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Barclays Bank PLC
1
Exhibit 99.1
Barclays Bank PLC
This exhibit includes portions from the previously published Results Announcement of Barclays Bank PLC relating to the six months
ended 30 June 2020, as amended in part to comply with the requirements of Regulation G and Item 10(e) of Regulation S-K
promulgated by the US Securities and Exchange Commission (SEC), including the reconciliation of certain financial information to
comparable measures prepared in accordance with International Financial Reporting Standards (IFRS). The purpose of this
document is to provide such additional disclosure as required by Regulation G and Regulation S-K item 10(e), to delete certain
information not in compliance with SEC regulations and to include reconcil iations of certain non-IFRS figures to the most directly
equivalent IFRS figures for the periods presented. This document does not update or otherwise supplement the information
contained in the previously published Results Announcement. Any reference to a website in this document is made for
informational purposes only, and information found at such websites is not incorporated by reference into this document.
An audit opinion has not been rendered in respect of this document.
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Table of Contents
Barclays Bank PLC
2
Results Announcement
Page
3
Financial Review
4
Risk Management
●
6
●
Credit Risk
8
●
Market Risk
16
●
17
Condensed Consolidated Financial Statements
19
25
Other Information
45
46
69
BARCLAYS BANK PLC, 1 CHURCHILL PLACE, LONDON, E14 5HP, UNITED KINGDOM. TELEPHONE: +44 (0) 20 7116 1000. COMPANY NO. 1026167.
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Notes
Barclays Bank PLC
3
The term Barclays Bank Group refers to Barclays Bank PLC together with its subsidiaries. Unless otherwise stated, the income statement analysis compares
the six months ended 30 June 2020 to the corresponding six months of 2019 and balance sheet analysis as at 30 June 2020 with comparatives relating to 31
December 2019. The abbreviations ‘£m’ and ‘£bn’ represent millions and thousands of millions of Pounds Sterling respectively; the abbreviations ‘$m’ and
‘$bn’ represent millions and thousands of millions of US Dollars respectively; and the abbreviations ‘€m’ and ‘€bn’ represent millions and thousands of
millions of Euros respectively.
There are a number of key judgement areas, for example impairment calculations, which are based on models and which are subject to ongoing adjustment
and modifications. Reported numbers reflect best estimates and judgements at the given point in time.
Relevant terms that are used in this document but are not defined under applicable regulatory guidance or International Financial Reporting Standards (IFRS)
are explained in the results glossary that can be accessed at home.barclays/investor -relations/reports-and-events/latest-financial-results.
The information in this announcement, which was approved by the Board of Directors on 28 July 2020, does not comprise statutory accounts within the
meaning of Section 434 of the Companies Act 2006. Statutory accounts for the year ended 31 December 2019, which contained an unmodified audit report
under Section 495 of the Companies Act 2006 (which did not make any statements under Section 498 of the Companies Act 2006) have been delivered to the
Registrar of Companies in accordance with Section 441 of the Companies Act 2006.
Barclays Bank Group is a frequent issuer in the debt capital markets and regularly meets with investors via formal road-shows and other ad hoc meetings.
Consistent with its usual practice, Barclays Bank Group expects that from time to time over the coming half year it will meet with investors globally to discuss
these results and other matters relating to the Barclays Bank Group.
