Churchill Place, London E14 5HP

Governance Report

Directors’ report


home.barclays/annualreport	Barclays Bank PLC Annual Report	38

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)	41
	▪Segregation of duties – the “Three Lines of Defence” model	41
	▪Principal risks	41
	▪Risk appetite	41
	▪Risk Committees	41
	▪Barclays’ risk culture	42
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	43
	▪Climate risk	48
	▪Credit risk	48
	▪Market risk	49
	▪Treasury and capital risk	50
	▪Operational risk	51
	▪Model risk	53
	▪Conduct risk	53
	▪Reputation risk	54
	▪Legal risk and legal, competition and regulatory matters	55
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	56
	▪Credit risk management	59
	▪Market risk management	60
	▪Treasury and capital risk management	61
	▪Operational risk management	63
	▪Model risk management	63
	▪Conduct risk management	64
	▪Reputation risk management	64
	▪Legal risk management	65
	▪Climate risk performance	66
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	70
	▪Maximum exposure and effects of netting, collateral and risk transfer	71
	▪Expected credit losses	75
	▪Management adjustments to models for impairment	87
	▪Measurement uncertainty and sensitivity analysis	89
	▪Analysis of the concentration of credit risk	99
	▪Approach to the management and representation of credit quality	103
	▪Analysis of specific portfolios and asset types	110
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	112
	▪Review of management measures	112

Risk review

Contents


home.barclays/annualreport	Barclays Bank PLC Annual Report	39


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	115
	▪Liquidity risk stress testing	115
	▪Contractual maturity of financial assets and liabilities	117
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	125
	•Foreign exchange risk	127
	•Pension risk review	128
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	130
	▪Net interest income sensitivity	130
	▪Analysis of equity sensitivity	131
	▪Volatility of the fair value through other comprehensive income (FVOCI) portfolio in the liquidity pool	131
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	132
	▪Operational risk profile	132
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	134
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	134
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	134
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	135
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	136

Risk review

Contents


home.barclays/annualreport	Barclays Bank PLC Annual Report	40

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 sound 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 guide the organisation risk management processes.

▪Risk appetite requirements: this helps define the level of risk we are willing to undertake in our business.

▪Roles and responsibilities for key risk management and governance.

The ERMF is complemented by frameworks, policies and standards which are mainly aligned to individual principal risks:

▪Frameworks cover high level principles guiding the management of principal risks, and set out details of which policies are needed, and high level

governance arrangements.

▪Policies set out the control objectives and high level requirements to address the key principles articulated in their associated frameworks. Policies

State ‘what’ those within scope are required to do.

▪Standards set out detail of the control requirements to ensure the control objectives set by the policies are met.

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, operating within applicable limits and developing a control framework, and escalating risk events or issues as

appropriate. Employees in the first line have primary responsibility for their risks and their activities are subject to oversight from the relevant parts

of the second and third lines.

▪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, and

the frameworks, Policies and Standards under which all activities shall be performed, consistent with the risk appetite of the Barclays Bank Group,

and to oversee the performance of the Barclays Bank Group against these limits, rules and constraints. Controls for first line activities will ordinarily

be established by the Control Officers operating within the Control Framework of the Barclays Bank Group. These controls will remain subject to

oversight 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 controls 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 of defence. The Legal

function is responsible for the identification of all Legal and Regulatory Risks. Except in relation to the legal advice it provides or procures, it is

subject to second line oversight with respect to its own Operational and Conduct Risks, as well as with respect to the Legal and Regulatory Risks to

which the Barclays Bank Group is exposed.

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 48 for

more information.

Each of the principal risks is overseen by an accountable executive at the Barclays Group level who is responsible for overseeing and/or assigning

responsibilities 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 carrying out its 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 PLC Board.

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's various risk committees consider risk matters relevant to their business, and escalate as required to the Barclays Group Risk

Committee, whose Chair, in turn, escalates to the Barclays Bank PLC Board Committees and the Barclays Bank PLC Board.

Risk review

Risk management

Barclays’ risk management strategy


home.barclays/annualreport	Barclays Bank PLC Annual Report	41

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 Bank Group identifies, escalates and manages risk matters.

The Barclays Bank 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 Barclays Group CEO works with the Executive Management to embed a strong risk culture within the Barclays 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. The 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. See

home.barclays/sustainability/esg-resource-hub/statements-and-policy-positions/ for more details.

Risk review

Risk management

Barclays’ risk management strategy


home.barclays/annualreport	Barclays Bank PLC Annual Report	42

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 global conflicts, acts of

terrorism, 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)Business conditions, general economy and geopolitical issues

The Barclays Bank Group’s operations are subject to changes in global and local economic and market conditions, as well as geopolitical developments,

which may have a material impact 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 result in (among other things): (i) deteriorating business, consumer or investor

confidence and lower levels of investment and productivity growth, which in turn may lead to lower customer and client activity, including lower

demand for borrowing; (ii) higher default rates, delinquencies, write-offs and impairment charges as borrowers struggle with their debt commitments;

(iii) subdued asset prices, which may impact the value of any collateral held by the Barclays Bank Group and require the Barclays Bank Group and its

customers to post additional collateral in order to satisfy margin calls; (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 can also cause financial instability and affect economic growth.

In particular:

•Global GDP growth in 2022 was severely hampered by inflationary pressures resulting from: (a) the disruptive legacy of the COVID-19

pandemic on supply chains; (b) restricted labour markets and upward pressure on employment costs; and (c) escalating energy and food

prices intensified by the Russian invasion of Ukraine. These pressures have led to the on-going 'cost of living' pressures in much of the world,

but particularly in the UK and Europe.

•In response to persistent inflationary pressures, throughout 2022, central banks pursued policies of raising interest rates while also curtailing

quantitative easing and in some cases commencing quantitative tightening.

•Both the elevated inflationary environment and higher interest rates are likely to adversely affect economic growth globally in 2023,

particularly in developed markets, with the possibility of elevated unemployment as a result, with potentially negative implications for the

Barclays Bank Group's performance, including through increased impairment allowances. It remains possible that a resurgence in COVID-19

and/or restrictions on movement imposed locally to combat outbreaks or new strains, could exacerbate the expected slowdown in global

economic performance.

•In the UK and Europe, governments responded to escalating energy prices via short term subsidies for consumers and industry, in part funded

by windfall taxes on targeted sectors. Revisions to these schemes during 2023 may cause upward pressure on household and corporate

finances, which could result in higher impairment charges.

•Trading arrangements between the UK and the European Union (EU), following the UK's exit from the EU, may: (i) raise costs for UK

customers trading with the EU and/or otherwise adversely affect their business; and (ii) impact the Barclays Bank Group's EU operations.

•Further, any 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 deeper recession in the UK and/or one or more member states of the EU 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 funding and/or

reduce its access to funding, widen credit spreads and materially adversely affect the Barclays Bank Group’s interest margins and

liquidity position; and/or

◦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.

•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 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), and increased interest rates

(particularly if accompanied by rise in unemployment) 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.

Risk review

Material existing and emerging risks


home.barclays/annualreport	Barclays Bank PLC Annual Report	43

•An escalation in geopolitical tensions or increased use of protectionist measures (such as the US and China implementing reciprocal trade

tariffs) may have a material adverse effect on the Barclays Bank Group’s business in the affected regions.

•In China the level of debt, particularly in the property sector, remains a concern, given the high level of leverage and despite government and

regulatory action. The rapid unwinding of “zero COVID-19” policies may initially result in economic slowdown should large numbers of the

population catch COVID-19. Longer term, the shift away from market based reforms towards state led initiatives to increase self-sufficiency

and economic security, with potentially negative implications for world trade.

•Higher US interest rates and slowing demand for natural resources could cause economic deterioration in emerging markets, with a material

adverse effect on the Barclays Bank Group's results from operations if these stresses lead to higher impairment charges from a deterioration

in sovereign or corporate creditworthiness.

ii)Risks relating to the impact of COVID-19

The COVID-19 pandemic has had a material adverse impact on businesses around the world and the economic and social environments in which they

operate. Consequently 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 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. It remains unclear how the COVID-19 pandemic will evolve through 2023 and the risks from further waves, new strains and/or

vaccines proving ineffective cannot be ruled out and could result in the re-introduction of, or additional, restrictions placed on local populations. The

Barclays Bank Group continues to monitor the situation.

Macroeconomic expectations are that the effects of the COVID-19 pandemic will be long lasting with the level and speed of economic recovery still

uncertain. To the extent that the residual impacts of the COVID-19 pandemic continue to adversely affect the global economy and/or the Barclays Bank

Group, it may also have the effect of increasing the likelihood and/or magnitude of other risks described herein or may pose other risks which are not

presently known to the Barclays Bank Group or not currently expected to be significant to the Barclays Bank Group’s profitability, capital and liquidity.

Further waves or new strains of COVID-19 could impact the Barclays Bank Group's ability to conduct business in the jurisdictions in which it operates

through disruptions to infrastructure and supply chains, business processes and technology services provided by third parties, and unavailability of staff

due to illness. These interruptions to business may be detrimental to customers (who may seek reimbursement from the Barclays Bank Group for costs

and losses incurred as a result of such interruptions), and result in potential litigation costs (including regulatory fines, penalties and other sanctions), as

well as reputational damage.

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. The economic environment remains uncertain and future impairment charges may be subject to

additional volatility (including from changes to macroeconomic variable forecasts) caused by further waves or new strains of the COVID-19 pandemic

and related containment measures and the continued efficacy of vaccines and/or boosters, 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.

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.

iii)The impact of interest rate changes on the Barclays Bank Group’s profitability

Changes to interest rates are significant for the Barclays Bank Group, especially given the uncertainty as to the size and frequency of such changes,

particularly in the Barclays Bank Group’s main markets of the UK, the US and the EU.

Interest rate rises result in higher funding costs but could positively impact the Barclays Bank Group’s profitability as retail and corporate business net

interest income increases due to margin decompression, as observed for the interest rate rises in 2022. However, 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 (especially when combined with

inflationary pressures), 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.

Interest rate cuts 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.

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 and could adversely affect the profitability and prospects of the Barclays Bank Group.

iv)Competition in the banking and financial services industry

The Barclays Bank Group operates in a highly competitive environment in which it must evolve and adapt to significant changes as a result of 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

Risk review

Material existing and emerging risks


home.barclays/annualreport	Barclays Bank PLC Annual Report	44

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 impact on the banking system

and the role of commercial banks within it by disrupting the current provision of banking products and services. This disruption 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 and changing consumer behaviour have required and could require the Barclays Bank Group to incur additional cost 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 of 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/or price. These factors may be exacerbated by

further industry wide initiatives to address access to banking. 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, underperformance, a decision not to offer a particular product or service, branch

closures, 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’s businesses are subject to ongoing regulation and associated regulatory risks, including the effects of changes in the laws,

regulations, policies, voluntary codes of practice and interpretations in the UK, the US, the EU and the other markets in which it operates. Many

regulatory changes relevant to the Barclays Bank Group’s business may have an effect beyond the country in which they are enacted, either because the

Barclays Bank Group’s regulators deliberately enact regulation with extra-territorial impact or its global operations mean that the Barclays Bank Group is

obliged to give effect to local laws and regulations on a wider basis.

In recent years, regulators and governments have focused on reforming both the prudential regulation of the financial services industry and the ways in

which the business of financial services is conducted. Measures taken include enhanced capital, liquidity and funding requirements, the separation or

prohibition of certain activities by banks, changes in the operation of capital markets activities, the introduction of tax levies and transaction taxes,

changes in compensation practices and more detailed requirements on how business is conducted. The governments and regulators in the UK, the US,

the EU or elsewhere may intervene further in relation to areas of industry risk already identified, or in new areas, which could adversely affect the

Barclays Bank Group.

Current and anticipated areas of particular focus for the Barclays Bank Group’s regulators, where regulatory changes could have a material effect on the

Barclays Bank Group’s business, financial condition, results of operations, prospects, capital position, and reputation, include, but are not limited to:

▪the increasing focus by regulators, international bodies, organisations and unions on how institutions conduct business, particularly with regard to

ensuring the orderly and transparent operation of global financial markets;

▪the implementation of any conduct measures as a result of regulators’ focus on organisational culture, employee behaviour and whistleblowing;

▪the demise of certain benchmark interest rates and the transition to new risk-free reference rates (as discussed further under ‘vi) Impact of

benchmark interest rate reforms on the Barclays Bank Group’ below);

▪reviews of regulatory frameworks applicable to the wholesale financial markets, including reforms and other changes to conduct of business, listing,

securitisation and derivatives related requirements;

▪the focus globally on technology adoption and digital delivery, underpinned by customer protection, including the use of artificial intelligence and

digital assets (data, identity and disclosures), financial technology risks, payments and related infrastructure, operational resilience, virtual currencies

(including central bank digital currencies and global stable coins) and cybersecurity. This also includes the introduction of new and/or enhanced

regulatory standards in these areas;

▪increasing regulatory expectations of firms around governance and risk management frameworks, particularly for management of climate change,

diversity and inclusion and other ESG risks and enhanced ESG disclosure and reporting obligations;

▪the continued evolution of the UK’s regulatory framework following the UK's withdrawal from the EU, including in light of the UK financial services

regulatory reform agenda announced in December 2022 and the proposals in the Financial Services and Markets Bill, and similarly regarding the

access of UK and other non-EU financial institutions to EU markets;

▪the implementation of the reforms to the Basel III package, which includes changes to the RWA approaches to credit risk, market risk, counterparty

risk, operational risk, and credit valuation adjustments and the application of RWA floors and the leverage ratio;

▪the implementation of more stringent capital, liquidity and funding requirements;

▪the ongoing regulatory response to the COVID-19 pandemic and its implications for banks’ credit risk management and provisioning processes,

capital adequacy and liquidity;

▪the incorporation of climate change within the global prudential framework, including the transition risks resulting from a shift to a low carbon

economy and its financial effects;

▪increasing requirements to detail management accountability within the Barclays Bank Group (for example, the requirements of the Senior Managers

and Certification Regime in the UK and similar regimes elsewhere that are either in effect or under consideration/implementation), as well as

requirements relating to executive remuneration;

Risk review

Material existing and emerging risks


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▪changes in national or supra-national requirements regarding the ability to offshore or outsource the provision of services and resources or transfer

material risk to financial services companies located in other countries, which impact the Barclays Bank Group’s ability to implement globally

consistent and efficient operating models;

▪financial crime, fraud and market abuse standards and increasing expectations for related control frameworks, to ensure firms are adapting to new

threats such as those arising from the COVID-19 pandemic, and are protecting customers from cyber-enabled crime;

▪the application and enforcement of economic sanctions including those with extra-territorial effect and those arising from geopolitical tensions;

▪requirements flowing from arrangements for the resolution strategy of the Barclays Group and its individual operating entities (including the Barclays

Bank Group) that may have different effects in different countries;

▪the increasing regulatory expectations and requirements relating to various aspects of operational resilience, including an increasing focus on the

response of institutions to operational disruptions;

▪continuing regulatory focus on data privacy, including the collection and use of personal data, and protection against loss and unauthorised or

improper access;

▪the regulatory focus on policies and procedures for identifying and managing cybersecurity risks, cybersecurity governance and the corresponding

disclosure and reporting obligations; and

▪continuing regulatory focus on the effectiveness of internal controls and risk management frameworks, as evidenced in regulatory fines and other

measures imposed against the Barclays Bank Group and other financial institutions.

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, the US and the EU have driven international efforts to reform key benchmark interest rates and indices,

such as the London Interbank Offered Rate (LIBOR), 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, certain LIBOR tenors either ceased at the end of 2021 or became permanently

unrepresentative. 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 securities, 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.

▪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.

Risk review

Material existing and emerging risks


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▪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 or 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 EU and internationally. In

line with regulatory expectations and requirements, the Barclays Group has embedded climate risk within the Enterprise Risk Management Framework

(ERMF), to address the financial and operational risks resulting from both: (i) the physical risk of climate change; and (ii) the risk from the transition to a

low-carbon economy. Climate risk is considered to be a driver of financial and operating risks.

Physical risks from climate change arise from a number of factors and relate to specific weather events (acute) and longer-term shifts in the climate

(chronic). The nature and timing of acute weather events are uncertain but they are increasing in frequency and in the potential severity of economic

impact. The potential impact on the economy includes, but is not limited to, lower GDP growth, higher unemployment, shortage of raw materials and

products due to supply chain disruptions and significant changes in asset prices and profitability of industries. Damage to properties and operations of

borrowers could decrease production capacity, increase operating costs, 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 new policies and regulations are

enforced, market sentiment and societal preferences change and new technologies emerge, this may result in increased costs and reduced demand of

product and services of a company, early retirement and impairment of assets, decreased revenue and profitability for Barclays customers. This in turn

may impact creditworthiness of customers and their ability to repay loans. Additionally, 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.

Furthermore, 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 expected credit losses (ECLs), and increased charge-offs and

defaults among retail customers.

In January 2022, climate risk became one of the principal risks within the Barclays Bank Group’s ERMF. Failure to adequately embed the financial and

operational 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. There can be no assurance that these

standards, practices, requirements and expectations will not 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 more challenging to achieve due to

changing circumstances and external factors which are beyond our control, including geopolitical issues, energy security, energy poverty and other

considerations such as just transition to a low carbon economy. This may be exacerbated if the Barclays Group chooses or is required to accelerate its

climate-related ambitions or targets as a result of 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 reliable forecast of hazards from the physical climate models, availability of data and models 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.

Credit risk is impacted by a number of factors outside the Barclays Bank Group’s control, including wider economic conditions.

a)Impairment

Impairment is calculated in line with the requirements of IFRS 9 which results in recognition of loss allowances, based on ECLs, on a forward-looking

basis using a broad scope of financial metrics. Measurement involves complex judgement and impairment charges are potentially volatile and may not

successfully predict actual credit losses, particularly under stressed conditions. Any failure by the Barclays Bank Group to accurately estimate credit

losses through ECLs 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 8.

Risk review

Material existing and emerging risks


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b)Specific portfolios, sectors and concentrations

The Barclays Bank Group is subject to risks arising from changes in credit quality and recovery rates for loans and advances due from borrowers and

counterparties and is subject to a concentration of those risks where the Barclays Bank Group has significant exposures to borrowers and

counterparties in specific sectors, or to particular types of borrowers and counterparties. Any deterioration in the credit quality of such borrowers and

counterparties could lead to lower recoverability from loans and advances and higher impairment charges. Accordingly, any of the following areas of

uncertainty could have a material adverse impact on the Barclays Bank Group’s business, results of operations, financial condition and prospects:

▪Consumer affordability: remains a key area of focus, particularly in unsecured lending, as the 'cost of living' pressures grow. 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 retail, hospitality and leisure: falling demand, rising costs and, for UK retail, a structural shift to online shopping, continue to pressurise sectors

heavily reliant on consumer discretionary spending. Such sectors may also be adversely impacted by cost of living pressures and other

macroeconomic factors which affect consumers. This 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 these pressures remain.

▪UK real estate market: the Barclays Bank Group’s corporate exposure is vulnerable to a deteriorating economic environment and (for offices in

particular) post COVID-19 pandemic structural shifts, such as the normalisation of remote working. Landlords serving discretionary consumer

spending sector tenants are also at risk from reduced rent collection. The Barclays Bank Group remains at risk of increased impairment from a

material fall in property prices. 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.

▪Leveraged finance underwriting: the Barclays Bank Group takes on non-investment grade underwriting exposure, including single name risk,

particularly in the US and the UK. The Barclays Bank Group is exposed to credit events and market volatility during the underwriting period, which

may result in losses for the Barclays Bank Group, or increased capital requirements 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. During 2022 Italian economic growth has been severely impacted by high

energy costs, inflation and rising interest rates, making it more difficult for the new administration to manage the high level of public debt. Failure by

the government to meet the EU's requirements could put at risk further payments from the EU's €750bn post-pandemic recovery fund, potentially

delaying economic recovery which, in turn, could materially adversely affect the Barclays Bank Group’s results of operations including, but not

limited to, increased credit losses and higher impairment charges.

▪Oil & Gas sector: High market energy prices during 2022 have helped restore balance sheet strength to companies operating in this sector.

However, in the longer term, costs associated with the transition towards renewable sources of energy may place greater financial demands on oil

and gas companies.

▪Air travel: the sector struggled to resource for the recovery in lower margin (tourist) demand for air travel evidenced in 2022 (after the drop in

demand during the pandemic), and to adjust to the structural decline in higher margin business travel. While this transition plays out, there remains

a heightened risk to the revenue streams of the Barclays Bank Group’s clients and, consequentially, their ability to service debt obligations.

Increasing concerns about the impact of air travel on climate change will also influence consumer behaviour, representing additional risks for the

sector.

The Barclays Bank Group also has large individual exposures to single name counterparties (such as brokers, central clearing houses, dealers, banks,

mutual and hedge funds and other institutional clients) both in its lending and trading activities, including derivative trades. The default of one such

counterparty could cause contagion across clients involved in similar activities and/or adversely impact asset values should margin calls necessitate

rapid asset disposals by that counterparty to raise liquidity. 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, driven by elevated inflation and tightening monetary policy, both of which are

exacerbated by the Russian invasion of Ukraine and supply-chain disruptions caused by the COVID-19 pandemic. A disruptive adjustment to higher

interest rate levels and deteriorating trade and geopolitical tensions 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.

Changes in market conditions 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 regulatory and/or

internal liquidity requirements, make repayments of principal or interest as they fall due or support day-to-day business 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 adversely

affected by the Barclays Bank Group failing to preserve the current level of customer and investor confidence or as a result of competition in the

banking industry.

▪Ongoing access to wholesale funding: the Barclays Bank Group regularly accesses the money and capital markets to provide short-term and long-

term unsecured and secured funding to support its operations. A loss of counterparty confidence, or adverse market conditions (such as the recent

rises in interest rates) 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 or affect the Barclays Bank Group’s access to such funding.

▪Impacts of market volatility: adverse market conditions, with increased volatility in asset prices could: (i) negatively impact the Barclays Bank

Group’s liquidity position through increased derivative margin requirements and/or wider haircuts when monetising liquidity pool securities; and (ii)

make it more difficult for the Barclays Bank Group to execute secured financing transactions.

▪Intraday liquidity usage: increased collateral requirements for 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 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 (for 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 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. The market value of pension fund assets might decline; or investment

returns might reduce. 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 if there are interest rate movements which are not adequately

hedged. A decline in interest rates 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 customers and clients 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 failures in 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 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 protections.

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, tactics, techniques, and procedures, seeking to steal money, gain unauthorised access

to, destroy or manipulate data, and disrupt operations, and some of their attacks may not be recognised or discovered until launched or after initial

entry into the environment, such as novel or zero-day attacks that are launched before patches are available and defences can be readied. Malicious

actors are also increasingly developing methods to avoid prevention, detection and alerting capabilities, including employing counter-forensic tactics

making response activities more difficult. Cyberattacks can originate from a wide variety of sources and target the Barclays Bank Group in numerous

ways, including attacks on networks, systems, applications 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 protect and 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 an 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 prevent and 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 are expected 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 long-term consequence

of the COVID-19 pandemic. Bad actors have taken advantage of remote working practices and modified customer behaviours, exploiting the situation in

novel ways that may elude defences. Additionally, geopolitical turmoil may serve to increase the risk of a cyberattack that could impact Barclays directly,

or indirectly through its critical suppliers or national infrastructure. In 2022, the Barclays Bank Group faced a heightened risk of cyberattack as a result of

the Russian invasion of Ukraine.

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 and attempts to leverage business interruption or stolen data for extortion; novel or zero-day exploits; 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; third-party customer, vendor, service provider and supplier account take-over; malicious activity facilitated

by an insider; 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,

claims, 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 also is likely to include operational consequences (such as unavailability of

services, networks, systems, devices or data) remediation of which could come at significant cost.

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 on the Barclays Bank Group. In addition, any new regulatory measures introduced to mitigate these risks are likely to result in

increased technology and compliance costs for the Barclays Bank Group.

For further details on the Barclays Bank Group’s approach to cyberattacks, see the operational risk performance section. For further details on

cybersecurity 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.

Risk review

Material existing and emerging risks


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Introducing new forms of technology, however, has the potential to increase inherent risk. Failure to evaluate, actively manage and closely monitor risk

during all phases of business development and implementation could introduce new vulnerabilities and security flaws and have a material adverse effect

on the Barclays Bank Group’s business, results of operations, financial condition and prospects.

d)External fraud

The nature of fraud is wide-ranging and continues to evolve, as criminals 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) or

exploit new products. Fraud attacks can be very sophisticated and are often orchestrated by organised crime groups who use various 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, financial data and other confidential information,

and the Barclays Bank Group’s businesses are subject to complex and evolving laws and regulations governing the privacy and protection of data ,

including Regulation (EU) 2016/679 (General Data Protection Regulation as it applies in the EU and the UK). This data could relate to: (i) the Barclays

Bank Group’s clients, customers, prospective clients and customers, and their employees; (ii) clients and customers of the Barclays Bank Group’s clients

and customers, and their employees; (iii) the Barclays Bank Group’s suppliers, counterparties and other external parties, and their employees; and (iv)

the Barclays Bank Group’s employees and prospective employees.

The international nature of both the Barclays Bank Group’s business and its IT infrastructure also means that data and personal information may be

available in countries other than those from where the information originated. Accordingly, the Barclays Bank Group must ensure that its collection, use,

transfer and storage of data, including personal information complies with all applicable laws and regulations in all relevant jurisdictions, which could: (i)

increase the Barclays Bank Group’s compliance and operating costs; (ii) impact the development of new products or services, or the offering of existing

products or services; (iii) affect how products and services are offered to clients and customers; (iv) demand significant oversight by the Barclays Bank

Group’s management; and (v) 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 data, including personal information, or even the perception

that those measures are inadequate, could expose the Barclays Bank Group to the risk of loss or unavailability of data or data integrity issues and/or

cause the Barclays Bank Group to lose existing or potential clients and customers, and thereby reduce the Barclays Bank Group’s revenues. Furthermore,

any failure or perceived failure by the Barclays Bank Group to comply with applicable privacy or data protection laws and regulations may subject it to

potential contractual liability, claims, litigation, regulatory or other government action (including significant regulatory fines) and require changes to

certain operations or practices which could also inhibit the Barclays Bank Group’s development or marketing of certain products or services, or increase

the costs of offering them to customers. Any of these events could damage the Barclays Bank Group’s reputation, 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 oversight 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 things: (i) failing to provide information, services and liquidity to clients and

counterparties in a timely manner; (ii) failing to settle and/or confirm transactions; (iii) causing funds transfers, capital markets trades and/or other

transactions to be executed erroneously, illegally or with unintended consequences; and (iv) adversely affecting financial, trading or currency markets.

Any of these events could materially disadvantage the Barclays Bank Group’s customers, clients and counterparties (including them suffering financial

loss) and/or result in a loss of confidence in the Barclays Bank Group which, in turn, could have a material adverse effect on the Barclays Bank Group’s

business, results of operations, financial condition and prospects.

h)Supplier exposure

The Barclays Bank Group depends on suppliers for the provision of many of its services and the development of technology. Whilst the Barclays Bank

Group depends on suppliers, it remains fully accountable to its customers and clients for risks arising from the actions of suppliers and may not be able

to recover from its suppliers any amounts paid to customers and clients for losses suffered by them. 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

Risk review

Material existing and emerging risks


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continue to provide material services to its customers. Failure to adequately manage supplier risk could have a material adverse effect on the Barclays

Bank Group’s business, results of operations, financial condition and prospects.

i)Estimates and judgements relating to critical accounting policies and 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 (including where the Barclays Bank Group’s interpretation of such laws differs from the

interpretation of tax authorities), 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, the introduction of new international tax regimes, increasing tax authority focus on reporting and

disclosure requirements around the world as well as the digitisation of the administration of tax have the potential to increase the Barclays Bank Group’s

tax compliance obligations further. The OECD and G20 Inclusive Framework on Base Erosion and Profit Shifting has announced plans to introduce a

global minimum tax from 2023. UK legislation to implement these rules is expected to apply to the Barclays Bank Group from 1 January 2024 which will

increase the Barclays Bank Group’s tax compliance obligations. In addition, the US enacted the Inflation Reduction Act in August 2022 which introduced

a corporate alternative minimum tax on adjusted financial statement income effective from 1 January 2023. These new tax regimes may require

systems and process changes. Any systems and process 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 macroeconomic factors, labour and immigration policy in the jurisdictions in which the Barclays Bank Group operates,

industry-wide headcount reductions in particular sectors, regulatory limits on compensation for senior executives and the 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 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, calculating RWAs and assessing capital

adequacy, supporting new business acceptance, 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, as was the case during 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 sections.

vii)Conduct risk

Conduct risk is 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. This risk could manifest itself in a variety of ways, including:

a)Market conduct

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, financial condition and prospects. Examples of employee misconduct which could have a material

adverse effect on the Barclays Bank Group’s business include: (i) improperly selling or marketing the Barclays Bank Group’s products and services; (ii)

engaging in insider trading, market manipulation or unauthorised trading; or (iii) 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, noting the move to a hybrid working model for many colleagues.

Risk review

Material existing and emerging risks


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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 the protection available to them 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 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.

A key area of focus is the implementation and embedment of the FCA’s new Consumer Duty, with rules for products and services due to take effect at

the end July 2023. This will impact areas including governance and accountability, Management Information and reporting, communications, product

design and end-to-end customer journeys. The Barclays Bank Group may be required to incur significant additional expense in connection with this

regulatory change.

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. However, there is a

risk that the design and review of the Barclays Bank Group products and services fail to reasonably consider and address potential or actual negative

outcomes for customers, 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 government agencies and regulators 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, prospects and reputation.

e)Conflicts of interest

Identifying and managing conflicts of Interest is fundamental to the conduct of the Barclays Bank Group's business, relationships with customers, and

the markets in which the Barclays Bank Group operates. Understanding the conflicts of Interest that impact or potentially impact the Barclays Bank

Group enables them to be handled appropriately. Even if there is no evidence of improper actions, a Conflict of Interest can create an appearance of

impropriety that undermines confidence in the Barclays Bank Group and its Employees. If the Barclays Bank Group does not identify and manage

conflicts of Interest (business or personal) appropriately, it could have an adverse effect on the Barclays Bank Group’s business, customers and the

markets within which it operates.

f)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 reinforce

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).

Risk review

Material existing and emerging risks


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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's 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 may be 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 obligations, including

legal, regulatory 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 or not being enforced in the manner intended or desired by the

Barclays Bank Group.

Details of legal, competition and regulatory matters to which the Barclays Bank Group is currently exposed are set out in Note 25. In addition to matters

specifically described in Note 25, the Barclays Bank Group is engaged in various other legal proceedings which arise in the ordinary course of business.

The Barclays Bank Group is also subject to requests for information, investigations and other reviews by regulators, governmental and other public

bodies in connection with business activities in which the Barclays Bank Group is, or has been, engaged 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 (and any provision made in the Group’s financial statements relating to those matters may not be sufficient to

cover actual losses). 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 or

censure; 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

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 of these two drivers on portfolios.

Overview

Given the risks associated with climate change, and to support the Barclays Group’s ambition to be a net zero bank by 2050, climate risk became a

Principal Risk in January 2022. To support the embedment of the Principal Risk, in 2022 the Barclays Group delivered a Climate Risk Plan with three

overarching objectives:

1. Governance Framework: Establish a Climate Risk Committee (CRC), a Climate Risk Controls Forum, and refresh the Board Risk Committee reporting.

2. Scenario Analysis: Build out the vision and plan for undertaking scenario analysis exercises. This involved developing a climate scenario analysis

framework.

3. Carbon Modelling: Expand the BlueTrackTM model for measuring and tracking financed emissions to cover our automobiles and residential real estate

portfolios, in addition to energy, power, cement and steel.

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. The Barclays Group Head of Climate Risk reports directly to Group Chief Risk Officer.

The Barclays Group Risk Committee (‘GRC’) is the most senior executive body responsible for review and challenge of risk practices and risk profile, for

climate risk and other principal risk types. To support the oversight of Barclays Group climate risk profile, a Climate Risk Committee (CRC) has been

established, as a sub-committee of GRC. Authority of the CRC is delegated by the GRC.

CRC is chaired by Head of Climate Risk. CRC has reviewed and approved a range of updates including a refreshed Climate Risk Vision, updates from

each of the financial and operational risks and from the material legal entities of Barclays, along with key regulatory, policy and legal themes, the risk

The Climate Risk Control Forum (CRCF) was established in July 2022 and escalates to GRC via the Group Controls Committee. The purpose of the CRCF

is to oversee the consistent and effective implementation and operation of the Barclays Controls Framework as relating to Climate risk. It reviews the

control environment relating to Climate risk, including risk events, policy and issues management. Climate risk assurance groups have been established

and are responsible for performing Climate risk specific reviews to ensure we are continually improving and addressing identified issues in our risk

practices.

Barclays entities, namely Barclays Bank UK PLC, Barclays Bank PLC, Barclays Bank Ireland PLC and the US Intermediate Holding Company, also

continued to implement climate risk within their frameworks, where Heads of Climate Risk have been appointed.

The elevation of climate risk to Principal Risk included establishing the following:

•A Climate Risk Framework that defines climate risk and summarises the approach to identification, measurement, monitoring and reporting of climate

risk.

•Climate Risk Appetite and constraint at Barclays Group level established in line with the Barclays Group’s risk appetite approach and informed by

scenario analysis.

Risk review

Principal risk management


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•A Climate Risk Register is used to inform risk appetite. This includes a breakdown of key risk drivers for physical and transition risks, and materiality

ratings which are inferred from the results of the 2020 climate Internal Stress Test and the 2021 Bank of England’s Climate Biennial Exploratory

Scenario (CBES). The Climate Risk Register continues to align with the Barclays Bank Group's Risk Register Taxonomy.

Climate Risk across Financial and Operational Risks is managed via a Climate Change Financial Risk and Operational Risk Policy (CCFOR), which is

embedded in each of the Financial and Operational Principal Risk Frameworks.

Climate Risks across 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.

The table below sets out how Climate Risk is integrated across Barclays using the ERMF aligned Climate Risk Framework, CCFOR and the Climate

Change Standard.



Governance	Enterprise Risk Framework (ERMF)

	Climate Risk Framework (CRF)	Reputation Risk Management Framework (RRMF)

	Board Risk Committee (BRC)	Board



Risk	Credit, market, treasury & capital and operational risks	Sustainability matters and reputation risk associated with climate change



Ownership	Group Risk Committee (GRC)	Global Head of Public Policy and Corporate Responsibility

	Climate Risk Committee (CRC)

Risk appetite

In 2022, as part of establishing a principal risk, Barclays defined a risk appetite statement and constraint for climate risk. The statement outlines that

Barclays views climate change as a driver of financial and operational risk. Barclays has appetite to manage climate risk in line with its climate ambition

and to reduce financed emissions in line with disclosed targets. Targets to 2025 are set for energy and power. Targets to 2030 are set for energy, power,

cement, steel and auto manufacturing.

An assessment of progress to reduce financed emissions against the disclosed targets was made. It noted that reaching even the lower emissions

reduction in the disclosed ranges may prove challenging and that a clearer forward plan be defined to set out the range of management actions that

could be taken to meet the disclosed target ranges, including a more detailed understanding of client transition expectations and the external

dependencies and variables beyond Barclays control that may determine the pace of transition. For more detail on Barclays disclosed targets see Climate

and Sustainability section of the Barclays PLC Annual Report.

Risk review

Principal risk management


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Enterprise Risk Management Framework (ERMF)

Climate Risk Framework
		Climate Change Financial Risk and Operational Risk Policy				Climate Change Standard
	Climate Risk	Credit Risk	Market Risk	Treasury and Capital Risk	Operational Risk	Reputation Risk
Responsibilities	Provide climate horizon scanning information and emerging trends to BRC and Principal Risk Leads Recommend risk appetite statement, constraints and exclusions to BRC Define areas of concern and recommend scenario analysis priorities Lead the development of climate-specific risk methodologies Interpret stress test results for relevance as drivers of risk Review and challenge risk type approaches and support consistency across risk types Aggregate and monitor a central climate risk view across in scope risk types	Monitor portfolio level exposure to the physical and transition risks of climate change Review individual obligors’ exposure to climate risk via the Climate Lens questionnaire Assess climate risk within Sovereign Credit Risk reviews Include material exposures to climate risk within the Internal Capital Adequacy Assessment Process (ICAAP) Oversight by Legal Entity Climate Risk Forums and relevant Risk Management Committees as appropriate, including regular climate risk reporting up to Board Risk Committee level	Identify and Assess climate-related risk factors Apply stress scenarios, assess stress losses and set risk limits Oversight by Market Risk Committee and Board Risk Committee	Identify exposure to climate risk Consider key risk indicators and limits to support risk management Include in ICAAP and Internal Liquidity Adequacy Assessment Process (ILAAP) Oversight by Treasury & Capital Risk Committee and Board Risk Committee	Integrate climate change across different risk categories, e.g. Operational Recovery Planning and Premises Include climate change within risk assessment processes including Strategic Risk Assessment	Outline minimum requirements and controls for Reputation Risk management relating to client relationships or transactions Outline the expected business behaviours in relation to these issues Outline the approach to enhanced due diligence.
Ownership	Climate Risk Accountable Officer	Credit Risk Accountable Officer	Market Risk Accountable Officer	Treasury & Capital Risk Accountable Officer	Operational Risk Accountable Officer	Group Head of Sustainability

Risk review

Principal risk management


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Climate-related Risk Management Processes

	Credit Risk	Market Risk	Treasury and Capital Risk	Operational Risk
Frequency of assessment	Annually	Quarterly	Various (quarterly for pensions, IRRBB and liquidity risk; annually for capital risk)	Annually
Risk identification	Exposure in mortgage portfolio identified through a concentration risk framework. Exposure in Barclays Bank Group identified as part of sovereign, portfolio and obligor credit annual reviews.	Identified by assessing climate-related risk factors across asset classes, sectors and geographies, and aggregating market risk exposures from climate-related risks.	Identified through risk assessment activity across certain industries and asset classes to analyse and assess exposures which may be impacted by climate-related risks.	Confirmed operational risks associated with climate change are included in the Barclays Group's Operational Risk Taxonomy. Climate risks are included within the Strategic Risk Assessment process.
Risk assessment	Portfolios are monitored through regular reporting of climate metrics and are assessed against mandates and limits where appropriate. Clients in elevated risk sectors above a threshold exposure will have their credit risk exposure to Climate Risk qualitatively assessed through the Credit Climate Lens questionnaire. Future exposure to Climate Risk as a driver to Credit Risk is quantified through scenario analysis and stress testing exercises. In addition to the Credit Climate Lens questionnaire, Sovereign Credit Reviews are also carried out for Sovereigns above a threshold exposure to assess their susceptibility to Climate risks.	Measured by using adverse multi-asset stress scenarios applied to individual risk factors reflecting climate change risks across sectors, countries and regions.	Measured as part of stress testing and key risk indicator monitoring	Established reporting on internal and external climate-related risk events to the Climate Risk Control Forum. Risk tolerances for premises and resilience risks are reviewed so these adequately capture climate- related risk drivers.


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 (fair value

through other comprehensive income) 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

▪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; setting recession readiness frameworks to protect portfolios in the event of economic stress, maintaining robust processes,

Risk review

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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.

The credit risk management teams in the Barclays Bank Group are accountable to the Barclays Bank PLC CRO, who reports to the Barclays Group CRO.

For wholesale portfolios, credit risk managers are organised in sanctioning teams by geography, industry and/or product. In wholesale portfolios, credit

risk approval is undertaken by experienced credit risk professionals operating within a clearly defined delegated authority framework, with only the most

senior credit officers assigned the higher levels of delegated authority. The largest credit exposures, which are outside the Risk Sanctioning Unit or Risk

Distribution Committee authority, require the support of the Barclays Bank PLC Senior Credit Officers. For exposures in excess of the Barclays Bank PLC

Senior Credit Officers’ authority, approval by the Barclays Group Senior Credit Officer/Barclays PLC Board Risk Committee is also required. The Barclays

Group Credit Risk Committee, attended by the Barclays Bank PLC Senior Credit Officers, provides a formal mechanism for the Barclays Group Senior

Credit Officer to exercise the highest level of credit authority over the most material Barclays Group single name exposures.

Credit risk mitigation

The Barclays Bank Group employs a range of techniques and strategies to actively mitigate credit risks. These can broadly be divided into three types:

▪netting and set-off

▪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:

▪home 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 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:

▪if 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 supports 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).

Risk review

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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 policies and standards, monitoring market and regulatory changes, and

reviewing limit utilisation levels. 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 pages 112 to 113 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.

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, contingent liabilities and recovery plan. Limit setting and transfer pricing are tools that are designed

to control the level of liquidity risk taken and drive the appropriate mix of funds. Adherence to limits reduces the likelihood that a liquidity stress event

could lead to an inability to meet the Barclays Bank Group’s obligations as they fall due.

The Barclays Bank PLC Board approves the Barclays Bank PLC funding plan, internal stress tests, regulatory stress tests, 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

Risk review

Principal risk management


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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 and 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 2022, 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.