Forward -looking statements
This document contains certain forward-looking statements within the meaning of Section 21E of the US Securities Exchange Act of 1934, as amended, and
Section 27A of the US Securities Act of 1933, as amended, with respect to the Barclays Bank Group. Barclays cautions readers that no forward -looking
statement is a guarantee of future performance and that actual results or other financial condition or performance measures could differ materially from
those contained in the forward -looking statements. These fo rward -looking statements can be identified by the fact that they do not relate only to historical or
current facts. Forward-looking statements sometimes use words such as ‘may’, ‘will’, ‘seek’, ‘continue’, ‘aim’, ‘anticipate’, ‘target’, ‘projected’, ‘expec t’,
‘estimate’, ‘intend’, ‘plan’, ‘goal’, ‘believe’, ‘achieve’ or other words of similar meaning. Forward-looking statements can be made in writing but also may be
made verbally by members of the management of the Barclays Bank Group (including, without limitation, during management presentations to financial
analysts) in connection with this document. Examples of forward -looking statements include, among others, statements or guidance regarding or relating to
the Barclays Bank Group’s future financial position, income growth, assets, impairment charges, provisions, business strategy, capital, leverage and other
regulatory ratios, payment of dividends (including dividend payout ratios and expected payment strategies), projected levels of growth in the banking and
financial markets, projected costs or savings, any commitments and targets, estimates of capital expenditures, plans and objectives for future operations,
projected employee numbers, IFRS impacts and other statements that are not historical fact. By their nature, forward -looking statements involve risk and
uncertainty because they relate to future events and circumstances. The forward -looking statements speak only as at the date on which they are made and
such statements may be affected by changes in legislation, the development of standards and interpretations under IFRS, including evolving practices with
regard to the interpretation and application of accounting and regulatory standards, the outcome of current and future legal proceedings and regulatory
investigations, future levels of conduct provisions, the policies and actions of governmental and regulatory authorities, geopolitical risks and the impact of
competition. In addition, factors including (but not limited to) the following may have an effect: capital, leverage and other regulatory rules applicable to past,
current and future periods; UK, US, Eurozone and global macroeconomic and business conditions; the effects of any volatility in credit markets; market
related risks such as changes in interest rates and foreign exchange rates; effects of changes in valuation of credit market exposures; changes in valuation of
issued securities; volatility in capital markets; changes in credit ratings of any entity within the Barclays Bank Group or any securities issued by such entities;
direct and indirect impacts of the coronavirus (COVID-19) pandemic; instability as a result of the exit by the UK from the European Union and the disruption
that may subsequently result in the UK and globally; and the success of future acquisitions, disposals and other strategic transactions. A number of these
influences and factors are beyond the Barclays Bank Group’s control. As a result, the Barclays Bank Group’s actual financial position, future results, dividend
payments, capital, leverage or other regulatory ratios or other financial and non-financial metrics or performance measures may differ materially from the
statements or guidance set forth in the Barclays Bank Group’s forward -looking statements. Additional risks and factors which may impact the Barclays Bank
Group’s future financial condition and performance are identified in our filings with the SEC (including, without limitation, our Annual Report on Form 20-F for
the fiscal year ended 31 December 2019 and our 2020 Interim Results Announcement for the six months ended 30 June 2020 filed on Form 6-K), which are
available on the SEC’s website at www.sec.gov.
Subject to our obligations under the applicable laws and regulations of any relevant jurisdiction, (including, without limitation, the UK and the US), in relation
to disclosure and ongoing information, we undertake no obligation to update publicly or revise any forward -looking statements, whether as a result of new
information, future events or otherwise.
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Financial Review
Barclays Bank PLC
4
Barclays Bank Group results
for the half year ended
30.06.20
30.06.19
£m
£m
% Change
Total income
8,637
7,122
21
Credit impairment charges
(2,674)
(510)
Net operating income
5,963
6,612
(10)
Operating expenses
(4,548)
(4,842)
6
Litigation and conduct
(19)
(68)
72
Total operating expenses
(4,567)
(4,910)
7
Other net income
127
23
Profit before tax
1,523
1,725
(12)
Tax charge
(230)
(260)
12
Profit after tax
1,293
1,465
(12)
Other equity instrument holders
(333)
(294)
(13)
Attributable profit
960
1,171
(18)
As at 30.06.20
As at 31.12.19
Balance sheet information
£bn
£bn
Cash and balances at central banks
155.8
125.9
Cash collateral and settlement assets
130.9
79.5
Loans and advances at amortised cost
150.2
141.6
Trading portfolio assets
109.5
113.3
Financial assets at fair value through the income statement
155.5
129.5
Derivative financial instrument assets
307.7
229.6
Total assets
1,096.0
876.7
Deposits at amortised cost
245.7
213.9
Cash collateral and settlement liabilities
113.3
67.7
Financial liabilities designated at fair value
222.1
204.4
Derivative financial instrument liabilities
308.0
228.9
As at 30.06.20
As at 31.12.19
Capital and liquidity metrics
£bn
£bn
Common equity tier 1 (CET1) ratio
1,2
14.3%
13.9%
Barclays Bank PLC DoLSub liquidity coverage ratio
166%
141%
Barclays Bank Group liquidity pool
234
169
1
Barclays Bank PLC is currently regulated by the Prudential Regulation Authority (PRA) on a solo-consolidated basis. The disclosure above provides a capital metric for
Barclays Bank PLC solo-consolidated . For further information, refer to Treasury and Capital Risk on page 17.
2
The CET 1 ratio is calculated applying the IFRS 9 transitional arrangement of the Capital Requirements Regulation (CRR) as amended by the Capital Requirements
Regulation II (CRR II) applicable as at the reporting date . For further information on the implementation of CRR II see page 17.
Barclays Bank Group Overview
Barclays Bank PLC is the non-ring -fenced bank which forms part of the Barclays Group and consists of Corporate and Investment
Bank (CIB), Consumer, Cards and Payments (CC&P) and Head Office.