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 from their contractual obligations with the Barclays Bank Group. This risk is often referred to by industry

regulators as ‘embedded option risk’.

▪Investment risks in the liquid asset portfolio: the risk that the fair value of assets held in the liquid asset portfolio and associated risk management

portfolios could be adversely impacted by market volatility, creating volatility in capital directly.

Organisation, roles and responsibilities

The Barclays Bank PLC Treasury Committee and 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.

Risk review

Principal risk management


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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

•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 Recovery Planning Risk; Payments Process Risk; People

Risk; Premises Risk; Physical Security Risk; Change Delivery Management Risk; Supplier Risk; Tax Risk; Technology Risk; and Transaction Operations

Risk.

In addition to the above, operational risk encompasses the risk associated with compliance with Group Resolution Planning Prudential regulatory

requirements.

Connected risks

Barclays also recognises that there are certain threats/risk drivers which are interconnected and have the potential to impact the Barclays Bank Group’s

strategic objectives. These are referred to as Connected Risks and require an overarching and integrated risk management and / or reporting approach.

The Barclays Bank Group’s Connected Risks include Cyber, Data, Resilience and Third-Party Service Providers.

For definitions of the Barclays Bank Group’s Operational Risk Categories and Connected Risks, refer to pages 165 to 167 of the Barclays PLC Pillar 3

Report 2022.

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 five teams: (i) Independent Validation Unit (IVU),

responsible for model validation and approval; (ii) Group Model Risk Governance, responsible for model risk governance, controls and reporting, as well

as providing oversight for compliance of the Model Owner community with the Model Risk Framework; (iii) Framework team responsible for the Model

Risk Policy and associated standards; (iv) Strategy and Transformation responsible for inventory, strategy, communications and business management;

and (v) Model Risk Measurement and Quantification (MRMQ), responsible for the design of the framework and methodology to measure and, where

Risk review

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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 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, testing and monitoring, overlays, risk appetite, 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 and

protecting market integrity.

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 oversees that conduct risks are effectively identified, managed, monitored and escalated, 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

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 Board 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.

Risk review

Principal risk management


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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, which

requires identification of legal risks by legal professionals, engagement of legal professionals in situations that have the potential for legal risk, and

escalation of legal risk as necessary. 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 responsibility for identifying and escalating to the Legal Function legal risk in their area as well

as responsibility for adherence to 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 legal advice and support from appropriate legal professionals, working in partnership proactively to identify, manage

and escalate legal risks as necessary.

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. Except in relation to

the legal advice it provides or procures, the Legal Function is subject to oversight from the second line of defence.

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

controls to manage and escalate legal risk.

The legal risk profile and control environment is reviewed by management through business risk committees and control committees. The Barclays

Bank Group 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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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 of these two drivers on portfolios. risks arising from the second order impacts

of these two drivers on portfolios. As part of climate risk performance, we monitor carbon-related assets and elevated risk sectors, which are identified

as portfolios with 'elevated' exposure to the physical and transition risks of climate change.

Carbon-related assets

We disclose concentrations of credit exposure to carbon-related assets. The TCFD recommends that carbon-related assets are those assets tied to the energy, transportation,

materials and buildings and agriculture, food and forest products sectors. All of the sectors that the TCFD now considers to be carbon-related assets include the sectors that

Barclays considers at elevated risk from the impacts of climate change. These can be found in the table on the following page.

Elevated risk sectors

Credit exposures Barclays is working to understand the risks associated with sectors sensitive to the impacts from climate change. Disclosing risk management metrics and

quantitative credit exposures supports this approach and our ongoing alignment with the TCFD recommendations. The sectors highlighted blue in the table represent those

that the Barclays Group considers at an elevated risk from the impacts of climate change. However, in each sector there will exist a range of vulnerabilities and as such these

figures do not represent elevated carbon emission exposures and should not be interpreted as an indicator of relative carbon intensity. These sectors have been identified

through an analysis of Barclays Industrial Classifications by portfolio and benchmarked against Moody’s and other external sources, with additional input from subject matter

experts.


Elevated risk sector	Drivers of risk
Aviation	More stringent air emission and carbon regulations, requiring high levels of capital investment and Research & Development (R&D) expenditure.
Automotive	Policy pressure to cut emissions to meet emission requirements, requiring high levels of capital investment and R&D expenditure. Phase out of fossil fuel vehicles and introduction of low emission zones in city centres.
Cement	Being one of the hard to abate sectors, policy pressure to cut emissions requires high levels of capital investment and R&D expenditure.
Coal Mining and Coal Terminals	Reduction in demand of thermal coal, as utilities transition away from fossil fuel. More stringent air emissions regulation, resulting in higher levels of capital investment.
Chemicals	Increasing environmental regulation, including carbon regulations. The increasing efforts to eliminate single-use plastics and improve recycling to prevent marine pollution could also impact demand for products used in plastic manufacture.
Mining (including diversified miners)	Rising costs as a result of tighter environmental regulations and increasing water stress.
Oil and Gas	Policy pressure to cut emissions, exposure to carbon taxes and overall increasing environmental regulation of operations and restrictions on access to new resources. Over time, falling demand for fossil fuels
Power Utilities	Policy pressure to cut emissions, leading to increased capital expenditure costs, plus potential exposure to carbon taxes.
Agriculture	Evolving taxation on emissions may impact production methods, supply chain and farm viability. Reduced demand for meat and dairy as a consequence of shifts in consumer behaviour. Volatile weather conditions and extreme weather events may impact farm credit quality.
Shipping	Policy pressure to cut emissions, requiring higher levels of capital investment.
Steel	Being an energy-intensive sector, the sector is exposed to the policy pressure to cut emissions and evolving air pollution regulation.
Road Haulage	Policy pressure to cut emissions, requiring high levels of capital investment.

Risk review

Risk performance

Climate risk performance


home.barclays/annualreport	Barclays Bank PLC Annual Report	66


Carbon-related assets (Incl. sub-sector breakdown)
	2022 £m			2021 £m			% Change
	Loans & advances	Loan commitments	Total	Loans & advances	Loan commitments	Total	% Change
Agriculture, Food and Forest Products	1,722	8,635	10,357	1,461	8,592	10,053	3%
Agriculture	103	150	253	121	265	386
Food, Bev and Tobacco	1,454	7,851	9,305	1,179	7,457	8,636
Paper and Forest Products	165	634	799	161	870	1,031
Energy	5,206	26,574	31,780	3,525	24,346	27,871	14%
Coal Mining and Coal Terminals	—	—	—	—	45	45
Oil and Gas	2,730	12,604	15,334	2,338	12,472	14,810
Power Utilities	2,476	13,970	16,446	1,187	11,829	13,016
Materials and Building	21,609	35,472	57,081	17,410	32,296	49,706	15%
Cement	214	159	373	28	352	380
Chemicals	548	4,368	4,916	452	4,217	4,669
Construction and Materials	1,112	2,046	3,158	776	1,903	2,679
Homebuilding and Property Development	2,354	1,938	4,292	2,390	1,885	4,275
Manufacturing	2,857	13,013	15,870	2,613	12,039	14,652
Metals	298	648	946	204	544	748
Mining (Incl. diversified miners)	196	2,261	2,457	145	1,768	1,913
Packaging Manufacturers: Metal, Glass and	90	313	403	80	287	367
Real Estate Management and Development	13,902	10,543	24,445	10,691	9,075	19,766
Steel	38	183	221	31	226	257
Transport	2,437	10,057	12,494	2,500	9,056	11,556	8%
Automotive	952	5,489	6,441	855	5,128	5,983
Aviation	460	2,220	2,680	548	1,662	2,210
Other Transport Services	432	1,151	1,583	336	1,161	1,497
Ports	95	87	182	98	115	213
Road Haulage	213	392	605	306	377	683
Shipping	285	718	1,003	357	613	970
Carbon-related assets in UK Retail Mortgages	—	—	—	—	—	—	—
Subtotal (Elevated risk sectors)	8,215	42,514	50,729	6,368	38,954	45,322	12%
Carbon-related Assets Grand Total	30,974	80,738	111,712	24,896	74,290	99,186	13%

Total Loans & Advances & Loan Commitments	182,507	334,977	517,484	145,259	284,451	429,710	20%

Carbon-related assets / Total Loans & Advances & Loan Commitments	17%	24%	22%	17%	26%	23%

Note: The carbon-related assets classification excluded £5.9bn of Fronting Stand By Letter of Credits (SBLCs) that are part of Total loans & advanced & loans commitments

since these amounts are counter-indemnified by other lenders.

Risk review

Risk performance

Climate risk performance


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Financing

To facilitate greater understanding and transparency of our capital markets financing, we disclose the total capital raised for clients across all sectors using data sourced from

Dealogic. We have provided the breakdown of our 2021 and 2022 financing below. Barclays discloses the total capital raised for clients across all sectors using data sourced

from Dealogic. We then align each transaction by issuer to a sector according to the Barclays Industry Classification (BIC) we apply to that issuer. BIC is Barclays' internal

sector classification system. We are only showing in the table transactions aligned to BIC codes that we have mapped to carbon-related asset sectors. Financing volumes are

reported on a manager-proceeds basis including bonds, equities, loans and securitised bonds and no modifications have been made by Barclays. This data represents a third

party view of our financing and is subject to Dealogic’s league table methodology, which pro-rates volume across lead-managers. We are presenting the data in this format to

support transparency and comparability but it should be noted that this data is subject to further analysis and methodological enhancements, before it is included in

BlueTrack™


Carbon-related sectors in wholesale credit (Dealogic Industry Classification)
	31.12.2022 ($m)	31.12.2021 ($m)	% Change (2022 vs. 2021)
Agriculture, Food and Forest Products	9,486	18,416	(48)%
Agriculture	-	382
Food, Bev and Tobacco	8,609	14,997
Paper and Forest Products	877	3,037
Energy	43,042	39,294	10%
Coal Mining and Coal Terminals	-	-
Oil and Gas	9,747	12,558
Power Utilities	33,295	26,736
Materials and Building	33,750	63,473	(47)%
Cement	200	-
Chemicals	2,800	4,876
Construction and Materials	3,006	3,181
Homebuilding and Property Development	760	976
Manufacturing	14,062	28,482
Metals	744	1,130
Mining (Incl. diversified miners)	436	2,515
Packaging Manufacturers: Metal, Glass and Plastics	33	932
Real Estate Management and Development	11,271	20,860
Steel	438	521
Transport	9,904	23,559	(58)%
Automotive	3,865	9,961
Aviation	2,132	6,221
Other Transport Services	2,648	3,947
Ports	-	124
Road Haulage	-	1,062
Shipping	1,259	2,244
Carbon-related assets in UK Retail Mortgages	-	-	-
Carbon-related Sectors Grand Total	96,182	144,742	(34)%

Capital Market Financing Total	374,899	549,118	(32)%

Financing to Carbon-related Sector over Total Capital Market Financing	26%	26%

Risk review

Risk performance

Climate risk performance


home.barclays/annualreport	Barclays Bank PLC Annual Report	68


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	70
	•Maximum exposure and effects of netting, collateral and risk transfer	71

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	75
	–Loans and advances at amortised cost by product	75
	–Movement in gross exposure and impairment allowance for loans and advances at amortised cost including provisions for loan commitments and financial guarantees	77
	–Stage 2 decomposition	86
	–Stage 3 decomposition	87
	•Management adjustments to models for impairment	87
	•Measurement uncertainty and sensitivity analysis	89
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	99
	–Geographic concentrations	99
	–Industry concentrations	101
	•Approach to management and representation of credit quality	103
	–Asset credit quality	103
	–Debt securities	103
	–Balance sheet credit quality	103
	–Credit exposures by internal PD (probability of default) grade	106
Credit Risk monitors exposure performance across a range of significant portfolios.	•Analysis of specific portfolios and asset types	110
	–Credit cards, unsecured loans and other retail lending	110
	–Government supported loans	110

Risk review

Risk performance

Credit risk


home.barclays/annualreport	Barclays Bank PLC Annual Report	69

All disclosures in this section pages 70 to 110, 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 with clients.

Credit risk disclosures include many of the recommendations of the Taskforce on Disclosures about Expected Credit Losses (DECL) and it is expected

that relevant disclosures will continue to be developed in future periods.

Credit risk disclosures exclude other financial assets not subject to credit risk, mainly equity securities. For off-balance sheet exposures certain

contingent liabilities not subject to credit risk such as performance guarantees are excluded.

Summary of performance in the period

Loans: Gross loans and advances at amortised cost to customers and banks have increased by £38bn compared to £149bn in 2021. This includes £8bn

increase in debt securities driven by Treasury investments. Of the remaining growth, £17bn is attributable to strong lending activity in investment

banking and £9bn in credit cards driven by increased customer spending and strategic acquisitions.

Maximum exposure: During 2022, the Barclays Bank Group’s net exposure to credit risk increased by 18% to £871bn (2021: £741bn) which is mainly

driven by increase in off-balance sheet loan commitments (£53bn), cash held at central banks (£33bn), cash collateral and settlement balances (£20bn)

and debt securities issued by governments (£8bn), all of which are considered to be lower risk. Overall, the extent to which the Barclays Bank Group

held mitigation against its total exposure remained broadly flat at 41% (2021:42%).

Credit quality: A gradual increase in delinquencies has been observed driven by resumption of more regular spend activity in retail. A range of activities

are in progress to protect our existing defensive positioning against the current macroeconomic headwinds. In wholesale, loans to high-risk sectors as

well as the broader portfolio benefited from high-quality exposure and credit protection. Further analysis on the credit quality of assets is presented in

the approach to management and representation of credit quality section.

Stage decomposition: A net increase of £2.5bn is observed in Stage 2 gross exposures driven by normalisation of PDs in retail lending (£1.5bn),

predominantly credit cards, and a weaker macroeconomic forecast impacting wholesale lending (£1bn).

Stage 3 balances increased by £0.2bn to £3.6bn compared to 2021 primarily due to delinquencies observed in retail unsecured lending. Refer to page

81-82 for further details.

Scenario: During the year, the economic risk from the COVID-19 pandemic has receded; however, economic uncertainty linked to high inflation in

major economies and heightened geopolitical tensions persists. For Q422, macroeconomic scenarios have been refreshed and are designed around a

broad range of economic outcomes. The Downside 2 scenario has been updated with reference to the most recent BoE Annual Cyclical Scenario (ACS)

stress test. This has resulted in a movement in weights from the upside scenarios to the downside scenarios.

ECL: Impairment allowances on loans and advances at amortised cost including off-balance sheet have increased to £4,352m (2021: £3,998m). On

balance sheet coverage has reduced to 2.1% (2021: 2.4%) due to movement in portfolio mix towards lower ECL balances and evolving macroeconomic

scenarios. Coverage levels remain strong.

Charge: Credit impairment charges were £933m (2021: £(277)m release). The charges reflect an updated macroeconomic scenario together with a

partial return to more normalised levels of customer behaviour.

Management adjustments: Macroeconomic uncertainty PMAs at 31 December 2022 amount to £97m (2021: £1,049m). The reduction is informed by

the release of COVID-19 related adjustments as credit performance stabilises at or below pre-pandemic levels which is reflected in the models, and a

rebuild of certain models to better capture the macroeconomic outlook. Refer to the Management adjustment to models for impairment section on

pages 87 to 88 for further details.

Climate: Whilst there have been no separately identifiable charges relating to climate risk in the 2022 reported ECL, it is acknowledged that impairment

could increase over time as climate risks become more tangible and impact consumers and clients through physical risk or via impacts from the

transition to a low carbon economy.

Further detail can be found in the Financial statements section in Note 8 Credit impairment charges/(releases). Description of terminology can be found

in the glossary, available at home.barclays/annualreport. Refer to the credit risk management section for details of governance, policies and procedures.

Risk review

Risk performance

Credit risk


home.barclays/annualreport	Barclays Bank PLC Annual Report	70

Barclays Bank Group’s maximum exposure and effects of netting, collateral and risk transfer

The following tables present a reconciliation between the Barclays Bank Group’s maximum exposure and its net exposure to credit risk, reflecting the

financial effects of risk mitigation reducing the Barclays Bank Group’s exposure.

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 59 to 60 of the credit risk management section.

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 2022, as a result of the enforcement

of collateral, was £31m (2021: £22m).


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	Maximum exposure	Netting and set-off	Cash collateral	Non-cash collateral	Risk transfer	Net exposure
As at 31 December 2022	£m	£m	£m	£m	£m	£m
On-balance sheet:
Cash and balances at central banks	202,142	—	—	—	—	202,142
Cash collateral and settlement balances	107,862	—	—	—	—	107,862
Loans and advances at amortised cost:
Home loans	11,405	—	(328)	(10,948)	(98)	31
Credit cards, unsecured loans and other retail lending	34,162	—	(1,164)	(3,748)	(243)	29,007
Wholesale loans	136,940	(4,442)	(653)	(49,681)	(5,527)	76,637
Total loans and advances at amortised cost	182,507	(4,442)	(2,145)	(64,377)	(5,868)	105,675
Of which credit-impaired (Stage 3):
Home loans	622	—	(1)	(621)	—	—
Credit cards, unsecured loans and other retail lending	670	—	(29)	(291)	(3)	347
Wholesale loans	640	—	(6)	(188)	(60)	386
Total credit-impaired loans and advances at amortised cost	1,932	—	(36)	(1,100)	(63)	733
Reverse repurchase agreements and other similar secured lending	725	—	—	(725)	—	—
Trading portfolio assets:
Debt securities	55,430	—	—	(530)	—	54,900
Traded loans	13,198	—	—	(250)	(48)	12,900
Total trading portfolio assets	68,628	—	—	(780)	(48)	67,800
Financial assets at fair value through the income statement:
Loans and advances	38,190	—	(17)	(30,061)	(9)	8,103
Debt securities	3,217	—	—	(321)	—	2,896
Reverse repurchase agreements	164,698	—	(3,672)	(160,365)	—	661
Other financial assets	89	—	—	—	—	89
Total financial assets at fair value through the income statement	206,194	—	(3,689)	(190,747)	(9)	11,749
Derivative financial instruments	302,976	(238,062)	(34,496)	(11,424)	(7,275)	11,719
Financial assets at fair value through other comprehensive income	45,083	—	—	(222)	(514)	44,347
Other assets	1,503	—	—	—	—	1,503
Total on-balance sheet	1,117,620	(242,504)	(40,330)	(268,275)	(13,714)	552,797

Off-balance sheet:
Contingent liabilities	25,800	—	(1,295)	(1,596)	(280)	22,629
Loan commitments	334,977	—	(93)	(37,371)	(1,624)	295,889
Total off-balance sheet	360,777	—	(1,388)	(38,967)	(1,904)	318,518

Total	1,478,397	(242,504)	(41,718)	(307,242)	(15,618)	871,315

Off-balance sheet exposures are shown gross of provisions of £532m (2021: £499m). See Note 24 for further details. In addition to the above, Barclays

Bank Group holds forward starting reverse repos amounting to £48.4bn (2021: £39.3bn). The balances are fully collateralised. Wholesale loans and

advances at amortised cost include £0.6bn (2021: £1.0bn) of CBILs and CLBILs supported by UK government guarantees of £0.5bn (2021: £0.8bn). For

further information on credit risk mitigation techniques, refer to the Credit risk management section.

Risk review

Risk performance

Credit risk


home.barclays/annualreport	Barclays Bank PLC Annual Report	71


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	Maximum exposure	Netting and set-off	Cash collateral	Non-cash collateral	Risk transfer	Net exposure
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	—	0	(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

Risk review

Risk performance

Credit risk


home.barclays/annualreport	Barclays Bank PLC Annual Report	72


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	Maximum exposure	Netting and set-off	Cash collateral	Non-cash collateral	Risk transfer	Net exposure
As at 31 December 2022	£m	£m	£m	£m	£m	£m
On-balance sheet:
Cash and balances at central banks	170,307	—	—	—	—	170,307
Cash collateral and settlement balances	82,371	—	—	—	—	82,371
Loans and advances at amortised cost:
Home loans	6,542	—	(299)	(6,181)	(37)	25
Credit cards, unsecured loans and other retail lending	4,715	—	(1,030)	(2,361)	(32)	1,292
Wholesale loans	214,526	(4,442)	(1,261)	(41,999)	(8,594)	158,230
Total loans and advances at amortised cost	225,783	(4,442)	(2,590)	(50,541)	(8,663)	159,547
Of which credit-impaired (Stage 3):
Home loans	445	—	(1)	(443)	—	1
Credit cards, unsecured loans and other retail lending	208	—	(25)	(162)	(2)	19
Wholesale loans	532	—	(6)	(187)	(60)	279
Total credit-impaired loans and advances at amortised cost	1,185	—	(32)	(792)	(62)	299
Reverse repurchase agreements and other similar secured lending	5,908	—	—	(5,908)	—	—
Trading portfolio assets:
Debt securities	31,410	—	—	(530)	—	30,880
Traded loans	12,971	—	—	(250)	—	12,721
Total trading portfolio assets	44,381	—	—	(780)	—	43,601
Financial assets at fair value through the income statement:
Loans and advances	45,830	—	(17)	(14,741)	(9)	31,063
Debt securities	3,869	—	—	(116)	—	3,753
Reverse repurchase agreements	197,440	—	(2,943)	(194,497)	—	—
Other financial assets	27	—	—	—	—	27
Total financial assets at fair value through the income statement	247,166	—	(2,960)	(209,354)	(9)	34,843
Derivative financial instruments	258,708	(209,530)	(23,212)	(9,308)	(6,484)	10,174
Financial assets at fair value through other comprehensive income	43,086	—	—	(222)	(514)	42,350
Other assets	1,725	—	—	—	—	1,725
Total on-balance sheet	1,079,435	(213,972)	(28,762)	(276,113)	(15,670)	544,918

Off-balance sheet:
Contingent liabilities	62,203	—	(1,188)	(1,580)	(277)	59,158
Loan commitments	207,336	—	(70)	(45,193)	(1,614)	160,459
Total off-balance sheet	269,539	—	(1,258)	(46,773)	(1,891)	219,617

Total	1,348,974	(213,972)	(30,020)	(322,886)	(17,561)	764,535

Off-balance sheet exposures are shown gross of provisions of £403m (2021: £420m). See Note 24 for further details. In addition to the above, Barclays

Bank PLC holds forward starting reverse repos amounting to £39.4bn (2021: £31bn). The balances are fully collateralised. Wholesale loans and

advances at amortised cost include £0.6bn (2021: £1bn) of CBILs and CLBILs supported by UK government guarantees of £0.5bn (2021: £0.8bn).

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 PLC	Maximum exposure	Netting and set-off	Cash collateral	Non-cash collateral	Risk transfer	Net exposure
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

Risk review

Risk performance

Credit risk


home.barclays/annualreport	Barclays Bank PLC Annual Report	74

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 gross loans and advances to the extent that the allowance does not exceed the drawn exposure and 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 2022	Stage 1	Not past due	<=30 days past due	>30 days past due	Total	Stage 3	Totala
Gross exposure	£m	£m	£m	£m	£m	£m	£m
Home loans	10,458	310	11	41	362	978	11,798
Credit cards, unsecured loans and other retail lending	30,501	3,799	291	496	4,586	1,674	36,761
Wholesale loans	122,849	13,763	145	93	14,001	918	137,768
Total	163,808	17,872	447	630	18,949	3,570	186,327

Impairment allowance
Home loans	12	22	2	1	25	356	393
Credit cards, unsecured loans and other retail lending	393	939	92	171	1,202	1,004	2,599
Wholesale loans	288	256	5	1	262	278	828
Total	693	1,217	99	173	1,489	1,638	3,820

Net exposure
Home loans	10,446	288	9	40	337	622	11,405
Credit cards, unsecured loans and other retail lending	30,108	2,860	199	325	3,384	670	34,162
Wholesale loans	122,561	13,507	140	92	13,739	640	136,940
Total	163,115	16,655	348	457	17,460	1,932	182,507

Coverage ratio	%	%	%	%	%	%	%
Home loans	0.1	7.1	18.2	2.4	6.9	36.4	3.3
Credit cards, unsecured loans and other retail lending	1.3	24.7	31.6	34.5	26.2	60.0	7.1
Wholesale loans	0.2	1.9	3.4	1.1	1.9	30.3	0.6
Total	0.4	6.8	22.1	27.5	7.9	45.9	2.1

As at 31 December 2021
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

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 £155.1bn (2021: £135.5bn) and impairment allowance of £152m

(2021: £104m). This comprises £7m (2021: £4m) ECL on £153.8bn (2021: £135.3bn) Stage 1 assets, £8m (2021: £0m) on £1,142m (2021: £65m) Stage 2 fair value

through other comprehensive income assets, cash collateral and settlement assets and £137m (2021: £100m) on £141m (2021: £100m) Stage 3 other assets. Loan

commitments and financial guarantee contracts have total ECL of £532m (2021: £499m).

Risk review

Risk performance

Credit risk


home.barclays/annualreport	Barclays Bank PLC Annual Report	75


Barclays Bank PLC		Stage 2
As at 31 December 2022	Stage 1	Not past due	<=30 days past due	>30 days past due	Total	Stage 3	Totala
Gross exposure	£m	£m	£m	£m	£m	£m	£m
Home loans	6,014	64	1	28	93	757	6,864
Credit cards, unsecured loans and other retail lending	4,089	398	38	67	503	276	4,868
Wholesale loans	200,898	13,384	121	93	13,598	769	215,265
Total	211,001	13,846	160	188	14,194	1,802	226,997

Impairment allowance
Home loans	8	2	—	—	2	312	322
Credit cards, unsecured loans and other retail lending	37	33	7	8	48	68	153
Wholesale loans	276	220	5	1	226	237	739
Total	321	255	12	9	276	617	1,214

Net exposure
Home loans	6,006	62	1	28	91	445	6,542
Credit cards, unsecured loans and other retail lending	4,052	365	31	59	455	208	4,715
Wholesale loans	200,622	13,164	116	92	13,372	532	214,526
Total	210,680	13,591	148	179	13,918	1,185	225,783

Coverage ratio	%	%	%	%	%	%	%
Home loans	0.1	3.1	—	—	2.2	41.2	4.7
Credit cards, unsecured loans and other retail lending	0.9	8.3	18.4	11.9	9.5	24.6	3.1
Wholesale loans	0.1	1.6	4.1	1.1	1.7	30.8	0.3
Total	0.2	1.8	7.5	4.8	1.9	34.2	0.5

As at 31 December 2021
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

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 £127.7bn (2021: £120.8bn) and impairment allowance of £149m

(2021: £101m). This comprises £8m ECL (2021: £5m) on £126.4bn Stage 1 assets (2021: £120.7bn), £8m (2021: £0m) on £1,142m Stage 2 fair value through other

comprehensive income assets, cash collateral and settlement assets (2021: £65m) and £133m (2021: £96m) on £137m Stage 3 other assets (2021: £96m). Loan

commitments and financial guarantee contracts have total ECL of £403m (2021: £420m).

Risk review

Risk performance

Credit risk


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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 pages 189 to 192. 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 2022	9,760	8	653	35	958	343	11,371	386
Transfers from Stage 1 to Stage 2	(179)	—	179	—	—	—	—	—
Transfers from Stage 2 to Stage 1	393	16	(393)	(16)	—	—	—	—
Transfers to Stage 3	(192)	—	(39)	(4)	231	4	—	—
Transfers from Stage 3	18	1	33	3	(51)	(4)	—	—
Business activity in the yeara	1,887	5	—	—	—	—	1,887	5
Refinements to models used for calculation	—	—	—	—	—	—	—	—
Net drawdowns, repayments, net re-measurement and movements due to exposure and risk parameter changes	(131)	(17)	(7)	8	8	39	(130)	30
Final repaymentsb	(1,098)	(1)	(64)	(1)	(145)	(3)	(1,307)	(5)
Disposals	—	—	—	—	—	—	—	—
Write-offsc	—	—	—	—	(23)	(23)	(23)	(23)
As at 31 December 2022d	10,458	12	362	25	978	356	11,798	393

Credit cards, unsecured loans and other retail lending
As at 1 January 2022	24,011	605	2,782	791	1,469	906	28,262	2,302
Transfers from Stage 1 to Stage 2	(2,009)	(40)	2,009	40	—	—	—	—
Transfers from Stage 2 to Stage 1	1,046	218	(1,046)	(218)	—	—	—	—
Transfers to Stage 3	(456)	(14)	(404)	(166)	860	180	—	—
Transfers from Stage 3	51	11	8	5	(59)	(16)	—	—
Business activity in the yeara	7,668	138	319	113	126	101	8,113	352
Refinements to models used for calculatione	—	43	—	187	—	96	—	326
Net drawdowns, repayments, net re-measurement and movements due to exposure and risk parameter changes	3,236	(545)	1,182	473	155	453	4,573	381
Final repaymentsb	(2,887)	(19)	(235)	(12)	(150)	(11)	(3,272)	(42)
Disposalsf	(159)	(4)	(29)	(11)	(48)	(26)	(236)	(41)
Write-offsc	—	—	—	—	(679)	(679)	(679)	(679)
As at 31 December 2022d	30,501	393	4,586	1,202	1,674	1,004	36,761	2,599

Wholesale loans
As at 1 January 2022	95,242	183	12,962	193	921	435	109,125	811
Transfers from Stage 1 to Stage 2	(3,684)	(7)	3,684	7	—	—	—	—
Transfers from Stage 2 to Stage 1	4,573	44	(4,573)	(44)	—	—	—	—
Transfers to Stage 3	(254)	(1)	(207)	(5)	461	6	—	—
Transfers from Stage 3	55	6	29	1	(84)	(7)	—	—
Business activity in the yeara	34,522	55	3,956	80	9	6	38,487	141
Refinements to models used for calculatione	—	2	—	(24)	—	—	—	(22)
Net drawdowns, repayments, net re-measurement and movements due to exposure and risk parameter changes	21,238	39	1,738	95	28	204	23,004	338
Final repaymentsb	(27,331)	(33)	(3,557)	(41)	(93)	(44)	(30,981)	(118)
Disposalsf	(1,512)	—	(31)	—	(49)	(47)	(1,592)	(47)
Write-offsc	—	—	—	—	(275)	(275)	(275)	(275)
As at 31 December 2022d	122,849	288	14,001	262	918	278	137,768	828

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'. Business activity reported within Credit cards, unsecured loans and other retail lending portfolio includes

the Gap portfolio acquisition in US cards of £2.7bn.

b.Final repayments include repayment from the facility closed during the year whereas partial repayments from existing facility are reported under 'Net drawdowns,

repayments, net remeasurement and movements due to exposure and risk parameter changes'.

c.In 2022, gross write-offs amounted to £977m (2021: £1,158m) and post write-off recoveries amounted to £33m (2021: £31m). Net write-offs represent gross write-offs

less post write-off recoveries and amounted to £944m (2021: £1,127m).

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 £155.1bn (2021: £135.5bn) and impairment allowance of £152m

(2021: £104m). This comprises £7m (2021: £4m) ECL on £153.8bn (2021: £135.3bn) Stage 1 assets, £8m (2021: £0m) on £1,142m (2021: £65m) Stage 2 fair value

through other comprehensive income assets, cash collateral and settlement assets and £137m (2021: £100m) on £141m (2021: £100m) Stage 3 other assets.

e.Refinements to models used for calculation include £326m in Credit cards, unsecured loans and other retail lending and £(22)m in Wholesale loans. These reflect model

enhancements made during the year. Barclays Bank Group continually reviews the output of models to determine accuracy of the ECL calculation including review of

Risk review

Risk performance

Credit risk


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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.

f.The £0.2bn of disposals reported within Credit cards, unsecured loans and other retail lending portfolio relate to debt sales undertaken during the year. The £1.6bn of

disposals reported within Wholesale loans include sale of debt securities as part of Group Treasury operations.


Reconciliation of ECL movement to credit impairment charge/(release) for the period	Stage 1	Stage 2	Stage 3	Total
	£m	£m	£m	£m
Home loans	4	(10)	36	30
Credit cards, unsecured loans and other retail lending	(208)	422	803	1,017
Wholesale loans	105	69	165	339
ECL movement excluding assets derecognised due to disposals and write-offs	(99)	481	1,004	1,386
ECL movement on loan commitments and financial guarantees	31	1	1	33
ECL movement on other financial assetsa	3	8	37	48
Recoveries and reimbursementsb	(121)	(61)	(46)	(228)
Total exchange and other adjustmentsc				(306)
Total credit impairment charge for the year				933

Notes

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 £155.1bn (2021: £135.5bn) and impairment allowance of £152m

(2021: £104m). This comprises £7m (2021: £4m) ECL on £153.8bn (2021: £135.3bn) Stage 1 assets, £8m (2021: £0m) on £1,142m (2021: £65m) Stage 2 fair value

through other comprehensive income assets, cash collateral and settlement assets and £137m (2021: £100m) on £141m (2021: £100m) Stage 3 other assets.

b.Recoveries and reimbursements includes £195m of reimbursements expected to be received under the arrangement where Barclays Bank Group has entered into financial

guarantee contracts which provide credit protection over certain assets with third parties and cash recoveries of previously written off amounts of £33m.

c.Includes foreign exchange and interest and fees in suspense.


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 2022	53	—	—	—	1	—	54	—
Net transfers between stages	(5)	—	1	—	4	—	—	—
Business activity in the year	26	—	—	—	—	—	26	—
Net drawdowns, repayments, net re- measurement and movement due to exposure and risk parameter changes	4	—	—	—	—	—	4	—
Limit management and final repayments	(17)	—	—	—	—	—	(17)	—
As at 31 December 2022	61	—	1	—	5	—	67	—

Credit cards, unsecured loans and other retail lending
As at 1 January 2022	78,655	36	3,214	33	32	20	81,901	89
Net transfers between stages	(1,457)	30	1,328	(24)	129	(6)	—	—
Business activity in the year	36,388	24	375	25	12	2	36,775	51
Net drawdowns, repayments, net re- measurement and movement due to exposure and risk parameter changes	10,749	(37)	(1,653)	36	(72)	7	9,024	6
Limit management and final repayments	(6,877)	(6)	(400)	(18)	(6)	(2)	(7,283)	(26)
As at 31 December 2022	117,458	47	2,864	52	95	21	120,417	120

Wholesale loans
As at 1 January 2022	178,006	167	28,417	241	1,017	2	207,440	410
Net transfers between stages	6,139	60	(6,073)	(64)	(66)	4	—	—
Business activity in the year	43,676	28	4,233	54	15	—	47,924	82
Net drawdowns, repayments, net re- measurement and movement due to exposure and risk parameter changes	27,913	(39)	5,993	58	143	(2)	34,049	17
Limit management and final repayments	(54,184)	(29)	(9,509)	(66)	(321)	(2)	(64,014)	(97)
As at 31 December 2022	201,550	187	23,061	223	788	2	225,399	412

Risk review

Risk performance

Credit risk


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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 2022	5,350	5	220	1	724	306	6,294	312
Transfers from Stage 1 to Stage 2	(42)	—	42	—	—	—	—	—
Transfers from Stage 2 to Stage 1	113	1	(113)	(1)	—	—	—	—
Transfers to Stage 3	(162)	—	(15)	—	177	—	—	—
Transfers from Stage 3	18	1	8	1	(26)	(2)	—	—
Business activity in the yeara	1,555	2	—	—	—	—	1,555	2
Refinements to models used for calculation	—	—	—	—	—	—	—	—
Net drawdowns, repayments, net re- measurement and movements due to exposure and risk parameter changes	(139)	—	(11)	1	3	29	(147)	30
Final repaymentsb	(679)	(1)	(38)	—	(102)	(2)	(819)	(3)
Disposals	—	—	—	—	—	—	—	—
Write-offsc	—	—	—	—	(19)	(19)	(19)	(19)
As at 31 December 2022d	6,014	8	93	2	757	312	6,864	322

Credit cards, unsecured loans and other retail lending
As at 1 January 2022	4,367	36	459	22	201	61	5,027	119
Transfers from Stage 1 to Stage 2	(324)	(4)	324	4	—	—	—	—
Transfers from Stage 2 to Stage 1	109	8	(109)	(8)	—	—	—	—
Transfers to Stage 3	(116)	(1)	(49)	(5)	165	6	—	—
Transfers from Stage 3	36	1	1	1	(37)	(2)	—	—
Business activity in the yeara	908	17	10	4	1	2	919	23
Refinements to models used for calculatione	—	5	—	5	—	—	—	10
Net drawdowns, repayments, net re- measurement and movements due to exposure and risk parameter changes	311	(22)	49	27	95	31	455	36
Final repaymentsb	(1,202)	(3)	(182)	(2)	(120)	(1)	(1,504)	(6)
Disposals	—	—	—	—	—	—	—	—
Write-offsc	—	—	—	—	(29)	(29)	(29)	(29)
As at 31 December 2022d	4,089	37	503	48	276	68	4,868	153

Wholesale loans
As at 1 January 2022	176,701	180	12,141	174	806	402	189,648	756
Transfers from Stage 1 to Stage 2	(3,236)	(7)	3,236	7	—	—	—	—
Transfers from Stage 2 to Stage 1	3,436	36	(3,436)	(36)	—	—	—	—
Transfers to Stage 3	(249)	(1)	(176)	(3)	425	4	—	—
Transfers from Stage 3	55	6	13	1	(68)	(7)	—	—
Business activity in the yeara	53,903	51	3,642	77	7	4	57,552	132
Refinements to models used for calculatione	—	2	—	(22)	—	—	—	(20)
Net drawdowns, repayments, net re- measurement and movements due to exposure and risk parameter changes	13,788	41	1,543	67	5	193	15,336	301
Final repaymentsb	(41,988)	(32)	(3,365)	(39)	(89)	(44)	(45,442)	(115)
Disposalsf	(1,512)	—	—	—	(49)	(47)	(1,561)	(47)
Write-offsc	—	—	—	—	(268)	(268)	(268)	(268)
As at 31 December 2022d	200,898	276	13,598	226	769	237	215,265	739

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.Final repayments include repayment from the facility closed during the year whereas partial repayments from existing facility are reported under 'Net drawdowns,

repayments, net remeasurement and movements due to exposure and risk parameter changes'.

c.In 2022, gross write-offs amounted to £316m (2021: £354m) and post write-off recoveries amounted to £1m (2021: £3m). Net write-offs represent gross write-offs less

post write-off recoveries and amounted to £315m (2021: £351m).

Risk review

Risk performance

Credit risk


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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 £127.7bn (2021: £120.8bn) and impairment allowance of £149m

(2021: £101m). This comprises £8m ECL (2021: £5m) on £126.4bn Stage 1 assets (2021: £120.7bn), £8m (2021: £0m) on £1,142m Stage 2 fair value through other

comprehensive income assets, cash collateral and settlement assets (2021: £65m) and £133m (2021: £96m) on £137m Stage 3 other assets (2021: £96m).

e.Refinements to models used for calculation include £10m in Credit cards, unsecured loans and other retail lending and £(20)m in Wholesale loans. These reflect model

enhancements 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.

f.The £1.6bn of disposals reported within Wholesale loans include sale of debt securities as part of Group Treasury operations.


Reconciliation of ECL movement to credit impairment charge/(release) for the period	Stage 1	Stage 2	Stage 3	Total
	£m	£m	£m	£m
Home loans	3	1	25	29
Credit cards, unsecured loans and other retail lending	1	26	36	63
Wholesale loans	96	52	150	298
ECL movement excluding assets derecognised due to disposals and write-offs	100	79	211	390
ECL movement on loan commitments and financial guarantees	10	(28)	1	(17)
ECL movement on other financial assetsa	3	8	37	48
Recoveries and reimbursementsb	(113)	(45)	(17)	(175)
Total exchange and other adjustmentsc				(81)
Total credit impairment charge for the year				165

Notes

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 £127.7bn (2021: £120.8bn) and impairment allowance of £149m

(2021: £101m). This comprises £8m ECL (2021: £5m) on £126.4bn Stage 1 assets (2021: £120.7bn), £8m (2021: £0m) on £1,142m Stage 2 fair value through other

comprehensive income assets, cash collateral and settlement assets (2021: £65m) and £133m (2021: £96m) on £137m Stage 3 other assets (2021: £96m).

b.Recoveries and reimbursements includes £174m of reimbursements expected to be received under the arrangement where the Bank has entered into financial guarantee

contracts which provide credit protection over certain assets with third parties and cash recoveries of previously written off amounts of £1m.

c.Includes foreign exchange and interest and fees in suspense.

Risk review

Risk performance

Credit risk


home.barclays/annualreport	Barclays Bank PLC Annual Report	80


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 2022	34	—	—	—	—	—	34	—
Net transfers between stages	(5)	—	1	—	4	—	—	—
Business activity in the year	16	—	—	—	—	—	16	—
Net drawdowns, repayments, net re- measurement and movement due to exposure and risk parameter changes	(1)	—	—	—	—	—	(1)	—
Limit management and final repayments	(17)	—	—	—	—	—	(17)	—
As at 31 December 2022	27	—	1	—	4	—	32	—

Credit cards, unsecured loans and other retail lending
As at 1 January 2022	5,419	7	523	4	21	19	5,963	30
Net transfers between stages	(216)	6	119	—	97	(6)	—	—
Business activity in the year	1,433	1	40	—	12	2	1,485	3
Net drawdowns, repayments, net re- measurement and movement due to exposure and risk parameter changes	(698)	(8)	217	2	(66)	8	(547)	2
Limit management and final repayments	(488)	—	(54)	—	(6)	(2)	(548)	(2)
As at 31 December 2022	5,450	6	845	6	58	21	6,353	33

Wholesale loans
As at 1 January 2022	202,582	156	23,918	231	857	3	227,357	390
Net transfers between stages	5,638	58	(5,681)	(62)	43	4	—	—
Business activity in the year	41,519	25	3,415	51	14	—	44,948	76
Net drawdowns, repayments, net re- measurement and movement due to exposure and risk parameter changes	32,781	(43)	5,284	45	139	(3)	38,204	(1)
Limit management and final repayments	(51,532)	(29)	(8,879)	(64)	(307)	(2)	(60,718)	(95)
As at 31 December 2022	230,988	167	18,057	201	746	2	249,791	370

Risk review

Risk performance

Credit risk


home.barclays/annualreport	Barclays Bank PLC Annual Report	81


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 yeara	1,745	2	—	—	—	—	1,745	2
Refinements to models used for calculationb	—	—	—	(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 repaymentsc	(890)	—	(142)	(1)	(114)	(4)	(1,146)	(5)
Disposals	—	—	—	—	—	—	—	—
Write-offsd	—	—	—	—	(18)	(18)	(18)	(18)
As at 31 December 2021e	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 yeara	4,731	84	106	23	16	5	4,853	112
Refinements to models used for calculationb	—	(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 repaymentsc	(1,489)	(14)	(409)	(16)	(76)	(5)	(1,974)	(35)
Disposalsf	—	—	—	—	(37)	(22)	(37)	(22)
Write-offsd	—	—	—	—	(826)	(826)	(826)	(826)
As at 31 December 2021e	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 yeara	27,946	74	1,674	15	37	23	29,657	112
Refinements to models used for calculationb	—	—	—	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 repaymentsc	(19,481)	(29)	(4,322)	(168)	(504)	(125)	(24,307)	(322)
Disposalsf	(588)	(8)	(49)	(4)	(71)	(41)	(708)	(53)
Write-offsd	—	—	—	—	(314)	(314)	(314)	(314)
As at 31 December 2021e	95,242	183	12,962	193	921	435	109,125	811

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.Refinements to models used for calculation include £34m movement in Home loans, £(30)m in Credit cards, unsecured loans and other retail lending and £3m in

Wholesale loans. These reflect enhancements 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.Final repayments include repayment from the facility closed during the year whereas partial repayments from existing facility are reported under 'Net drawdowns,

repayments, net remeasurement and movements due to exposure and risk parameter changes'.

d.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).

Risk review

Risk performance

Credit risk


home.barclays/annualreport	Barclays Bank PLC Annual Report	82

e.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 £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 .

f.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

disposal 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	Stage 1	Stage 2	Stage 3	Total
	£m	£m	£m	£m
Home loans	2	(17)	(15)	(30)
Credit cards, unsecured loans and other retail lending	206	(536)	501	171
Wholesale loans	(89)	(336)	(50)	(475)
ECL movement excluding assets derecognised due to disposals and write-offs	119	(889)	436	(334)
ECL movement on loan commitments and financial guarantees	(36)	(205)	(29)	(270)
ECL movement on other financial assetsa	(3)	(6)	(4)	(13)
Recoveries and reimbursementsb	47	220	(8)	259
Total exchange and other adjustmentsc				81
Total credit impairment release for the year				(277)

Notes

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 £135.5bn (2020: £150.3bn) and impairment allowance of £104m

(2020: £145m). This comprises £4m ECL (2020 £7m) on £135.3bn stage 1 assets (2020: £146.3bn), £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.

b.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 to £31m.

c.Includes foreign exchange and interest and fees in suspense.


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
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

Risk review

Risk performance

Credit risk


home.barclays/annualreport	Barclays Bank PLC Annual Report	83


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 yeara	1,526	1	—	—	—	—	1,526	1
Refinements to models used for calculationb	—	—	—	(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 repaymentsc	(464)	—	(73)	—	(106)	(3)	(643)	(3)
Disposals	—	—	—	—	—	—	—	—
Write-offsd	—	—	—	—	(16)	(16)	(16)	(16)
As at 31 December 2021e	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 yeara	1,364	7	29	1	9	—	1,402	8
Refinements to models used for calculationb	—	(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 repaymentsc	(519)	(2)	(324)	(6)	(48)	(1)	(891)	(9)
Disposals	—	—	—	—	—	—	—	—
Write-offsd	—	—	—	—	(22)	(22)	(22)	(22)
As at 31 December 2021e	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 yeara	37,978	74	1,836	12	37	23	39,851	109
Refinements to models used for calculationb	—	—	—	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 repaymentsc	(27,421)	(29)	(4,285)	(167)	(502)	(123)	(32,208)	(319)
Transfer to Barclays Bank Ireland	(45)	—	—	—	(3)	—	(48)	—
Disposalsf	(588)	(8)	(49)	(4)	(44)	(42)	(681)	(54)
Write-offsd	—	—	—	—	(316)	(316)	(316)	(316)
As at 31 December 2021e	176,701	180	12,141	174	806	402	189,648	756

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.Refinements to models used for calculation include £27m movement in Home loans, £(4)m in Credit cards, unsecured loans and other retail lending and £2m in Wholesale

loans. These reflect methodology changes made during the year. Barclays continually review the output of models to determine accuracy of the ECL calculation including

review of model monitoring, external benchmarking and experience of model operation over an extended period of time. This ensures that the models used continue to

reflect the risks inherent across the businesses.

c.Final repayments include repayment from the facility closed during the year whereas partial repayments from existing facility are reported under 'Net drawdowns,

repayments, net remeasurement and movements due to exposure and risk parameter changes'.

d.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 (£297m).

e.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

Risk review

Risk performance

Credit risk


home.barclays/annualreport	Barclays Bank PLC Annual Report	84

(2020: £146m). This comprises £5m ECL (2020: £13m) on £120.7bn (2020: £134.9bn) stage 1 assets , £0m (2020: £5m) on £65m stage 2 fair value through other

comprehensive income assets, cash collateral and settlement (2020: £3.8bn) and £96m (2020: £128m) on £96m Stage 3 other assets (2020: £128m).

f.The £681m of disposal 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	Stage 1	Stage 2	Stage 3	Total
	£m	£m	£m	£m
Home loans	3	—	(16)	(13)
Credit cards, unsecured loans and other retail lending	(18)	(21)	19	(20)
Wholesale loans	(92)	(321)	(31)	(444)
ECL movement excluding assets derecognised due to disposals and write-offs	(107)	(342)	(28)	(477)
Credit impairment release on loan commitments and financial guarantees	(35)	(170)	(29)	(234)
Credit impairment release on other financial assetsa	(8)	(5)	(4)	(17)
Recoveries and reimbursementsb	36	217	21	274
Total exchange and other adjustmentsc				40
Total credit impairment release for the year				(414)

Notes

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 other settlement assets (2020: £3.8bn) and £96m (2020: £128m) on £96m Stage 3 other assets (2020: £128m).

b.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.

c.Includes foreign exchange and interest and fees in suspense.


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 loansd
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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Stage 2 decomposition


Loans and advances at amortised costa
	Gross Exposure				Impairment Allowance
	Quantitative test	Qualitative test	30 days past due backstop	Total Stage 2	Quantitative test	Qualitative test	30 days past due backstop	Total Stage 2
As at 31 December 2022	£m	£m	£m	£m	£m	£m	£m	£m
Home Loans	225	73	64	362	20	2	3	25
Credit cards, unsecured loans and other retail lending	3,286	1,200	100	4,586	855	323	24	1,202
Wholesale loans	11,683	2,177	141	14,001	192	68	2	262
Total Stage 2	15,194	3,450	305	18,949	1,067	393	29	1,489


Loans and advances at amortised costa
	Gross Exposure				Impairment Allowance
	Quantitative test	Qualitative test	30 days past due backstop	Total Stage 2	Quantitative test	Qualitative test	30 days past due backstop	Total Stage 2
As at 31 December 2021	£m	£m	£m	£m	£m	£m	£m	£m
Home Loans	530	83	40	653	23	4	8	35
Credit cards, unsecured loans and other retail lending	1,627	1,079	76	2,782	505	273	13	791
Wholesale loans	11,132	1,431	399	12,962	151	37	5	193
Total Stage 2	13,289	2,593	515	16,397	679	314	26	1,019

Note

aWhere 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. 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 £2.2bn (2021: £1.4bn) relating to Corporate and Investment Bank and

£1.2bn (2021: £1.1bn) relating to Consumer, Cards and Payments.

A small number of other accounts (2% of impairment allowances and 0% 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 8.

Risk review

Risk performance

Credit risk


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Stage 3 decomposition


Loans and advances at amortised cost
	Gross Exposure			Impairment Allowance
	Exposures not charged-off including within cure perioda	Exposures individually assessed or in recovery book	Total Stage 3	Exposures not charged-off including within cure perioda	Exposures individually assessed or in recovery book	Total Stage 3
As at 31 December 2022	£m	£m	£m	£m	£m	£m
Home Loans	280	698	978	24	332	356
Credit cards, unsecured loans and other retail lending	755	919	1,674	421	583	1,004
Wholesale loans	100	818	918	1	277	278
Total Stage 3	1,135	2,435	3,570	446	1,192	1,638


Loans and advances at amortised cost
	Gross Exposure			Impairment Allowance
	Exposures not charged-off including within cure perioda	Exposures individually assessed or in recovery book	Total Stage 3	Exposures not charged-off including within cure perioda	Exposures individually assessed or in recovery book	Total Stage 3
As at 31 December 2021	£m	£m	£m	£m	£m	£m
Home Loans	274	684	958	21	322	343
Credit cards, unsecured loans and other retail lending	592	877	1,469	297	609	906
Wholesale loans	38	883	921	1	434	435
Total Stage 3	904	2,444	3,348	319	1,365	1,684

Notes

aIncludes £0.4bn (2021: £0.7bn) of gross exposure in a cure period that must remain in Stage 3 for a minimum of 12 months before moving to Stage 2.

Stage 3 is comprised of exposures that are considered to be credit impaired. 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. Stage 3 exposures have increased compared to 2021 due to a gradual increase

in delinquencies in retail unsecured lending.

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.

Management adjustments are captured through “Economic uncertainty” and “Other” adjustments presented by product below:


Management adjustments to models for impairment allowance presented by product (audited)a
	Impairment allowance pre management adjustmentsb	Economic uncertainty adjustments (a)	Other adjustments (b)	Management adjustments (a+b)	Total impairment allowancec	Proportion of Management adjustments to total impairment allowance
	Impairment allowance pre management adjustmentsb	Economic uncertainty adjustments (a)	Other adjustments (b)	Management adjustments (a+b)	Total impairment allowancec
As at 31 December 2022	£m	£m	£m	£m	£m	%
Home loans	393	—	—	—	393	—
Credit cards, unsecured loans and other retail lending	2,627	2	90	92	2,719	3.4
Wholesale loans	1,354	95	(209)	(114)	1,240	(9.2)
Total	4,374	97	(119)	(22)	4,352	(0.5)


As at 31 December 2021	£m	£m	£m	£m	£m	%
Home loans	352	34	—	34	386	0.088
Credit cards, unsecured loans and other retail lending	1,425	771	195	966	2,391	0.404
Wholesale loans	1,079	244	(102)	142	1,221	0.116
Total	2,856	1,049	93	1,142	3,998	0.286

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Economic uncertainty adjustments are presented by stage (audited)
	Stage 1	Stage 2	Stage 3	Total
As at 31 December 2022	£m	£m	£m	£m
Home loans	—	—	—	—
Credit cards, unsecured loans and other retail lending	—	2	—	2
Wholesale loans	97	(2)	—	95
Total	97	—	—	97


As at 31 December 2021	£m	£m	£m	£m
Home loans	—	23	11	34
Credit cards, unsecured loans and other retail lending	369	394	8	771
Wholesale loans	176	68	—	244
Total	545	485	19	1,049

Notes:

a.Positive values reflect an increase in impairment allowance and negative values reflect a reduction in the impairment allowance.

b.Includes £3.7bn (2021: £2.3bn) of modelled ECL, £0.3bn (2021: £0.5bn) of individually assessed impairments and £0.4bn (2021: £0.1bn) ECL from non-modelled

exposures.

c.Total impairment allowance consists of ECL stock on drawn and undrawn exposures.

Economic uncertainty adjustments

Models have been developed with data from non-inflationary periods establishing a relationship between input variables and customer delinquency

based on past behaviour. Additionally, models are trying to interpret significant rates of change in macroeconomic variables and applying these to

stable probability of default (PD) levels. As such there is a risk that the modelled output fails to capture the appropriate response to changes in

macroeconomic variables and rising costs with modelled impairment provisions impacted by uncertainty.

This uncertainty continues to be captured in two ways. Firstly, customer uncertainty: the identification of customers and clients who may be more

vulnerable to 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.

In 2022, previously established economic uncertainty adjustments have been partially released, informed by some normalisation of customer behaviour,

refreshed macroeconomic scenarios and a rebuild of certain models to better capture the macroeconomic outlook.

The balance as at 31 December 2022 is £97m (FY21: £1,049m) and includes:

Customer and client uncertainty provisions of £193m (FY21: £906m) includes:

•Credit cards and unsecured loans and other retail lending: £2m (FY21: £758m)

The decrease in the adjustment of £(756)m is attributable to some normalisation of customer behaviour and macroeconomic deterioration now

appropriately captured within the modelled output post model enhancements made during the year.

•Wholesale loans: £191m (FY21: £148m) includes an adjustment for exposures considered most at risk from inflationary concerns, supply chain

constraints and consumer demand headwinds. The adjustment involves applying stage 2 coverage rates to stage 1 exposures assessed as most

vulnerable.

Model uncertainty provisions of £(96)m (FY21: £143m) includes:

•Wholesale loans: £(96)m (FY21: £96m) includes an adjustment to correct for the deterioration in wholesale PDs impacted by model over-

sensitivity to certain macroeconomic variables. In 2021, this adjustment was held at £96m driven by an unintuitive model output from certain

Q421 macroeconomic variables.

Other adjustments

Other adjustments are operational in nature and are expected to remain in place until they can be reflected in the underlying models. These adjustments

result from data limitations and model performance related issues identified through model monitoring and other established governance processes.

Other adjustments of £(119)m (FY21: £93m) include:

•Credit cards and unsecured loan and other retail lending: £90m (FY21: £195m) primarily includes an adjustment to the qualitative measures

used in identification of high-risk account management (HRAM) accounts for US cards and an adjustment for adoption of the new definition of

default under the Capital Requirements Regulation.

The £195m adjustments held in FY21 primarily included adjustments for model performance informed by model monitoring. These adjustments

are no longer required due to model enhancements made during the year.

•Wholesale loans: £(209)m (FY21: £(102)m) primarily includes adjustments for model performance informed by model monitoring.

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Measurement uncertainty and sensitivity analysis

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), and Bloomberg (based on median of economic forecasts) 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 the Barclays Bank Group's 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 key economic variables (including 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 seven years.

Scenarios used to calculate the Barclays Bank Group’s ECL charge were refreshed in Q422 with the Baseline scenario reflecting the latest consensus

macroeconomic forecasts available at the time of the scenario refresh. In the Baseline scenario, further deterioration in major economies, as inflation

pressures continue to squeeze household income, along with significant monetary policy tightening, contribute to lower growth prospects. UK GDP is

expected to continue falling into 2023 and the US economy dips into mild recession in 2023. Slight increases in the UK and US unemployment rates are

expected, peaking at 4.9% in Q423 and 4.7% in Q124 respectively. Central banks continue raising interest rates, peaking during 2023, and consumer

price inflation eases over 2023.

In the Downside 2 scenario, inflation continues to accelerate amid increasing gas and oil prices and persistent supply-chain pressures as a result of the

Russian invasion of Ukraine. Central banks are forced to raise interest rates sharply with the UK bank rate reaching 8.0% and the US federal funds rate

peaking at 7.0%. Unemployment peaks at 8.5% in the UK and 8.6% in the US. Given already stretched valuations, the sharp increase in borrowing costs

sees house prices decrease significantly. In the Upside 2 scenario, lower energy prices add downward pressure on prices globally, while recovering

labour force participation limits wage growth. As a result of easing inflation, central banks lower interest rates to support the economic recovery.

The methodology for estimating scenario probability weights involves simulating a range of future paths for UK and US GDP using historical data with

the five scenarios mapped against the distribution of these future paths. The median is centred around the Baseline with scenarios further from the

Baseline attracting a lower weighting before the five weights are normalised to total 100%. The same scenarios used in the estimation of expected

credit losses are also used to inform 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, credit cards

and unsecured consumer loans are highly sensitive to unemployment. The increase in the Downside weightings and the decrease in the Upside

weightings reflected the deteriorating economic outlook which moved the Baseline UK/US GDP paths closer to the Downside scenarios For further

details see page 92.

The economic uncertainty adjustments of £0.1bn (2021: £1.0bn) have been applied as overlays to the modelled ECL output. These adjustments consist

of a customer and client uncertainty provision of £0.2bn (2021: £0.9bn), which has been applied to customers and clients considered most vulnerable

to affordability pressures, and a model uncertainty adjustment of £(0.1)bn (2021: £0.1bn). For further details see page 88.

The tables below show the key macroeconomic variables used in the five scenarios (five year annual paths), the probability weights applied to each

scenario and the macroeconomic variables by scenario using ‘specific bases’ i.e. the most extreme position of each variable in the context of the

scenario, for example, the highest unemployment for downside scenarios and the lowest unemployment for upside scenarios. five year average tables

and movement over time graphs provide additional transparency. Annual paths show quarterly averages for the year (unemployment and base rate) or

change in the year (GDP and HPI).

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Baseline average macroeconomic variables used in the calculation of ECL
	2022	2023	2024	2025	2026
As at 31 December 2022	%	%	%	%	%
UK GDPa	3.3	(0.8)	0.9	1.8	1.9
UK unemploymentb	3.7	4.5	4.4	4.1	4.2
UK HPIc	8.4	(4.7)	(1.7)	2.2	2.2
UK bank rate	1.8	4.4	4.1	3.8	3.4
US GDPa	1.8	0.5	1.2	1.5	1.5
US unemploymentd	3.7	4.3	4.7	4.7	4.7
US HPIe	11.2	1.8	1.5	2.3	2.4
US federal funds rate	2.1	4.8	3.6	3.1	3.0

	2021	2022	2023	2024	2025
As at 31 December 2021	%	%	%	%	%
UK GDPa	6.2	4.9	2.3	1.9	1.7
UK unemploymentb	4.8	4.7	4.5	4.3	4.2
UK HPIc	4.7	1.0	1.9	1.9	2.3
UK bank rate	0.1	0.8	1.0	1.0	0.8
US GDPa	5.5	3.9	2.6	2.4	2.4
US unemploymentd	5.5	4.2	3.6	3.6	3.6
US HPIe	11.8	4.5	5.2	4.9	5.0
US federal funds rate	0.2	0.3	0.9	1.2	1.3

Downside 2 average macroeconomic variables used in the calculation of ECL
	2022	2023	2024	2025	2026
As at 31 December 2022	%	%	%	%	%
UK GDPa	3.3	(3.4)	(3.8)	2.0	2.3
UK unemploymentb	3.7	6.0	8.4	8.0	7.4
UK HPIc	8.4	(18.3)	(18.8)	(7.7)	8.2
UK bank rate	1.8	7.3	7.9	6.6	5.5
US GDPa	1.8	(2.7)	(3.4)	2.0	2.6
US unemploymentd	3.7	6.0	8.5	8.1	7.1
US HPIe	11.2	(3.1)	(4.0)	(1.9)	4.8
US federal funds rate	2.1	6.6	6.9	5.8	4.6

	2021	2022	2023	2024	2025
As at 31 December 2021	%	%	%	%	%
UK GDPa	6.2	0.2	(4.0)	2.8	4.3
UK unemploymentb	4.8	7.2	9.0	7.6	6.3
UK HPIc	4.7	(14.3)	(21.8)	11.9	15.2
UK bank rate	0.1	2.2	3.9	3.1	2.2
US GDPa	5.5	(0.8)	(3.5)	2.5	3.2
US unemploymentd	5.5	6.4	9.1	8.1	6.4
US HPIe	11.8	(6.6)	(9.0)	5.9	6.7
US federal funds rate	0.2	2.1	3.4	2.6	2.0

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Downside 1 average macroeconomic variables used in the calculation of ECL
	2022	2023	2024	2025	2026
As at 31 December 2022	%	%	%	%	%
UK GDPa	3.3	(2.1)	(1.5)	1.9	2.1
UK unemploymentb	3.7	5.2	6.4	6.0	5.8
UK HPIc	8.4	(11.7)	(10.6)	(2.8)	5.2
UK bank rate	1.8	5.9	6.1	5.3	4.6
US GDPa	1.8	(1.1)	(1.1)	1.7	2.1
US unemploymentd	3.7	5.1	6.6	6.4	5.9
US HPIe	11.2	(0.7)	(1.3)	0.2	3.6
US federal funds rate	2.1	5.8	5.4	4.4	3.9

	2021	2022	2023	2024	2025
As at 31 December 2021	%	%	%	%	%
UK GDPa	6.2	2.8	(0.7)	2.3	2.9
UK unemploymentb	4.8	6.2	6.8	6.0	5.3
UK HPIc	4.7	(6.8)	(10.5)	6.9	8.6
UK bank rate	0.1	1.6	2.7	2.3	1.6
US GDPa	5.5	1.6	(0.4)	2.4	2.7
US unemploymentd	5.5	5.4	6.6	6.1	5.2
US HPIe	11.8	(1.2)	(2.1)	4.8	5.2
US federal funds rate	0.2	1.3	2.3	2.1	1.8

Upside 2 average macroeconomic variables used in the calculation of ECL
	2022	2023	2024	2025	2026
As at 31 December 2022	%	%	%	%	%
UK GDPa	3.3	2.8	3.7	2.9	2.4
UK unemploymentb	3.7	3.5	3.4	3.4	3.4
UK HPIc	8.4	8.7	7.5	4.4	4.2
UK bank rate	1.8	3.1	2.6	2.5	2.5
US GDPa	1.8	3.3	3.5	2.8	2.8
US unemploymentd	3.7	3.3	3.3	3.3	3.3
US HPIe	11.2	5.8	5.1	4.5	4.5
US federal funds rate	2.1	3.6	2.9	2.8	2.8

	2021	2022	2023	2024	2025
As at 31 December 2021	%	%	%	%	%
UK GDPa	6.2	7.2	4.0	2.7	2.1
UK unemploymentb	4.8	4.5	4.1	4.0	4.0
UK HPIc	4.7	8.5	9.0	5.2	4.2
UK bank rate	0.1	0.2	0.5	0.5	0.3
US GDPa	5.5	5.3	4.1	3.5	3.4
US unemploymentd	5.5	3.9	3.4	3.3	3.3
US HPIe	11.8	10.6	8.5	7.2	6.6
US federal funds rate	0.2	0.3	0.4	0.7	1.0

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Upside 1 average macroeconomic variables used in the calculation of ECL
	2022	2023	2024	2025	2026
As at 31 December 2022	%	%	%	%	%
UK GDPa	3.3	1.0	2.3	2.4	2.1
UK unemploymentb	3.7	4.0	3.9	3.8	3.8
UK HPIc	8.4	1.8	2.9	3.3	3.2
UK bank rate	1.8	3.5	3.3	3.0	2.8
US GDPa	1.8	1.9	2.3	2.2	2.2
US unemploymentd	3.7	3.8	4.0	4.0	4.0
US HPIe	11.2	3.8	3.3	3.4	3.4
US federal funds rate	2.1	3.9	3.4	3.0	3.0

	2021	2022	2023	2024	2025
As at 31 December 2021	%	%	%	%	%
UK GDPa	6.2	6.0	3.1	2.3	1.9
UK unemploymentb	4.8	4.6	4.3	4.2	4.1
UK HPIc	4.7	5.0	5.0	3.9	3.3
UK bank rate	0.1	0.6	0.8	0.8	0.5
US GDPa	5.5	4.6	3.4	2.9	2.9
US unemploymentd	5.5	4.0	3.5	3.5	3.5
US HPIe	11.8	8.3	7.0	6.0	5.7
US federal funds rate	0.2	0.3	0.6	1.0	1.1

Notes

aAverage Real GDP seasonally adjusted change in year.

bAverage UK unemployment rate 16-year+.

cChange in year end UK HPI = Halifax All Houses, All Buyers index, relative to prior year end.

dAverage US civilian unemployment rate 16-year+.

eChange in year end US HPI = FHFA house price index, relative to prior year end.


Scenario probability weighting (audited)a
	Upside 2	Upside 1	Baseline	Downside 1	Downside 2
	%	%	%	%	%
As at 31 December 2022
Scenario probability weighting	10.9	23.1	39.4	17.6	9.0
As at 31 December 2021
Scenario probability weighting	20.9	27.2	30.1	14.8	7.0

Note

aFor further details on changes to scenario weights see page 89.

Specific bases show the most extreme position of each variable in the context of the downside/upside scenarios, 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 2022
UK GDPb	13.9	9.4	1.4	(3.2)	(6.8)
UK unemploymentc	3.4	3.6	4.2	6.6	8.5
UK HPId	37.8	21.0	1.2	(17.9)	(35.0)
UK bank ratec	0.5	0.5	3.5	6.3	8.0
US GDPb	14.1	9.6	1.3	(2.5)	(6.3)
US unemploymentc	3.3	3.6	4.4	6.7	8.6
US HPId	35.0	27.5	3.8	3.7	0.2
US federal funds ratec	0.1	0.1	3.3	6.0	7.0
As at 31 December 2021
UK GDPb	21.4	18.3	3.4	(1.6)	(1.6)
UK unemploymentc	4.0	4.1	4.5	7.0	9.2
UK HPId	35.7	23.8	2.4	(12.7)	(29.9)
UK bank ratec	0.1	0.1	0.7	2.8	4.0
US GDPb	22.8	19.6	3.4	1.5	(1.3)
US unemploymentc	3.3	3.5	4.1	6.8	9.5
US HPId	53.3	45.2	6.2	2.2	(5.0)
US federal funds ratec	0.1	0.1	0.8	2.3	3.5

Average basis represents the average quarterly value of variables in the 20 quarter period with GDP and HPI based on yearly average and quarterly

CAGRs respectively.


Macroeconomic variables used in the calculation of ECL (5 year averages) (audited)a
	Upside 2	Upside 1	Baseline	Downside 1	Downside 2
	%	%	%	%	%
As at 31 December 2022
UK GDPe	3.0	2.2	1.4	0.7	0.0
UK unemploymentf	3.5	3.8	4.2	5.4	6.7
UK HPIg	6.6	3.9	1.2	(2.6)	(6.4)
UK bank ratef	2.5	2.9	3.5	4.7	5.8
US GDPe	2.9	2.1	1.3	0.7	0.0
US unemploymentf	3.4	3.9	4.4	5.5	6.7
US HPIg	6.2	5.0	3.8	2.5	1.2
US federal funds ratef	2.8	3.1	3.3	4.3	5.2
As at 31 December 2021
UK GDPe	4.4	3.9	3.4	2.7	1.8
UK unemploymentf	4.3	4.4	4.5	5.8	7.0
UK HPIg	6.3	4.4	2.4	0.3	(2.0)
UK bank ratef	0.3	0.5	0.7	1.7	2.3
US GDPe	4.4	3.9	3.4	2.4	1.3
US unemploymentf	3.9	4.0	4.1	5.7	7.1
US HPIg	8.9	7.7	6.2	3.6	1.4
US federal funds ratef	0.5	0.6	0.8	1.5	2.1

Notes

aUK GDP = Real GDP growth seasonally adjusted; UK unemployment = UK unemployment rate 16-year+; UK HPI = Halifax All Houses, All Buyers Index; US GDP = Real GDP

growth seasonally adjusted; US unemployment = US civilian unemployment rate 16-year+; US HPI = FHFA house price index. 20 quarter period starts from Q121 (2020:

Q120).

bMaximum growth relative to Q420 (2021: Q419), based on 20 quarter period in Upside scenarios; 5-year yearly average CAGR in Baseline; minimum growth relative to

Q420 (2021: Q419), based on 20 quarter period in Downside scenarios.

cLowest quarter in Upside scenarios; 5-year average in Baseline; highest quarter in Downside scenarios. Period based on 20 quarters from Q121 (2021: Q120).

dMaximum growth relative to Q420 (2021: Q419), based on 20 quarter period in Upside scenarios; 5-year quarter end CAGR in Baseline; minimum growth relative to Q420

(2021: Q419), based on 20 quarter period in Downside scenarios.

e5-year yearly average CAGR, starting 2021 (2021: 2020).

f5-year average. Period based on 20 quarters from Q121 (2021: Q120).

g5-year quarter end CAGR, starting Q420 (2021: Q419).

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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.

GDP growth based on year on year growth each quarter (Q/(Q-4))

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ECL under 100% weighted scenarios for modelled portfolios (audited)

The table below shows the Expected Credit Loss (ECL) assuming scenarios have been 100% weighted with the dispersion of results around the Baseline,

highlighting the impact on exposure and ECL across the scenarios.

Model exposure uses exposure at default (EAD) values and is not directly comparable to gross exposure used in prior disclosures.


	Scenarios
As at 31 December 2022	Weighteda	Upside 2	Upside 1	Baseline	Downside 1	Downside 2
Stage 1 Model exposure (£m)
Home loans	3,622	3,652	3,642	3,627	3,593	3,557
Credit cards, unsecured loans and other retail lendingb, c	55,016	54,797	54,789	54,855	55,062	55,197
Wholesale loans	167,476	171,642	170,664	169,325	163,888	152,417
Stage 1 Model ECL (£m)
Home loans	3	3	3	3	3	4
Credit cards, unsecured loans and other retail lending	436	415	427	438	445	452
Wholesale loans	287	220	243	273	337	379
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	0.8	0.8	0.8	0.8	0.8	0.8
Wholesale loans	0.2	0.1	0.1	0.2	0.2	0.2
Stage 2 Model exposure (£m)
Home loans	252	223	233	248	281	317
Credit cards, unsecured loans and other retail lendingb, c	4,865	4,411	4,713	4,996	5,250	5,657
Wholesale loans	18,850	14,684	15,662	17,001	22,438	33,909
Stage 2 Model ECL (£m)
Home loans	24	14	18	22	34	45
Credit cards, unsecured loans and other retail lending	1,173	1,037	1,105	1,173	1,269	1,402
Wholesale loans	521	360	411	482	682	1,092
Stage 2 Coverage (%)
Home loans	9.5	6.3	7.7	8.9	12.1	14.2
Credit cards, unsecured loans and other retail lending	24.1	23.5	23.4	23.5	24.2	24.8
Wholesale loans	2.8	2.5	2.6	2.8	3.0	3.2
Stage 3 Model exposure (£m)d
Home loans	583	583	583	583	583	583
Credit cards, unsecured loans and other retail lending	1,194	1,194	1,194	1,194	1,194	1,194
Wholesale loans	—	—	—	—	—	—
Stage 3 Model ECL (£m)
Home loans	319	308	313	317	328	337
Credit cards, unsecured loans and other retail lending	895	877	886	895	907	917
Wholesale loanse	—	—	—	—	—	—
Stage 3 Coverage (%)
Home loans	54.7	52.8	53.7	54.4	56.3	57.8
Credit cards, unsecured loans and other retail lending	75.0	73.5	74.2	75.0	76.0	76.8
Wholesale loanse	—	—	—	—	—	—
Total Model ECL (£m)
Home loans	346	325	334	342	365	386
Credit cards, unsecured loans and other retail lending	2,504	2,329	2,418	2,506	2,621	2,771
Wholesale loanse	808	580	654	755	1,019	1,471
Total ECL	3,658	3,234	3,406	3,603	4,005	4,628

Risk review

Risk performance

Credit risk


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Reconciliation to total ECL	£m
Total weighted model ECL	3,658
ECL from individually assessed impairmentse	316
ECL from non-modelled and others	400
ECL from post model management adjustmentsf	(22)
Of which: ECL from economic uncertainty adjustments	97
Total ECL	4,352

Note

aModel exposures are allocated to a stage based on an individual scenario rather than a probability-weighted approach, as required for Barclays reported impairment

allowances. As a result, it is not possible to back solve the final reported weighted ECL from individual scenarios given balances may be assigned to a different stage

dependent on the scenario.

bFor Credit cards, unsecured loans and other retail lending, the model exposure movement between stages 1 and 2 across scenarios differs due to additional impacts from

the undrawn exposure.

cFor Credit cards, unsecured loans and other retail lending, the dispersion of results around Baseline has narrowed following model enhancements made during the year.

dModel exposures allocated to Stage 3 does not change in any of the scenarios as the transition criteria relies only on an observable evidence of default as at 31st December

2022 and not on macroeconomic scenario.

eMaterial wholesale loan defaults are individually assessed across different recovery strategies. As a result, ECL of £316m is reported as an individually assessed impairment

in the reconciliation table.

fPost Model Adjustments include negative adjustments reflecting operational post model adjustments.

The use of five scenarios with associated weightings results in a total weighted ECL uplift from the Baseline ECL of 1.5%.

Home loans: Total weighted ECL of £346m represents a 1.2% increase over the Baseline ECL (£342m) reflecting the nature of the Italy portfolio.

Credit cards, unsecured loans and other retail lending: Total weighted ECL of £2,504m is aligned to the Baseline ECL (£2,506m). The impact of the

deteriorated Baseline scenario relative to the severity of the Downside scenarios is greater than the impact of the higher weights applied to the

Downside scenarios when compared to 2021. This results in a convergence between Baseline and Weighted ECL in 2022. Total ECL increases to

£2,771m under the Downside 2 scenario, mainly driven by significant increase in US unemployment rate to 6.0% in 2023.

Wholesale loans: Total weighted ECL of £808m represents a 7.0% increase over the Baseline ECL (£755m) reflecting the range of economic scenarios

used, with exposures in the Investment Bank being particularly sensitive to the Downside 2 scenario.

Risk review

Risk performance

Credit risk


home.barclays/annualreport	Barclays Bank PLC Annual Report	96


	Scenarios
As at 31 December 2021	Weighteda	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 lendingb, c	30,282	27,945	29,092	30,271	32,013	30,280
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	0.7	0.6	0.6	0.6	0.8	1.1
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 lendingb, c	2,291	1,771	1,919	2,082	4,586	11,493
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	15.9	14.9	15.4	16.0	13.1	19.8
Wholesale loans	1.7	1.5	1.5	1.7	2.3	3.4

Stage 3 Model exposure (£m)d
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	0	0	0	0	0	0
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 loanse	0	0	0	0	0	0
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 loanse	0.0	0.0	0.0	0.0	0.0	0.0

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 loanse	725	584	620	678	962	1,511
Total ECL	2,318	1,992	2,073	2,189	2,856	5,190

Risk review

Risk performance

Credit risk


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Reconciliation to total ECL	£m
Total weighted model ECL	2,318
ECL from individually assessed impairmentse	463
ECL from non-modelled and others	75
ECL from post model management adjustments	1,142
Of which: ECL from economic uncertainty adjustments	1,049
Total ECL	3,998

Notes

aModel exposures are allocated to a stage based on an individual scenario rather than a probability-weighted approach, as required for Barclays reported impairment

allowances. As a result, it is not possible to back solve the final reported weighted ECL from individual scenarios given balances may be assigned to a different stage

dependent on the scenario.

bFor Credit cards, unsecured loans and other retail lending, the model exposure movement between stages 1 and 2 across scenarios differs due to additional impacts from

the undrawn exposure.

cIn 2021, Loans & Advances at amortised cost were used as model exposure for the International Consumer Bank within this disclosure. The process was revised in 2022 to

incorporate Exposure at Default (EAD) with no impact to ECL. This has been represented in prior year comparatives.

dModel exposures allocated to Stage 3 does not change in any of the scenarios as the transition criteria relies only on an observable evidence of default as at 31st December

2021 and not on macroeconomic scenario.

eMaterial wholesale loan defaults are individually assessed across different recovery strategies. As a result, ECL of £463m is reported as an individually assessed impairment

in the reconciliation table.

Risk review

Risk performance

Credit risk


home.barclays/annualreport	Barclays Bank PLC Annual Report	98

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 45% (2021: 44%), in the UK 26% (2021: 25%) and Europe 22% (2021: 24%).


Credit risk concentrations by geography (audited)
Barclays Bank Group	United Kingdom	Americas	Europe	Asia	Africa and Middle East	Total
As at 31 December 2022	£m	£m	£m	£m	£m	£m
On-balance sheet:
Cash and balances at central banks	74,792	49,830	73,677	3,552	291	202,142
Cash collateral and settlement balances	37,994	36,503	21,962	10,345	1,058	107,862
Loans and advances at amortised cost	67,271	72,633	31,532	5,958	5,113	182,507
Reverse repurchase agreements and other similar secured lending	—	127	329	262	7	725
Trading portfolio assets	9,341	35,481	16,925	5,300	1,581	68,628
Financial assets at fair value through the income statement	28,769	106,715	41,355	20,535	8,820	206,194
Derivative financial instruments	99,695	101,402	77,106	22,299	2,474	302,976
Financial assets at fair value through other comprehensive income	5,228	17,950	15,929	5,718	258	45,083
Other assets	1,367	118	13	3	2	1,503
Total on-balance sheet	324,457	420,759	278,828	73,972	19,604	1,117,620

Off-balance sheet:
Contingent liabilities	7,530	11,297	4,811	1,760	402	25,800
Loan commitments	45,027	240,343	42,533	4,321	2,753	334,977
Total off-balance sheet	52,557	251,640	47,344	6,081	3,155	360,777
Total	377,014	672,399	326,172	80,053	22,759	1,478,397

As at 31 December 2021
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

Risk review

Risk performance

Credit risk


home.barclays/annualreport	Barclays Bank PLC Annual Report	99


Credit risk concentrations by geography (audited)
Barclays Bank PLC	United Kingdom	Americas	Europe	Asia	Africa and Middle East	Total
As at 31 December 2022	£m	£m	£m	£m	£m	£m
On-balance sheet:
Cash and balances at central banks	74,793	45,862	46,340	3,021	291	170,307
Cash collateral and settlement balances	33,456	26,188	13,444	8,419	864	82,371
Loans and advances at amortised cost	146,876	42,880	24,257	8,150	3,620	225,783
Reverse repurchase agreements and other similar secured lending	196	2,823	1,608	1,274	7	5,908
Trading portfolio assets	8,914	20,209	10,489	3,260	1,509	44,381
Financial assets at fair value through the income statement	82,347	89,815	44,060	22,292	8,652	247,166
Derivative financial instruments	111,149	79,178	43,917	21,991	2,473	258,708
Financial assets at fair value through other comprehensive income	5,228	17,868	14,228	5,505	257	43,086
Other assets	1,511	65	115	34	—	1,725
Total on-balance sheet	464,470	324,888	198,458	73,946	17,673	1,079,435

Off-balance sheet:
Contingent liabilities	35,878	13,230	11,009	1,713	373	62,203
Loan commitments	42,769	141,333	16,835	4,244	2,155	207,336
Total off-balance sheet	78,647	154,563	27,844	5,957	2,528	269,539
Total	543,117	479,451	226,302	79,903	20,201	1,348,974

As at 31 December 2021
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

Risk review

Risk performance

Credit risk


home.barclays/annualreport	Barclays Bank PLC Annual Report	100

Industry concentrations

Total exposure concentrated in banks and other financial institutions is 48% (2021: 48%), predominantly within derivative financial instruments and

financial assets. The proportion of the overall exposure concentrated in governments and central banks is 22% (2021: 22%). Further details on material

and emerging risks can be found on pages 43 to 55.