Group performance
Barclays Bank PLC continued to support its customers and clients through the COVID -19 pandemic by providing or facilitating
lending, through the range of support programmes which have been introduced, as well as enabling the raising of debt and equity
financing in the capital markets . Support actions, including over 200k payment holidays, have also been introduced to help
customers and clients through the difficulties they may be experiencing.
Profit before tax decreased 12% to £1,523m driven by a £1,105m decrease in CC&P to a loss before tax of £503m. This was partially
offset by a £750m increase in CIB to £2,203m and a lower loss in Head Office of £177m (H119: £330m).
●
Total income increased 21% to £8,637m
–
CIB income increased 35% to £6,973m driven by a 73% increase in Markets, reflecting increased client activity, spread
widening and higher levels of volatility, an 8% increase in Banking fees, partially offset by a 17% decline in Corporate due to
the impact of losses on fair value lending positions and losses on mark -to -market and carry costs on related hedges in H120
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Financial Review
Barclays Bank PLC
5
–
CC&P income decreased 21% to £1,742m as the impacts of the COVID -19 pandemic resulted in lower balances on co-
branded cards, margin compression and reduced payments activity. Q220 included a c.£100m valuation loss on Barclays’
preference shares in Visa Inc. resulting from the Q220 Supreme Court ruling concerning charges paid by merchants
–
Head Office income expense improved by 65% to £78m mainly driven by lower legacy capital funding costs
●
Credit impairment charges increased to £2,674m (H119: £510m)
–
CIB credit impairment charges increased to £1,320m (H119: £96m), reflecting £591m in respect of single name wholesale
loan charges and impacts from the COVID -19 scenarios
1
, partially offset by the estimated impact of central bank,
government and other support measures
–
CC&P credit impairment charges increased to £1,299m (H119: £396m) reflecting the impact from the revised COVID -19
scenarios, partially offset by the estimated impact of central bank, government and other support measures
–
Head Office credit impairment charges increased to £55m (H119: £18m) due to impacts from the COVID -19 scenarios on
the Italian home loan portfolio
●
Total operating expenses decreased 7% to £4,567m
–
CIB total operating expenses decreased 4% to £3,462m due to cost efficiencies and discipline in the current environment
–
CC&P total operating expenses decre ased 12% to £1,061m reflecting cost efficiencies and lower marketing spend due to the
impacts of the COVID -19 pandemic
–
Head Office total operating expenses decreased 48% to £44m due to lower litigation and conduct charges
●
Other net income increased £104m to £127m reflecting gains on disposals following the sale of a number of subsidiaries within
the Barclays Group
●
The tax charge for H120 was £230m (H119: £260m), representing an effective tax rate of 15.1% (H119: 15.1%)
Balance sheet, capital and liquidity
●
Cash and balances at central banks increased £29.9bn to £155.8bn within the liquidity pool
●
Cash collateral and settlement assets and liabilities increased £51.4bn to £130.9bn and £45.6bn to £113.3bn respectively
predominantly due to increased activity
●
Loans and advances increased £8.6bn to £150.2bn due to increased lending within CIB, partially offset by lower card balances in
CC&P
●
Financial assets at fair value through the income statement increased £26.0bn to £155.5bn driven by increased secured lending
●
Derivative financial instrument assets and liabilities increased £78.1bn to £307.7bn and £79.1bn to £308.0bn respectively
driven by a decrease in major interest rate curves and increased trading volumes
●
Deposits at amortised cost increased £31.8bn to £245.7bn due to CIB clients increasing liquidity
●
Financial liabilities designated at fair value increased £17.7bn to £222.1bn driven by increased secured borrowing
●
The Barclays Bank PLC solo-consolidated CET1 ratio as at 30 June 2020 was 14.3%, which is above regulatory capital minimum
requirements
●
The Barclays Bank Group liquidity pool increased to £234bn (December 2019: £169bn) driven by customer deposit growth and
actions to maintain a prudent funding and liquidity position in the current environment
1.
See Measurement uncertainty, page 10, for a description of the COVID -19 Scenarios.
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Risk Management
Barclays Bank PLC
6
Risk management and principal risks
The roles and responsibilities of the business groups, Risk and Compliance, in the management of risk in the firm are defined in the
Enterprise Risk Management Framework. The purpose of the framework is to identify the principal risks of Barclays Bank Group,
the process by which Barclays Bank Group sets its appetite for these risks in its business activities, and the consequent limits which
it places on related risk taking.