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 2022	£m	£m	£m	£m	£m	£m	£m	£m	£m	£m	£m	£m
On-balance sheet:
Cash and balances at central banks	675	—	—	—	201,467	—	—	—	—	—	—	202,142
Cash collateral and settlement balances	14,965	78,705	229	67	12,739	269	136	166	—	—	586	107,862
Loans and advances at amortised cost	8,753	49,102	7,346	16,460	17,828	5,541	8,164	16,810	11,405	34,483	6,615	182,507
Reverse repurchase agreements and other similar secured lending	583	92	—	—	50	—	—	—	—	—	—	725
Trading portfolio assets	4,638	9,314	5,007	1,405	36,335	2,330	789	2,782	—	—	6,028	68,628
Financial assets at fair value through the income statement	30,982	149,917	705	1,707	16,598	184	479	3,897	1,255	—	470	206,194
Derivative financial instruments	128,161	152,840	4,095	597	3,027	4,778	1,541	3,175	—	—	4,762	302,976
Financial assets at fair value through other comprehensive income	9,293	2,444	—	592	32,372	—	—	112	—	—	270	45,083
Other assets	345	1,020	9	—	1	1	—	118	—	—	9	1,503
Total on-balance sheet	198,395	443,434	17,391	20,828	320,417	13,103	11,109	27,060	12,660	34,483	18,740	1,117,620

Off-balance sheet:
Contingent liabilities	1,108	8,075	3,695	1,430	1,008	3,891	1,138	3,177	—	143	2,135	25,800
Loan commitments	1,779	63,801	44,808	11,887	1,501	29,594	16,308	24,672	120	114,820	25,687	334,977
Total off-balance sheet	2,887	71,876	48,503	13,317	2,509	33,485	17,446	27,849	120	114,963	27,822	360,777
Total	201,282	515,310	65,894	34,145	322,926	46,588	28,555	54,909	12,780	149,446	46,562	1,478,397

As at 31 December 2021
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

Risk review

Risk performance

Credit risk


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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 2022	£m	£m	£m	£m	£m	£m	£m	£m	£m	£m	£m	£m
On-balance sheet:
Cash and balances at central banks	646	—	—	—	169,661	—	—	—	—	—	—	170,307
Cash collateral and settlement balances	12,913	57,722	161	49	10,955	158	126	102	—	—	185	82,371
Loans and advances at amortised cost	15,169	126,991	6,577	14,662	17,438	5,205	7,578	14,741	6,512	5,048	5,862	225,783
Reverse repurchase agreements and other similar secured lending	1,736	4,122	—	—	50	—	—	—	—	—	—	5,908
Trading portfolio assets	2,495	3,872	4,748	1,297	21,005	2,087	713	2,386	—	—	5,778	44,381
Financial assets at fair value through the income statement	31,937	194,349	665	1,566	13,769	64	479	2,910	957	—	470	247,166
Derivative financial instruments	116,901	124,050	3,195	545	2,078	3,243	1,469	3,046	—	—	4,181	258,708
Financial assets at fair value through other comprehensive income	7,635	2,444	—	592	32,033	—	—	112	—	—	270	43,086
Other assets	441	1,218	—	—	—	—	—	66	—	—	—	1,725
Total on-balance sheet	189,873	514,768	15,346	18,711	266,989	10,757	10,365	23,363	7,469	5,048	16,746	1,079,435

Off-balance sheet:
Contingent Liabilities	10,901	37,937	2,149	1,169	1,008	3,275	1,040	2,735	—	115	1,874	62,203
Loan commitments	1,334	70,710	37,585	10,891	1,501	23,059	15,159	22,563	86	1,736	22,712	207,336
Total off-balance sheet	12,235	108,647	39,734	12,060	2,509	26,334	16,199	25,298	86	1,851	24,586	269,539
Total	202,108	623,415	55,080	30,771	269,498	37,091	26,564	48,661	7,555	6,899	41,332	1,348,974

As at 31 December 2021
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

Risk review

Risk performance

Credit risk


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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 75 to 88.

The Barclays Bank Group uses the following internal measures to determine credit quality for loans:


PD Range %	Internal DG Band	Default Probability			Credit Quality description	Moody’s	Standard and Poor’s
PD Range %	Internal DG Band	>Min	Mid	<=Max	Credit Quality description	Moody’s	Standard and Poor’s
0.00 to < 0.15	1	0.00%	0.01%	0.02%	Strong	Aaa, Aa1, Aa2	AAA, AA+, AA
	2	0.02%	0.03%	0.03%		Aa3	AA-
	3	0.03%	0.04%	0.05%		A1	A+
	4	0.05%	0.08%	0.10%		A2, A3	A, A-
	5	0.10%	0.13%	0.15%		Baa1	BBB+
0.15 to < 0.25	6	0.15%	0.18%	0.20%	Strong	Baa2	BBB
0.15 to < 0.25	7	0.20%	0.23%	0.25%	Strong	Baa2	BBB
0.25 to < 0.50	8	0.25%	0.28%	0.30%	Strong	Baa3	BBB-
	9	0.30%	0.35%	0.40%		Baa3	BBB-
	10	0.40%	0.45%	0.50%		Ba1	BB+
0.50 to < 0.75	11	0.50%	0.55%	0.60%	Strong	Ba1	BB+
0.50 to < 0.75	12	0.60%	0.68%	0.75%	Satisfactory	Ba2	BB
0.75 to < 2.50	12	0.75%	0.98%	1.20%	Satisfactory	Ba2	BB
	13	1.20%	1.38%	1.55%		Ba3	BB-
	14	1.55%	1.85%	2.15%		Ba3	B+
	15	2.15%	2.33%	2.50%		B1	B+
2.50 to < 10.00	15	2.50%	2.78%	3.05%	Satisfactory	B1	B+
	16	3.05%	3.75%	4.45%		B2	B+
	17	4.45%	5.40%	6.35%		B3, Caa1	B
	18	6.35%	7.50%	8.65%		B3, Caa1	B-
	19	8.65%	10.00%	10.00%		B3, Caa1	CCC+
10.00 to < 100.00	19	10.00%	10.68%	11.35%	Higher risk	Caa2	CCC+
	20	11.35%	15.00%	18.65%		Caa2	CCC
	21	18.65%	30.00%	99.99%		Caa3, Ca, C	CCC-, CC+ ,CC, C
100.00 (Default)	22	100%				D	D
100.00 (Default)	22	100%				D	D

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.

Risk review

Risk performance

Credit risk


home.barclays/annualreport	Barclays Bank PLC Annual Report	103

Overview

As at 31 December 2022, the ratio of the Barclays Bank Group’s on-balance sheet assets classified as strong (0.0 < 0.60%) remained stable at 86%

(2021: 86%) of total assets exposed to credit risk.


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 2022		£m	£m	£m	£m	%	%	%	%
Cash and balances at central banks		202,142			202,142	100	—	—	100
Cash collateral and settlement balances		96,688	10,886	288	107,862	90	10	—	100
Loans and advances at amortised cost
Home loans		10,096	636	673	11,405	88	6	6	100
Credit cards, unsecured loans and other retail lending		15,376	17,140	1,646	34,162	45	50	5	100
Wholesale loans		108,267	26,397	2,276	136,940	79	19	2	100
Total loans and advances at amortised cost		133,739	44,173	4,595	182,507	73	24	3	100
Reverse repurchase agreements and other similar secured lending		725			725	100	—	—	100
Trading portfolio assets:
Debt securities		50,208	4,891	331	55,430	90	9	1	100
Traded loans		3,214	8,273	1,711	13,198	24	63	13	100
Total trading portfolio assets		53,422	13,164	2,042	68,628	79	19	3	100
Financial assets at fair value through the income statement:
Loans and advances		13,508	24,573	109	38,190	36	64	—	100
Debt securities		2,097	1,055	65	3,217	65	33	2	100
Reverse repurchase agreements		124,811	38,339	1,548	164,698	76	23	1	100
Other financial assets		68	21	—	89	76	24	—	100
Total financial assets at fair value through the income statement		140,484	63,988	1,722	206,194	68	31	1	100
Derivative financial instruments		285,087	17,606	283	302,976	94	6	—	100
Financial assets at fair value through other comprehensive income		45,081	3		45,084	100	—	—	100
Other assets		1,455	47		1,502	97	3	—	100
Total on-balance sheet		958,823	149,867	8,930	1,117,620	86	13	1	100


As at 31 December 2021
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		1,346	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

Risk review

Risk performance

Credit risk


home.barclays/annualreport	Barclays Bank PLC Annual Report	104


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 2022		£m	£m	£m	£m	%	%	%	%
Cash and balances at central banks		170,307			170,307	100	—	—	100
Cash collateral and settlement balances		76,648	5,582	141	82,371	93	7	—	100
Loans and advances at amortised cost
Home loans		6,004	92	446	6,542	92	1	7	100
Credit cards, unsecured loans and other retail lending		3,534	920	261	4,715	74	20	6	100
Wholesale loans		188,224	24,223	2,079	214,526	88	11	1	100
Total loans and advances at amortised cost		197,762	25,235	2,786	225,783	88	11	1	100
Reverse repurchase agreements and other similar secured lending		5,908	—		5,908	100	—	—	100
Trading portfolio assets:
Debt securities		26,440	4,639	331	31,410	84	15	1	100
Traded loans		3,050	8,265	1,656	12,971	24	63	13	100
Total trading portfolio assets		29,490	12,904	1,987	44,381	67	29	4	100
Financial assets at fair value through the income statement:
Loans and advances		33,907	11,841	82	45,830	74	26	—	100
Debt securities		2,935	889	45	3,869	76	23	1	100
Reverse repurchase agreements		164,833	31,185	1,422	197,440	83	16	1	100
Other financial assets		27			27	100	—	—	100
Total financial assets at fair value through the income statement		201,702	43,915	1,549	247,166	81	18	1	100
Derivative financial instruments		242,838	15,613	257	258,708	94	6	—	100
Financial assets at fair value through other comprehensive income		43,083	3		43,086	100	—	—	100
Other assets		1,701	24		1,725	99	1	—	100
Total on-balance sheet		969,439	103,276	6,720	1,079,435	89	10	1	100

As at 31 December 2021
Cash and balances at central banks		144,964	—	—	144,964	100	0	0	100
Cash collateral and settlement balances		70,264	5,301	6	75,571	93	7	0	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	0	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	0	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	0	100
Other financial assets		22	—	—	22	100	0	0	100
Total financial assets at fair value through the income statement		194,548	41,332	559	236,439	83	17	0	100
Derivative financial instruments		220,905	13,239	265	234,409	94	6	0	100
Financial assets at fair value through other comprehensive income		44,157	6	—	44,163	100	0	0	100
Other assets		978	40	—	1,018	96	4	0	100
Total on-balance sheet		880,472	101,376	4,986	986,834	89	10	1	100

Risk review

Risk performance

Credit risk


home.barclays/annualreport	Barclays Bank PLC Annual Report	105

Credit exposures by internal PD grade

The below tables represent 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 8 to the financial statements on page 189), 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 2022
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	Net exposure	Coverage ratio
Grading	%	Credit quality description	£m	£m	£m	£m	£m	£m	£m	£m	£m	%
1-3	0.0 to < 0.05%	Strong	57,324	845	5	58,174	2	15	3	20	58,154	—
4-5	0.05 to < 0.15%	Strong	24,545	235	—	24,780	11	1	—	12	24,768	—
6-8	0.15 to < 0.30%	Strong	14,893	4,348	—	19,241	24	16	—	40	19,201	0.2
9-11	0.30 to < 0.60%	Strong	30,577	1,139	—	31,716	87	13	—	100	31,616	0.3
12-14	0.60 to < 2.15%	Satisfactory	17,488	3,096	—	20,584	169	124	—	293	20,291	1.4
15-19	2.15 to < 10%	Satisfactory	12,130	3,859	—	15,989	147	532	—	679	15,310	4.2
19	10 to < 11.35%	Satisfactory	6,227	2,640	—	8,867	199	96	—	295	8,572	3.3
20-21	11.35 to < 100%	Higher Risk	624	2,787	—	3,411	54	692	—	746	2,665	21.9
22	100%	Credit Impaired	—	—	3,565	3,565	—	—	1,635	1,635	1,930	45.9
Total			163,808	18,949	3,570	186,327	693	1,489	1,638	3,820	182,507	2.1


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	Net exposure	Coverage ratio
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 2022
Credit risk profile by internal PD grade for contingent liabilitiesa (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	Net exposure	Coverage ratio
Grading	%	Credit quality description	£m	£m	£m	£m	£m	£m	£m	£m	£m	%
1-3	0.0 to < 0.05%	Strong	7,290	149	—	7,439	2	1	—	3	7,436	—
4-5	0.05 to < 0.15%	Strong	4,210	348	—	4,558	2	1	—	3	4,555	0.1
6-8	0.15 to < 0.30%	Strong	2,733	180	—	2,913	3	3	—	6	2,907	0.2
9-11	0.30 to < 0.60%	Strong	3,161	214	—	3,375	8	1	—	9	3,366	0.3
12-14	0.60 to < 2.15%	Satisfactory	1,989	751	—	2,740	21	6	—	27	2,713	1.0
15-19	2.15 to < 10%	Satisfactory	910	496	—	1,406	8	17	—	25	1,381	1.8
19	10 to < 11.35%	Satisfactory	716	190	—	906	41	18	—	59	847	6.5
20-21	11.35 to < 100%	Higher Risk	58	440	—	498	2	64	—	66	432	13.3
22	100%	Credit Impaired	—	—	542	542	—	—	3	3	539	0.6
Total			21,067	2,768	542	24,377	87	111	3	201	24,176	0.8

Risk review

Risk performance

Credit risk


home.barclays/annualreport	Barclays Bank PLC Annual Report	106


As at 31 December 2021
Credit risk profile by internal PD grade for contingent liabilitiesa (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	Net exposure	Coverage ratio
Grading	%	Credit quality description	£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


As at 31 December 2022
Credit risk profile by internal PD grade for loan commitmentsa (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	Net exposure	Coverage ratio
Grading	%	Credit quality description	£m	£m	£m	£m	£m	£m	£m	£m	£m	%
1-3	0.0 to < 0.05%	Strong	69,737	725	—	70,462	6	—	—	6	70,456	0.1
4-5	0.05 to < 0.15%	Strong	72,221	3,649	—	75,870	5	1	—	6	75,864	0.1
6-8	0.15 to < 0.30%	Strong	59,350	2,258	—	61,608	12	2	—	14	61,594	0.2
9-11	0.30 to < 0.60%	Strong	40,750	1,878	—	42,628	13	4	—	17	42,611	0.4
12-14	0.60 to < 2.15%	Satisfactory	26,100	4,355	—	30,455	47	14	—	61	30,394	0.2
15-19	2.15 to < 10%	Satisfactory	18,925	3,653	—	22,578	32	38	—	70	22,508	0.3
19	10 to < 11.35%	Satisfactory	10,241	2,754	—	12,995	29	27	—	56	12,939	0.4
20-21	11.35 to < 100%	Higher Risk	678	3,886	—	4,564	3	78	—	81	4,483	1.8
22	100%	Credit Impaired	—	—	346	346	—	—	20	20	326	5.8
Total			298,002	23,158	346	321,506	147	164	20	331	321,175	1.0


As at 31 December 2021
Credit risk profile by internal PD grade for loan commitmentsa (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	Net exposure	Coverage ratio
Grading	%	Credit quality description	£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

Notes

aExcludes loan commitments and financial guarantees carried at fair value of £14.9bn (2021: £18.8bn) for Barclays Bank Group.

Risk review

Risk performance

Credit risk


home.barclays/annualreport	Barclays Bank PLC Annual Report	107


Barclays Bank PLC
As at 31 December 2022
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	Net exposure	Coverage ratio
Grading	%	Credit quality description	£m	£m	£m	£m	£m	£m	£m	£m	£m	%
1-3	0.0 to < 0.05%	Strong	143,039	1,107	5	144,151	14	1	3	18	144,133	—
4-5	0.05 to < 0.15%	Strong	18,823	234	—	19,057	8	1	—	9	19,048	—
6-8	0.15 to < 0.30%	Strong	9,883	4,238	—	14,121	15	15	—	30	14,091	0.2
9-11	0.30 to < 0.60%	Strong	19,556	999	—	20,555	55	10	—	65	20,490	0.3
12-14	0.60 to < 2.15%	Satisfactory	13,347	1,965	—	15,312	136	24	—	160	15,152	100.0
15-19	2.15 to < 10%	Satisfactory	3,919	2,930	—	6,849	45	52	—	97	6,752	1.4
19	10 to < 11.35%	Satisfactory	2,170	1,250	—	3,420	41	48	—	89	3,331	2.6
20-21	11.35 to < 100%	Higher Risk	264	1,471	—	1,735	7	125	—	132	1,603	7.6
22	100%	Credit Impaired	—	—	1,797	1,797	—	—	614	614	1,183	34.2
Total			211,001	14,194	1,802	226,997	321	276	617	1,214	225,783	0.5


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	Net exposure	Coverage ratio
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 2022
Credit risk profile by internal PD grade for contingent liabilitiesa (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	Net exposure	Coverage ratio
Grading	%	Credit quality description	£m	£m	£m	£m	£m	£m	£m	£m	£m	%
1-3	0.0 to < 0.05%	Strong	47,460	147	—	47,607	7	1	—	8	47,599	—
4-5	0.05 to < 0.15%	Strong	3,198	344	—	3,542	2	1	—	3	3,539	0.1
6-8	0.15 to < 0.30%	Strong	2,026	134	—	2,160	2	3	—	5	2,155	0.2
9-11	0.30 to < 0.60%	Strong	2,615	50	—	2,665	5	—	—	5	2,660	0.2
12-14	0.60 to < 2.15%	Satisfactory	1,564	323	—	1,887	16	4	—	20	1,867	1.1
15-19	2.15 to < 10%	Satisfactory	745	303	—	1,048	6	9	—	15	1,033	1.4
19	10 to < 11.35%	Satisfactory	707	179	—	886	41	17	—	58	828	0.7
20-21	11.35 to < 100%	Higher Risk	55	431	—	486	2	63	—	65	421	13.4
22	100%	Credit Impaired	—	—	499	499	—	—	3	3	496	0.6
Total			58,370	1,911	499	60,780	81	98	3	182	60,598	0.3

Risk review

Risk performance

Credit risk


home.barclays/annualreport	Barclays Bank PLC Annual Report	108


As at As at 31 December 2021
Credit risk profile by internal PD grade for contingent liabilitiesa (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	Net exposure	Coverage ratio
Grading	%	Credit quality description	£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	42,803	—
4-5	0.05 to < 0.15%	Strong	3,024	413	—	3,437	1	2	—	3	3,440	0.1
6-8	0.15 to < 0.30%	Strong	1,407	168	—	1,575	1	2	—	3	1,578	0.2
9-11	0.30 to < 0.60%	Strong	2,346	124	—	2,470	3	1	—	4	2,474	0.2
12-14	0.60 to < 2.15%	Satisfactory	1,663	242	—	1,905	19	8	—	27	1,932	1.4
15-19	2.15 to < 10%	Satisfactory	742	346	—	1,088	5	8	—	13	1,101	1.2
19	10 to < 11.35%	Satisfactory	607	253	—	860	21	42	—	63	923	7.3
20-21	11.35 to < 100%	Higher Risk	139	1,144	—	1,283	3	76	—	79	1,362	6.2
22	100%	Credit Impaired	—	—	131	131	—	—	1	1	132	0.8
Total			52,560	2,852	131	55,543	61	140	1	202	55,745	—


As at 31 December 2022
Credit risk profile by internal PD grade for loan commitmentsa (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	Net exposure	Coverage ratio
Grading	%	Credit quality description	£m	£m	£m	£m	£m	£m	£m	£m	£m	%
1-3	0.0 to < 0.05%	Strong	69,839	473	—	70,312	2	—	—	2	70,310	—
4-5	0.05 to < 0.15%	Strong	41,526	2,405	—	43,931	3	1	—	4	43,927	—
6-8	0.15 to < 0.30%	Strong	21,669	1,699	—	23,368	4	2	—	6	23,362	—
9-11	0.30 to < 0.60%	Strong	14,176	1,328	—	15,504	5	2	—	7	15,497	—
12-14	0.60 to < 2.15%	Satisfactory	19,218	2,637	—	21,855	39	9	—	48	21,807	0.2
15-19	2.15 to < 10%	Satisfactory	3,554	2,229	—	5,783	19	23	—	42	5,741	0.7
19	10 to < 11.35%	Satisfactory	7,596	2,727	—	10,323	20	26	—	46	10,277	0.4
20-21	11.35 to < 100%	Higher Risk	517	3,494	—	4,011	—	46	—	46	3,965	1.1
22	100%	Credit Impaired	—	—	309	309	—	—	20	20	289	6.5
Total			178,095	16,992	309	195,396	92	109	20	221	195,175	0.1


As at 31 December 2021
Credit risk profile by internal PD grade for loan commitmentsa (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	Net exposure	Coverage ratio
Grading	%	Credit quality description	£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

Notes

aExcludes loan commitments and financial guarantees carried at fair value of £13.4bn (2021: £17.5bn) for Barclays Bank PLC.

Risk review

Risk performance

Credit risk


home.barclays/annualreport	Barclays Bank PLC Annual Report	109

Analysis of specific portfolios and asset types

Credit cards, unsecured loans and other retail lending

The principal portfolios listed below accounted for 81% (2021: 76%) of Barclays Bank Group’s total credit cards, unsecured loans and other retail

lending.


Principal portfolios
	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 2022
US cards	25,554	2.2	1.2	2.4	2.3
Germany consumer lending	4,269	1.7	0.7	0.7	0.6
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

US cards: Balances increased due to the acquisition of the Gap portfolio in June 2022, movement in the USD/GBP exchange rate and core portfolio

growth. 30 and 90 day arrears rates increased to 2.2% (2021: 1.6%) and 1.2% (2021: 0.8%) due to the partial normalisation of customer behaviour and

the acquisition of the Gap portfolio, though rates remain below pre-pandemic levels. Write-off rates decreased reflecting portfolio growth and the

impact of lower charge offs in 2021 due to the benefit of government support schemes.

Germany consumer lending: 30 day arrears rate increased to 1.7% (2021: 1.5%) due to increased macroeconomic uncertainty in Europe, though the

rate was consistent with pre-pandemic levels.

Government supported loans

Throughout the COVID-19 pandemic Barclays Bank 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 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 2022
CBILS	306	154	8	468	5	—	5	1.1	1.1	375
CLBILS	67	32	13	112	2	—	2	2.1	2.1	89
RLS	17	3	1	21	—	—	—	1.5	1.5	16
Total	390	189	22	601	7	—	7	1.2	1.2	480

As at 31 December 2021
CBILS	619	146	6	771	5	—	5	0.6	0.6	617
CLBILS	163	56	2	221	1	—	1	0.4	0.4	177
RLS	1	—	—	1	—	—	—	4.7	4.7	1
Total	783	202	8	993	6	—	6	0.6	0.6	795

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 (70% for RLS issued post January

1, 2022) as at the balance sheet date.

Risk review

Risk performance

Credit risk


home.barclays/annualreport	Barclays Bank PLC Annual Report	110


Summary of Contents	Page
■Market risk overview	112	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	112
■Summary of performance in the period	112
■Traded market risk review	112	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	112
–The daily average, maximum and minimum values of management VaR	112
–Business scenario stresses	113	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


home.barclays/annualreport	Barclays Bank PLC Annual Report	111

All disclosures in this section, pages 112 to 113, 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 60 provides a description of management VaR. Management measures are shown below.

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 increased 89% to £36m (2021: £19m) driven by higher market volatility. The Russian invasion of Ukraine and elevated

inflation increased volatility across all asset classes as central banks increased base rates, equity markets declined, and credit spreads widened during

this period. The Global Markets business maintained a generally short and defensive risk profile (i.e. positioned to gain as the market sells off) for most

of 2022. VaR increased in Q4 2022 from an increase in funded, fair-value leverage loan exposure in Investment Banking. Risk taking remained within

agreed risk appetite limits at all times in 2022.

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, measured to a confidence level of 95%.

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, high and low values of management VaR


Management VaR (95%, one day) (audited)
	2022			2021
	Average	High	Low	Average	High	Low
For the year ended 31 December	£m	£m	£m	£m	£m	£m
Credit risk	25	71	8	14	30	7
Interest rate risk	13	23	4	7	14	4
Equity risk	10	29	4	9	29	4
Basis risk	12	24	4	5	10	3
Spread risk	7	11	3	4	6	3
Foreign exchange risk	7	25	2	4	16	1
Commodity risk	—	1	—	—	1	—
Inflation risk	7	17	3	3	5	2
Diversification effecta	(45)	n/a	n/a	(27)	n/a	n/a
Total management VaR	36	72	14	19	36	6

Note

aDiversification 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


home.barclays/annualreport	Barclays Bank PLC Annual Report	112

Barclays Bank Group Management VaR (£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 2022, 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


home.barclays/annualreport	Barclays Bank PLC Annual Report	113


Summary of Contents	Page
Liquidity risk performance
■Liquidity risk overview	114	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	115


■Contractual maturity of financial assets and liabilities	117	Provides details on the contractual maturity of all financial instruments and other assets and liabilities.

Capital risk performance
■Capital risk overview	125	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	125
–Capital resources	125
–Leverage ratio	126


■Foreign exchange risk	127	Barclays Bank Group discloses the two sources of foreign exchange risk that it is exposed to.
–Transactional foreign currency exposure	127
–Translational foreign exchange exposure	127
–Functional currency of operations	127

■Pension risk review	128	A review focusing on the UK retirement fund, which represents the majority of Barclays Bank Group’s total retirement benefit obligation.
–Assets	128
–Liabilities	128
–IAS 19 position	128
–Risk measurement	129

Interest rate risk in the banking book performance
■Interest rate risk in the banking book overview and summary of performance	130	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	130
■Analysis of equity sensitivity	131
■Volatility of the FVOCI portfolio in the liquidity pool	131

Risk review

Risk performance

Treasury and Capital risk


home.barclays/annualreport	Barclays Bank PLC Annual Report	114

Liquidity risk

All disclosures in this section, pages 115 to 135, 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 business-as-usual and stressed conditions.

The liquidity risk 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 regulation

Certain Basel III standards including those relating to the introduction of the liquidity adequacy requirement measured through the Liquidity Coverage

Ratio (LCR) were implemented in EU law through CRR, as amended by CRRII, and the Capital Requirements Directive IV. These standards were retained

in the UK regulatory framework via a series of onshoring instruments as part of the UK’s withdrawal from the EU. In October 2021, the PRA published

the final policy statement setting out its planned implementation of supplementary Basel III standards, including the Net Stable Funding Ratio (NSFR).

These came into effect in the UK on 1 January 2022 from which date the Barclays Bank Group and its UK subsidiaries monitored their positions against

both the LCR and NSFR. The LCR requirement takes into account the relative stability of different sources of funding and potential incremental funding

requirements in a stress. The NSFR has been developed to promote a sustainable and stable structure of assets and liabilities.

Liquidity risk stress testing

The internal liquidity stress test 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.

As at 31 December 2022, 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.

The liquidity pool increased to £191bn (December 2021: £167bn), while the LCR remained above the 100% regulatory requirement at 148% (December

2021:140%). The liquidity pool movement was driven by further growth in deposits, and an increase in wholesale funding, which were partly offset by

an increase in business funding consumption.


	2022	2021
As at 31 December	£bn	£bn
Barclays Bank PLC DoLSub Liquidity Pool1	191	167
	%	%
Barclays Bank PLC DoLSub Liquidity Coverage Ratio	148	140

Note

1.In 2021 the Barclays Bank Group Liquidity Pool which included Barclays Bank Ireland PLC and the US subsidiaries was disclosed.

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 2022, Barclays Bank Group repaid

£1.1bn of TLTRO drawings reducing its outstanding balance to £1.4bn as at 31 December 2022. Barclays Bank Group had £7.0bn TFSME balances

outstanding at the year-end.

Net Stable Funding Ratio (NSFR)

The external NSFR metric requires banks to maintain a stable funding profile taking into account both on and certain off balance sheet exposures over a

medium to long term period. The ratio is defined as the Available Stable Funding (capital and certain liabilities which are defined as stable sources of

funding) relative to the Required Stable Funding (assets on balance sheet and certain off balance sheet exposures). The NSFR (average of last four

quarter ends) was 108% at December 2022, equivalent to a surplus of £20bn above the regulatory requirement and demonstrates Barclays Bank PLC’s

stable funding profile in relation to our on and certain off-balance sheet activities.

Risk review

Risk performance

Treasury and Capital risk


home.barclays/annualreport	Barclays Bank PLC Annual Report	115


	2022
Net Stable Funding Ratio2	£bn
Total Available Stable Funding	310
Total Required Stable Funding	288
Surplus	22

Net Stable Funding Ratio	108%

Note

2. Average represents the last four spot quarter end positions.

As part of the liquidity risk appetite, Barclays Bank PLC DoLSub establishes minimum LCR, NSFR and internal liquidity stress test limits. Barclays Bank

PLC DoLSub plans to maintain its surplus to the internal and regulatory requirements at an efficient level. Risks to market funding conditions, the

Group’s liquidity position and funding profile are assessed continuously, and actions are taken to manage the size of the liquidity pool and the funding

profile as appropriate.

Risk review

Risk performance

Treasury and Capital risk


home.barclays/annualreport	Barclays Bank PLC Annual Report	116

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 2022	£m	£m	£m	£m	£m	£m	£m	£m	£m	£m	£m
Assets
Cash and balances at central banks	201,888	254	—	—	—	—	—	—	—	—	202,142
Cash collateral and settlement balances	3,010	104,852	—	—	—	—	—	—	—	—	107,862
Loans and advances at amortised cost	15,961	11,458	7,606	7,082	10,261	29,637	23,135	39,498	17,385	20,484	182,507
Reverse repurchase agreements and other similar secured lending	127	597	—	—	—	—	—	—	—	1	725
Trading portfolio assets	133,771	—	—	—	—	—	—	—	—	—	133,771
Financial assets at fair value through the income statement	32,032	147,655	7,003	4,842	2,036	6,361	4,561	2,909	1,769	1,960	211,128
Derivative financial instruments	302,665	91	19	—	4	—	174	—	—	23	302,976
Financial assets at fair value through other comprehensive income	8	3,391	2,871	583	132	6,991	4,654	11,493	8,161	6,800	45,084
Other financial assets	285	1,062	112	—	43	—	—	1	—	—	1,503
Total financial assets	689,747	269,360	17,611	12,507	12,476	42,989	32,524	53,901	27,315	29,268	1,187,698
Other assets											15,839
Total assets											1,203,537
Liabilities
Deposits at amortised cost	196,398	62,314	18,918	4,384	6,425	911	373	621	996	239	291,579
Cash collateral and settlement balances	3,013	93,798	—	—	—	—	—	—	—	—	96,811
Repurchase agreements and other similar secured borrowing	256	9,578	—	—	943	1,105	—	—	—	83	11,965
Debt securities in issue	—	27,136	12,516	4,691	5,368	3,528	1,241	1,501	3,663	368	60,012
Subordinated liabilities	—	17	240	974	1,105	4,369	4,782	9,001	10,288	7,477	38,253
Trading portfolio liabilities	72,460	—	—	—	—	—	—	—	—	—	72,460
Financial liabilities designated at fair value	10,844	187,160	14,352	5,292	3,812	13,992	10,547	8,528	6,708	10,820	272,055
Derivative financial instruments	288,398	15	58	4	—	137	85	112	56	341	289,206
Other financial liabilities	56	7,176	17	18	17	164	59	117	161	21	7,806
Total financial liabilities	571,425	387,194	46,101	15,363	17,670	24,206	17,087	19,880	21,872	19,349	1,140,147
Other liabilities											4,437
Total liabilities											1,144,584
Cumulative liquidity gap	118,322	488	(28,002)	(30,858)	(36,052)	(17,269)	(1,832)	32,189	37,632	47,551	58,953

Risk review

Risk performance

Treasury and Capital risk


home.barclays/annualreport	Barclays Bank PLC Annual Report	117


Contractual maturity of financial assets and liabilities (audited)
Restateda
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	21,339	158,078	16,857	10,267	3,588	6,534	6,114	7,734	7,366	13,254	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	534,660	303,767	41,424	18,121	10,997	18,365	16,746	15,863	19,835	20,976	1,000,754
Other liabilities											4,707
Total liabilities											1,005,461
Cumulative liquidity gap	88,190	11,487	(12,701)	(19,097)	(16,600)	(7,612)	7,220	31,112	41,531	49,142	56,317

Note

a.2021 financial metrics have been restated to reflect the impact of the Over-issuance of Securities. See Restatement of financial statements (Note 1a) on page 180 for

further details. The contractual maturity profile of financial liabilities designated at fair value has been restated to reflect the impact of the Over-issuance of Securities.

Securities issued by the Company in excess of the maximum aggregate offering price registered under the Company’s 2019 F-3 with a value of £6,997m have been

classified as "on demand".

Risk review

Risk performance

Treasury and Capital risk


home.barclays/annualreport	Barclays Bank PLC Annual Report	118


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 2022	£m	£m	£m	£m	£m	£m	£m	£m	£m	£m	£m
Assets
Cash and balances at central banks	170,053	254	—	—	—	—	—	—	—	—	170,307
Cash collateral and settlement balances	1,219	81,152	—	—	—	—	—	—	—	—	82,371
Loans and advances at amortised cost	11,398	59,934	7,810	11,403	11,669	23,583	25,262	36,106	28,058	10,560	225,783
Reverse repurchase agreements and other similar secured lending	—	5,907	—	—	—	—	—	—	—	1	5,908
Trading portfolio assets	83,043	—	—	—	—	—	—	—	—	—	83,043
Financial assets at fair value through the income statement	96	209,570	9,016	6,500	2,574	5,877	6,003	4,907	1,822	960	247,325
Derivative financial instruments	258,254	168	10	—	4	76	175	—	—	21	258,708
Financial assets at fair value through other comprehensive	—	1,421	2,854	582	132	6,990	4,654	11,492	8,161	6,800	43,086
Other financial assets	272	948	496	—	9	—	—	—	—	—	1,725
Total financial assets	524,335	359,354	20,186	18,485	14,388	36,526	36,094	52,505	38,041	18,342	1,118,256
Other assets											29,656
Total assets											1,147,912
Liabilities
Deposits at amortised cost	176,787	79,878	16,077	3,600	5,754	746	2,847	3,534	2,689	21,983	313,895
Cash collateral and settlement balances	1,712	63,243	—	—	—	—	—	—	—	—	64,955
Repurchase agreements and other similar secured borrowing	—	15,824	601	1,070	1,224	639	5,315	1,551	—	83	26,307
Debt securities in issue	—	16,118	10,548	4,113	4,606	1,027	193	366	3,195	—	40,166
Subordinated liabilities	—	—	240	891	970	4,162	4,696	9,000	10,264	7,433	37,656
Trading portfolio liabilities	52,093	—	—	—	—	—	—	—	—	—	52,093
Financial liabilities designated at fair value	24	230,343	14,722	5,055	3,502	11,224	9,871	10,022	6,479	9,609	300,851
Derivative financial instruments	249,760	14	59	4	—	136	85	112	56	341	250,567
Other financial liabilities	29	6,409	6	6	6	173	24	50	106	7	6,816
Total financial liabilities	480,405	411,829	42,253	14,739	16,062	18,107	23,031	24,635	22,789	39,456	1,093,306
Other liabilities											2,139
Total liabilities											1,095,445
Cumulative liquidity gap	43,930	(8,545)	(30,612)	(26,866)	(28,540)	(10,121)	2,942	30,812	46,064	24,950	52,467

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Risk performance

Treasury and Capital risk


home.barclays/annualreport	Barclays Bank PLC Annual Report	119


Contractual maturity of financial assets and liabilities (audited)
Barclays Bank PLC											Restateda
	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 income	—	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	7,018	204,266	19,340	12,889	4,188	8,822	5,568	9,314	7,786	11,871	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	472,372	345,069	44,050	19,322	12,822	18,452	14,949	23,244	21,331	37,925	1,009,536
Other liabilities											2,443
Total liabilities											1,011,979
Cumulative liquidity gap	29,579	1,790	(15,740)	(15,862)	(13,578)	(4,245)	10,599	28,175	46,313	28,654	52,692

Note

a.2021 financial metrics have been restated to reflect the impact of the Over-issuance of Securities. See Restatement of financial statements (Note 1a) on page 180 for

further details. The contractual maturity profile of financial liabilities designated at fair value has been restated to reflect the impact of the Over-issuance of Securities.

Securities issued by the Company in excess of the maximum aggregate offering price registered under the Company’s 2019 F-3 with a value of £6,997m have been

classified as "on demand".

Risk review

Risk performance

Treasury and Capital risk


home.barclays/annualreport	Barclays Bank PLC Annual Report	120

Expected maturity date may differ from the contractual date, 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 contract.

▪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)
Restateda
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 2022
Deposits at amortised cost	196,398	62,524	18,918	10,943	1,302	621	1,113	376	292,195
Cash collateral and settlement balances	3,013	93,986	—	—	—	—	—	—	96,999
Repurchase agreements and other similar secured borrowing	256	9,587	—	946	1,184	—	—	252	12,225
Debt securities in issue	—	27,234	12,615	10,301	4,932	1,732	4,773	651	62,238
Subordinated liabilities	—	17	245	2,108	9,504	10,165	12,961	14,063	49,063
Trading portfolio liabilities	72,460	—	—	—	—	—	—	—	72,460
Financial liabilities designated at fair value	10,844	187,553	14,905	9,399	25,654	9,847	8,345	23,853	290,400
Derivative financial instruments	288,398	19	60	4	244	131	71	722	289,649
Other financial liabilities	56	7,179	21	43	251	139	180	24	7,893
Total financial liabilities	571,425	388,099	46,764	33,744	43,071	22,635	27,443	39,941	1,173,122

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	0	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	21,339	158,249	16,887	13,945	12,939	8,043	7,544	21,098	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	534,660	304,015	41,476	29,282	35,742	16,445	20,778	31,479	1,013,877

Note

a.2021 financial metrics have been restated to reflect the impact of the Over-issuance of Securities. See Restatement of financial statements (Note 1a) on page 180 for

further details. The contractual maturity profile of financial liabilities designated at fair value has been restated to reflect the impact of the Over-issuance of Securities.

Securities issued by the Company in excess of the maximum aggregate offering price registered under the Company’s 2019 F-3 with a value of £6,997m have been

classified as "on demand".

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Risk performance

Treasury and Capital risk


home.barclays/annualreport	Barclays Bank PLC Annual Report	121


Contractual maturity of financial liabilities - undiscounted (audited)
Restateda
	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 2022
Deposits at amortised cost	176,787	79,975	16,077	9,485	3,733	3,683	3,130	38,304	331,174
Cash collateral and settlement balances	1,712	63,698	—	—	—	—	—	—	65,410
Repurchase agreements and other similar secured borrowing	—	15,857	617	2,388	6,662	1,759	—	252	27,535
Debt securities in issue	—	16,186	10,668	8,917	1,306	432	4,214	—	41,723
Subordinated liabilities	—	—	245	1,890	9,211	10,164	12,936	14,019	48,465
Trading portfolio liabilities	52,093	—	—	—	—	—	—	—	52,093
Financial liabilities designated at fair value	24	231,656	15,082	8,776	22,178	11,443	8,006	21,381	318,546
Derivative financial instruments	249,760	14	60	4	244	131	70	722	251,005
Other financial liabilities	29	6,411	9	17	214	63	118	9	6,870
Total financial liabilities	480,405	413,797	42,758	31,477	43,548	27,675	28,474	74,687	1,142,821

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	7,018	204,409	19,369	12,657	17,956	10,014	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	472,372	345,271	44,095	27,796	37,288	24,397	22,890	54,710	1,028,819

Note

a.2021 financial metrics have been restated to reflect the impact of the Over-issuance of Securities. See Restatement of financial statements (Note 1a) on page 180 for

further details. The contractual maturity profile of financial liabilities designated at fair value has been restated to reflect the impact of the Over-issuance of Securities.

Securities issued by the Company in excess of the maximum aggregate offering price registered under the Company’s 2019 F-3 with a value of £6,997m have been

classified as "on demand".

Risk review

Risk performance

Treasury and Capital risk


home.barclays/annualreport	Barclays Bank PLC Annual Report	122

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 2022
Guarantees, letters of credit and credit insurance	7,222	92	102	10	46	16	37	76	96	1	7,698
Other commitments received	7,473	—	—	—	—	—	—	—	—	—	7,473
Total off-balance sheet commitments received	14,695	92	102	10	46	16	37	76	96	1	15,171

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


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 2022
Contingent liabilities and financial guarantees	25,698	86	14	1	—	1	—	—	—	—	25,800
Documentary credits and other short-term trade related transactions	1,740	3	5	—	—	—	—	—	—	—	1,748
Standby facilities, credit lines and other commitments	333,192	—	—	—	—	37	—	—	—	—	333,229
Total off-balance sheet commitments given	360,630	89	19	1	—	38	—	—	—	—	360,777

As at 31 December 2021
Contingent liabilities and financial guarantees	23,607	135	4	0	0	0	—	—	—	—	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

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Treasury and Capital risk


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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 2022
Guarantees, letters of credit and credit insurance	7,199	3	1	1	29	2,147	1,696	1	11,077
Other commitments received	6,976	—	—	—	—	—	—	—	6,976
Total off balance sheet commitments received	14,175	3	1	1	29	2,147	1,696	1	18,053

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


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 2022
Contingent liabilities and financial guarantees	62,101	86	14	1	—	1	—	—	—	—	62,203
Documentary credits and other short-term trade related transactions	1,678	3	5	—	—	—	—	—	—	—	1,686
Standby facilities, credit lines and other commitments	205,612	—	—	—	—	37	—	—	—	—	205,649
Total off-balance sheet commitments given	269,391	89	19	1	—	38	—	—	—	—	269,538

As at 31 December 2021
Contingent liabilities and financial guarantees	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

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home.barclays/annualreport	Barclays Bank PLC Annual Report	124

Capital risk

All disclosures in this section, (pages 125 to 126), 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, whose inclusion within the consolidation is 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 2022, due

to be published on 15 February 2023, and which will be available at home.barclays/investor-relations/reports-and-events/annual-reports.

Significant regulatory updates in the period

On 1 January 2022 the PRA’s implementation of Basel III standards took effect including the introduction of the Standardised Approach for Counterparty

Credit Risk (SA-CCR), which replaces the Current Exposure Method (CEM) for Standardised derivative exposures as a more risk sensitive approach. In

addition, the PRA also implemented IRB roadmap changes which include revisions to the criteria for definition of default, probability of default (PD) and

loss given default (LGD) estimation to ensure supervisory consistency and increase transparency of IRB models.

From 1 January 2022, UK banks became subject to a single UK leverage ratio requirement meaning that the CRR leverage ratio no longer applies. Under

the revised UK leverage ratio framework, central bank claims have been excluded from the UK leverage exposure measure where they are matched by

qualifying liabilities (rather than deposits).

On 20 December 2022, the PRA granted permission for leverage minimum requirements to be set at the sub-consolidated level for Barclays Bank PLC

effective from 1 January 2023. This replaced the individual requirement that was due to be set at that time. The Barclays Bank PLC sub-consolidated

leverage ratio will be monitored and managed above minimum requirements in accordance with Barclays Bank PLC’s risk management strategy. As a

result, the Barclays Bank PLC leverage disclosures in future quarterly Pillar 3 reports, half year results announcements and Annual Reports will reflect the

Barclays Bank PLC sub-consolidated basis. Capital requirements remain set at the Barclays Bank PLC solo-consolidated level.

References to CRR, as amended by CRR II, mean the capital regulatory requirements, as they form part of domestic law by virtue of the European Union

(Withdrawal) Act 2018, as amended.

Impact of Over-issuance of Securities in the US

Basis of preparation

In March 2022, Barclays Bank PLC became aware that it had issued securities materially in excess of the amount it had registered with the SEC under

Barclays Bank PLC’s 2019 F-3. Subsequently, Barclays Bank PLC became aware that securities had also been issued in excess of the amount it had

registered with the SEC under the Predecessor Shelf. The securities issued in excess of the registered amount included structured products and

exchange traded notes. As these securities were not issued in compliance with the Securities Act, a right of rescission arose for certain purchasers of the

securities. A portion of the costs associated with the right of rescission (as defined in Note 1a Restatement of financial statements on page 180) was

attributable to the financial statements for the year ended 31 December 2021, resulting in the restatement of the 2021 figures in the tables below.

Prior to the restatement, litigation and conduct charges in the income statement in relation to 2021 were underreported by £170m (post-tax). Due to

the restatement total CET1 decreased by £200m from £24,128m to £23,928m, inclusive of the impact on regulatory threshold deductions. This resulted

in reductions in the transitional CET1 ratio (13.0% to 12.9%), fully loaded CET1 ratio (12.7% to 12.6%), T1 ratio (17.6% to 17.5%) and total capital ratio

(20.6% to 20.5%). Leverage exposure increased £1.9bn to recognise, on a regulatory basis, the potential commitment relating to the Rescission Offer.

The CRR leverage ratio remained unchanged at 3.7%.

As at 31 December 2022, Barclays Bank PLC solo-consolidated CET1 ratio was 12.7% which is above its minimum regulatory requirement of 9.9%.


Capital ratiosb,c
		Restateda
As at 31 December	2022	2021
CET1	12.7%	12.9%
Tier 1 (T1)	16.7%	17.5%
Total regulatory capital	20.8%	20.5%


Capital resources (audited)
		Restateda
	2022	2021
As at 31 December	£m	£m
CET1 capital	25,907	23,928
T1 capital	34,139	32,395
Total regulatory capital	42,321	37,954

Total risk weighted assets (RWAs) (unaudited)	203,833	185,467

Risk review

Risk performance

Treasury and Capital risk


home.barclays/annualreport	Barclays Bank PLC Annual Report	125


UK Leverage ratiob,d
		Restateda
	2022	2021
As at 31 December	£m	£m
UK leverage ratio	4.6%	3.7%
T1 capital	34,139	32,395
UK leverage exposure	742,730	883,371

Notes

aCapital and leverage metrics as at 31 December 2021 have been restated. See Basis of preparation on page 125 for further details.

bCapital, 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 II non-compliant capital instruments. December 2021 comparatives include the grandfathering of CRR non-compliant capital instruments.

cThe fully loaded CET1 ratio was 12.6%, with £25.6bn of CET1 capital and £203.5bn of RWAs, calculated without applying the transitional arrangements of the CRR as

amended by CRR II.

dPrior period comparatives are on a CRR leverage basis as Barclays Bank PLC solo-consolidated was not subject to the UK Leverage framework until 1 January 2022. Had the

UK framework been applied as at 31 December 2021, the Barclays Bank PLC solo-consolidated UK leverage exposure would have been £767.6bn and the UK Leverage ratio

would have been 4.1%.

Risk review

Risk performance

Treasury and Capital risk


home.barclays/annualreport	Barclays Bank PLC Annual Report	126

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 exposures 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 monitored 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 2022
USD	27,523	(5,973)	(2,086)	19,464	(8,376)	11,088
EUR	9,673	(2,395)	(3)	7,275	(283)	6,992
JPY	689	—	(197)	492	—	492
Other	3,010	—	(1,602)	1,408	(279)	1,129
Total	40,895	(8,368)	(3,888)	28,639	(8,938)	19,701

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

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 2022, total structural currency exposure net of hedging instruments decreased by £0.6bn to £19.7bn (2021: £20.3bn). Foreign currency

net investments increased by £3.8bn to £40.9bn (2021: £37.1bn) driven predominantly by a £1.5bn increase in US dollars, £1.3bn increase in Euro and

£1.0bn increase in other currencies. The hedges associated with these foreign currency investments increased by £2.9bn to £12.3bn (2021: £9.4bn).

Risk review

Risk performance

Treasury and Capital risk


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Pension risk review

The UK Retirement Fund (UKRF) represents approximately 96% (2021: 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 risk

exposures within the asset portfolio come from the credit portfolio and growth assets. The split of scheme assets is shown within Note 31 to the

financial statements. The fair value of the UKRF assets was £24.7bn as at 31 December 2022 (2021: £34.7bn).

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 2022 that takes

account of the future inflation indexing of payments to beneficiaries. The majority of the cash flows (approximately 95%) fall between 0 and 40 years,

peaking between 11 and 20 years and reducing thereafter. The shape may vary depending on changes to inflation and longevity expectations and any

members who elect to transfer out. Transfers out will bring forward the liability cash flows.

For more detail on the UKRF’s financial and demographic valuation assumptions see Note 31 to the financial statements.

The graph below shows the evolution of the UKRF’s net IAS 19 position over the last two years. During 2022 the increase in the IAS 19 pension surplus

was primarily driven by scheduled deficit reduction contributions, including payments made to unwind Heron transactions as explained in Note 31 to

the financial statements. The significant increase in interest rates over 2022 has had a broadly neutral impact on the net funding position. Benefit

obligation reductions due to higher discount rates have been broadly offset by the changes in the fair value of scheme assets. 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.

Proportion of liability cash flows (%)


n	0-10 years	28.62
n	11-20 years	31.35
n	21-30 years	23.15
n	31-40 years	12.1
n	41-50 years	4.28
n	51+ years	0.5

IAS 19 pension position from 2020 to 2022 (£bn)


6
5
4
3
2
1
0

Risk review

Risk performance

Treasury and Capital risk


home.barclays/annualreport	Barclays Bank PLC Annual Report	128

Risk measurement

In line with the Barclays Bank Group's risk management framework the assets and liabilities of the UKRF are modelled within a VaR framework to show

the volatility of the pension position at a total portfolio level. This enables the risks, diversification and liability matching characteristics of the UKRF

obligations and investments to be adequately captured. VaR is measured and monitored on a monthly basis. Risks are reviewed and reported regularly

at forums including the Barclays PLC Board Risk Committee, the Barclays Group Risk Committee and the Pension Executive Board. The VaR model takes

into account the valuation of the liabilities on an IAS 19 basis (see Note 31 to the financial statements). The Trustee receives quarterly 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 three quarters 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 reduce 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.

Risk review

Risk performance

Treasury and Capital risk


home.barclays/annualreport	Barclays Bank PLC Annual Report	129

Interest rate risk in the banking book

All disclosures in this section, (pages 130 to 131), 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

market rate increases.

Key metrics

-£29m

AEaR across the Barclays Bank Group from a -25bps shock to forward interest rate curves.

Net interest income sensitivity

The table below shows a sensitivity analysis on pre-tax net interest income for non-traded financial assets and liabilities, including the effect of any

hedging. This analysis is not a forward guidance on NII and is intended as a quantification of risk exposure utilising the Net Interest Income (NII) metric

as described on page 162 of the Barclays PLC Pillar 3 Report 2022(unaudited), which includes documentation of the main model assumptions.


Net Interest Income sensitivity (AEaR) by currency (audited)	2022		2021

	+25 basis points	-25 basis points	+25 basis points	-25 basis points

Barclays Bank Group	£m	£m	£m	£m
GBP	(6)	4	21	(37)
USD	38	(41)	55	(59)
EUR	4	(4)	(5)	(4)
Other currencies	(11)	12	(3)	1
Total	25	(29)	68	(99)


Net Interest Income sensitivity (AEaR) by currency (audited)	2022		2021

	+25 basis points	-25 basis points	+25 basis points	-25 basis points

Barclays Bank PLC	£m	£m	£m	£m
GBP	(6)	5	23	(39)
USD	22	(23)	48	(52)
EUR	0	(1)	(9)	6
Other currencies	(15)	15	(5)	3
Total	1	(4)	57	(82)

Change in NII sensitivity to both shocks is due to the current and forward implied rate levels which has removed the impact of embedded floors on

product margins.

Risk review

Risk performance

Treasury and Capital risk


home.barclays/annualreport	Barclays Bank PLC Annual Report	130

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 2022		31 December 2021

				Restateda
	+25 basis points	-25 basis points	+25 basis points	-25 basis points

Barclays Bank Group	£m	£m	£m	£m
Net interest income	25	(29)	68	(99)
Taxation effects on the above	(4)	5	(12)	18
Effect on profit for the year	21	(24)	56	(81)
As percentage of net profit after tax	0.5%	(0.5%)	1.2%	(1.8%)

Effect on profit for the year (per above)	21	(24)	56	(81)
Fair value through other comprehensive income reserve	(367)	368	(449)	380
Cash flow hedge reserve	(625)	625	(626)	626
Taxation effects on the above	268	(268)	290	(272)
Effect on equity	(703)	701	(729)	653
As percentage of equity	(1.2%)	1.2%	(1.3%)	1.2%


Analysis of equity sensitivity (audited)	31 December 2022		31 December 2021

	+25 basis points	-25 basis points	+25 basis points	-25 basis points

Barclays Bank PLC	£m	£m	£m	£m
Net interest income	1	(4)	57	(82)
Taxation effects on the above	—	1	(10)	15
Effect on profit for the year	1	(3)	47	(67)
As percentage of net profit after tax	0.0%	(0.1%)	1.3%	(1.9%)

Effect on profit for the year (per above)	1	(3)	47	(67)
Fair value through other comprehensive income reserve	(367)	368	(450)	379
Cash flow hedge reserve	(576)	576	(587)	587
Taxation effects on the above	255	(255)	280	(261)
Effect on equity	(687)	686	(710)	638
As percentage of equity	(1.3%)	1.3%	(1.3%)	1.2%

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 capital via the FVOCI reserve. The volatility in the value of the FVOCI investments in the

liquidity pool is captured and managed through a value measure rather than an earning measure, i.e. non-traded market risk VaR.

Although the underlying methodology to calculate the non-traded VaR is identical to the one used in traded management VaR, the two measures are

not directly comparable. The non-traded VaR represents the volatility to capital driven by the FVOCI exposures. These exposures are in the banking

book and do not meet the criteria for trading book treatment.


Analysis of volatility of the FVOCI portfolio in the liquidity pool
	2022			2021
	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%)	40	51	31	47	57	34

Value at risk decreased in the first half of the year driven by a reduction in interest rate risk positioning. This was partially offset by an increase in H2 due

to elevated market volatility.

Risk review

Risk performance

Treasury and Capital risk


home.barclays/annualreport	Barclays Bank PLC Annual Report	131

All disclosures in this section, (pages 132 - 133), 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: Change Delivery Management Risk; Data Management Risk; Financial Reporting Risk;

Fraud Risk; Information Security Risk; Operational Recovery Planning Risk; Payments Process Risk; People Risk; Physical Security Risk; Premises Risk;

Risk Reporting; Supplier Risk; Tax Risk; Technology Risk and Transaction Operations Risk. The operational risk profile is also informed by a number of

connected risks: 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 the Management of Operational Risk section of the Barclays PLC Pillar 3 Report 2022. 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 2022. 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 2022, total operational risk lossesa increased to £72m (2021: £55m) and the number of recorded events for 2022 increased to 923 from 580

events recorded during the prior year. The increase in events year-over-year is largely driven by Fraud losses in Barclays US Consumer Bank exceeding

forecasts. This is due to a shift in fraud attack types that have a lower recoverability rate, fraud operational challenges and increased sales volumes. The

total operational risk losses for the year were mainly driven by events falling within the Execution, Delivery & Process Management and External Fraud

BASEL Event Type categories, which tend to be high volume but low impact events.

Key metrics

80%

of the Barclays Bank Group’s net reportable operational risk events had a loss value of £50,000 or less

34%

of events by number are due to Execution, Delivery and Process Management

65%

of events by number are due to External Fraud

79%

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 2022, 80% (2021: 70%) 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 18%

(2021: 15%) 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


home.barclays/annualreport	Barclays Bank PLC Annual Report	132

The analysis below presents the Barclays Bank Group’s operational risk events by Basel event category:

Note

aThe 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 2022 increased to £56m (2021: £45m) and accounted for 79% of total operational risk

losses (2021: 81%). 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 in 2022 decreased to 34%

of total events by volume (2021: 52%).

▪External Fraud impacts during 2022 increased to £15m (2021: £8m) and accounted for 21% of total events by value (2021: 15%). Volume of events

increased to 598 accounting for 65% of total event volume (2021: 240 / 41%). 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. Additionally, the Barclays Bank Group continues to invest in its processing infrastructure to manage the risk of processing errors as well as

ensuring scalability of operations.

Operational Resilience remains a key area of focus for the Barclays Bank Group, having been reinforced in recent years due to potential operational

disruption from the COVID-19 pandemic. The Barclays Bank Group continues to strengthen its resilience approach across its most important business

services to improve recoverability and assurance thereof by reviewing scenarios based on current global climates.

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 134 to 135 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 2022, including:

•Improved transparency and oversight of model risk through implementation of upgrades to model risk governance structure.

•Upgraded model risk standards to improve readability, consistency and framework cohesiveness.

•Refreshed the model risk controls suite, providing additional clarity on several controls and ensuring evidentiary requirements are aligned to

MRM’s BAU processes.

•Enhanced the Group Model Risk Appetite Statement, incorporating model quality and uncertainty around a model’s output.

•Strengthened validation practices through expansion of model-level validation procedures, implementation of an on-going validation training

program and embedment of a validation quality assurance process.

•Executed on hiring strategy by expanding the model risk team to support a wider range of model validation demand and newly emerging model

risks.

•Progressed model inception validation by bringing more than 95% of model risk (by model output) into compliance with the model risk

management framework.

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 both the individual and

business level.

Throughout 2022, the Barclays Bank Group maintained focus on new and heightened inherent conduct risks, including those relating to the cost of

living crisis, 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 2022 Medium-Term Planning

Process and associated Strategic Risk Assessment, material conduct risks associated with strategic and financial plans were assessed.

Throughout 2022, 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. Work is ongoing to enhance the Conduct

Risk Control Environment in a timely and effective manner to ensure the Group operates within Risk Appetite. 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 governance

process.

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

The Barclays Bank Group remains committed to continuous improvements in managing legal risk effectively. At the end of 2022, enhancements were

made to the Barclays Group-wide legal risk management framework primarily relating to the Legal Function's responsibility for the identification of legal

risks and the escalation of legal risk as necessary.

Other improvements during 2022 included a review and update of the established 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.

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. Mandatory controls to manage legal risks are set out in the legal risk standards and are subject to

ongoing monitoring. The changes to the legal risk management framework referred to above are intended to provide continuing improvements to the

effectiveness of the legal risk control environment as they are implemented through 2023.

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 applicable to the conduct of 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. Certain members of the

Barclays Bank Group are 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 person, with permission to accept deposits, amongst other things, and subject to prudential supervision by the PRA

and subject to conduct regulation and supervision by the FCA. Barclays Bank PLC is subject to prudential supervision on a solo-consolidated basis. The

Barclays Group is also subject to prudential supervision by the PRA on a group consolidated basis. Barclays PLC has been approved by the PRA as a

financial holding company. Barclays Capital Securities Limited is authorised and subject to prudential supervision 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 Bank 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.

Further, the BoE, as the UK resolution authority, informs prudential requirements and sets requirements for the Barclays Group relating to resolution

preparedness.

The FCA’s supervision of the UK firms in the Barclays Bank 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 apply standards that generally 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 UK is in the process of reviewing and revising the EU

legislation that was onshored into English law following the UK's departure from the EU. This process is at a very early stage, but based on current

indications, it is not expected to result in a materially different standard of regulation with respect to PRA and FCA standards. The medium term outlook

for the costs and impact of operating under the post-Brexit UK regime remains unclear until details of any changes are confirmed. There is potential for

an increase in regulatory implementation costs in the near term to adapt systems and controls.

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 and have issued guidance for regulated entities accordingly. In each case, the guidance focussed on customer / client outcomes and

conduct risk, as well as ensuring fair and orderly markets.

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 subject to the requirements set by the Single Resolution Board (SRB) as the host resolution authority of

Barclays Bank Ireland PLC. 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 (a subsidiary

of Barclays Bank 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. Barclays

Bank PLC also has a Paris branch (to facilitate access to Target 2), which is regulated by the ACPR.

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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 ultimate US holding company that holds substantially all of the Barclays

Bank Group’s US subsidiaries (including Barclays Capital Inc. (BCI) and Barclays Bank Delaware). BUSL is subject to requirements in respect of capital

adequacy, capital planning and stress testing, risk management and governance, liquidity, leverage limits, large exposure limits, activities restrictions

and financial regulatory reporting. Barclays Bank PLC’s New York branch is also subject to enhanced prudential standards relating to, among other

things, liquidity and risk management.

Barclays PLC, Barclays Bank PLC, BUSHL and BUSL have 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 US 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, up to applicable limits. 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 provide capital support to 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 BCI 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 a 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 CFTC has regulatory

authority over swaps, the SEC has regulatory authority over security-based swaps and the CFTC and SEC jointly regulate mixed swaps (as such terms

are defined in the relevant legislation). Accordingly, the Barclays Group’s activities related to US swaps and security-based swaps are principally

conducted by Barclays Bank PLC and are subject to ongoing supervision and regulation by the CFTC and the SEC, 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. In addition, Barclays Bank Ireland PLC is provisionally registered as

a swap dealer with the CFTC and is subject to the FRB swaps rules with respect to margin and capital.

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. The 7% CET1 ratio is made up of a Pillar 1 minimum capital requirement of 4.5% CET1 and a capital conservation buffer which

must be met entirely with CET1 capital.

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 2022, 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 of 2.5%, 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. In December 2021, the FPC raised the UK CCyB to 1% with effect from 13 December 2022. In July 2022, the FPC announced that it

would raise the UK CCyB rate to 2% with effect from 5 July 2023.

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 confidential '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.

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In addition, Barclays Bank PLC is subject to prudential regulation by the PRA on a solo-consolidated basis and is required to meet a minimum Common

Equity Tier 1 (CET1) ratio of 9.9% comprising a 4.5% Pillar 1 requirement, a 2.5% capital conservation buffer, a 0.3% countercyclical buffer and a 2.5%

Pillar 2A add on. Barclays Bank Ireland PLC is identified as a O-SII (Other Systemically Important Institutions) by the CBI, who have imposed an O-SII

buffer on Barclays Bank Ireland PLC.

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. On

30 November 2022, the PRA published consultation paper CP16/22 concerning 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, which apply from 1 January 2023.

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 certain stabilisation

tools, including (i) bail-in: the cancellation, transfer or dilution of a relevant entities’ equity and write-down or conversion of the claims of a relevant

entities' unsecured creditors (including holders of capital instruments) and conversion of those claims into equity as necessary to restore solvency; (ii)

the transfer of all or part of a relevant entities' business to a private sector purchaser; and (iii) the transfer of all or part of a relevant entities' business to

a “bridge bank” controlled by the BoE. 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, under the Banking Act, 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 an institution.

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 (including entities within Barclays Bank Group) 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 UK

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 submission of resolution packs was suspended by the PRA in 2018 until further notice and replaced by annual EBA resolution

reporting. The Barclays Group has provided the PRA with a recovery plan annually, however, the PRA notified in October 2022 that it has moved

submission to a biennial submission cycle. The Barclays Group continues to maintain the recovery plan annually.

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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

and public disclosures by both firms and the PRA/BoE were made in June 2022 (and are required every two years thereafter). The Bank of England’s

assessment concluded that there are no shortcomings, deficiencies or substantive impediments identified in the Barclays Group’s resolution capabilities

that could impede its ability to execute the preferred resolution strategy. In future, should any such issues be identified, the PRA/BoE could exercise its

various powers to direct the Barclays Group to address the relevant issues.

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 agencies

did not identify any shortcomings or deficiencies with the Barclays Group’s 2021 US Resolution Plan. 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 is required by the ECB to submit a standalone BRRD compliant recovery plan on an annual basis. As a Significant Institution

under direct ECB supervision, Barclays Bank Ireland PLC falls within the remit of the EU Single Resolution Board (SRB), as the resolution authority for the

Eurozone. Under the provisions of the BRRD and EU Single Resolution Mechanism Regulation (SRMR), the SRB is required to determine the optimal

resolution strategy for Barclays Bank Ireland PLC and, also, to prepare a resolution plan for the bank. The SRB undertakes this work within the context of

the BoE’s preferred resolution strategy of single point of entry with bail in at Barclays PLC. In order to carry out its mandate, the SRB collects detailed

structural and other information from Barclays Bank Ireland PLC on a regular basis, as well as engaging with the bank to identify and address

impediments to resolution. This work is done in coordination with the BoE, as the Barclays Group resolution authority. Barclays Bank Ireland PLC will

need to meet the SRB’s requirements for resolution as set out in the SRB’s ‘Expectations for Banks’ document by 31 December 2023.

TLAC and MREL

The Barclays Group is under the supervision of the BoE, as the UK resolution authority, and 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, from which time G-SIBs with resolution entities incorporated in the UK are 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 requirement 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 June 2022, 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; and (ii) its Pillar 2 requirement; and (b) two times the leverage ratio requirement. The SRB’s

policy does not apply any scalar in respect of the internal MREL requirement. Under the SRB MREL policy, a bank specific adjustment can be applied by

the SRB to MREL requirements.

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. This regime was independently reviewed in

2021, with the final report published in March 2022. The review recommended that HM Treasury should review the practicalities of aligning the ring-

fencing and resolution regimes, amongst other things, and the government has stated that it intends to issue a public call for evidence on this issue in

the first quarter of 2023 and to consult on reforms to the ring-fencing regime in mid 2023 in line with the recommendations in the independent review.

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

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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) derivative 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.

In particular, 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 Bank 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.

Regulation of benchmarks

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 also been working to phase out use of LIBOR, with GBP LIBOR ceasing to be

published in its original form from the end of 2021 and synthetic versions of GBP LIBOR being made available only for a limited period of time. Similarly,

USD LIBOR will cease to be published in its current form in June 2023 and other LIBOR and IBOR rates are also being wound down. Global 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.

Regulation of the derivatives market

The European Market Infrastructure Regulation (EMIR) has introduced requirements designed to improve transparency and reduce the risks associated

with the derivatives market. EMIR has operational and financial impacts on the Barclays Bank Group, including by imposing new collateral requirements

on a broader range of market participants with effect from 2022. Access to the clearing services of certain Central Clearing Counterparties (CCPs) used

by Barclays Bank Group entities is currently permitted under temporary equivalence and recognition regimes and decisions in the UK and EU. If not

extended or made permanent, 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 2025, could also have operational and

financial impacts on the Barclays Bank Group, as could the removal of temporary recognition of non-UK CCPs by the UK. EMIR is currently undergoing a

review process in the EU which may result in changes to the intragroup transactions exemption, potentially making it easier to rely on. However, the

review is in its very early stages so it is not yet certain what changes may result from it.

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 December 2022, the CFTC extended temporary relief

that would permit trading venues and market participants located in the UK to continue to rely on this mutual recognition framework following the

withdrawal of the UK from the EU.

Certain participants in US swap markets are required to register with the CFTC as ‘swap dealers’ or ‘major swap participants’ and/or, with the SEC as

‘security-based swap dealers’ or ‘major security-based swap participants’. Such registrants are subject to CFTC and/or SEC regulation and oversight.

Entities required to register as swap dealers and/or security-based swap dealers are subject to business conduct, record-keeping and reporting

requirements under either or 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. In addition, Barclays Bank Ireland PLC is

provisionally registered as a Swap Dealer with the CFTC.

Accordingly, Barclays Bank PLC and Barclays Bank Ireland PLC are 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 a recognition program whereby compliance with a comparable regulatory requirement

of a foreign jurisdiction is deemed to serve as a substitute for compliance with comparable requirements of the U.S. Commodity Exchange Act and the

CFTC’s regulations. Substituted compliance has been granted only in respect of certain requirements promulgated by regulatory authorities in certain

identified jurisdictions that the CFTC believes are sufficiently comparable to its own requirements. Substituted compliance was granted in respect of

certain European Union requirements in December 2013. In December 2022, 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. Barclays Bank PLC and Barclays Bank Ireland PLC rely upon the CFTC’s grant of substituted compliance as a means to

comply with certain swap dealer requirements.

Barclays Bank PLC conditionally registered as a security-based swap dealer with the SEC as of 1 November 2021. As a registered security-based swap

dealer, Barclays Bank PLC is subject to SEC business conduct, recordkeeping and reporting rules similar to the CFTC rules noted above. Like the CFTC,

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 imposition by the SEC of more stringent requirements on which its grant of substituted compliance is

conditioned, Barclays Bank PLC is relying on substituted compliance only with respect to a limited number of SEC security-based swap dealer rules.

Many of the regulations under the CFTC and SEC regimes are similar in scope of application. The rules of both the SEC and the CFTC are roughly divided

into “transaction-level rules” and “entity-level rules”. Transaction-level rules apply only in circumstances in which at least one of the parties to the swap

or security-based swap transaction has sufficient nexus to the United States. Entity-level rules apply to swap dealers or security-based swap dealers

across all their swap or security-based swaps without distinction as to the counterparty or location of the transaction. Unlike the CFTC, certain SEC rules

apply to transactions entered into by non-US security-based swap dealers based on the location from which certain activities are undertaken. These SEC

Risk review

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rules apply to security-based swap transactions facing non-US person counterparties that are “arranged, negotiated or executed” by US-based security-

based swap dealer personnel. This distinction expands the scope and impact of the SEC regime to transactions with a greater number of non-US

counterparties.

As noted above, Barclays Bank PLC and Barclays Bank Ireland PLC are subject to FRB rules on capital and margin.

In 2022, the SEC proposed Rule 10B-1 that would require any person with a security-based swap position (aggregated across all affiliated persons) that

exceeds any of the thresholds specified by the SEC to promptly report certain information by the next business day, including the identity of the

reporting person and the security-based swap position, as well as the ownership of securities positions related to the security-based swap position.

Such reports would be available publicly. If adopted as proposed, this rule could increase the burden and cost to Barclays Bank PLC of utilising security-

based swaps.

Other regulatory developments in the US

The SEC has also put forth a number of other recent proposals that, if adopted, could have a significant impact on the Barclays Bank Group’s business

and operations, including: (i) proposed amendments to Exchange Act Rule 15c6-1 that would shorten the standard settlement cycle for most broker-

dealer transactions in securities from two business days after the trade (T+2) to one business day after the trade (T+1), which could require significant

changes to BCI’s settlement procedures and practices, and new Exchange Act Rule 15c6-2 which would generally require market-wide improvements in

the rate of same-day affirmations and on central matching service providers; (ii) a proposed rule that would mandate central clearing of many US

Treasury securities transactions and would amend the broker-dealer customer protection rule as it applies to margin posted for transactions in US

Treasury securities, which could impose additional costs on the Barclays Bank Group’s Treasury securities trading activity; and (iii) a series of market

structure proposals which would have a significant impact on securities trading activity by BCI and other Barclays Bank Group entities, as the SEC

proposals would (a) impose a new SEC best execution obligation on securities broker-dealers, including BCI, (b) require that certain individual investor

orders be exposed to auctions before they could be executed internally by certain trading centres, and (c) amend certain rules under Regulation NMS

(National Market System) to adopt variable minimum pricing increments, reduce access fee caps for protected quotations, require that the amount of

exchange fees and rebates be determinable at the time of execution, and update and expand to certain broker-dealers the disclosures required for order

executions in NMS stocks, among other changes.

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 were published in

July 2022 and will come into force on 31 July 2023 for new and existing products or services that are open to sale or renewal, and on 31 July 2024 for

closed products or services.

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 policy statement on this topic in April

2022.

Data protection

Most countries where Barclays Bank 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). Following the invalidation by the

European Court of Justice (CJEU) of the EU-US Privacy Shield as a mechanism for transferring EU personal data to the US, the European Commission

published new standard contractual clauses (SCCs) in 2021 to meet the requirements of GDPR and the CJEU decision, known as Schrems II. In early

2022, the UK Information Commissioner set out its own international data transfer agreement, and the international data transfer addendum to the

European Commission’s SCCs for international data transfers. Implementing the new EU SCCs and/or the UK addendum, which involve case-by-case

transfer impact assessments and other safeguards, is likely to result in increased compliance costs for the Barclays Group. In 2021, China adopted its

first comprehensive law in relation to personal information called the Personal Information Protection Law (PIPL). The PIPL applies to processing

activities within mainland China, but similar to the GDPR, the PIPL has extraterritorial reach. As the global data protection regulatory landscape

develops, noncompliance with any such requirements could lead to regulatory fines and other penalties.

In the US, Barclays Bank Delaware is subject to the US Federal Gramm-Leach-Bliley Act (GLBA) and the California Privacy Rights Act of 2020, which

amended the California Consumer Privacy Act of 2018 and came into effect on 1 January 2023 (CPRA). 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 information security policies and practices. Any violations of the GLBA could subject Barclays Bank Delaware to

additional reporting requirements or regulatory investigation or audits by the financial regulators. More broadly, the Barclays Bank Group's US

operations are subject to the CPRA which applies to personal information that is not collected, processed, sold or disclosed subject to the GLBA. The

CPRA requires applicable members of the Barclays Bank Group to both provide California residents with additional disclosures regarding the collection,

use and sharing of personal information and grant California residents access, deletion, correction and other rights, including the right to opt-out of

certain sales or transfers of personal information and the right to limit the processing of sensitive personal information to certain purposes. Any

violations of the CPRA may be subject to enforcement by the California Privacy Protection Agency and the California Attorney General and the

imposition of monetary penalties, as well as potential lawsuits arising from the private right of action provided to California residents in the case of

Risk review

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certain data breaches. Bills proposed in the United States Congress and in the legislatures of various US states, if enacted, may have further impact on

the data privacy practices of Barclays’ US operations. 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.

Cybersecurity and operational resilience

Regulators globally continue to focus on cybersecurity risk management, organisational operational resilience and overall soundness across all financial

services firms, with customer and market expectations of uninterrupted 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 in recent years and the growing reliance of financial services on Cloud and other third party service providers. This is evidenced by the

continuing introduction of new laws and regulatory frameworks directed at enhancing resilience of both firms and their critical third party providers. A

new UK framework introduced last year requires firms to be able to remain within impact tolerances set for their important business services by no later

than 31 March 2025, with further legislation focusing on the resilience of critical third party providers now in the pipeline. The European Union’s Digital

Operational Resilience Act (DORA) entered into force in January 2023 and will apply in early 2025 (after a two-year implementation period), introducing

comprehensive and sector specific regulation on Information Communication Technologies (ICT) incident reporting, testing and third party risk

management, and providing for direct oversight of critical third party providers servicing the EU financial services sector. The existing and anticipated

requirements for increased controls will serve to improve industry standardisation and resilience capabilities, enhancing our ability to deliver services

during periods of potential disruption. However, such measures are likely to result in increased technology and compliance costs for the Barclays Bank

Group.

In 2022, the SEC published proposed disclosure rules and amendments regarding cybersecurity risk management, governance and incident reporting by

US-listed companies, including foreign private issuers such as Barclays PLC and Barclays Bank PLC. Also in 2022, NYDFS both increased enforcement of

and published proposed amendments to its main cybersecurity regulation applying to the New York Branch of Barclays Bank PLC. Final versions of the

SEC proposed disclosure rules and NYDFS proposed amendments are expected in 2023.

Regulatory initiatives on ESG disclosure

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. The EU

Corporate Sustainability Reporting Directive will introduce sustainability related reporting obligations for various entities including EU banks and certain

listed companies, with reporting to commence on a phased basis from the financial year 2024. Draft sustainability reporting standards are being

developed by the European Financial Reporting Advisory Group.

From June 2022, the EU’s Capital Requirements Regulation requires certain large financial institutions to disclose information on environmental, social

and governance risks, including physical risks and transition risks.

The EU has also proposed a Directive on Corporate Sustainability Due Diligence which, if adopted, would require EU firms, including financial

institutions, to carry out due diligence on companies in their value chain and identify and prevent, bring to an end or mitigate the impact of their

activities on human rights and the environment.

In the UK, the UK Government has confirmed its intention to develop a UK Green Taxonomy, and the Green Technical Advisory Group has published

advice on development of a Green Taxonomy with further advice expected to follow. 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.

In March 2022, the SEC proposed climate related-disclosure requirements for US-listed companies (which would include Barclays Bank PLC) that would,

among other things, require disclosure of direct and indirect greenhouse gas emissions, with certain emissions disclosures subject to third-party

attestation requirements; climate-related scenario analysis (if the issuer conducts scenario analysis), together with qualitative and quantitative

information about the hypothetical future climate scenarios used in its analysis; climate transition plans or climate-related targets or goals, along with

disclosure of progress against any such plans, targets or goals; climate-related risks over the short-, medium- and long-term; qualitative and

quantitative information regarding climate-related risks and historical impacts in audited financial statements; corporate governance of climate-related

risks; and climate-related risk-management processes.

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 Bank 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 Bank Group.

The Sanctions and Anti-Money Laundering Act (the Sanctions Act) became law in the UK in 2018. The Sanctions 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 (including the Barclays Bank PLC New York branch).

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

Risk review

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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. As a result of the conflict in Ukraine, there has been an increased regulatory focus on sanctions

compliance in various jurisdictions, including in the US, UK and EU. Failure of a financial institution to ensure compliance with such laws could have

serious legal, financial and reputational consequences for the institution.

Risk review

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Detailed analysis of our financial statements, independently audited and providing in-depth disclosure of the financial performance of the Barclays Bank

PLC.


Consolidated financial statements		Page	Note

	▪Independent Auditor’s Report	145
	▪Consolidated income statement	166
	▪Consolidated statement of comprehensive income	167
	▪Consolidated balance sheet	168
	▪Consolidated statement of changes in equity	169
	▪Consolidated cash flow statement	171
Parent company accounts	▪Parent company accounts	172
Notes to the financial statements

	▪Significant accounting policies	176	1

Financial performance and returns	▪Segmental reporting	183	2
	▪Net interest income	184	3
	▪Net fee and commission income	185	4
	▪Net trading income	187	5
	▪Net investment expense	188	6
	▪Operating expenses	188	7
	▪Credit impairment charges	189	8
	▪Tax	193	9
	▪Dividends on ordinary shares and preference shares	197	10

Assets and liabilities held at fair value	▪Trading portfolio	198	11
	▪Financial assets at fair value through the income statement	198	12
	▪Derivative financial instruments	200	13
	▪Financial assets at fair value through other comprehensive income	212	14
	▪Financial liabilities designated at fair value	212	15
	▪Fair value of financial instruments	213	16
	▪Offsetting financial assets and financial liabilities	226	17

Assets at amortised cost and other investments	▪Loans and advances and deposits at amortised cost	228	18
Assets at amortised cost and other investments	▪Property, plant and equipment	229	19
	▪Leases	230	20
	▪Goodwill and intangible assets	232	21

Accruals, provisions, contingent liabilities and legal proceedings	▪Other liabilities	236	22
	▪Provisions	236	23
	▪Contingent liabilities and commitments	238	24
	▪Legal, competition and regulatory matters	238	25

Capital instruments, equity and reserves	▪Subordinated liabilities	244	26
	▪Ordinary shares, preference shares and other equity	248	27
	▪Reserves	250	28

Employee benefits	▪Staff costs	251	29
	▪Share-based payments	251	30
	▪Pensions and post-retirement benefits	253	31

Scope of consolidation	▪Principal subsidiaries	262	32
	▪Structured entities	263	33
	▪Investments in associates and joint ventures	266	34
	▪Securitisations	267	35
	▪Assets pledged, collateral received and assets transferred	268	36

Other disclosure matters	▪Related party transactions and Directors’ remuneration	271	37
	▪Disposal of businesses	274	38
	▪Auditor’s remuneration	274	39
	▪Interest rate benchmark reform	274	40
	▪Related undertakings	278	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

2022, 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 2022 (FY22) 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 those discussed and included in our reporting to the Board Audit Committee (“BAC”).

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.

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2.OVERVIEW OF OUR AUDIT


		Key Audit Matters
FACTORS DRIVING OUR VIEW OF RISKS	Following our FY21 audit and considering developments affecting the Barclays Bank PLC Group since then, we have updated our risk assessment. The macro-economic environment continues to drive our risk assessment as the uncertainty which arose during the COVID-19 pandemic has evolved into increasing affordability pressures associated with rising inflation and interest rates. The economic uncertainty and change has brought both pressures and opportunities. Fee income across the equity and debt capital markets is down versus the prior year but income in the markets business has risen versus 2021 due to a higher volume of trading activity linked to volatility across various asset classes. In addition, the increasing interest rate environment and changes in portfolio mix have led to an increase in the net interest margin. As part of our risk assessment, we have maintained our focus on future economic assumptions used by the Group in its key estimates both at the year end and, where relevant, on a forward-looking basis. Our risk assessment also considered instances of non- compliance with laws and regulations and enforcement actions against the Group during the year and specifically those that could reasonably be expected to have a material effect on the financial statements. We considered management’s assessment of how these occurred, their assessment of whether the risk could be more pervasive, and actions taken to remediate and prevent recurrences or similar issues.	Key Audit Matters			Item

		Impairment allowance on loans and advances 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
		Recoverability of Parent Company's investment in subsidiaries		New	4.5


			Similar risk to FY21
			Increased risk since FY21

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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 or 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 –Tax specialists for our work over the tax charge, the effective tax rate and uncertain tax positions. 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 Bank PLC's management. As an example, we update our criteria for selecting journals with a higher risk of management override each year so that the selection criteria do not become predictable. This year we added additional key words we searched for in journal descriptions and also introduced new search criteria for journals posted and approved by the same individuals. Innovation in the audit: Our audit is committed to driving innovation and the increased use of technology. In 2022 we have continued to deploy a large number of data and analytics tools across our audit. We have also continued to innovate our audit of the estimation of expected credit losses through independently recalculating a selection of model assumptions using more recent data for certain portfolios. This is used to develop a range for ECL which we then compare to management’s own point estimate.