The framework identifies eight principal risks: credit risk; market risk; treasury and capital risk; operational risk; model risk; conduct
risk; reputation risk; and legal risk. Further detail on these risks and how they are managed is available in the Barclays Bank PLC
Annual Report 2019 (pages 44 to 49) or online at home.barclays/annualreport. There have been no significant changes to these
principal risks or previously identified material existing and emerging risks in the period, save that details of an additional material
risk identified in H120 which potentially impacts more than one principal risk are set out below.
The following section also gives an overview of credit risk, market risk, and treasury and capital risk for the period.
Risks relating to the impact of COVID -19
The COVID -19 pandemic has had, and continues to have, a material impact on businesses around the world and the economic
environments in which they operate. There are a number of factors associated with the pandemic and its impact on global
economies that could have a material adverse effect on (among other things) the profitability, capital and liquidity of financial
institutions such as Barclays Bank Group.
The COVID -19 pandemic has caused disruption to the Barclays Bank Group's customers, suppliers and staff globally. Most
jurisdictions in which the Barclays Bank Group operates have implemented severe restrictions on the movement of their respective
populations, with a resultant significant impact on economic activity in those jurisdictions. These restric tions are being determined
by the governments of individual jurisdictions (including through the implementation of emergency powers) and impacts (including
the timing of implementation and any subsequent lifting of restrictions) may vary from jurisdiction to jurisdiction. It remains
unclear how this will evolve through 2020 (including whether there will be subsequent waves of the COVID -19 pandemic and
whether and in what manner previously lifted restrictions will be re-imposed) and the Barclays Bank Group continues to monitor
the situation closely. However, despite the COVID -19 contingency plans established by the Barclays Bank Group, its ability to
conduct business may be adversely affected by disruptions to its infrastructure, business processes and techno logy services,
resulting from the unavailability of staff due to illness or the failure of third parties to supply services. This may cause significant
customer detriment, costs to reimburse losses incurred by the Barclays Bank Group’s customers, potential litigation costs (including
regulatory fines, penalties and other sanctions), and reputational damage.
In many of the jurisdictions in which the Barclays Bank Group operates, schemes have been initiated by central banks, national
governments and regulators to provide financial support to parts of the economy most impacted by the COVID -19 pandemic. These
schemes have been designed and implemented at pace, meaning lenders (including Barclays ) continue to address operational
issues which have arisen in connection with the implementation of the schemes, including resolving the interaction between the
schemes and existing law and regulation. In addition, the details of how these schemes will impact the Barclays Bank Group’s
customers and therefore the impact on the Barclays Bank Group remain s uncertain at this stage. However, certain actions (such as
the introduction of payment holidays for certain consumer lending products or the cancellation or waiver of fees associated with
certain products ) may negatively impact the effective interest rate earned on certain of the Barclays Bank Group's portfolios and
lower fee income being earned on certain products. Lower interest rates globally will negatively impact net interest income earned
on certain of the Barclays Bank Group's portfolios. Both of these factors may in turn negatively impact the Barclays Bank Group's
profitability. Furthermore, the introduction of, and participation in, central - bank supported loan and other financing schemes
introduced as a result of the COVID -19 pandemic may negatively impact the Barclays Bank Group's risk weighted assets (RWAs),
level of impairment and, in turn, capital position (particularly when any transitional relief applied to the calculation of RWAs and
impairment exp ires). This may be exacerbated if the Barclays Bank Group is required by any government or regulator to offer
forbearance or additional financial relief to borrowers .
As these schemes and other financial support schemes provided by national governments (such as job retention and furlough
schemes) expire, are withdrawn or are no longer supported, the Barclays Bank Group may experience a higher volume of defaults
and delinquencies in certain portfolios and may initiate collection and enforcement actions to recover defaulted debts. Where
defaulting borrowers are harmed by the Barclays Bank Group’s conduct, this may give rise to civil legal proceedings, including class
actions, regulatory censure, potentially significant fines and other sanctions, and reputational damage. Other legal disputes may
also arise between the Barclays Bank Group and defaulting borrowers relating to matters such as breaches or enforcement of legal
rights or obligations arising under loan and other credit agreements. Adverse findings in any such matters may result in the Barclays
Bank Group’s rights not being enforced as intended. For further details on legal risk and legal, competition and regulatory matters,
refer to Note 14 on page 38.