BOARD AUDIT COMMITTEE (“BAC”) INTERACTION	During the year, the BAC met 14 times. KPMG are invited to attend all BAC meetings and are 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, including matters that required particular judgement for each. 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 18 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. Apart from the matter noted below, we have not performed any non-audit services during the year ended 31 December 2022 or subsequently which are prohibited by the FRC Ethical Standard. During 2023, we identified that a KPMG member firm had provided preparation of local GAAP financial statement services over the period 2019 to 2022 to entities not in scope for the group audit. The services involved administrative preparation of the local statutory financial statements and did not involve any management decision- making or bookkeeping. The work was undertaken after the group audit opinion was signed by KPMG LLP for each of the impacted financial years and had no direct or indirect effect on Barclays Bank PLC’s consolidated financial statements. In our professional judgment, we confirm that based on our assessment of the breach, our integrity and objectivity as auditor has not been compromised and we believe that an objective, reasonable and informed third party would conclude that the provision of this service would not impair our integrity or objectivity for any of the impacted financial years. The audit committee have concurred with this view. 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 six financial years ended 31 December 2022. The Group lead engagement partner is required to rotate after five years. This is the first set of UK Financial Statements that Stuart Crisp has signed. 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	£38m
		Other audit related fees	£8m
		Other services	£1m
		Date first appointed	31 March 2017
		Uninterrupted audit tenure	6 years
		Next financial period which require a tender	31 December 2027
		Tenure of Group lead engagement partner	1 year
		Average tenure of key audit partners	3 years

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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 (FY21: £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. We determined that profit before tax remains the key benchmark for the Barclays Bank PLC Group. For FY21 we normalised profit before tax downward by £1.4bn to adjust for the fact that ECL charges were considered abnormally low as the economy recovered from the COVID-19 pandemic. For FY22 we did not normalise profit before tax. This is reflective of the impact of COVID-19 on ECL being less pronounced in the current period. As such, for FY22 we based our materiality on profit before tax, of which it represents 3.5% (FY21: 3.8% of normalised PBT). We have determined overall materiality for the Parent Company to be £130m (FY21: £130m). Materiality for the Parent Company financial statements was determined with reference to a benchmark of profit before tax of which it represents 4.7% (FY21: 4% of normalised PBT).	Profit before tax £4,867m (2021 normalised PBT: £4,438m)

			£170m Whole financial statements materiality (2021: £170m)
			£170m Whole financial statements materiality (2021: £170m)


			£130m Biggest component materiality Range of materiality for the seven components (£40m-£130m) (2021: £40m to £130m)


			£8m Misstatements reported to Board Audit Committee (2021: £8m)

		In line with our audit methodology, our procedures on individual account balances and disclosures were performed to a lower threshold, 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. Performance materiality was set at 65% (2021: 74%) of materiality for the financial statements as a whole, which equates to £111m (2021: £125m) for the group and £85m (2021: £98m) for the parent company. We applied this percentage in our determination of performance materiality based on the level of control deficiencies during the prior period.

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GROUP SCOPE (ITEM 7 BELOW)	We have performed top down risk assessment and planning to determine which of the Group’s components are likely to include risks of material misstatement to the Group financial statements, the type of procedures to be performed at these components and the extent of involvement required 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 are 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 certain 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. We consider the scope of our audit, as agreed with the Board Audit Committee, to be an appropriate basis for our audit opinion. The components within the scope of our work accounted for the following percentages: ■2022 Full scope audit ■2022 Audit of account balances ■2022 Other procedures ■2021 Full scope audit ■2021 Audit of account balances ■2021 Other procedures





		*Percentage of Group total income and assets over which we performed full scope audit of account balances.

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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 2022 Annual Report. 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 Group (including those relating to products with specific climate features) 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. –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

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”).



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. 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, based on these procedures, we found the directors' 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.

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 FY21		Our results

	FY22	FY21
Impairment allowances on loans and advances at amortised cost, including off-balance sheet elements	£4.4bn	£4.0bn		Our assessment is that the risk has increased since FY21. This is due to rising interest rates and inflationary pressures and increased macroeconomic environment uncertainty during the year.	FY22: Acceptable FY21: 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”), 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 uncertainty in the Group and Parent’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 as an input to calculate ECL, 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 (0.5%)% 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 66-110) disclose the sensitivities estimated by the Group and Parent. 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: Risk assessment: We performed granular and detailed risk assessment procedures over the entirety of the loan and advances at amortised cost including off-balance sheet elements within the Group and Parent Company’s financial statements. As part of these risk assessment procedures, we identified which portfolios are associated with a risk of material misstatement including those arising from significant judgements over estimation of ECL either due to inputs, methods or assumptions. 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 application 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; •selection and implementation of economic variables and the controls over the economic scenario selection and probabilities; and •credit reviews that determine customer risk ratings used in the models for wholesale customers. 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 model methodology; •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; •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; •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 •independently recalculating a selection of model assumptions using more recent data for certain portfolios. This is used to develop a range for ECL which is compared to management’s point estimate. 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. Other 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; •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; and •selecting a sample of credit reviews in order to assess the reasonableness of customer risk ratings by challenging key judgements and considering disconfirming or contradictory evidence. Assessing transparency: We assessed whether the disclosure appropriately describes the uncertainty which exists when determining the ECL. In addition, we assessed whether the disclosure of the key judgements and assumptions was sufficiently clear whether the disclosure appropriately describes the uncertainty which exists when determining the ECL. 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 Our discussions with and reporting to the Board Audit Committee 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; 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. Our results Based on the risk identified and our procedures performed we considered the impairment allowances on loans and advances at amortised cost, including off- balance sheet elements and the related disclosures to be acceptable (2021 result: acceptable)

Further information in the Annual Report and Accounts: See the Board Audit Committee Report on page 28 for details on how the Board Audit

Committee considered impairment as an area of focus, page 177 for the accounting policy on accounting for the impairment of financial assets under

IFRS 9, pages 66 - 110 for the credit risk disclosures, and page 189 for the financial disclosure note 8; Credit Impairment charges/(releases).


4.2VALUATION OF FINANCIAL INSTRUMENTS HELD AT FAIR VALUE

Financial Statement Elements			Our assessment of risk vs FY21		Our results

	FY22	FY21

Level 2 assets at fair value* (note 16)	£582bn	£523bn		Our assessment is that the risk is similar to FY21.	FY22: Acceptable FY21: Acceptable

Level 2 liabilities at fair value* (note 16)	£572bn	£521bn

Level 3 assets at fair value (note 16)	£17.8bn	£12.4bn

Level 3 liabilities at fair value (note 16)	£7.5bn	£6.5bn

*The key audit matter identified relates to one derivatives portfolio within these balances, and xVA adjustments made to derivative valuations, both of 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 and Parent’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 uncollateralised and partially collateralised 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 Level 3 portfolios and harder-to-value Level 2 portfolios, 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. Disclosure quality For the Level 3portfolios, 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 throughout the audit period over the entirety of the 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 and the associated valuation inputs have a risk of material misstatement including those arising from significant judgements over valuation either due to unobservable inputs or complex models. 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 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 throughout the audit period 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: For the Level 3 portfolios, 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 Our discussions with and reporting to the Board Audit Committee included: ▪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 risk assessment, controls and substantive procedures. ▪Our conclusions on the appropriateness of the Group’s 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 and the related disclosures for the Level 3 portfolios to be acceptable (2021 result: acceptable).

Further information in the Annual Report and Accounts: See the Board Audit Committee Report on page 28 for details on how the Board Audit

Committee considered Valuations as an area of focus, page 177 for the accounting policy on financial assets and liabilities, and page 213 for the

financial disclosure note 16; Fair value of financial instruments.



4.3.VALUATION OF THE GROSS DEFINED BENEFIT PENSION OBLIGATION IN RESPECT OF THE UK RETIREMENT FUND (‘UKRF’)

Financial Statement Elements			Our assessment of risk vs FY21		Our results

	FY22	FY21
Defined benefit obligation related to UKRF (note 31)	£20.0bn	£30.9bn		Our assessment is that the risk is similar to FY21.	FY22: Acceptable FY21: 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 may still 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 2022, Barclays Bank PLC Group and Parent reported a gross defined benefit pension obligation of £20bn 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 the assumptions used by Barclays Bank PLC to our independently compiled expected ranges based on market observable indices and our market experience; ▪evaluating the output from the triennial funding valuation as at 30 September 2022 and the impact on demographic assumptions and future funding requirements. 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 Our discussions with and reporting to the Board Audit Committee included; ▪Our definition of the Key Audit Matter relating to the valuation of the defined benefit pension obligation Including the rationale for not including the valuation of the pension scheme assets in the 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 We identified the following as 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). Our results Based on the risk identified and our procedures performed we consider the valuation of the defined benefit pension obligation in respect of UKRF and the related disclosures to be acceptable (2021 result: acceptable).

Further information in the Annual Report and Accounts: See page 176 for the accounting policy on defined benefit schemes, and page 253 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 FY21		Our results

User access management has a potential impact throughout the financial statements.		Our assessment is the risk is similar to FY21	FY22 and FY21: 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.
		Our assessment is the risk is similar to FY21


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 continue to be identified around 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 Our discussions with and reporting to the Board Audit Committee included: ▪Our response to the Key Audit Matter. Areas of particular auditor judgement We identified the following as the 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. Our results 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.



4.5.RECOVERABILITY OF PARENT COMPANY'S INVESTMENT IN SUBSIDIARIES

Financial Statement Elements			Our assessment of risk vs FY21		Our results

	FY22	FY21
Investment in subsidiaries (Parent company accounts)	£19.3bn	£19.1bn	NEW	This is the first year we have considered the risk to be a Key Audit Matter. This reflects the identification of a significant risk as a result of the impairment of the cost of investment in Barclays Bank Ireland PLC identified during FY22.	FY22: Acceptable
Impairment/ investment in BBI (Note 32)	£2.5bn	£0bn	NEW

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Description of the Key Audit Matter	Our response to the risk


Subjective assessment The Parent Company’s investment in subsidiaries may be misstated if the carrying value of the investment in the balance sheet is not supported by the future cash flows of the underlying business (the value in use (“VIU”)). As a result of the annual impairment review Barclays Bank PLC perform, it was identified that the recoverable amount for Barclays Bank Ireland (‘BBI’) was below the Parent Company’s investment in BBI. As a result management performed an impairment assessment where they calculated the value in use of the subsidiary, recognising an impairment against the Parent Company’s investment in BBI. The calculation of VIU is dependent on certain key assumptions including the discount rate which is applied to the forecasted cashflows used in the value in use calculation. The discount rate, which is judgemental is derived from a combination of management estimates, market data and other information obtained from external sources. The discount rate continues to be impacted by the economic uncertainty in the wider economic environment. This has contributed to the complexity and subjectivity in the impairment assessment process. Our work focused on the Parent Company’s investment in BBI given the material size of the cost of investment and impairment loss recognised during 2022. The effect of these matters is that, as part of our risk assessment, we determined that the recoverable amount of the cost of investment in subsidiaries 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.	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 process. We tested the design and operating effectiveness of the key controls relating to the process. These included controls over the identification of indicators of impairment or reversal of impairment and review of the key assumptions, including the discount rate, which is used in determining the value in use. Test of details: We compared the carrying amount of each subsidiary to its draft balance sheet to identify whether their net assets, being an approximation of their minimum recoverable amount, were in excess of their carrying amount. We assessed for potential indicators that investments in subsidiaries might be impaired. Benchmarking assumptions: We compared key BBI assumptions including those underlying certain estimated future cash flows, the discount rate and the terminal growth rate to externally derived data including analyst broker reports, peer bank data and projected economic growth. Our valuations expertise: We involved our own valuations specialists to assist us in the following: ▪evaluating the appropriateness of the discount rate used in the BBI impairment assessment by independently developing discount rate ranges using external data sources and peer bank data; and ▪assessing whether the methodology over management’s calculation of the BBI VIU is compliant with the requirements of the accounting standard. Our business understanding: We used our business understanding to evaluate the reasonableness of certain key assumptions and considerations made when developing BBI’s MTP estimated future cash flows. Historical comparison: We performed a retrospective review by comparing the BBI MTP from previous years to actual results to assess the entity’s ability to accurately prepare cash flow forecasts at the individual subsidiary level.


Communications with the Barclays Bank PLC Board Audit Committee Our discussions with and reporting to the Board Audit Committee included: ▪Our audit response to the Key Audit Matter which included the use of specialists to challenge key aspects of management’s BBI impairment assessment and the range of reasonably possible alternatives for significant assumptions. Areas of particular auditor judgement We identified the following as the areas of particular judgement: ▪We identified the reasonableness of the assumptions underlying the estimated future cash flows and appropriateness of the discount rate, which was used in the BBI impairment assessment, as the areas of particular judgement. Our results Based on our procedures performed, we consider the Parent Company’s investment in subsidiaries balance, impairment balance and the related disclosures to be acceptable.

Further information in the Annual Report and Accounts: See page 262 for the accounting policy on the recoverability of the investment in subsidiaries

and page 262 for the financial disclosure note 32; Principal subsidiaries.

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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 inspection of Barclays’ internal ethics and compliance reporting summaries, including those concerning investigations and regulatory correspondence; ▪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 we 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 update our criteria for selecting journals with a higher risk of management override for testing each year so that the selection criteria do not become predictable. This year we added additional key words we searched for in journal descriptions and also introduced new search criteria for journals posted and approved by the same individuals.

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 4.1 and 4.2 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; ▪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; and ▪the Group’s own assessment of the risks of non-compliance with laws and regulations, and the internal controls established to mitigate these. This assessment was considered and approved by the Board. Our risk assessment also considered instances of non-compliance with laws and regulations and enforcement actions against the Group during the year and specifically those that could reasonably be expected to have a material effect on the financial statements. We considered management’s assessment of how these occurred, their assessment of whether the risk could be more pervasive, and actions taken to remediate and prevent recurrences or similar issues. 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.

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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 deemed 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 as disclosed in note 40 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. We also specifically considered the sale of securities in excess of the amount of securities registered with the SEC under Barclays Bank PLC’s shelf registration statements, as disclosed by management in note 25, and which resulted in a restatement of the 2021 comparatives. Our audit approach in respect of the over-issuance included the following procedures and we reported the results of these to the Board Audit Committee: –Performance of risk assessment procedures which included inspecting correspondence with regulators and making enquires of Barclays internal and external counsel. –Testing the design and operating effectiveness of the controls covering the calculation and utilisation of the recission right provision and the identification of debt-issuance programme issuance limits and the monitoring of the utilisation against these. –Performing substantive procedures over the determination and utilisation of the recission right provision.

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 2022: £170m 2021: £170m	What we mean A quantitative reference for the purpose of planning and performing our audit

	Basis for determining materiality and judgements applied We have determined overall materiality for the Barclays Bank PLC Group to be £170m (FY21: £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 We determined that profit before tax remains the key benchmark for the Barclays Bank PLC Group. For FY21 we normalised profit before tax downward by £1.4bn to adjust for the fact that ECL charges were considered abnormally low as the economy recovered from the COVID-19 pandemic. For FY22 we did not normalise profit before tax. This is reflective of the impact of COVID-19 on ECL being less pronounced in the current period. We determined that no adjustments to profit before tax were required for FY22. Our materiality of £170m (2021: £170m) was determined by applying a percentage to 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 3.5% (2021: 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 (2021: £130m), determined with reference to a benchmark of Parent Company profit before tax from continuing operations (of which it represents 4.7% (2021: 4% of the referenced benchmark of normalised profit before tax from continuing operations).

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PERFORMANCE MATERIALITY 2021: £111m 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 65% (2021: 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 £111m (2021: £125m) and £85m (2021: £98m) for the parent company.



AUDIT MISSTATEMENT POSTING THRESHOLD 2022: £8m 2021: £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% (2021: 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. We also report to the Audit Committee any other identified misstatements that warrant reporting on qualitative grounds.

The overall materiality for the Group of £170m (2021: £170m) compares as follows to the other main financial statement elements amounts.



	Total Revenue		Total Assets		Net Assets


	2022	2021	2022	2021	2022	2021


	£18,194m	£15,408m	£1,203,537m	£1,061,778m	£58,953m	£56,317m


Group Materiality as % of caption	0.93%	1.10%	0.01%	0.02%	0.29%	0.30%

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7.THE SCOPE OF OUR AUDIT


GROUP SCOPE
	What we mean How the Group audit team determined the procedures to be performed across the Group.


	We have subjected three (2021: 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 (2021: four) 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 team to conduct and report to us on an audit of certain account balances. We have subjected Barclays Bank Subsidiaries and Barclays Bank Intermediate Holding Companies (IHC) Subsidiaries to an audit of certain account balances carried out by us, these components represent less than 2% 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 automated business controls. 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. 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 scope of our substantive audit work.

GROUP AUDIT TEAM OVERSIGHT
	What we mean The extent of the Group audit team’s involvement in component audits.


	A hybrid communication and oversight strategy was implemented between the Group audit team and the components during the year as opposed to virtual oversight during the COVID 19 pandemic. 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; –The components in scope for Group reporting purposes were either visited by the Group audit team to assess the audit risk and strategy, or such review occurred remotely. Conference meetings and calls were also held with these component auditors throughout the conduct of the audit. At these visits and meetings, we reviewed the components’ key working papers, the findings reported to the Group team were discussed in more detail, and any further work required by the Group team was then performed by the component auditors; –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. For example, minimum criteria for high-risk journals were set by the Group team and applied consistently across the audit; –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 final phases of the audit led by the Group engagement partner and audit quality partner. This was carried out through a combination of in person and virtual meetings and file review; –Fortnightly video conferences with the partners and directors of the Group and component audit teams along with regular ad-hoc contact in person and via video calls and email exchanges to challenge the component audit approach and findings; –Stuart Crisp, 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 the IHC covering Barclays Capital Inc. and Barclays Bank Delaware, and Barclays Bank Europe; –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.OTHER INFORMATION IN THE ANNUAL REPORT

The directors are responsible for the other information presented in the Annual Report together with the financial statements. 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.

ALL OTHER INFORMATION



Our responsibility Our responsibility is to read the other information 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	Our reporting Based solely on that work we have not identified material misstatements or inconsistencies in the other information

STRATEGIC REPORT AND THE DIRECTORS' REPORT

Our responsibility and reporting Based solely on that work on the other information described above we report to you as follows: •we have not identified material misstatements in the strategic report and the directors’ 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.

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 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 2022 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 2022, identified as bbplc-2022-12-31 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.

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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.

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.

Stuart Crisp

(Senior Statutory Auditor)

for and on behalf of KPMG LLP, Statutory Auditor

Chartered Accountants

15 Canada Square

London

E14 5GL

14 February 2023

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			Restateda
		2022	2021	2020
For the year ended 31 December	Notes	£m	£m	£m
Continuing operations
Interest and similar income	3	11,779	5,672	6,006
Interest and similar expense	3	(6,381)	(2,599)	(2,846)
Net interest income		5,398	3,073	3,160
Fee and commission income	4	8,171	8,581	7,417
Fee and commission expense	4	(2,745)	(1,994)	(1,758)
Net fee and commission income		5,426	6,587	5,659
Net trading income	5	7,624	5,788	7,076
Net investment expense	6	(323)	(80)	(121)
Other income		69	40	4
Total income		18,194	15,408	15,778
Staff costs	29	(5,192)	(4,456)	(4,365)
Infrastructure costs	7	(900)	(1,054)	(816)
Administration and general expenses	7	(4,879)	(4,375)	(4,202)
Litigation and conduct	7	(1,427)	(374)	(76)
Operating expenses	7	(12,398)	(10,259)	(9,459)
Share of post-tax results of associates and joint ventures		3	4	7
Profit/(loss) on disposal of subsidiaries, associates and joint ventures		1	(12)	126
Profit before Impairment		5,800	5,141	6,452
Credit impairment (charges)/releases	8	(933)	277	(3,377)
Profit before tax		4,867	5,418	3,075
Taxation	9	(485)	(830)	(624)
Profit after tax		4,382	4,588	2,451

Attributable to:
Equity holders of the parent		3,650	3,957	1,774
Other equity instrument holders		732	631	677
Total equity holders of the parent		4,382	4,588	2,451
Profit after tax		4,382	4,588	2,451

Note

a.2021 financial metrics have been restated to reflect the impact of the Over-issuance of Securities. See Restatement of financial statements (Note 1a) on page 180 for

further details.

Note

As permitted 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 2022 of £2,784m (2021: £3,436m).

Consolidated financial statements

Consolidated income statement


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		Restatedb
	2022	2021	2020
For the year ended 31 December	£m	£m	£m
Profit after tax	4,382	4,588	2,451
Other comprehensive income/(loss) that may be recycled to profit or loss:
Currency translation reserve
Currency translation differencesa	2,411	(155)	(647)
Fair value through other comprehensive income reserve movement relating to debt securities
Net (losses)/gains from changes in fair value	(6,376)	(1,383)	2,402
Net losses/(gains) transferred to net profit on disposal	68	(248)	(251)
Net losses/(gains) related to (releases of) impairment	8	(6)	1
Net gains/(losses) due to fair value hedging	4,627	1,105	(1,640)
Tax	449	170	(130)
Cash flow hedging reserve
Net (losses)/gains from changes in fair value	(7,290)	(2,212)	1,366
Net gains/(losses) transferred to net profit	543	(327)	(282)
Tax	1,808	740	(291)
Other	—	—	3
Other comprehensive (loss)/income that may be recycled to profit or loss	(3,752)	(2,316)	531

Other comprehensive income/(loss) not recycled to profit or loss:
Retirement benefit remeasurements	(755)	1,299	(77)
Fair value through other comprehensive income reserve movements relating to equity instruments	—	—	1
Own credit	2,092	(105)	(810)
Tax	(156)	(563)	198
Other comprehensive income/(loss) not recycled to profit or loss	1,181	631	(688)

Other comprehensive loss for the year	(2,571)	(1,685)	(157)

Total comprehensive income for the year	1,811	2,903	2,294

Attributable to:
Equity holders of the parent	1,811	2,903	2,294
Total comprehensive income for the year	1,811	2,903	2,294

Notes

aIncludes £1m gain (2021: £20m loss; 2020: £8m loss) on recycling of currency translation differences.

b2021 financial metrics have been restated to reflect the impact of the Over-issuance of Securities. See Restatement of financial statements (Note 1a) on page 180 for

further details.

Consolidated financial statements

Consolidated statement of comprehensive income


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			Restateda
		2022	2021
As at 31 December	Notes	£m	£m
Assets
Cash and balances at central banks		202,142	169,085
Cash collateral and settlement balances		107,862	88,085
Loans and advances at amortised cost	18	182,507	145,259
Reverse repurchase agreements and other similar secured lending		725	3,177
Trading portfolio assets	11	133,771	146,871
Financial assets at fair value through the income statement	12	211,128	188,226
Derivative financial instruments	13	302,976	262,291
Financial assets at fair value through other comprehensive income	14	45,084	45,908
Investments in associates and joint ventures	34	26	24
Goodwill and intangible assets	21	1,665	1,449
Property, plant and equipment	19	1,379	1,248
Current tax assets		737	589
Deferred tax assets	9	4,583	2,981
Retirement benefit assets	31	4,743	3,879
Other assets		4,209	2,706
Total assets		1,203,537	1,061,778
Liabilities
Deposits at amortised cost	18	291,579	262,828
Cash collateral and settlement balances		96,811	79,047
Repurchase agreements and other similar secured borrowing		11,965	12,769
Debt securities in issue		60,012	48,388
Subordinated liabilities	26	38,253	32,185
Trading portfolio liabilities	11	72,460	53,291
Financial liabilities designated at fair value	15	272,055	251,131
Derivative financial instruments	13	289,206	256,523
Current tax liabilities		422	688
Deferred tax liabilities	9	—	6
Retirement benefit liabilities	31	184	246
Other liabilities	22	10,779	7,249
Provisions	23	858	1,110
Total liabilities		1,144,584	1,005,461
Equity
Called up share capital and share premium	27	2,348	2,348
Other equity instruments	27	10,691	9,693
Other reserves	28	(1,464)	861
Retained earnings		47,378	43,415
Total equity		58,953	56,317
Total liabilities and equity		1,203,537	1,061,778

Notes

a.2021 financial metrics have been restated to reflect the impact of the Over-issuance of Securities. See Restatement of financial statements (Note 1a) on page 180 for

further details.

The Board of Directors approved the financial statements on pages 148 to 262 on 14 February 2023

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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				Restatedc	Restatedc
	Called up share capital and share premiuma	Other equity instrumentsa	Other reservesb	Retained earnings	Total equity
	£m	£m	£m	£m	£m
Balance as at 1 January 2022	2,348	9,693	861	43,415	56,317
Profit after tax	—	732	—	3,650	4,382
Currency translation movements	—	—	2,411	—	2,411
Fair value through other comprehensive income reserve	—	—	(1,224)	—	(1,224)
Cash flow hedges	—	—	(4,939)	—	(4,939)
Retirement benefit remeasurement	—	—	—	(282)	(282)
Own credit reserve	—	—	1,463	—	1,463
Total comprehensive income for the year	—	732	(2,289)	3,368	1,811
Issue and redemption of other equity instruments	—	998	—	38	1,036
Other equity instruments coupons paid	—	(732)	—	—	(732)
Employee share schemes	—	—	—	419	419
Vesting of Barclays PLC shares under share-based payment schemes	—	—	—	(413)	(413)
Dividends on ordinary shares	—	—	—	(200)	(200)
Dividends on preference shares and other shareholders equity	—	—	—	(31)	(31)
Own credit realisation	—	—	(36)	36	—
Capital contribution from Barclays PLC	—	—	—	750	750
Other reserve movements	—	—	—	(4)	(4)
Balance as at 31 December 2022	2,348	10,691	(1,464)	47,378	58,953

Notes

aFor further details refer to Note 27.

bFor further details refer to Note 28.

c2021 financial metrics have been restated to reflect the impact of the Over-issuance of Securities. See Restatement of financial statements (Note 1a) on page 180 for

further details.

Consolidated financial statements

Consolidated statement of changes in equity


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				Restatedc	Restatedc
	Called up share capital and share premiuma	Other equity instrumentsa	Other reservesb	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	—	3,957	4,588
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)
Total comprehensive income for the year	—	631	(2,329)	4,601	2,903
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)
Other reserve movements	—	—	7	(6)	1
Balance as at 31 December 2021	2,348	9,693	861	43,415	56,317

Notes

aFor further details refer to Note 27.

bFor further details refer to Note 28.

c2021 financial metrics have been restated to reflect the impact of the Over-issuance of Securities. See Restatement of financial statements (Note 1a) on page 180 for

further details.

Consolidated financial statements

Consolidated statement of changes in equity


home.barclays/annualreport	Barclays Bank PLC Annual Report	170


			Restateda
		2022	2021	2020
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		4,867	5,418	3,075
Adjustment for non-cash items:
Credit impairment charges/(releases)		933	(277)	3,377
Depreciation, amortisation and impairment of property, plant, equipment and intangibles		483	683	441
Other provisions, including pensions		1,188	85	634
Net loss/(profit) on disposal of investments and property, plant and equipment		8	12	(119)
Other non-cash movements including exchange rate movements		(13,491)	1,968	(2,362)
Changes in operating assets and liabilities
Net (increase)/decrease in cash collateral and settlement balances		(1,078)	3,633	4,098
Net (increase)/decrease in loans and advances at amortised cost		(30,617)	(7,190)	7,142
Net decrease/(increase) in reverse repurchase agreements and other similar secured lending		2,452	5,804	(7,250)
Net increase in deposits at amortised cost		28,751	18,132	31,148
Net increase/(decrease) in debt securities in issue		11,624	18,965	(4,113)
Net (decrease)/increase in repurchase agreements and other similar secured borrowing		(804)	2,326	8,411
Net increase in derivative financial instruments		(8,002)	(3,655)	(1,604)
Net decrease/(increase) in trading portfolio assets		13,100	(19,207)	(14,327)
Net increase in trading portfolio liabilities		19,169	7,152	10,927
Net (increase)/decrease in financial assets and liabilities at fair value through the income statement		(1,978)	(14,960)	2,889
Net increase in other assets		(3,311)	(2,235)	(93)
Net increase in other liabilities		1,834	2,082	13
Corporate income tax paid		(144)	(1,239)	(12)
Net cash from operating activities		24,984	17,497	42,275
Purchase of debt securities at amortised cost		(20,014)	(6,931)	(7,890)
Proceeds from redemption or sale of debt securities at amortised cost		12,925	2,424	3,527
Purchase of financial assets at fair value through other comprehensive income		(43,139)	(44,058)	(57,640)
Proceeds from sale or redemption of financial assets at fair value through other comprehensive income		42,157	47,601	53,367
Purchase of property, plant and equipment and intangibles		(540)	(758)	(303)
Disposal of subsidiaries and associates, net of cash disposed		—	65	736
Other cash flows associated with investing activities		—	4	11
Net cash from investing activities		(8,611)	(1,653)	(8,192)
Dividends paid and other coupon payments on equity instruments		(963)	(1,452)	(982)
Issuance of subordinated liabilities	26	15,381	9,099	3,856
Redemption of subordinated liabilities	26	(8,367)	(7,241)	(4,746)
Issue of shares and other equity instruments		3,134	1,072	1,134
Repurchase of shares and other equity instruments		(2,136)	—	(903)
Capital contribution		750	—	—
Vesting of employee share schemes		(413)	(356)	(300)
Net cash from financing activities		7,386	1,122	(1,941)
Effect of exchange rates on cash and cash equivalents		10,235	(4,231)	1,669
Net increase in cash and cash equivalents		33,994	12,735	33,811
Cash and cash equivalents at beginning of year		185,860	173,125	139,314
Cash and cash equivalents at end of year		219,854	185,860	173,125
Cash and cash equivalents comprise:
Cash and balances at central banks		202,142	169,085	155,902
Loans and advances to banks with original maturity less than three months		6,229	6,473	7,281
Cash collateral balances with central banks with original maturity less than three months		10,625	9,690	9,086
Treasury and other eligible bills with original maturity less than three months		858	612	856
Cash and cash equivalents at end of year		219,854	185,860	173,125

Note

a2021 financial metrics have been restated to reflect the impact of the Over-issuance of Securities. See Restatement of financial statements (Note 1a) on page 180 for

further details.

Interest received by the Barclays Bank Group was £33,657m (2021: £11,616m) and interest paid by the Barclays Bank Group was £26,566m (2021:

£7,493m). 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 £3,038m (2021:

£4,260m).

Consolidated financial statements

Consolidated cash flow statement


home.barclays/annualreport	Barclays Bank PLC Annual Report	171


Balance sheet
			Restatedb
		2022	2021
As at 31 December	Notes	£m	£m
Assets
Cash and balances at central banks		170,307	144,964
Cash collateral and settlement balances		82,371	75,571
Loans and advances at amortised cost	18	225,783	199,782
Reverse repurchase agreements and other similar secured lending		5,908	4,982
Trading portfolio assets	11	83,043	96,724
Financial assets at fair value through the income statement	12	247,325	236,577
Derivative financial instruments	13	258,708	234,409
Financial assets at fair value through other comprehensive income	14	43,086	44,163
Investments in associates and joint ventures	34	12	12
Investment in subsidiaries	32	19,264	19,134
Goodwill and intangible assets	21	107	109
Property, plant and equipment	19	110	128
Current tax assets		891	671
Deferred tax assets	9	3,114	1,679
Retirement benefit assets	31	4,695	3,825
Other assets		3,188	1,941
Total assets		1,147,912	1,064,671
Liabilities
Deposits at amortised cost	18	313,895	286,761
Cash collateral and settlement balances		64,955	56,419
Repurchase agreements and other similar secured borrowing		26,307	29,202
Debt securities in issue		40,166	32,585
Subordinated liabilities	26	37,656	31,875
Trading portfolio liabilities	11	52,093	50,116
Financial liabilities designated at fair value	15	300,851	291,062
Derivative financial instruments	13	250,567	227,991
Current tax liabilities		303	342
Deferred tax liabilities	9	—	6
Retirement benefit liabilities	31	80	104
Other liabilities	22	7,980	4,597
Provisions	23	592	919
Total liabilities		1,095,445	1,011,979
Equity
Called up share capital and share premium	27	2,348	2,348
Other equity instruments	27	15,398	14,400
Other reserves	28	(4,552)	(1,236)
Retained earnings		39,273	37,180
Total equity		52,467	52,692
Total liabilities and equity		1,147,912	1,064,671

Notes

aAs permitted 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 2022 of £2,784m (2021: £3,436m).

b2021 financial metrics have been restated to reflect the impact of the Over-issuance of Securities. See Restatement of financial statements (Note 1a) on page 180 for

further details.

The Board of Directors approved the financial statements on pages 148 to 262 on 14 February 2023.

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


home.barclays/annualreport	Barclays Bank PLC Annual Report	172


Statement of changes in equity
				Restatedd	Restatedd
	Called up share capital and share premiuma	Other equity instrumentsa, b	Other reservesc	Retained earnings	Total equity
	£m	£m	£m	£m	£m
Balance as at 1 January 2022	2,348	14,400	(1,236)	37,180	52,692
Profit after tax	—	982	—	1,802	2,784
Currency translation movements	—	—	1,149	—	1,149
Fair value through other comprehensive income reserve	—	—	(1,232)	—	(1,232)
Cash flow hedges	—	—	(4,556)	—	(4,556)
Retirement benefit remeasurement	—	—	—	(315)	(315)
Own credit reserve	—	—	1,359	—	1,359
Total comprehensive income for the year	—	982	(3,280)	1,487	(811)
Issue and redemption of other equity instruments	—	998	—	38	1,036
Other equity instruments coupons paid	—	(982)	—	—	(982)
Employee share schemes	—	—	—	425	425
Vesting of Barclays PLC shares under share-based payment schemes	—	—	—	(413)	(413)
Dividends paid on ordinary shares	—	—	—	(200)	(200)
Dividends paid on preference shares and other shareholders' equity	—	—	—	(31)	(31)
Own credit realisation	—	—	(36)	36	—
Capital contribution from Barclays PLC	—	—	—	750	750
Other reserve movements	—	—	—	1	1
Balance as at 31 December 2022	2,348	15,398	(4,552)	39,273	52,467

Notes

aFor further details refer to Note 27.

bOther 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 2022, interest paid on these borrowings was £250m.

cFor further details refer to Note 28.

d2021 financial metrics have been restated to reflect the impact of the Over-issuance of Securities. See Restatement of financial statements (Note 1a) on page 180 for

further details.

Financial statements of Barclays Bank PLC

Parent company accounts


home.barclays/annualreport	Barclays Bank PLC Annual Report	173


Statement of changes in equity
				Restatedd	Restatedd
	Called up share capital and share premiuma	Other equity instrumentsa, b	Other reservesc	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	—	2,641	3,436
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)	3,253	2,029
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)	37,180	52,692

Notes

aFor further details refer to Note 27.

bOther 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 2021, interest paid on these borrowings was £164m.

cFor further details refer to Note 28.

d2021 financial metrics have been restated to reflect the impact of the Over-issuance of Securities. See Restatement of financial statements (Note 1a) on page 180 for

further details.

Financial statements of Barclays Bank PLC

Parent company accounts


home.barclays/annualreport	Barclays Bank PLC Annual Report	174


Cash flow statement			Restateda
		2022	2021	2020
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		2,744	3,323	2,155
Adjustment for non-cash items:
Credit impairment charges/(releases)		165	(414)	1,577
Impairment of Investments in subsidiaries		2,533	107	27
Depreciation, amortisation and impairment of property, plant, equipment and intangibles		72	331	66
Other provisions, including pensions		996	75	505
Net profit on disposal of investments and property, plant and equipment		(115)	(49)	(397)
Other non-cash movements including exchange rate movements		(11,858)	1,002	(2,072)
Changes in operating assets and liabilities
Net decrease in cash collateral and settlement balances		2,671	313	1,863
Net increase in loans and advances at amortised cost		(19,764)	(10,255)	(29,049)
Net (increase)/decrease in reverse repurchase agreements and other similar secured lending		(926)	6,553	(6,596)
Net increase in deposits at amortised cost		27,134	14,571	32,059
Net increase/(decrease) in debt securities in issue		7,581	15,364	(2,662)
Net (decrease)/increase in repurchase agreements and other similar secured		(2,895)	1,480	18,537
Net increase in derivative financial instruments		(1,723)	(1,827)	(860)
Net decrease/(increase) in trading portfolio assets		13,681	(12,635)	(5,010)
Net increase in trading portfolio liabilities		1,977	2,023	2,963
Net (increase)/decrease in financial assets and liabilities at fair value through the income statement		(959)	(9,579)	18,799
Net increase in other assets		(3,035)	(1,989)	(83)
Net increase in other liabilities		2,196	1,557	380
Corporate income tax received/(paid)		422	(373)	354
Net cash from operating activities		20,897	9,578	32,556
Purchase of debt securities at amortised cost		(18,519)	(5,442)	(7,129)
Proceeds from redemption or sale of debt securities at amortised cost		12,107	1,278	3,054
Purchase of financial assets at fair value through other comprehensive income		(36,084)	(37,842)	(51,368)
Proceeds from sale or redemption of financial assets at fair value through other comprehensive income		35,066	41,544	47,254
Purchase of property, plant and equipment and intangibles		(28)	(20)	(27)
Disposal of subsidiaries and associates, net of cash disposed		125	65	736
Increase in investment in subsidiaries		(2,667)	(1,473)	(1,907)
Other cash flows associated with investing activities		(1)	—	8
Net cash from investing activities		(10,001)	(1,890)	(9,379)
Dividends paid and other coupon payments on equity instruments		(1,213)	(1,616)	(1,134)
Issuance of subordinated liabilities	26	14,904	8,788	3,700
Redemption of subordinated liabilities	26	(8,104)	(7,095)	(4,580)
Issue of shares and other equity instruments		3,134	1,072	3,075
Repurchase of shares and other equity instruments		(2,136)	—	(903)
Capital contribution		750
Vesting of shares under employee share schemes		(413)	(356)	(300)
Net cash from financing activities		6,922	793	(142)
Effect of exchange rates on cash and cash equivalents		8,166	(2,913)	1,169
Net increase in cash and cash equivalents		25,984	5,568	24,204
Cash and cash equivalents at beginning of year		159,059	153,491	129,287
Cash and cash equivalents at end of year		185,043	159,059	153,491
Cash and cash equivalents comprise:
Cash and balances at central banks		170,307	144,964	133,386
Loans and advances to banks with original maturity less than three months		3,466	3,793	10,174
Cash collateral balances with central banks with original maturity less than three months		10,625	9,690	9,086
Treasury and other eligible bills with original maturity less than three months		645	612	845
Cash and cash equivalents at end of year		185,043	159,059	153,491

a2021 financial metrics have been restated to reflect the impact of the Over-issuance of Securities. See Restatement of financial statements (Note 1a) on page 180 for

further details.

Interest received by Barclays Bank PLC was £25,048m (2021: £7,284m) and interest paid by Barclays Bank PLC was £21,325m (2021: £5,496m). These

amounts include interest paid and received arising from trading activities. Dividends received were £1,862m (2021: £1,174m).

Barclays Bank PLC was required to maintain balances with central banks and other regulatory authorities of £1,070m (2021: £1,585m).

Financial statements of Barclays Bank PLC

Parent company accounts


home.barclays/annualreport	Barclays Bank PLC Annual Report	175

This section describes the 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.

1Significant accounting 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.

The principal accounting policies applied in the preparation of the consolidated and separate financial statements are set out below, and in the relevant

notes to the financial statements. These policies have been consistently applied.

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 conditions and has reviewed 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 WCR 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 of 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 2022


home.barclays/annualreport	Barclays Bank PLC Annual Report	176

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 21The 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 2022


home.barclays/annualreport	Barclays Bank PLC Annual Report	177

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.

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. IFRS 17 will replace IFRS 4 Insurance Contracts that was issued in 2005. In June 2020, the IASB published

amendments to IFRS 17, to include scope exclusion for certain credit card contracts and similar contracts that provide insurance coverage, the optional

scope exclusion for loan contracts that transfer significant insurance risk, and the clarification that only financial guarantees issued are in scope of IFRS

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.

IFRS 17 is effective for accounting periods beginning on or after 1 January 2023. The Barclays Bank Group does not expect the impact of IFRS 17 to be

material.

Classification of Liabilities as Current or Non-current (Amendments to IAS 1)

In January 2020 the IASB issued amendments to IAS 1 to clarify the presentation of liabilities in the balance sheet, with an effective date of 1 January

2024.

Notes to the financial statements

For the year ended 31 December 2022


home.barclays/annualreport	Barclays Bank PLC Annual Report	178

The amendments clarify that a liability should be classified as non-current only if the entity has the right to defer settlement of the liability for at least 12

months after the reporting period, and that (i) the right to defer settlement must exist at the end of the reporting period and (ii) management’s

intentions or expectations about whether it will exercise its right to defer settlement does not affect the classification. Further clarifications include how

lending conditions affect classification and classification of liabilities the entity will or may settle by issuing its own equity instruments.

In October 2022, the IASB also issued further amendments to IAS 1 to improve the information an entity provides when its right to defer settlement of a

liability for at least twelve months is subject to compliance with covenants, and to respond to stakeholders’ concerns about the classification of such a

liability as current or non-current.

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 charges on pages 189 to 192

▪Tax on pages 193 to 197

▪Fair value of financial instruments on pages 213 to 225

▪Pensions and post-retirement benefit obligations on pages 253 to 261

▪Provisions including conduct and legal, competition and regulatory matters on pages 236 to 243

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 59 to 60 and on pages 70 to 110

▪Market risk on page 60 to 61 and on pages 112 to 113

▪Treasury and capital risk – capital on page 61 to 62 and on pages 125 to 126

▪Treasury and capital risk – liquidity on pages 61 to 62 and on pages 115

These disclosures are covered by the Audit opinion (included on pages 145 to 165) where referenced as audited.

Notes to the financial statements

For the year ended 31 December 2022


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1aRestatement of financial statements

The comparatives in these consolidated financial statements for the year ended 31 December 2022 (the financial statements) have been restated to

reflect both a provision and contingent liability disclosure in respect of the impact of an over-issuance of securities (the Over-issuance of Securities) in

excess of the maximum aggregate offering price registered under Barclays Bank PLC’s shelf registration statement on Form F-3, as declared effective by

the SEC in August 2019 (2019 F-3) and Barclays Bank PLC’s prior shelf registration statement (Predecessor Statement). The comparatives have been

restated so as to align them to those reported in the restated 2021 20-F filing for Barclays Bank PLC for 2021.