The actions taken by various governments and central banks, in particular in the United Kingdom and the United States, may
indicate a view on the potential severity of any economic downturn and post recovery environment, which from a commercial,
regulatory and risk perspective could be significantly different to past crises and persist for a prolonged period. The COVID -19
pandemic has led to a weakening in GDP in most jurisdictions in which the Barclays Bank Group operates and an expectation of
higher unemployment and lower house prices in those same jurisdictions. These factors all have a significant impact on the
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Risk Management
Barclays Bank PLC
7
modelling of expected credit losses (ECL) by the Barclays Bank Group . As a result, the Barclays Bank Group has experienced higher
ECLs during the first half of 2020 compared to prior periods and this trend may continue in the second half of 2020. The economic
environment remains uncertain and future impairment charges may be subject to further volatility (including from changes to
macroeconomic variable forecasts) depending on the longevity of the COVID -19 pandemic and related containment measures, as
well as the longer term effectiveness of central bank, government and other support measures. For further details on
macroeconomic variables used in the calculation of ECLs, refer to page 12.
In addition, ECLs may be adversely impacted by
increased levels of default for single name exposures in certain sectors directly impacted by the COVID -19 pandemic (such as the oil
and gas, retail, airline, and hospitality and leisure sectors).
Furthermore, the Barclays Bank Group relies on models to support a broad range of business and risk management activities,
including informing business decisions and strategies, measuring and limiting risk, valuing exposures (including the calculation of
impairment), conducting stress testing and assessing capital adequacy. Models are, by their nature, imperfect and incomplete
representations of reality because they rely on assumptions and inputs, and so they may be subject to errors affecting the accuracy
of their outputs and/or misused. This may be exacerbated when dealing with unprecedented scenarios, such as the COVID -19
pandemic, due to the lack of reliable historical reference points and data. For further details on model risk, refer to page 48 of the
Barclays Bank PLC Annual Report 2019.
The disruptio n to economic activity globally caused by the COVID -19 pandemic could adversely impact the Barclays Bank Group's
other assets such as goodwill and intangi bles, and the value of Barclays Bank PLC ’s investments in subsidiaries. It could also impact
the Barclays Bank Group's income due to lower lending and transaction volumes due to volatility or weakness in the capital
markets. Other potential risks include credit rating migration which could negatively impact the Barclays Bank Group's RWAs and
capita l position, and potential liquidity stress due to (among other things) increased customer drawdowns, notwithstanding the
significant initiatives that governments and central banks have put in place to support funding and liquidity. Furthermore, a
significant increase in the utilisation of credit cards by customers could have a negative impact on the Barclays Bank Group's RWAs
and capital position.
Central bank and government actions and other support measures taken in response to the COVID -19 pandemic may also create
restrictions in relation to capital. Restrictions imposed by governments and/or regulators may further limit management’s flexibility
in managing the business and taking action in relation to capital distributions and capital allocation.
Any and all such events mentioned above could have a material adverse effect on the Barclays Bank Group's business, financial
condition, results of operations, prospects, liquidity, capital position and credit ratings (including potential credit rating agency
changes of outlooks or ratings), as well as on the Barclays Bank Group's customers, employees and suppliers.
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Credit Risk
Barclays Bank PLC
8
Loans and advances at amortised cost by product
The table below presents a breakdown of loans and advances at amortised cost and the impairment allowance with stage
allocation by asset classification .
Impairment allowance under IFRS 9 considers both the drawn and the undrawn counterparty exposure. For retail portfolios, the
total impairment allowance is allocated to the drawn exposure to the extent that the allowance does not exceed the exposure, as
ECL is not reported separately. Any excess is reported on the liability side of the balance sheet as a provision. For wholesale
portfolios, the impairment allowance on the undrawn exposure is reported on the liability side of the balance sheet as a provision.