Due to an SEC settlement order in 2017, at the time the 2019 F-3 was filed and the Predecessor Shelf was amended, Barclays Bank PLC had ceased to

be a “well-known seasoned issuer” (or WKSI) and had become an “ineligible issuer”, as defined in Rule 405 under the Securities Act of 1933, as

amended (Securities Act), thus being required to register upfront a certain amount of securities with the SEC.

In March 2022, Barclays Bank PLC became aware that it had issued securities in the US materially in excess of the amount it had registered with the SEC

under the 2019 F-3. Subsequently Barclays Bank PLC became aware that securities had also been issued in excess of the amount it had registered with

the SEC under the Predecessor Statement. The securities that were over-issued comprised structured notes and exchange traded notes (ETNs). As such,

certain offers and sales of these securities were not made in compliance with the Securities Act, giving rise to rights of rescission for certain purchasers

of the securities. Under Section 12(a)(1) of the Securities Act, certain purchasers of unregistered securities have a right to recover, upon the tender of

such security, the consideration paid for such security with interest, less the amount of any income received, or damages if the purchaser sold the

securities at a loss (the Rescission Price). As a result, Barclays Bank PLC made a rescission offer to eligible purchasers of the relevant affected securities

at the Rescission Price (the Rescission Offer).

A portion of the costs associated with the rights of rescission of certain investors was attributable to Barclays Bank PLC’s financial statements for the

year ended 31 December 2021. Accordingly, the comparatives in these financial statements have been restated. The restatement impacts the

consolidated income statement, the consolidated statement of comprehensive income, the parent company statement of comprehensive income, the

consolidated balance sheet, the parent company balance sheet, the consolidated statement of changes in equity, the parent company statement of

changes in equity, the consolidated cash flow statement, and the parent company cash flow statement for the year ended 31 December 2021. There

was no material effect on Barclays Bank PLC’s previously reported financial statements for the year ended 31 December 2020.

The impact of the restatement is as follows:

•Litigation and conduct charges in the consolidated income statement for the year ended 31 December 2021 were underreported by £220m,

increasing total operating expenses from a reported £10,039m to £10,259m.

•Provisions on the consolidated balance sheet increased from a reported £890m to £1,110m.

•Provisions on the parent company balance sheet increased from a reported £699m to £919m.

•The taxation charge in the consolidated income statement reduced by £50m from a reported £880m to £830m with a corresponding decrease in

current tax liabilities on the consolidated balance sheet from £738m to £688m.

•Current tax liabilities on the parent balance sheet decreased from £392m to £342m.

•The overall impact of the restatement reduced reported Barclays Bank Group profit after tax from £4,758m to £4,588m.

•The overall impact of the restatement reduced reported Barclays Bank PLC profit after tax from £3,606m to £3,436m.

•The consolidated financial statements and parent company financial statements were restated for the increased provision of £220m and lower tax

charge of £50m.

•The contractual maturity profile of financial liabilities designated at fair value was restated to reflect the impact of the Over-issuance of Securities.

Notes to the financial statements

For the year ended 31 December 2022


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The table below reflects each of the consolidated financial statement line items that were affected by the restatement:


For the year ended 31 December 2021	As reported £m	Restatement £m	As restated £m
Impact on the consolidated income statement
Litigation and conduct	(154)	(220)	(374)
Total operating expenses	(10,039)	(220)	(10,259)
Profit before tax	5,638	(220)	5,418
Taxation	(880)	50	(830)
Profit after tax	4,758	(170)	4,588

Impact on the consolidated statement of comprehensive income
Profit after tax	4,758	(170)	4,588
Total comprehensive income for the year	3,073	(170)	2,903

Impact on the consolidated balance sheet
Liabilities
Current tax liabilities	738	(50)	688
Provisions	890	220	1,110
Total liabilities	1,005,291	170	1,005,461
Equity
Retained earnings	43,585	(170)	43,415
Total equity	56,487	(170)	56,317

Impact on the consolidated cash flow statement
Profit before tax	5,638	(220)	5,418
Adjustment for non-cash items
Other provisions, including pensions	(135)	220	85

The financial impact of the restatement has been reflected in Notes 2, 7, 9, and 23. Further, Note 25 (Legal, competition and regulatory matters) has

also been amended to reflect the Over-issuance of Securities.

Notes to the financial statements

For the year ended 31 December 2022


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The table below reflects each of the parent company financial statement line items that were affected by the restatement:


For the year ended 31 December 2021	As reported £m	Restatement £m	As restated £m
Impact on the parent company balance sheet
Liabilities
Current tax liabilities	392	(50)	342
Provisions	699	220	919
Total liabilities	1,011,809	170	1,011,979
Equity
Retained earnings	37,350	(170)	37,180
Total equity	52,862	(170)	52,692

Impact on the parent company statement of changes in equity
Profit after tax	3,606	(170)	3,436
Total comprehensive income for the year	2,199	(170)	2,029

Impact on the parent company cash flow statement
Profit before tax	3,543	(220)	3,323
Adjustment for non-cash items
Other provisions, including pensions	(145)	220	75

Notes to the financial statements

For the year ended 31 December 2022


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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.

2Segmental 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 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 2022
Total income	13,722	4,547	(75)	18,194
Operating expenses	(8,011)	(2,800)	(160)	(10,971)
Litigation and conduct	(1,189)	(230)	(8)	(1,427)
Total operating expenses	(9,200)	(3,030)	(168)	(12,398)
Other net incomea	3	1	—	4
Profit before impairment	4,525	1,518	(243)	5,800
Credit impairment charges	(119)	(814)	—	(933)
Profit/(loss) before tax	4,406	704	(243)	4,867
Total assets (£bn)	1,111.2	79.9	12.4	1,203.5
Number of employees (full time equivalent)	8,000	2,900	11,000	21,900
Average number of employees (full time equivalent)				21,100



	Restatedb			Restatedb
	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
Operating expenses	(7,169)	(2,316)	(400)	(9,885)
Litigation and conduct	(237)	(108)	(29)	(374)
Total operating expenses	(7,406)	(2,424)	(429)	(10,259)
Other net income/(expenses)a	(8)	1	(1)	(8)
Profit before impairment	5,067	914	(840)	5,141
Credit impairment(charges)/releases	461	(185)	1	277
Profit/(loss) before tax	5,528	729	(839)	5,418
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

Notes

aOther net income/(expenses) represents the share of post-tax results of associates and joint ventures, and profit (or loss) on disposal of subsidiaries, associates and joint

ventures.

b2021 financial metrics have been restated to reflect the impact of the Over-issuance of Securities. See Restatement of financial statements (Note 1a) on page 180 for

further details.

Notes to the financial statements

Financial performance and returns


home.barclays/annualreport	Barclays Bank PLC Annual Report	183



	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
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 incomea	16	114	3	133
Profit before impairment	5,494	1,428	(470)	6,452
Credit impairment charges	(1,565)	(1,720)	(92)	(3,377)
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

aOther net income/(expenses) represents the share of post-tax results of associates and joint ventures, and profit (or loss) on disposal of subsidiaries, associates and joint

ventures.


Income by geographic regionb
	2022	2021	2020
For the year ended 31 December	£m	£m	£m
United Kingdom	7,962	4,585	4,954
Europe	2,320	2,358	2,119
Americas	6,516	7,326	7,590
Africa and Middle East	63	45	37
Asia	1,333	1,094	1,078
Total	18,194	15,408	15,778

Income from individual countries which represent more than 5% of total incomeb
	2022	2021	2020
For the year ended 31 December	£m	£m	£m
United Kingdom	7,962	4,585	4,954
United States	6,340	7,162	7,471

Note

b The geographical analysis is based on the location of the office where the transactions are recorded.

3Net 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


home.barclays/annualreport	Barclays Bank PLC Annual Report	184


	2022	2021	2020
	£m	£m	£m
Cash and balances at central banks	2,097	128	226
Loans and advances at amortised cost	7,454	4,265	4,510
Fair value through other comprehensive income	1,493	380	604
Negative interest on liabilities	208	248	68
Other	527	651	598
Interest and similar income	11,779	5,672	6,006
Deposits at amortised cost	(3,104)	(331)	(644)
Debt securities in issue	(1,473)	(413)	(424)
Subordinated liabilities	(966)	(934)	(1,112)
Negative interest on assets	(208)	(374)	(325)
Other	(630)	(547)	(341)
Interest and similar expense	(6,381)	(2,599)	(2,846)
Net interest income	5,398	3,073	3,160

Interest and similar income presented above represents interest revenue calculated using the effective interest method. Costs to originate credit card

balances of £747m (2021: £623m; 2020: £687m) have been amortised to interest and similar income during the year. Interest and similar income

includes £38m (2021: £7m; 2020: £9m) accrued on impaired loans. Other interest expense includes £18m (2021: £20m, 2020: £23m) relating to IFRS

16 lease interest expenses.

4Net 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 and when performance

obligations are satisfied, 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.


	2022

	Corporate and Investment Bank	Cards & Payments and Private Bank	Head Office	Total
	£	£	£	£
Fee type
Transactional	449	2,803	—	3,252
Advisory	820	144	—	964
Brokerage and execution	1,465	56	—	1,521
Underwriting and syndication	2,036	1	—	2,037
Other	99	134	22	255
Total revenue from contracts with customers	4,869	3,138	22	8,029
Other non-contract fee income	138	4	—	142
Fee and commission income	5,007	3,142	22	8,171
Fee and commission expense	(966)	(1,778)	(1)	(2,745)
Net fee and commission income	4,041	1,364	21	5,426

Notes to the financial statements

Financial performance and returns


home.barclays/annualreport	Barclays Bank PLC Annual Report	185


	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


	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

Fee types

Transactional

Transactional fees are service charges on deposit accounts, cash management services fees 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 programme 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 to the extent the revenue share relates to "revolvers" are included in the effective

interest rate of the receivable and to the extent revenue share relates to “transactors” it must be presented in fee and commission expense. 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 and facilitating foreign exchange transactions for spot/forward contracts. 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


home.barclays/annualreport	Barclays Bank PLC Annual Report	186

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, when the draw down is not probable, 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 2022 (2021: £nil; 2020: £nil).

Impairment of fee receivables and contract assets

During 2022, there have been no material impairments recognised in relation to fees receivable and contract assets (2021: £nil; 2020: £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 capitalise such contract costs. Capitalised contract costs net of amortisation as at 31 December 2022 are £190m (2021: £148m; 2020:

£135m).

Capitalised contract costs are amortised over the customer relationship period depending on the transfer of services to which the asset pertains. In

2022, the amount of amortisation was £45m (2021: £35m; 2020: £35m) and there was no impairment loss recognised in connection with the

capitalised contract costs (2021: £nil; 2020: £nil).

5Net 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 net trading income, 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 net trading income.


	2022	2021	2020
	£m	£m	£m
Net gains on financial instruments held for trading	5,603	3,999	5,392
Net gains on financial instruments designated at fair value	501	682	695
Net gains on financial instruments mandatorily at fair value	1,520	1,107	989
Net trading income	7,624	5,788	7,076

Notes to the financial statements

Financial performance and returns


home.barclays/annualreport	Barclays Bank PLC Annual Report	187

6Net investment expense

Accounting for net investment income/(expense)

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.


	2022	2021	2020
	£m	£m	£m
Net gains/(losses) from financial assets mandatorily at fair value	19	(116)	(39)
Net (losses)/gains from disposal of debt instruments at fair value through other comprehensive income	(68)	248	251
Net (losses)/gains from disposal of financial assets and liabilities measured at amortised cost	(66)	22	(128)
Net losses on other investments	(208)	(234)	(205)
Net investment expense	(323)	(80)	(121)

7Operating expenses


		Restatedc
	2022	2021	2020
	£m	£m	£m
Infrastructure costs
Property and equipment	417	371	374
Depreciation and amortisation	470	403	421
Impairment of property, equipment and intangible assetsa	13	280	21
Total infrastructure costs	900	1,054	816
Administration and general expenses
Consultancy, legal and professional fees	403	390	345
Marketing and advertising	312	235	176
UK bank levy	150	134	249
Other administration and general expenses	4,014	3,616	3,432
Total administration and general expenses	4,879	4,375	4,202
Staff costsb	5,192	4,456	4,365
Litigation and conduct	1,427	374	76
Operating expenses	12,398	10,259	9,459

Notes

aIn 2021, Impairment of property, equipment and intangible assets included £266m relating to structural cost actions taken as part of the real estate review.

bFor further details on staff costs including accounting policies, refer to Note 29.

c2021 financial metrics have been restated to reflect the impact of the Over-issuance of Securities. See Restatement of financial statements (Note 1a) on page 180 for

further details.

Notes to the financial statements

Financial performance and returns


home.barclays/annualreport	Barclays Bank PLC Annual Report	188

8Credit impairment charges/(releases)

Accounting for the impairment of financial assets

Impairment

In accordance with IFRS 9, the Barclays Bank Group is required to recognise expected credit losses (ECLs) based on unbiased forward-looking

information for all financial assets at amortised cost, lease receivables, debt financial assets at fair value through other comprehensive income, loan

commitments and financial guarantee contracts. Intercompany exposures in the individual financial statements, including loan commitments and

financial guarantee contracts, are also in scope of IFRS 9 for ECL purposes.

At the reporting date, an allowance (or provision for loan commitments and financial guarantees) is required for the 12 month (Stage 1) ECLs. If the

credit risk has significantly increased since initial recognition (Stage 2), or if the financial instrument is credit impaired (Stage 3), an allowance (or

provision) should be recognised for the lifetime ECLs.

The measurement of ECL is calculated using three main components: (i) probability of default (PD) (ii) loss given default (LGD) and (iii) the exposure at

default (EAD).

The 12 month and lifetime ECLs are calculated by multiplying the respective PD, LGD and the EAD. The 12 month and lifetime PDs represent the PD

occurring over the next 12 months and the remaining maturity of the instrument respectively. The EAD represents the expected balance at default,

taking into account the repayment of principal and interest from the balance sheet date to the default event together with any expected drawdowns of

committed facilities. The LGD represents expected losses on the EAD given the event of default, taking into account, among other attributes, the

mitigating effect of collateral value at the time it is expected to be realised and the time value of money.

Expected credit loss measurement is based on the ability of borrowers to make payments as they fall due. The Barclays Bank Group also considers

sector specific risks and whether additional adjustments are required in the measurement of ECL. Credit risk may be impacted by climate considerations

for certain sectors, such as oil and gas.

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.

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.

Notes to the financial statements

Financial performance and returns


home.barclays/annualreport	Barclays Bank PLC Annual Report	189

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) and Bloomberg (based on median of economic forecasters), 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 the Barclays Bank Group's 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 key economic variables (including 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 seven years.

The methodology for estimating probability weights for each of the scenarios involves a comparison of the distribution of key historical UK and US

macroeconomic variables against the forecast paths of the five scenarios. The 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 used in the estimation of expected credit losses are also used to inform Barclays' internal planning. 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. 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.

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.

Notes to the financial statements

Financial performance and returns


home.barclays/annualreport	Barclays Bank PLC Annual Report	190

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 the

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 IFRS 9 modelling 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;

▪management 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 Stage 2 thresholds are no longer met and can only move out of Stage

3 when no longer credit impaired.

Critical accounting estimates and judgements

IFRS 9 impairment involves several important areas of judgement, including estimating forward looking modelled parameters (PD, LGD and EAD),

developing a range of unbiased future economic scenarios, estimating expected lives and assessing significant increases in credit risk, based on the

Barclays Bank Group’s experience of managing credit risk. The determination of expected life is most material for Barclays credit card portfolios which is

obtained via behavioural life analysis to materially capture the risk of these facilities.

Within the retail and small businesses portfolios, which comprise large numbers of small homogenous assets with similar risk characteristics where

credit scoring techniques are generally used, the impairment allowance is calculated using forward looking modelled parameters which are typically run

at account level. There are many models in use, each tailored to a product, line of business or customer category. Judgement and knowledge is needed

in selecting the statistical methods to use when the models are developed or revised. 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.

Notes to the financial statements

Financial performance and returns


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Temporary adjustments to calculated IFRS9 impairment allowances may be applied in limited circumstances to account for situations where known or

expected risk factors or information have not been considered in the ECL assessment or modelling process. For further information please see page 87

in credit risk performance.

Information about the potential impact of the physical and transition risks of climate change on borrowers is considered, taking into account reasonable

and supportable information to make accounting judgements and estimates. Climate change is inherently of a long-term nature, with significant levels

of uncertainty, and consequently requires judgement in determining the possible impact in the next financial year, if any.


	2022			2021			2020

	Impairment Charges/ (Releases)	Recoveries and Reimbursementsa	Total	Impairment Charges/ (Releases)	Recoveries and Reimbursements	Total	Impairment Charges/ (Releases)	Recoveries and Reimbursements	Total

	£m	£m	£m	£m	£m	£m	£m	£m	£m
Loans and advances at amortised cost	1,118	(228)	890	(264)	259	(5)	3,060	(368)	2,692
Off-balance sheet loan commitments and financial guarantee contracts	7	—	7	(257)	—	(257)	547	—	547
Total	1,125	(228)	897	(521)	259	(262)	3,607	(368)	3,239
Cash collateral and settlement balances	28	—	28	(4)	—	(4)	2	—	2
Financial instruments at fair value through other comprehensive income	8	—	8	(6)	—	(6)	—	—	—
Other financial assets measured at cost	—	—	—	(5)	—	(5)	136	—	136
Credit impairment charges/(releases)	1,161	(228)	933	(536)	259	(277)	3,745	(368)	3,377

Note

a.Recoveries and reimbursements include a net increase in amounts recoverable from financial guarantee contracts held with third parties of £195m (2021: £(290)m) and

cash recoveries of previously written off amounts of £33m (2021: £31m).

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

£512m (2021: £752m). 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 £2,237m (2021: £3,260m), with a loss allowance measured at an amount equal to lifetime ECL, were subject to non-substantial

modification during the year, with a resulting loss of £1m (2021: £2m). The gross carrying amount at 31 December 2022 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 £1,077m (2021: £419m).

Notes to the financial statements

Financial performance and returns


home.barclays/annualreport	Barclays Bank PLC Annual Report	192

9Tax

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 for 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.

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.


		Restateda
	2022	2021	2020
	£m	£m	£m
Current tax charge/(credit)
Current year	623	904	993
Adjustments in respect of prior years	(625)	393	3
	(2)	1,297	996
Deferred tax charge/(credit)
Current year	19	(179)	(563)
Adjustments in respect of prior years	468	(288)	191
	487	(467)	(372)
Tax charge	485	830	624

a.2021 financial metrics have been restated to reflect the impact of the Over-issuance of Securities. See Restatement of financial statements (Note 1a) on page 180 for

further details.

In 2022 the adjustments in respect of prior years are principally a result of various steps taken in the US tax group that have affected the timing of the

tax deductibility of expenditure related to fixed assets. Across the Barclays Bank PLC’s US Branch Tax Group and US Intermediate Holding Company Tax

Group ("IHC Tax Group") elections have been made in 2022 to advance tax deductions in relation to fixed assets that would otherwise have arisen in

later periods. Those elections resulted in a current tax credit in respect of prior years of £556m and a deferred tax charge in respect of prior years of a

similar amount.

Notes to the financial statements

Financial performance and returns


home.barclays/annualreport	Barclays Bank PLC Annual Report	193

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.


			Restateda	Restateda
	2022	2022	2021	2021	2020	2020
	£m	%	£m	%	£m	%
Profit before tax from continuing operations	4,867		5,418		3,075
Tax charge based on the standard UK corporation tax rate of 19% (2021: 19%, 2020: 19%)	925	19.0%	1,029	19.0%	584	19.0%
Impact of profits/losses earned in territories with different statutory rates to the UK (weighted average tax rate is 22.3% (2021: 24.0%, 2020: 25.0%))	160	3.3%	273	5.0%	183	6.0%

Recurring items:
Non-creditable taxes including withholding taxes	117	2.4%	124	2.3%	107	3.4%
Non-deductible expenses	28	0.6%	61	1.1%	28	0.9%
Impact of UK bank levy being non-deductible	28	0.6%	25	0.5%	48	1.6%
Impact of Barclays Bank PLC's overseas branches being taxed both locally and in the UK	17	0.3%	25	0.5%	25	0.8%
Tax adjustments in respect of share-based payments	10	0.2%	(5)	(0.1%)	14	0.5%
Banking surchargeb and other items	(39)	(0.8%)	(48)	(0.9%)	(70)	(2.3%)
Non-taxable gains and income	(129)	(2.6%)	(152)	(2.8%)	(180)	(5.9%)
Tax relief on payments made under AT1 instruments	(136)	(2.8%)	(113)	(2.1%)	(124)	(4.0%)
Changes in recognition of deferred tax and effect of unrecognised tax losses	(146)	(3.0%)	(140)	(2.6%)	(123)	(4.0%)
Adjustments in respect of prior years	(157)	(3.2%)	105	1.9%	194	6.3%
Tax relief on holdings of inflation-linked government bonds	(510)	(10.5%)	(157)	(2.9%)	(20)	(0.6%)

Non-recurring items:
Remeasurement of UK deferred tax assets due to tax rate changes	183	3.8%	(218)	(4.0%)	(43)	(1.4%)
Non-deductible provisions for investigations and litigation	85	1.7%	—	—	(6)	(0.2%)
Non-deductible provisions for UK customer redress	49	1.0%	21	0.4%	7	0.2%
Total tax charge	485	10.0%	830	15.3%	624	20.3%

a.2021 financial metrics have been restated to reflect the impact of the Over-issuance of Securities. See Restatement of financial statements (Note 1a) on page 180 for

further details.

b.Banking surcharge includes the impact of the 8% UK banking surcharge rate on profits/losses and tax adjustments relating to UK banking entities.

Factors driving the effective tax rate

The effective tax rate of 10.0% is lower than the UK corporation tax rate of 19.0% primarily due to tax relief on holdings of inflation-linked government

bonds, beneficial prior year adjustments, the utilisation of unrecognised tax losses in the period, tax relief on payments made under AT1 instruments

and non-taxable gains and income. These factors, which have each decreased the effective tax rate, are partially offset by adjustments for the

remeasurement of UK deferred tax assets as a result of the enactment in 2022 of a reduction in the banking surcharge rate to 3% from 1 April 2023,

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 Autumn Statement held in November 2022, the UK Government confirmed that, as currently enacted, the banking surcharge rate will be reduced

from 8% to 3% from 1 April 2023. UK deferred tax assets as at 31 December 2022 are measured at this rate, having been remeasured when the 3% rate

was substantively enacted in 2022. The statutory tax rate applicable to banks' UK profits will therefore be 28% (comprising a rate of 25% for

corporation tax and of 3% for banking surcharge) from 1 April 2023.

The OECD and G20 Inclusive Framework on Base Erosion and Profit Shifting announced plans to introduce a global minimum tax rate of 15% and the

OECD issued model rules in 2021. During 2022 further OECD guidance has been released and draft legislation to implement the global minimum tax

regime has been published by the UK Government. The UK Government has stated that it intends to enact legislation in 2023 to apply for accounting

periods beginning on or after 31 December 2023. The Barclays Bank Group has reviewed the published OECD model rules and further guidance along

with the draft UK legislation and has been assessing the expected impact ahead of the implementation of the new regime. The Barclays Bank Group will

review further guidance as well as new legislation expected to be released by governments implementing this new tax regime and continue to assess

the potential impact.

In the USA, the Inflation Reduction Act was enacted in August 2022. The Act does not include changes to the US corporate income tax rate or to US

international tax provisions included in the previously proposed Build Back Better Act but does introduce a corporate alternative minimum tax on

adjusted financial statements income, effective from 1 January 2023. Further regulations and guidance are expected to be published in 2023, however

the Barclays Bank Group’s preliminary view is that the alternative minimum tax is not expected to materially increase the Barclays Bank Group’s effective

tax rate. The Barclays Bank Group will review future guidance when it is published and continue to monitor other legislative developments and assess

the potential impact.

Notes to the financial statements

Financial performance and returns


home.barclays/annualreport	Barclays Bank PLC Annual Report	194

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. The total

amount recognised in relation to the remeasurement of UK deferred tax through other comprehensive income was a £83m credit (2021: £148m

charge).

Tax included directly in equity

Tax included directly in equity comprises a £1m debit (2021: £38m credit) 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
	2022	2021
	£m	£m
IHC Tax Group	1,094	1,004
Barclays Bank PLC's US Branch Tax Group	482	1,002
UK Tax Group	2,557	576
Other (outside the UK and US tax groups)	450	399
Deferred tax asset	4,583	2,981
Deferred tax liability - UK Tax Group	—	(6)
Net deferred tax	4,583	2,975


	Barclays Bank PLC
	2022	2021
	£m	£m
Barclays Bank PLC's US Branch Tax Group	482	1,002
UK Tax Group	2,553	578
Other (outside the UK and US tax groups)	79	99
Deferred tax asset	3,114	1,679
Deferred tax liability - UK Tax Group	—	(6)
Net deferred tax	3,114	1,673

US deferred tax assets in the IHC and the US Branch Tax Groups

The deferred tax asset in the IHC Tax Group of £1,094m (2021: £1,004m) includes £21m (2021: £1m) 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 £482m (2021: £1,002m) relates entirely to temporary

differences.

In relation to the IHC Tax Group, these temporary differences include £434m (2021: £301m) 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 £2,557m (2021: £576m) includes a deferred tax asset of £1,237m (2021: £1,074m) relating to tax

losses with the balance 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 £450m (2021: £399m) in other entities within the Barclays Bank Group includes £90m (2021: £121m) 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 £450m (2021: £399m), an amount of £33m (2021: £9m) 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


home.barclays/annualreport	Barclays Bank PLC Annual Report	195

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	Own credit	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	678	144	309	24	481	426	327	1,134	1,196	4,719
Liabilities	(30)	—	—	(1,674)	—	—	—	(40)	—	(1,744)
As at 1 January 2022	648	144	309	(1,650)	481	426	327	1,094	1,196	2,975
Income statement	(531)	(6)	—	(7)	47	—	(2)	(140)	152	(487)
Other comprehensive income and reserves	—	449	1,731	357	—	(616)	(17)	—	—	1,904
Other movements	33	3	—	6	20	—	21	108	—	191
	150	590	2,040	(1,294)	548	(190)	329	1,062	1,348	4,583
Assets	215	590	2,040	21	548	—	329	1,138	1,348	6,229
Liabilities	(65)	—	—	(1,315)	—	(190)	—	(76)	—	(1,646)
As at 31 December 2022	150	590	2,040	(1,294)	548	(190)	329	1,062	1,348	4,583

Assets	659	—	—	30	455	329	317	1,187	711	3,688
Liabilities	(33)	(21)	(441)	(826)	—	—	—	(40)	—	(1,361)
As at 1 January 2021	626	(21)	(441)	(796)	455	329	317	1,147	711	2,327
Income statement	14	(6)	—	1	38	—	(13)	(52)	485	467
Other comprehensive income and reserves	—	170	750	(855)	—	98	20	(1)	—	182
Other movements	8	1	—	—	(12)	(1)	3	—	—	(1)
	648	144	309	(1,650)	481	426	327	1,094	1,196	2,975
Assets	678	144	309	24	481	426	327	1,134	1,196	4,719
Liabilities	(30)	—	—	(1,674)	—	—	—	(40)	—	(1,744)
As at 31 December 2021	648	144	309	(1,650)	481	426	327	1,094	1,196	2,975


Barclays Bank PLC	Fixed asset timing differences	Fair value through other comprehensive income	Cash flow hedges	Retirement benefit obligations	Loan impairment allowance	Own credit	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	555	147	307	—	200	411	128	536	1,076	3,360
Liabilities	(14)	—	—	(1,673)	—	—	—	—	—	(1,687)
As at 1 January 2022	541	147	307	(1,673)	200	411	128	536	1,076	1,673
Income statement	(488)	—	—	—	(19)	—	1	(144)	161	(489)
Other comprehensive income and reserves	(30)	449	1,707	360	—	(601)	(7)	—	—	1,878
Other movements	16	—	—	—	—	—	—	36	—	52
	39	596	2,014	(1,313)	181	(190)	122	428	1,237	3,114
Assets	51	596	2,014	—	181	—	122	922	1,237	5,123
Liabilities	(12)	—	—	(1,313)	—	(190)	—	(494)	—	(2,009)
As at 31 December 2022	39	596	2,014	(1,313)	181	(190)	122	428	1,237	3,114

Assets	538	—	—	—	263	318	106	476	543	2,244
Liabilities	(7)	(25)	(441)	(825)	—	—	—	—	—	(1,298)
As at 1 January 2021	531	(25)	(441)	(825)	263	318	106	476	543	946
Income statement	3	—	—	—	(51)	—	11	59	533	555
Other comprehensive income and reserves	—	172	748	(848)	—	92	11	(2)	—	173
Other movements	7	—	—	—	(12)	1	—	3	—	(1)
	541	147	307	(1,673)	200	411	128	536	1,076	1,673
Assets	555	147	307	—	200	411	128	536	1,076	3,360
Liabilities	(14)	—	—	(1,673)	—	—	—	—	—	(1,687)
As at 31 December 2021	541	147	307	(1,673)	200	411	128	536	1,076	1,673

Notes to the financial statements

Financial performance and returns


home.barclays/annualreport	Barclays Bank PLC Annual Report	196

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 £5,514m (2021: £4,328m) and

for Barclays Bank PLC is £4,335m (2021: £3,017m). The amount of deferred tax liability expected to be settled after more than 12 months for the

Barclays Bank Group is £1,545m (2021: £1,740m) and for Barclays Bank PLC is £1,505m (2021: £1,687m). 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 £111m (2021: £110m), unused

tax credits of £323m (2021: £283m), and gross tax losses of £22,263m (2021: £22,496m). The tax losses include capital losses of £3,661m (2021:

£3,642m). Of these tax losses, £149m (2021: £63m) expire within five years, £401m (2021: £370m) expire within six to ten years, £10,393m (2021:

£10,529m) expire within 11 to 20 years and £11,320m (2021: £11,534m) 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 £48m (2021: £11m),

unused tax credits of £206m (2021: £206m), and gross tax losses of £4,277m (2021: £4,138m) which includes capital losses of £2,905m (2021:

£2,883m). Of these tax losses, £138m (2021: £56m) expire within five years and £4,139m (2021: £4,082m) 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 £852m (2021:

£857m).

10Dividends on ordinary shares and preference shares

The 2022 financial statements include £200m (2021: £794m) of dividends paid on ordinary shares. This comprises one interim dividend declared in

relation to the prior year of £200m (2021: £174m) and no interim dividends in relation to 2022 (2021: two interim dividends totalling £620m).

This results in a total dividend for the year of £0.09 (2021: £0.34) per ordinary share.

Dividends paid on preference shares amounted to £31m (2021: £27m). Dividends paid on the Euro preference shares amounted to £53.42 per share

(2021: £14.37). Dividends paid on the US Dollar preference shares amounted to £511.27 per share (2021: £459.69).

The Directors have approved an interim dividend in respect of 2022 of £700m. The financial statements for the year ended 31 December 2022 do not

reflect this dividend, which will be accounted for in shareholders’ equity as an appropriation of retained profits in the year ending 31 December 2023.

Notes to the financial statements

Financial performance and returns


home.barclays/annualreport	Barclays Bank PLC Annual Report	197

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 60-61.

11Trading 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
	2022	2021
	£m	£m
Debt securities and other eligible bills	55,430	50,700
Equity securities	65,034	83,113
Traded loans	13,198	12,525
Commodities	109	533
Trading Portfolio Assets	133,771	146,871

Debt securities and other eligible bills	(39,068)	(34,079)
Equity securities	(33,392)	(19,212)
Trading Portfolio Liabilities	(72,460)	(53,291)


	Barclays Bank PLC
	2022	2021
	£m	£m
Debt securities and other eligible bills	31,410	33,517
Equity securities	38,662	50,837
Traded loans	12,971	11,989
Commodities	—	381
Trading Portfolio assets	83,043	96,724

Debt securities and other eligible bills	(22,977)	(21,307)
Equity securities	(29,116)	(28,809)
Trading Portfolio liabilities	(52,093)	(50,116)

12Financial assets at fair value through the income statement

Accounting for financial assets mandatorily at fair value

Financial assets that are held for trading are recognised at fair value through profit or loss. In addition, financial assets are held at fair value through

profit or loss if they do not contain contractual terms that give rise on specified dates to cash flows that are Solely Payments of Principal and Interest

(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


home.barclays/annualreport	Barclays Bank PLC Annual Report	198


	Barclays Bank Group
	2022	2021
	£m	£m
Loans and advances	1,679	2,813
Debt securities	205	318
Other financial assets	1	—
Financial assets designated at fair value	1,885	3,131

Loans and advances	36,511	33,089
Debt securities	3,012	1,937
Equity securities	4,934	4,798
Reverse repurchase agreements and other similar secured lending	164,698	145,186
Other financial assets	88	85
Financial assets mandatorily at fair value	209,243	185,095
Total	211,128	188,226


	Barclays Bank PLC
	2022	2021
	£m	£m
Loans and advances	1,679	2,813
Other financial assets	1	—
Financial assets designated at fair value	1,680	2,813

Loans and advances	44,151	42,498
Debt securities	3,869	3,053
Equity securities	159	138
Reverse repurchase agreements and other similar secured lending	197,440	188,053
Other financial assets	26	22
Financial assets mandatorily at fair value	245,645	233,764
Total	247,325	236,577

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
	2022	2021	2022	2021	2022	2021
	£m	£m	£m	£m	£m	£m
Loans and advances designated at fair value, attributable to credit risk	1,679	2,813	—	1	(3)	(3)
Value mitigated by related credit derivatives	855	1,617	(1)	(3)	(1)	(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
	2022	2021	2022	2021	2022	2021
	£m	£m	£m	£m	£m	£m
Loans and advances designated at fair value, attributable to credit risk	1,679	2,813	—	1	(3)	(3)
Value mitigated by related credit derivatives	855	1,617	(1)	(3)	(1)	(3)

Notes to the financial statements

Assets and liabilities held at fair value


home.barclays/annualreport	Barclays Bank PLC Annual Report	199

13Derivative financial instruments

Accounting for derivatives

Derivative instruments are contracts whose value is derived from one or more underlying financial instruments or indices defined in the contract. They

include swaps, forward-rate agreements, futures, options and combinations of these instruments and primarily affect the Barclays Bank Group’s net

interest income, net trading income and derivative assets and liabilities. Notional amounts of the contracts are not recorded on the balance sheet.

Derivatives are used to hedge interest rate, credit risk, inflation risk, exchange rate, commodity, equity exposures and exposures to certain indices such

as house price indices and retail price indices related to non-trading positions.

All derivative instruments are held at fair value through profit or loss, except for derivatives that are in a designated cash flow or net investment hedge

accounting relationship. Derivatives are classified as assets when their fair value is positive or as liabilities when their fair value is negative. This includes

terms included in a contract or financial liability (the host) which, had 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 required 80% –125% range.

▪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


home.barclays/annualreport	Barclays Bank PLC Annual Report	200

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	2022			2021
	Notional contract amount	Fair value		Notional contract amount	Fair value
	Notional contract amount	Assets	Liabilities	Notional contract amount	Assets	Liabilities
	£m	£m	£m	£m	£m	£m
Total derivative assets/(liabilities) held for trading	52,164,242	302,665	(288,398)	47,286,623	262,046	(255,471)
Total derivative assets/(liabilities) held for risk management	178,628	311	(808)	126,292	245	(1,052)
Derivative assets/(liabilities)	52,342,870	302,976	(289,206)	47,412,915	262,291	(256,523)


Barclays Bank PLC	2022			2021
	Notional contract amount	Fair value		Notional contract amount	Fair value
	Notional contract amount	Assets	Liabilities	Notional contract amount	Assets	Liabilities
	£m	£m	£m	£m	£m	£m
Total derivative assets/(liabilities) held for trading	42,452,511	258,254	(249,760)	37,699,677	234,195	(226,920)
Total derivative assets/(liabilities) held for risk management	177,532	454	(807)	125,747	214	(1,071)
Derivative assets/(liabilities)	42,630,043	258,708	(250,567)	37,825,424	234,409	(227,991)

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	2022			2021
Barclays Bank Group	Notional contract amount	Fair value		Notional contract amount	Fair value
	Notional contract amount	Assets	Liabilities	Notional contract amount	Assets	Liabilities
	£m	£m	£m	£m	£m	£m
Derivatives held for trading
Foreign exchange derivatives
OTC derivatives	5,773,814	108,865	(103,040)	5,700,055	76,055	(74,014)
Derivatives cleared by central counterparty	113,455	440	(473)	99,664	171	(208)
Exchange traded derivatives	19,426	15	(6)	20,084	10	(3)
Foreign exchange derivatives	5,906,695	109,320	(103,519)	5,819,803	76,236	(74,225)
Interest rate derivatives
OTC derivatives	14,938,526	130,917	(117,016)	14,229,139	124,187	(113,098)
Derivatives cleared by central counterparty	21,390,094	2,317	(2,340)	18,865,670	1,055	(762)
Exchange traded derivatives	5,654,126	2,257	(2,167)	5,200,838	905	(907)
Interest rate derivatives	41,982,746	135,491	(121,523)	38,295,647	126,147	(114,767)
Credit derivatives
OTC derivatives	619,843	4,262	(4,731)	606,504	4,007	(4,752)
Derivatives cleared by central counterparty	1,107,377	1,161	(1,321)	665,600	1,675	(1,809)
Credit derivatives	1,727,220	5,423	(6,052)	1,272,104	5,682	(6,561)
Equity and stock index derivatives
OTC derivatives	410,002	12,670	(16,715)	278,370	18,793	(24,440)
Exchange traded derivatives	1,924,613	35,986	(36,774)	1,469,078	32,901	(33,174)
Equity and stock index derivatives	2,334,615	48,656	(53,489)	1,747,448	51,694	(57,614)
Commodity derivatives
OTC derivatives	4,411	14	(51)	4,670	56	(107)
Exchange traded derivatives	208,555	3,761	(3,764)	146,951	2,231	(2,197)
Commodity derivatives	212,966	3,775	(3,815)	151,621	2,287	(2,304)
Derivative assets/(liabilities) held for trading	52,164,242	302,665	(288,398)	47,286,623	262,046	(255,471)

Total OTC derivatives	21,746,596	256,728	(241,553)	20,818,738	223,098	(216,411)
Total derivatives cleared by central counterparty	22,610,926	3,918	(4,134)	19,630,934	2,901	(2,779)
Total exchange traded derivatives	7,806,720	42,019	(42,711)	6,836,951	36,047	(36,281)
Derivative assets/(liabilities) held for trading	52,164,242	302,665	(288,398)	47,286,623	262,046	(255,471)

Derivatives held for risk management
Derivatives designated as cash flow hedges
Currency Swaps	2,000	175	(12)	1,000	155	—
Interest rate swaps	266	12	—	465	—	(3)
Interest rate derivatives cleared by central counterparty	92,366	—	—	63,584	—	—
Derivatives designated as cash flow hedges	94,632	187	(12)	65,049	155	(3)
Derivatives designated as fair value hedges
Interest rate swaps	4,561	27	(776)	5,856	53	(1,045)
Forward foreign exchange	—	—	—	—	—	—
Interest rate derivatives cleared by central counterparty	75,547	—	—	52,964	—	—
Derivatives designated as fair value hedges	80,108	27	(776)	58,820	53	(1,045)
Derivatives designated as hedges of net investments
Forward foreign exchange	3,888	97	(20)	2,423	37	(4)
Derivatives designated as hedges of net investments	3,888	97	(20)	2,423	37	(4)
Derivative assets/(liabilities) held for risk management	178,628	311	(808)	126,292	245	(1,052)

Total OTC derivatives	10,715	311	(808)	9,744	245	(1,052)
Total derivatives cleared by central counterparty	167,913	—	—	116,548	—	—
Derivative assets/(liabilities) held for risk management	178,628	311	(808)	126,292	245	(1,052)

Notes to the financial statements

Assets and liabilities held at fair value


home.barclays/annualreport	Barclays Bank PLC Annual Report	202


Derivatives held for trading and risk management	2022			2021
Barclays Bank PLC	Notional contract amount	Fair value		Notional contract amount	Fair value
	Notional contract amount	Assets	Liabilities	Notional contract amount	Assets	Liabilities
	£m	£m	£m	£m	£m	£m
Derivatives held for trading
Foreign exchange derivatives
OTC derivatives	5,437,740	101,837	(97,212)	5,352,739	71,484	(69,675)
Derivatives cleared by central counterparty	113,455	440	(473)	99,664	171	(208)
Exchange traded derivatives	5,366	—	—	11,745	—	—
Foreign exchange derivatives	5,556,561	102,277	(97,685)	5,464,148	71,655	(69,883)
Interest rate derivatives
OTC derivatives	9,769,803	102,226	(95,119)	9,363,973	104,588	(94,109)
Derivatives cleared by central counterparty	15,000,610	1,442	(1,561)	13,538,082	809	(539)
Exchange traded derivatives	3,296,390	198	(159)	2,607,494	154	(66)
Interest rate derivatives	28,066,803	103,866	(96,839)	25,509,549	105,551	(94,714)
Credit derivatives
OTC derivatives	420,996	4,060	(4,439)	433,015	3,776	(4,245)
Derivatives cleared by central counterparty	905,621	1,144	(1,301)	504,601	1,646	(1,763)
Credit derivatives	1,326,617	5,204	(5,740)	937,616	5,422	(6,008)
Equity and stock index derivatives
OTC derivatives	383,041	12,089	(15,933)	254,932	18,355	(23,423)
Exchange traded derivatives	389,046	3,359	(4,078)	371,161	3,459	(3,789)
Equity and stock index derivatives	772,087	15,448	(20,011)	626,093	21,814	(27,212)
Commodity derivatives
OTC derivatives	3,989	12	(50)	4,120	55	(103)
Exchange traded derivatives	25,435	446	(665)	20,436	419	(311)
Commodity derivatives	29,424	458	(715)	24,556	474	(414)
Derivatives with subsidiaries	6,701,019	31,001	(28,770)	5,137,715	29,279	(28,689)
Derivative assets/(liabilities) held for trading	42,452,511	258,254	(249,760)	37,699,677	234,195	(226,920)

Total OTC derivatives	16,015,569	220,224	(212,753)	15,408,779	198,258	(191,555)
Total derivatives cleared by central counterparty	16,019,686	3,026	(3,335)	14,142,347	2,626	(2,510)
Total exchange traded derivatives	3,716,237	4,003	(4,902)	3,010,836	4,032	(4,166)
Derivatives with subsidiaries	6,701,019	31,001	(28,770)	5,137,715	29,279	(28,689)
Derivative assets/(liabilities) held for trading	42,452,511	258,254	(249,760)	37,699,677	234,195	(226,920)

Derivatives held for risk management
Derivatives designated as cash flow hedges
Currency Swaps	2,000	175	(12)	1,000	155	—
Interest rate swaps	229	4	(4)	359	—	(5)
Interest rate derivatives cleared by central counterparty	91,457	—	—	62,482	—	—
Derivatives designated as cash flow hedges	93,686	179	(16)	63,841	155	(5)
Derivatives designated as fair value hedges
Interest rate swaps	4,479	25	(776)	5,758	36	(1,045)
Forward foreign exchange	2,019	145	(8)	2,312	—	(20)
Interest rate derivatives cleared by central counterparty	74,548	—	—	52,530	—	—
Derivatives designated as fair value hedges	81,046	170	(784)	60,600	36	(1,065)
Derivatives designated as hedges of net investments
Forward foreign exchange	2,800	105	(7)	1,306	23	(1)
Derivatives designated as hedges of net investments	2,800	105	(7)	1,306	23	(1)
Derivative assets/(liabilities) held for risk management	177,532	454	(807)	125,747	214	(1,071)

Total OTC derivatives	11,527	454	(807)	10,735	214	(1,071)
Total derivatives cleared by central counterparty	166,005	—	—	115,012	—	—
Derivative assets/(liabilities) held for risk management	177,532	454	(807)	125,747	214	(1,071)

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.

▪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 risk. The Barclays Bank Group does not

hedge inflation risk that arises from other activities.

Notes to the financial statements

Assets and liabilities held at fair value


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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 CET1 capital. The Barclays Bank Group mitigates this by matching the CET1 capital movements to the revaluation of the foreign currency

RWA exposures. Net investment hedges are designated where necessary to reduce the exposure to movement in a particular exchange rate to within

limits mandated by Risk. As far as possible, existing external currency liabilities are designated as the hedging instruments.

The hedging instruments share the same risk exposures as the hedged items. Hedge effectiveness is determined with reference to quantitative tests,

predominantly regression testing, but to the extent hedging instruments are exposed to different risks than the hedged items, this could result in hedge

ineffectiveness or hedge accounting failures.

Sources of ineffectiveness include the following:

▪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. USD LIBOR, Canadian Dollar Offered Rate

(CDOR) and Singapore Swap Offered Rate (SOR) linked hedge accounting relationships are still exposed to uncertainty regarding the precise timing and

effects of benchmark reform. USD LIBOR and SOR benchmarks will cease to be published after 30 June 2023, CDOR - after 28 June 2024, but certain

hedged items and hedging instruments continue to contractually reference these benchmarks beyond the cessation date.

The following table summarises the significant hedge accounting exposures impacted by the IBOR reform as at 31 December 2022:


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
USD LIBOR	Secured Overnight Financing Rate (SOFR)	19,286	20,104
Canadian Dollar Offered Rate (CDOR)	Overnight Repo Rate Average (CORRA)	980	980
Singapore Swap Offered Rate (SOR)	Singapore Overnight Rate Average (SORA)	124	124
Total IBOR Notionals		20,390	21,208


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
USD LIBOR	Secured Overnight Financing Rate (SOFR)	19,375	20,484
Canadian Dollar Offered Rate (CDOR)	Overnight Repo Rate Average (CORRA)	980	980
Singapore Swap Offered Rate (SOR)	Singapore Overnight Rate Average (SORA)	124	124
Total IBOR Notionals		20,479	21,588

The hedged items and hedging instruments are expected to be transitioned to SOFR and SORA by 30 June 2023 and to CORRA by 28 June 2024.

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 statementa
Hedged item statement of financial position classification and risk category	£m	£m	£m	£m	£m
2022
Assets
Loans and advances at amortised cost
- Interest rate risk	1,950	(135)	3	(325)	(3)
- Inflation risk	445	243	—	(111)	2
Debt securities classified as amortised cost
- Interest rate risk	159	(19)	(11)	(133)	(20)
- Inflation risk	3,854	(1,287)	—	(1,658)	(18)
Financial assets at fair value through other comprehensive incomeb
- Interest rate risk	25,044	(3,132)	(228)	(3,833)	145
- Inflation risk	6,019	(181)	17	(690)	(26)
Total Assets	37,471	(4,511)	(219)	(6,750)	80
Liabilities
Debt securities in issue
- Interest rate risk	(34,260)	2,746	(26)	3,577	22
Total Liabilities	(34,260)	2,746	(26)	3,577	22
Total Hedged Items	3,211	(1,765)	(245)	(3,173)	102

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 incomeb
- 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

Notes

aHedge ineffectiveness is recognised in net interest income.

bFor 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 statementa
Hedged item statement of financial position classification and risk category	£m	£m	£m	£m	£m
2022
Assets
Loans and advances at amortised cost
- Interest rate risk	1,946	(139)	1	(325)	(1)
- Inflation risk	445	243	—	(111)	2
Debt securities classified as amortised cost
- Interest rate risk	159	(19)	(11)	(133)	(20)
- Inflation risk	3,854	(1,287)	—	(1,658)	(18)
Financial assets at fair value through other comprehensive incomeb
- Interest rate risk	25,044	(3,134)	(229)	(3,833)	145
- Inflation risk	6,019	(182)	17	(690)	(26)
Investments in subsidiaries
- Foreign exchange risk	1,581	—	—	236	—
- Other risk	4,457	187	85	273	—
Total Assets	43,505	(4,331)	(137)	(6,241)	82
Liabilities
Debt securities in issue
- Interest rate risk	(33,154)	2,734	(20)	3,462	21
Total Liabilities	(33,154)	2,734	(20)	3,462	21
Total Hedged items	10,351	(1,597)	(157)	(2,779)	103

2021
Assets
Loans and advances at amortised cost
- Interest rate risk	1,257	24	6	(77)	(1)
- Foreign exchange risk	556	354	—	9	—
- Inflation risk
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 incomeb
- Interest rate risk	22,895	(299)	25	(1,122)	31
- Inflation risk	6,271	386	(32)	81	10
Investments in subsidiaries
- Foreign exchange risk	1,607	—	—	35	—
- Other risk	1,455	(1)	1	19	—
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

Notes

aHedge ineffectiveness is recognised in net interest income.

bFor 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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Amount, timing and uncertainty of future cash flows

The following table shows the fair value hedging instruments which are carried on the 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	Nominal amount		Nominal amount directly impacted by IBOR reform
Hedge type	Risk category	£m	£m	£m	£m	£m	£m
As at 31 December 2022
Fair value	Interest rate risk	—	—	—	67,613	858	11,987
	Inflation risk	27	(776)	—	12,495	2,417	2,493
	Total	27	(776)	—	80,108	3,275	14,480

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


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	Nominal amount		Nominal amount directly impacted by IBOR reform
Hedge type	Risk category	£m	£m	£m	£m	£m	£m
As at 31 December 2022
Fair value	Interest rate risk	72	—	—	66,532	974	11,987
	Foreign exchange risk	72	(8)	(1,342)	3,361	(509)	—
	Inflation risk	26	(776)	—	12,495	2,417	2,493
	Total	170	(784)	(1,342)	82,388	2,882	14,480

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

The following table profiles the expected notional values of current hedging instruments for fair value hedging in future years:


	2022	2023	2024	2025	2026	2027	2028 and later
As at 31 December 2022	£m	£m	£m	£m	£m	£m	£m
Barclays Bank Group
Fair value hedges of:
Interest rate risk (outstanding notional amount)	67,613	63,902	54,595	47,000	40,170	28,497	26,131
Inflation risk (outstanding notional amount)	12,495	12,064	9,873	8,824	7,477	7,449	6,779

For Barclays Bank Group, there are 712 (2021: 618) interest rate risk fair value hedges with an average fixed rate of 1.77% (2021: 1.1%) across the

relationships and 49 (2021: 60) inflation risk fair value hedges with an average rate of 0.55% (2021: 0.59%) across the relationships.


	2022	2023	2024	2025	2026	2027	2028 and later
As at 31 December 2022	£m	£m	£m	£m	£m	£m	£m
Barclays Bank PLC
Fair value hedges of
Interest rate risk (outstanding notional amount)	66,532	62,826	53,523	46,667	39,958	28,255	25,897
Inflation risk (outstanding notional amount)	12,495	12,064	9,873	8,824	7,477	7,449	6,779
Foreign exchange risk (outstanding notional amount)	3,361	1,348	1,345	1,342	1,342	—	—

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 statementa

Description of hedge relationship and hedged risk	£m	£m	£m	£m	£m	£m	£m
2022
Cash flow hedge of:
Interest rate risk
Loans and advances at amortised cost	7,182	4,625	—	2,900	—	7,182	(197)
Foreign exchange risk
Loans and advances at amortised cost	3	(13)	—	—	—	3	2
Inflation risk
Debt securities classified at amortised cost	362	142	—	16	—	98	33
Total cash flow hedges	7,547	4,754	—	2,916	—	7,283	(162)
Hedge of net investment in foreign operations
USD foreign operations	922	—	1,767	—	—	922	—
EUR foreign operations	170	—	127	—	—	170	—
Other foreign operations	38	—	180	—	88	38	—
Total foreign operations	1,130	—	2,074	—	88	1,130	—

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	—

Note

aHedge 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 comprehensive income	Hedge ineffectivenes s recognised in the income statementa
Description of hedge relationship and hedged risk	£m	£m	£m	£m	£m	£m	£m
2022
Cash flow hedge of:
Interest rate risk
Loans and advances at amortised cost	6,632	4,480	—	2,570	—	6,632	(146)
Foreign exchange risk
Loans and advances at amortised cost	3	(13)	—	—	—	3	2
Inflation risk
Debt securities classified at amortised cost	362	142	—	16	—	98	33
Total cash flow hedges	6,997	4,609	—	2,586	—	6,733	(111)
Hedge of net investment in foreign operations
USD foreign operations	328	—	1,377	—	—	328	—
EUR foreign operations	5	—	(3)	—	2	5	—
Other foreign operations	24	—	24	—	—	24	—
Total foreign operations	357	—	1,398	—	2	357	—

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	—

Note

aHedge 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 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	Nominal amount		Nominal amount directly impacted by IBOR reform
Hedge type	Risk category	£m	£m	£m	£m	£m	£m
As at 31 December 2022
Cash flow	Interest rate risk	12	—	—	89,996	(7,379)	6,728
	Foreign exchange risk	175	(12)	—	2,000	(1)	—
	Inflation risk	—	—	—	2,636	(329)	—
	Total	187	(12)	—	94,632	(7,709)	6,728
Net investment	Foreign exchange risk	97	(20)	(8,368)	12,256	(1,130)	—

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)	—



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	Nominal amount		Nominal amount directly impacted by IBOR reform
Hedge type	Risk category	£m	£m	£m	£m	£m	£m
As at 31 December 2022
Cash flow	Interest rate risk	4	(4)	—	88,990	(6,778)	7,108
	Foreign exchange risk	175	(12)	—	2,000	(1)	—
	Inflation risk	—	—	—	2,696	(329)	—
	Total	179	(16)	—	93,686	(7,108)	7,108
Net investment	Foreign exchange risk	105	(7)	(52)	2,852	(357)	—

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)	—

For Barclays Bank Group, there are two (2021: one) foreign exchange risk cash flow hedges with an average foreign exchange rate of JPY 147.80: GBP 1

(2021: JPY 133.03: GBP 1) and for Barclays Bank PLC, there are two (2021: one) foreign exchange risk cash flow hedges with an average foreign

exchange rate of JPY 147.80: GBP 1 (2021: 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	2022		2021
	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	(496)	(46)	228	13
Cash flow hedge of foreign exchange risk
Recycled to net interest income	(1)	—	87	—
Hedge of net investment in foreign operations
Recycled to other income	—	(58)	—	(28)


Barclays Bank PLC	2022		2021
	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	(406)	(61)	235	11
Cash flow hedge of foreign exchange risk
Recycled to net interest income	(1)	—	87	—
Hedge of net investment in foreign operations
Recycled to other income	—	—	—	—

A detailed reconciliation of the movements of the cash flow hedging reserve and the currency translation reserve is as follows:


Barclays Bank Group	2022		2021
	Cash flow hedging reserve	Currency translation reserve	Cash flow hedging reserve	Currency translation reserve
	£m	£m	£m	£m
Balance on 1 January	(618)	2,581	1,181	2,736
Currency translation movements	(7)	3,483	(6)	(92)
Hedging losses for the year	(7,283)	(1,130)	(2,206)	(91)
Amounts reclassified in relation to cash flows affecting profit or loss	543	58	(327)	28
Tax	1,808	—	740	—
Balance on 31 December	(5,557)	4,992	(618)	2,581


Barclays Bank PLC	2022		2021
	Cash flow hedging reserve	Currency translation reserve	Cash flow hedging reserve	Currency translation reserve
	£m	£m	£m	£m
Balance on 1 January	(624)	268	1,191	140
Currency translation movements	2	1,506	(15)	164
Hedging losses for the year	(6,733)	(357)	(2,215)	(36)
Amounts reclassified in relation to cash flows affecting profit or loss	468	—	(333)	—
Tax	1,707	—	748	—
Balance on 31 December	(5,180)	1,417	(624)	268

Notes to the financial statements

Assets and liabilities held at fair value


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14Financial 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
	2022	2021
	£m	£m
Debt securities and other eligible bills	44,861	45,854
Equity securities	1	1
Loans and advances	222	53
Financial assets at fair value through other comprehensive income	45,084	45,908


	Barclays Bank PLC
	2022	2021
	£m	£m
Debt securities and other eligible bills	42,864	44,110
Loans and advances	222	53
Financial assets at fair value through other comprehensive income	43,086	44,163

15Financial 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 amounts 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
	2022		2021
	Fair value	Contractual amount due on maturity	Fair value	Contractual amount due on maturity
	£m	£m	£m	£m
Debt securities	57,325	72,728	53,164	61,333
Deposits	41,037	42,455	29,409	29,836
Repurchase agreements and other similar secured borrowing	173,172	173,938	168,075	168,144
Subordinated debta	521	1,029	483	613
Financial liabilities designated at fair value	272,055	290,150	251,131	259,926

Notes to the financial statements

Assets and liabilities held at fair value


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	Barclays Bank PLC
	2022		2021
	Fair value	Contractual amount due on maturity	Fair value	Contractual amount due on maturity
	£m	£m	£m	£m
Debt securities	50,522	65,256	52,362	60,335
Deposits	26,157	26,928	20,722	20,836
Repurchase agreements and other similar secured borrowing	223,651	225,331	217,495	217,547
Subordinated debta	521	1,029	483	613
Financial liabilities designated at fair value	300,851	318,544	291,062	299,331

The cumulative own credit net gain recognised for Barclays Bank Group is £674m (2021: £960m) and for Barclays Bank PLC it is £689m (2021: £837m)

Note

a.Subordinated debt measured at fair value was previously disclosed in Note 26 Subordinated Liabilities. From 2021, it is disclosed within Financial Liabilities designated at

fair value to better reflect that it is accounted for at fair value.

16Fair 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.

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 223.

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.

Climate related risks are assumed to be included in the fair values of assets and liabilities traded in active markets.

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

Notes to the financial statements

Assets and liabilities held at fair value


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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
	2022				2021
	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	62,469	64,822	6,480	133,771	80,836	63,754	2,281	146,871
Financial assets at fair value through the income statement	5,647	199,370	6,111	211,128	4,953	177,194	6,079	188,226
Derivative financial assets	10,054	287,749	5,173	302,976	6,150	252,131	4,010	262,291
Financial assets at fair value through other comprehensive income	15,029	30,051	4	45,084	16,070	29,800	38	45,908
Investment property	—	—	5	5	—	—	7	7
Total assets	93,199	581,992	17,773	692,964	108,009	522,879	12,415	643,303

Trading portfolio liabilities	(43,679)	(28,725)	(56)	(72,460)	(26,701)	(26,563)	(27)	(53,291)
Financial liabilities designated at fair value	(133)	(270,880)	(1,042)	(272,055)	(174)	(250,553)	(404)	(251,131)
Derivative financial liabilities	(10,823)	(272,020)	(6,363)	(289,206)	(6,571)	(243,893)	(6,059)	(256,523)
Total liabilities	(54,635)	(571,625)	(7,461)	(633,721)	(33,446)	(521,009)	(6,490)	(560,945)

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:


Assets and liabilities held at fair value
	2022				2021
	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	33,165	43,904	5,974	83,043	48,365	46,372	1,987	96,724
Financial assets at fair value through the income statement	923	240,951	5,451	247,325	344	230,870	5,363	236,577
Derivative financial assets	3	253,837	4,868	258,708	4	231,034	3,371	234,409
Financial assets at fair value through other comprehensive income	13,245	29,838	3	43,086	14,363	29,762	38	44,163
Investment property	—	—	2	2	—	—	3	3
Total assets	47,336	568,530	16,298	632,164	63,076	538,038	10,762	611,876

Trading portfolio liabilities	(35,857)	(16,188)	(48)	(52,093)	(34,148)	(15,948)	(20)	(50,116)
Financial liabilities designated at fair value	(24)	(299,871)	(956)	(300,851)	(21)	(290,650)	(391)	(291,062)
Derivative financial liabilities	—	(244,442)	(6,125)	(250,567)	(2)	(222,539)	(5,450)	(227,991)
Total liabilities	(35,881)	(560,501)	(7,129)	(603,511)	(34,171)	(529,137)	(5,861)	(569,169)

Notes to the financial statements

Assets and liabilities held at fair value


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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
	2022		2021
	Assets	Liabilities	Assets	Liabilities
Barclays Bank Group	£m	£m	£m	£m
Interest rate derivatives	2,361	(2,858)	1,091	(1,351)
Foreign exchange derivatives	1,513	(1,474)	376	(374)
Credit derivatives	290	(603)	323	(709)
Equity derivatives	1,009	(1,428)	2,220	(3,625)
Corporate debt	1,677	(49)	1,205	(21)
Reverse repurchase and repurchase agreements	37	(434)	13	(172)
Non-asset backed loans	8,105	—	3,743	—
Private equity investments	140	—	148	—
Othera	2,641	(615)	3,296	(238)
Total	17,773	(7,461)	12,415	(6,490)

Note

aOther includes commercial real estate loans, asset backed loans, funds and fund-linked products, issued debt, Government and Government sponsored debt, asset backed

securities, equities cash products 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.

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.

Notes to the financial statements

Assets and liabilities held at fair value


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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 or for consensus pricing with low pricing-range, 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.

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 or revenue 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 or revenue 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,

asset backed securities, equity cash products 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. (2021: 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


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Analysis of movements in Level 3 assets and liabilities

	As at 1 January 2022					Total gains and (losses) in the period recognised in the income statement		Total gains or (losses) recognised in OCI	Transfers		As at 31 December 2022
	As at 1 January 2022	Purchases	Sales	Issues	Settlements	Trading incomeb	Other income	Total gains or (losses) recognised in OCI	In	Out	As at 31 December 2022
Barclays Bank Group	£m	£m	£m	£m	£m	£m	£m	£m	£m	£m	£m
Corporate debt	389	392	(182)	—	(18)	(39)	—	—	87	(34)	595
Non-asset backed loans	758	7,009	(2,635)	—	(19)	(264)	—	—	10	(22)	4,837
Other	1,134	667	(412)	—	(298)	(43)	—	—	275	(275)	1,048
Trading portfolio assets	2,281	8,068	(3,229)	—	(335)	(346)	—	—	372	(331)	6,480

Non-asset backed loans	2,985	2,739	(1,019)	—	(1,203)	(262)	—	—	49	(21)	3,268
Private equity investments	148	35	(59)	—	(3)	7	12	—	—	—	140
Other	2,946	6,483	(6,540)	—	(188)	1	2	—	17	(18)	2,703
Financial assets at fair value through the income statement	6,079	9,257	(7,618)	—	(1,394)	(254)	14	—	66	(39)	6,111

Other	38	—	—	—	(32)	—	—	(2)	—	—	4
Financial assets at fair value through other comprehensive income	38	—	—	—	(32)	—	—	(2)	—	—	4

Investment property	7	—	(1)	—	—	—	(1)	—	—	—	5

Trading portfolio liabilities	(27)	(23)	8	—	—	9	—	—	(27)	4	(56)

Financial liabilities designated at fair value	(404)	(285)	—	(98)	82	70	1	—	(448)	40	(1,042)

Interest rate derivatives	(260)	(217)	—	—	54	(467)	—	—	431	(38)	(497)
Foreign exchange derivatives	2	—	—	—	(6)	27	—	—	—	16	39
Credit derivatives	(386)	(4)	(2)	—	57	23	—	—	11	(12)	(313)
Equity derivatives	(1,405)	(213)	—	—	332	307	—	—	(11)	571	(419)
Net derivative financial instrumentsa	(2,049)	(434)	(2)	—	437	(110)	—	—	431	537	(1,190)

Total	5,925	16,583	(10,842)	(98)	(1,242)	(631)	14	(2)	394	211	10,312

Notes to the financial statements

Assets and liabilities held at fair value


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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
	As at 1 January 2021	Purchases	Sales	Issues	Settlements	Trading incomeb	Other income	Total gains or (losses) recognised in OCI	In	Out	As at 31 December 2021
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
Other	1,003	371	(425)	—	(57)	(49)	—	—	442	(151)	1,134
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
Private equity investments	88	68	(7)	—	(8)	—	10	—	35	(38)	148
Other	2,024	11,256	(10,228)	—	(184)	2	28	—	49	(1)	2,946
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)	—
Other	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 instrumentsa	(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

aThe derivative financial instruments are represented on a net basis. On a gross basis, derivative financial assets are £5,173m (2021: £4,010m) and derivative financial

liabilities are £6,363m (2021: £6,059m).

bTrading income represents gains and (losses) on Level 3 financial instruments which in the majority are offset by losses and gains on financial instruments disclosed in

level 2

Notes to the financial statements

Assets and liabilities held at fair value


home.barclays/annualreport	Barclays Bank PLC Annual Report	218


Analysis of movements in Level 3 assets and liabilities
	As at 1 January 2022					Total gains and (losses) in the period recognised in the income statement		Total gains or (losses) recognised in OCI	Transfers		31 December 2022
	As at 1 January 2022	Purchases	Sales	Issues	Settlements	Trading incomeb	Other income	Total gains or (losses) recognised in OCI	In	Out	31 December 2022
Barclays Bank PLC	£m	£m	£m	£m	£m	£m	£m	£m	£m	£m	£m
Trading portfolio assets	1,987	7,567	(2,822)	—	(324)	(308)	—	—	132	(258)	5,974
Financial assets at fair value through the income statement	5,363	8,921	(7,559)	—	(1,229)	(261)	188	—	66	(38)	5,451
Fair value through other comprehensive income	38	—	—	—	(32)	—	—	(3)	—	—	3
Investment property	3	—	(1)	—	—	—	—	—	—	—	2
Trading portfolio liabilities	(20)	(20)	1	—	—	9	—	—	(22)	4	(48)
Financial liabilities designated at fair value	(391)	(285)	—	(97)	82	70	—	—	(366)	31	(956)
Net derivative financial instrumentsa	(2,079)	(463)	(2)	—	443	(132)	—	—	427	549	(1,257)
Total	4,901	15,720	(10,383)	(97)	(1,060)	(622)	188	(3)	237	288	9,169


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
	As at 1 January 2021	Purchases	Sales	Issues	Settlements	Trading incomeb	Other income	Total gains or (losses) recognised in OCI	In	Out	As at 31 December 2021
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 instrumentsa	(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

Notes

aThe derivative financial instruments are represented on a net basis. On a gross basis, derivative financial assets are £4,868m (2021: £3,371m) and derivative financial

liabilities are £6,125m (2021: £5,450m).

bTrading income represents gains and (losses) on Level 3 financial instruments which in the majority are offset by losses and gains on financial instruments disclosed in

level 2

Notes to the financial statements

Assets and liabilities held at fair value


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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
	2022				2021
	Income statement		Other compre- hensive income		Income statement		Other compre- hensive income
Barclays Bank Group	Trading incomea	Other income	Other compre- hensive income	Total	Trading incomea	Other income	Other compre- hensive income	Total
As at 31 December	£m	£m	£m	£m	£m	£m	£m	£m
Trading portfolio assets	(290)	—	—	(290)	(67)	—	—	(67)
Financial assets at fair value through the income statement	(152)	9	—	(143)	(53)	22	—	(31)
Fair value through other comprehensive income	—	—	—	—	—	—	—	—
Investment property	—	(1)	—	(1)	—	—	—	—
Trading portfolio liabilities	8	—	—	8	(5)	—	—	(5)
Financial liabilities designated at fair value	55	—	—	55	16	(1)	—	15
Net derivative financial instruments	(80)	—	—	(80)	(196)	—	—	(196)
Total	(459)	8	—	(451)	(305)	21	—	(284)


Unrealised gains and (losses) recognised during the period on Level 3 assets and liabilities held at year end
	2022				2021
	Income statement		Other compre- hensive income	Total	Income statement		Other compre- hensive income	Total
Barclays Bank PLC	Trading incomea	Other income	Other compre- hensive income	Total	Trading incomea	Other income	Other compre- hensive income	Total
As at 31 December	£m	£m	£m	£m	£m	£m	£m	£m
Trading portfolio assets	(261)	—		(261)	(55)	—	—	(55)
Financial assets at fair value through the income statement	(159)	4		(155)	(68)	17	—	(51)
Fair value through other comprehensive income	—	—		—	—	—	—	—
Trading portfolio liabilities	8	—		8	(5)	—	—	(5)
Financial liabilities designated at fair value	55	—		55	9	—	—	9
Net derivative financial instruments	(101)	—		(101)	(276)	—	—	(276)
Total	(458)	4	—	(454)	(395)	17	—	(378)

Note

a.Trading income represents gains and (losses) on Level 3 financial instruments which in the majority are offset by losses and gains on financial instruments disclosed in

level 2

Notes to the financial statements

Assets and liabilities held at fair value


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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	2022		2021
			Range		Range
Barclays Bank Group			Min	Max	Min	Max	Unitsb
Derivative financial instrumentsc
Interest rate derivatives	Discounted cash flows	Inflation forwards	3	5	0	3	%
		Credit spread	17	2,159	9	1,848	bps
		Yield	(3)	56	—	—	%
	Correlation Model	Inflation forwards	(20)	(13)	(20)	(13)	%
	Option model	Inflation volatility	49	315	31	130	bps vol
		Interest rate volatility	36	430	5	600	bps vol
		Option volatility	57	60	—	—	£m
		FX - IR correlation	(20)	78	(20)	78	%
		IR - IR correlation	12	99	(100)	99	%
Credit derivatives	Discounted cash flows	Credit spread	3	2,943	2	2,925	bps
	Comparable pricing	Price	79	92	—	—	points
Equity derivatives	Option model	Equity volatility	3	140	2	108	%
		Equity - equity correlation	40	100	10	100	%
	Discounted cash flow	Discounted margin	(205)	634	(129)	93	bps
Foreign exchange derivatives	Option Model	Option Volatility	0	100	0	100	points
	Discount cash flows	Yield	(3)	4	—	—	%
Non-derivative financial instruments
Non-asset backed loans	Discounted cash flows	Loan spread	51	801	31	811	bps
		Credit spread	200	300	200	300	bps
		Yield	5	34	3	10	%
	Comparable pricing	Price	0	101	0	145	points
Corporate debt	Comparable pricing	Price	0	232	0	284	points
	Discounted cash flows	Loan spread	229	834	229	854	bps
Commercial Real Estate loans	Discounted cash flows	Credit spread	267	426	68	543	bps
Reverse repurchase and repurchase agreements	Discounted cash flows	Repo spread	321	502	—	—	bps
Issued debt	Discounted cash flows	Credit spread	73	548	—	—	bps
	Option model	Equity volatility	3	111	—	—	%
		Interest rate volatility	42	261	—	—	bps vol

Notes

aA range has not been provided for Net Asset Value as there would be a wide range reflecting the diverse nature of the positions.

bThe units used to disclose ranges for significant unobservable inputs are percentages, points and basis points. Points are a percentage of par; for example, 100 points

equals 100% of par. A basis point equals 1/100th of 1%; for example, 150 basis points equals 1.5%.

cCertain 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 17bps- 2,159bps (2021: 32bps-1,848bps).

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.

Notes to the financial statements

Assets and liabilities held at fair value


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Credit spread

Credit spreads typically represent the difference in yield between an instrument and a benchmark security or reference rate. Credit spreads reflect the

additional yield that a market participant demands for taking on exposure to the credit risk of an instrument and form part of the yield used in a

discounted cash flow calculation.

In general, a significant increase in credit spread in isolation will result in a 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 collateralised debt obligation (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.

Non-asset backed loans includes a portfolio of loans extended to clients within the Barclays Bank Group’s leveraged finance business. Leveraged finance

loans are originated where Barclays Bank Group provides financing commitments to clients to facilitate strategic transactions such as leverage buyouts

and acquisitions. The sensitivity of the portfolio to unobservable inputs is judgmental reflecting their illiquid nature and the significance of unobservable

price inputs to the valuation.

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.

Non-asset backed loans contains a portfolio primarily consisting of long-dated fixed rate loans extended to counterparties in the UK Education, Social

Housing and Local Authority sectors (ESHLA). 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 from 51bps to

297bps (2021: 31bps to 601bps), the vast majority of spreads are concentrated towards the bottom end of this range, with 97% (2021: 99%) of the

loan notional being valued with spreads less than 200bps consistently for both years.

Notes to the financial statements

Assets and liabilities held at fair value


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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
	2022				2021
	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	119	—	(155)	—	51	—	(79)	—
Foreign exchange derivatives	16	—	(22)	—	20	—	(28)	—
Credit derivatives	79	—	(71)	—	112	—	(103)	—
Equity derivatives	161	—	(168)	—	181	—	(190)	—
Corporate debt	45	—	(27)	—	38	—	(28)	—
Non asset backed loans	244	—	(450)	—	99	—	(150)	—
Private equity investments	10	—	(10)	—	10	—	(11)	—
Othera	53	—	(64)	—	44	—	(62)	—
Total	727	—	(967)	—	555	—	(651)	—

Note

aOther includes asset backed loans, equity cash products and funds and fund-linked products.

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 £727m (2021: £555m) or to decrease fair values by up to £967m (2021: £651m) with all the potential effect

impacting profit and loss.

Fair value adjustments

Key balance sheet valuation adjustments are quantified below:


	2022	2021
Barclays Bank Group	£m	£m
Exit price adjustments derived from market bid-offer spreads	(566)	(498)
Uncollateralised derivative funding	(11)	(127)
Derivative credit valuation adjustments	(319)	(212)
Derivative debit valuation adjustments	208	91

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 on a gross basis by £68m to £566m.

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 £11m has been 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 Uncollateralised derivative funding. The uncollateralised derivative funding adjustment has

decreased by £116m to £11m as a result of underlying moves in the exposure profile of the derivative portfolio in scope.

Derivative credit and debit valuation adjustments

Derivative credit valuation adjustments and Derivative debit valuation adjustments 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. Derivative credit valuation adjustments and Derivative debit valuation adjustments 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.

Notes to the financial statements

Assets and liabilities held at fair value


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Probability of default and recovery rate information is generally sourced from the Credit Default Swap (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.

Derivative credit valuation adjustments increased by £107m to £319m as a result of widening of input counterparty credit spreads. Derivative debit

valuation adjustments increased by £117m to £208m, as a result of widening of 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 Derivative credit valuation adjustments 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 £106m (2021: £122m) for financial instruments measured at fair value and £25m (2021: £28m) for financial instruments carried at

amortised cost. There are additions and FX gains of £49m (2021: £59m) and amortisation and releases of £65m (2021: £40m) for financial instruments

measured at fair value and additions of £nil (2021: £nil) and amortisation and releases of £3m (2021: £2m) for financial instruments carried at

amortised cost.

Third party credit enhancements

Structured and brokered certificates of deposit issued by Barclays Bank Group are insured up to $250,000 per depositor by the Federal Deposit

Insurance Corporation (FDIC) in the US. The FDIC is funded by premiums that Barclays Bank Group and other banks pay for deposit insurance coverage.

The carrying value of these issued certificates of deposit that are designated under the IFRS 9 fair value option includes this third party credit

enhancement. The on-balance sheet value of these brokered certificates of deposit amounted to £5,197m (2021: £790m).

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	2022					2021

	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	182,507	181,727	14,210	86,559	80,958	145,259	145,665	15,406	63,948	66,311
Reverse repurchase agreements and other similar secured lending	725	725	—	725	—	3,177	3,177	—	3,177	—

Financial liabilities
Deposits at amortised cost	(291,579)	(291,552)	(176,959)	(114,267)	(326)	(262,828)	(262,843)	(180,829)	(82,014)	—
Repurchase agreements and other similar secured borrowing	(11,965)	(11,966)	—	(11,966)	—	(12,769)	(12,776)	—	(12,776)	—
Debt securities in issue	(60,012)	(59,895)	—	(57,954)	(1,941)	(48,388)	(48,350)	—	(46,201)	(2,149)
Subordinated liabilities	(38,253)	(38,686)	—	(38,465)	(220)	(32,185)	(33,598)	—	(33,598)	—

Notes to the financial statements

Assets and liabilities held at fair value


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Barclays Bank PLC	2022					2021

	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	225,783	223,668	10,360	171,952	41,356	199,782	198,943	11,891	150,019	37,033
Reverse repurchase agreements and other similar secured lending	5,908	5,908	—	5,908	—	4,982	4,982	—	4,982	—

Financial liabilities
Deposits at amortised cost	(313,895)	(313,895)	(146,958)	(166,612)	(326)	(286,761)	(286,756)	(152,350)	(134,406)	—
Repurchase agreements and other similar secured borrowing	(26,307)	(26,309)	—	(26,309)	—	(29,202)	(29,208)	—	(29,208)	—
Debt securities in issue	(40,166)	(40,115)	—	(40,096)	(19)	(32,585)	(32,542)	—	(32,542)	—
Subordinated liabilities	(37,656)	(30,818)	—	(30,598)	(220)	(31,875)	(33,287)	—	(33,287)	—

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.

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.

Notes to the financial statements

Assets and liabilities held at fair value


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17Offsetting 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 arrangementsc	Balance sheet totald
	Effects of offsetting on-balance sheet			Related amounts not offset
	Gross amounts	Amounts offseta	Net amounts reported on the balance sheet	Financial instruments	Financial collateralb	Net amount
As at 31 December 2022	£m	£m	£m	£m	£m	£m	£m	£m
Derivative financial assets	374,848	(76,429)	298,419	(238,062)	(45,920)	14,437	4,557	302,976
Reverse repurchase agreements and other similar secured lendinge	560,060	(397,439)	162,621	—	(161,992)	629	2,802	165,423
Total assets	934,908	(473,868)	461,040	(238,062)	(207,912)	15,066	7,359	468,399
Derivative financial liabilities	(360,242)	76,530	(283,712)	238,062	26,407	(19,243)	(5,494)	(289,206)
Repurchase agreements and other similar secured borrowinge	(573,332)	397,439	(175,893)	—	175,893	—	(9,244)	(185,137)
Total liabilities	(933,574)	473,969	(459,605)	238,062	202,300	(19,243)	(14,738)	(474,343)

As at 31 December 2021
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 lendinge	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 borrowinge	(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)

Notes

aAmounts offset for derivative financial assets additionally includes cash collateral netted of £15,199m (2021: £3,815m). Amounts offset for derivative financial liabilities

additionally includes cash collateral netted of £15,098m (2021: £4,346m). Settlements assets and liabilities have been offset amounting to £24,250m (2021: £22,837m).

bFinancial collateral of £45,920m (2021: £39,953m) was received in respect of derivative assets, including £34,496m (2021: £34,149m) of cash collateral and £11,424m

(2021: £5,804m) of non-cash collateral. Financial collateral of £26,407m (2021: £34,151m) was placed in respect of derivative liabilities, including £24,990m (2021:

£31,861m) of cash collateral and £1,417m (2021: £2,290m) of non-cash collateral. The collateral amounts are limited to net balance sheet exposure so as to not include

over-collateralisation.

cThis column includes contractual rights of set-off that are subject to uncertainty under the laws of the relevant jurisdiction.

dThe 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’.

eReverse Repurchase agreements and other similar secured lending of £165,423m (2021: £148,363m) is split by fair value £164,698m (2021: £145,186m) and amortised

cost £725m (2021: £3,177m). Repurchase agreements and other similar secured borrowing of £185,137m (2021: £180,844m) is split by fair value £173,172m (2021:

£168,075m) and amortised cost £11,965m (2021: £12,769m).

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 Group are further explained in the Credit

risk mitigation section on page 60.

Notes to the financial statements

Assets and liabilities held at fair value


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Barclays Bank PLC	Amounts subject to enforceable netting arrangements						Amounts not subject to enforceable netting arrangementsc	Balance sheet totald
	Effects of offsetting on-balance sheet			Related amounts not offset
	Gross amounts	Amounts offseta	Net amounts reported on the balance sheet	Financial instruments	Financial collateralb	Net amount
As at 31 December 2022	£m	£m	£m	£m	£m	£m	£m	£m
Derivative financial assets	302,076	(47,480)	254,596	(209,530)	(32,520)	12,546	4,112	258,708
Reverse repurchase agreements and other similar secured lendinge	607,414	(406,040)	201,374	—	(201,374)	—	1,974	203,348
Total assets	909,490	(453,520)	455,970	(209,530)	(233,894)	12,546	6,086	462,056
Derivative financial liabilities	(292,493)	46,654	(245,839)	209,530	20,758	(15,551)	(4,728)	(250,567)
Repurchase agreements and other similar secured borrowinge	(648,513)	406,040	(242,473)	—	242,473	—	(7,485)	(249,958)
Total liabilities	(941,006)	452,694	(488,312)	209,530	263,231	(15,551)	(12,213)	(500,525)

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 lendinge	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 borrowinge	(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)

Notes

aAmounts offset for derivative financial assets additionally includes cash collateral netted of £8,771m (2021: £2,736m). Amounts offset for derivative financial liabilities

additionally includes cash collateral netted of £9,597m (2021: £2,943m). Settlements assets and liabilities have been offset amounting to £17,683m (2021: £16,459m).

bFinancial collateral of £32,520m (2021: £31,320m) was received in respect of derivative assets, including £23,212m (2021: £26,166m) of cash collateral and £9,308m

(2021: £5,154m) of non-cash collateral. Financial collateral of £20,758m (2021: £26,460m) was placed in respect of derivative liabilities, including £19,624m (2021:

£24,860m) of cash collateral and £1,134m (2021: £1,600m) of non-cash collateral. The collateral amounts are limited to net balance sheet exposure so as to not include

over-collateralisation.

cThis column includes contractual rights of set-off that are subject to uncertainty under the laws of the relevant jurisdiction.

dThe 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’.

eReverse Repurchase agreements and other similar secured lending of £203,348m (2021: £193,035m) is split by fair value £197,440m (2021: £188,053m) and amortised

cost £5,908m (2021: £4,982m). Repurchase agreements and other similar secured borrowing of £249,958m (2021: £246,697m) is split by fair value £223,651m (2021:

£217,495m) and amortised cost £26,307m (2021: £29,202m).