Stage 2
As at 30.06.20
Stage 1
Not past
due
<=30 days
past due
>30 days
past due
Total
Stage 3
Total
1
Gross exposure
£m
£m
£m
£m
£m
£m
£m
Home loans
9,670
638
62
179
879
1,142
11,691
Credit cards, unsecured loans and other retail lending
20,659
6,077
206
348
6,631
2,036
29,326
Wholesale loans
75,699
33,288
2,961
634
36,883
2,161
114,743
Total
106,028
40,003
3,229
1,161
44,393
5,339
155,760
Impairment allowance
Home loans
12
28
11
15
54
350
416
Credit cards, unsecured loans and other retail lending
456
1,096
86
158
1,340
1,511
3,307
Wholesale loans
206
654
92
24
770
858
1,834
Total
674
1,778
189
197
2,164
2,719
5,557
Net exposure
Home loans
9,658
610
51
164
825
792
11,275
Credit cards, unsecured loans and other retail lending
20,203
4,981
120
190
5,291
525
26,019
Wholesale loans
75,493
32,634
2,869
610
36,113
1,303
112,909
Total
105,354
38,225
3,040
964
42,229
2,620
150,203
Coverage ratio
%
%
%
%
%
%
%
Home loans
0.1
4.4
17.7
8.4
6.1
30.6
3.6
Credit cards, unsecured loans and other retail lending
2.2
18.0
41.7
45.4
20.2
74.2
11.3
Wholesale loans
0.3
2.0
3.1
3.8
2.1
39.7
1.6
Total
0.6
4.4
5.9
17.0
4.9
50.9
3.6
As at 31.12.19
Gross exposure
£m
£m
£m
£m
£m
£m
£m
Home loans
9,604
544
48
82
674
1,056
11,334
Credit cards, unsecured loans and other retail lending
29,541
3,806
304
340
4,450
2,129
36,120
Wholesale loans
89,200
6,489
354
672
7,515
1,163
97,878
Total
128,345
10,839
706
1,094
12,639
4,348
145,332
Impairment allowance
Home loans
16
24
9
7
40
292
348
Credit cards, unsecured loans and other retail lending
362
523
99
162
784
1,471
2,617
Wholesale loans
114
219
8
7
234
383
731
Total
492
766
116
176
1,058
2,146
3,696
Net exposure
Home loans
9,588
520
39
75
634
764
10,986
Credit cards, unsecured loans and other retail lending
29,179
3,283
205
178
3,666
658
33,503
Wholesale loans
89,086
6,270
346
665
7,281
780
97,147
Total
127,853
10,073
590
918
11,581
2,202
141,636
Coverage ratio
%
%
%
%
%
%
%
Home loans
0.2
4.4
18.8
8.5
5.9
27.7
3.1
Credit cards, unsecured loans and other retail lending
1.2
13.7
32.6
47.6
17.6
69.1
7.2
Wholesale loans
0.1
3.4
2.3
1.0
3.1
32.9
0.7
Total
0.4
7.1
16.4
16.1
8.4
49.4
2.5
1
Other financial assets subject to impairment excluded in the table above include cash collateral and settlement balances, financial assets at fair value through other
comprehensive income, accrued income and sundry debtors. These have a total gross exposure of £187.1bn (December 2019: £125.5bn) and impairment allowance of
£168m (December 2019: £22m). This comprises £33m (December 2019: £10m) ECL on £181.7bn (December 2019: £124.7bn) Stage 1 assets, £20m (December 2019: £2m)
on £5.3bn (December 2019: £0.8bn) Stage 2 fair value through other comprehensive income assets and £115m (December 2019: £10m) on £115m (December 2019: £10m)
Stage 3 other assets. Loan commitments and financial guarantee contracts have total ECL of £593m (December 2019: £252m).
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Credit Risk
Barclays Bank PLC
9
Movement in gross exposures and impairment allowance including provisions for loan
commitments and financial guarantees
The following tables present a reconciliation of the opening to the closing balance of the exposure and impairment allowance.
Explanation of the terms: 12-month ECL, lifetime ECL and credit -impaired are included in the Barclays Bank PLC Annual Report 2019
on page 149. Barclays Bank Group does not hold any material purchased or originated credit -impaired assets as at period end.
Transfers between stages in the tables have been reflected as if they had taken place at the beginning of the year. The movements
are measured over a 6-month period.
Loans and advances at amortised cost
Stage 1
Stage 2
Stage 3
Total
Gross
exposure
ECL
Gross
exposure
ECL
Gross
exposure
ECL
Gross
exposure
ECL
£m
£m
£m
£m
£m
£m
£m
£m
Home loans
As at 1 January 2020
9,604
16
674
40
1,056
292
11,334
348
Transfers from Stage 1 to Stage 2
(394)
(1)
394
1
-
-
-
-
Transfers from Stage 2 to Stage 1
114
3
(114)
(3)
-
-
-
-
Transfers to Stage 3
(64)
-
(67)
(6)
131
6
-
-
Transfers from Stage 3
17
-
31
1
(48)
(1)
-
-
Business activity in the year
410
-
-
-
-
-
410
-
Net drawdowns, repayments, net re-
measurement and movement due to exposure
and risk parameter changes
334
(6)
28
22
39
61
401
77
Final repayments
(351)
-
(67)
(1)
(29)
(1)
(447)
(2)
Disposals
-
-
-
-
-
-
-
-
Write -offs
1
-
-
-
-
(7)
(7)
(7)
(7)
As at 30 June 2020
2
9,670
12
879
54
1,142
350
11,691
416
Credit cards, unsecured loans and other retail lending
As at 1 January 2020
29,541
362
4,450
784
2,129
1,471
36,120
2,617
Transfers from Stage 1 to Stage 2
(3,520)
(78)
3,520
78
-
-
-
-
Transfers from Stage 2 to Stage 1
948
134
(948)
(134)
-
-
-
-
Transfers to Stage 3
(153)
(10)
(397)
(171)
550
181
-
-
Transfers from Stage 3
21
4
50
5
(71)
(9)
-
-
Business activity in the year
2,416
23
66
11
5
1
2,487
35
Net drawdowns, repayments, net re-
measurement and movement due to exposure
and risk parameter changes
(3,447)
55
259
824
160
513
(3,028)
1,392
Final repayments
(1,472)
(10)
(94)
(12)
(63)
(4)
(1,629)
(26)
Transfers to Barclays Group
3
(2,182)
(16)
(92)
(25)
(47)
(41)
(2,321)
(82)
Disposals
4
(1,493)
(8)
(183)
(20)
(71)
(45)
(1,747)
(73)
Write -offs
1
-
-
-
-
(556)
(556)
(556)
(556)
As at 30 June 2020
2
20,659
456
6,631
1,340
2,036
1,511
29,326
3,307
1 In H1 2020, gross write -offs amounted to £643m (H1 2019: £627m) and post write -off recoveries amounted to £1m (H1 2019: £47m). Net write -offs represent gross
write -offs less post write -off recoveries and amounted to £642m (H1 2019: £580m).
2 Other financial assets subject to impairment excluded in the table s above include cash collateral and settlement balances, financial assets at fair value through other
comprehensive income and other assets. These have a total gross exposure of £187.1 bn (December 2019: £125.5bn) and impairment allow ance of £168m (December
2019: £22m). This comprises £33m ECL (December 2019: £10m) on £181.7bn Stage 1 assets (December 2019: £1 24.7bn), £20m (December 2019: £2m) on £5.3bn
Stage 2 fair value through other comprehensive income assets, cash collateral and settlement assets (December 2019: £0.8bn) and £115m (Dece mber 2019: £10m)
on £115m Stage 3 other assets (December 2019: £10m).
3 Transfers to Barclays Group reported within Credit cards, unsecured loans and other retail lending portfolio includes the transfer of the Barclays Partner Finance
retail portfolio to Barclays Principal Investments Limited during the period.
4 Disposals reported within Credit cards, unsecured loans and other retail lending portfolio include sale of the motor financing business from the Barclays Partner
Finance business.
![bbplch120p2i0.gif](https://capedge.com/proxy/6-K/0001562762-20-000258/bbplch120p2i0.gif)
Credit Risk
Barclays Bank PLC
10
Loans and advances at amortised cost
Stage 1
Stage 2
Stage 3
Total
Gross
exposure
ECL
Gross
exposure
ECL
Gross
exposure
ECL
Gross
exposure
ECL
£m
£m
£m
£m
£m
£m
£m
£m
Wholesale loans
As at 1 January 2020
89,200
114
7,515
234
1,163
383
97,878
731
Transfers from Stage 1 to Stage 2
(24,051)
(55)
24,051
55
-
-
-
-
Transfers from Stage 2 to Stage 1
1,589
12
(1,589)
(12)
-
-
-
-
Transfers to Stage 3
(688)
(2)
(507)
(39)
1,195
41
-
-
Transfers from Stage 3
139
-
109
1
(248)
(1)
-
-
Business activity in the year
19,309
19
4,128
212
42
12
23,479
243
Net drawdowns, repayments, net re-
measurement and movement due to exposure
and risk parameter changes
10,474
136
4,791
334
349
539
15,614
1,009
Final repayments
(20,273)
(18)
(1,606)
(15)
(260)
(36)
(22,139)
(69)
Disposals
-
-
(9)
-
-
-
(9)
-
Write -offs
1
-
-
-
-
(80)
(80)
(80)
(80)
As at 30 June 2020
2
75,699
206
36,883
770
2,161
858
114,743
1,834
Reconciliation of ECL movement to impairment charge/(release) for the period
£m
Home loans
75
Credit cards, unsecured loans and other retail lending
1,319
Wholesale loans
1,183
ECL movement excluding assets derecognised due to disposals and write-offs
2,577
Recoveries and reimbursements
3
(280)
Exchange and other adjustments
4
(103)
Impairment charge on loan commitments and other financial guarantees
331
Impairment charge on other financial assets
2
149
As at 30 June 2020
2,674
1 In H1 2020, gross write -offs amounted to £643m (H1 2019: £627m) and post write -off recoveries amounted to £1m (H1 2019: £47m). Net write -offs represent gross
write -offs less post write -off recoveries and amounted to £642m (H1 2019: £580m).
2 Other financial assets subject to impairment excluded from the tables above include cash collateral and settlement balances, financial assets at fair value through
other comprehensive income and other assets. These have a total gross exposure of £187.1bn (December 2019: £125.5bn) and impairment allowance of £168m
(December 2019: £22m). This comprises £33m ECL (December 2019: £10m) on £181.7 bn Stage 1 assets (December 2019: £124.7bn), £20m (December 2019: £2m) on
£5.3bn Stage 2 fair value through other comprehensive income assets, cash collateral and settle ment assets (December 2019: £0.8bn) and £115m (Dece mber 2019:
£10m) on £115m Stage 3 other assets (December 2019: £10m).
recoveries of £1m.
4 Includes foreign exchange and interest and fees in suspense.
![bbplch120p2i0.gif](https://capedge.com/proxy/6-K/0001562762-20-000258/bbplch120p2i0.gif)
Credit Risk
Barclays Bank PLC
11
Loan commitments and financial guarantees
Stage 1
Stage 2
Stage 3
Total
Gross
exposure
ECL
Gross
exposure
ECL
Gross
exposure
ECL
Gross
exposure
ECL
£m
£m
£m
£m
£m
£m
£m
£m
Home loans
As at 1 January 2020
34
-
-
-
-
-
34
-
Net transfers between stages
-
-
-
-
-
-
-
-
Business activity in the year
136
-
-
-
-
-
136
-
Net drawdowns, repayments, net re-
measurement and movement due to exposure
and risk parameter changes
10
-
-
-
-
-
10
-
Limit management
(19)
-
-
-
-
-
(19)
-
As at 30 June 2020
161
-
-
-
-
-
161
-
Credit cards, unsecured loans and other retail lending
As at 1 January 2020
78,257
22
2,053
15
67
14
80,377
51
Net transfers between stages
(2,633)
2
2,394
(1)
239
(1)
-
-
Business activity in the year
3,641
1
57
-
1
1
3,699
2
Net drawdowns, repayments, net re-
measurement and movement due to exposure
and risk parameter changes
5,735
16
(74)
27
(273)
7
5,388
50
Limit management
(5,165)
-
(261)
-
(4)
(3)
(5,430)
(3)
As at 30 June 2020
79,835
41
4,169
41
30
18
84,034
100
Wholesale loans
As at 1 January 2020
183,001
63
12,053
97
636
41
195,690
201
Net transfers between stages
(38,412)
(22)
37,380
15
1,032
7
-
-
Business activity in the year
24,878
7
3,389
30
107
-
28,374
37
Net drawdowns, repayments, net re-
measurement and movement due to exposure
and risk parameter changes
10,996
13
794
285
(232)
(18)
11,558
280
Limit management
(36,233)
(7)
(2,764)
(18)
(239)
-
(39,236)
(25)
As at 30 June 2020
144,230
54
50,852
409
1,304
30
196,386
493
![bbplch120p2i0.gif](https://capedge.com/proxy/6-K/0001562762-20-000258/bbplch120p2i0.gif)
Credit Risk
Barclays Bank PLC
12
Measurement uncertainty
The Barclays Bank Group uses a five-scenario model to calculate ECL. Absent the conditions surrounding the COVID -19 pandemic, a
Baseline scenario is typically generated based on an external consensus forecast assembled from key sources, including HM
Treasury (short and medium-term forecasts), Bloomberg (based on median of economic forecasts) and the Urban Land Institute
(for US House Prices). In addition, two adverse scenarios (Downside 1 and Downside 2) and two favourable scenarios (Upside 1 and
Upside 2) are derived, with associated probability weightings. The adverse scenarios are typically calibrated to a similar severity to
internal stress tests, whilst also considering IFRS 9 specific sensitivities and non-linearity. Downside 2 is typically benchmarked to
the Bank of England’s annual cyclical scenarios and to the most severe scenario from Moody’s inventory, but is not designed to be
the same. The favourable scenarios are generally calibrated to be symmetric to the adverse scenarios, subject to a ceiling calibrated
to relevant recent favourable benchmark scenarios. The scenarios include eight economic variables (GDP, unemployment, House
Price Index (HPI) and base rates in both the UK and US markets), and expanded variables using statistical models based on historical
correlations. The upside and downside shocks are designed to evolve over a five-year stress horizon, with all five scenarios
converging to a steady state after approximately eight years. To calculate ECL a probability weight is assigned to each scenario.
Following the onset of the COVID -19 pandemic, the Barclays Bank Group generated a Baseline scenario in March 2020 that
reflected the most recent economic forecasts available in the market (combined with internal assumptions) and estimated impacts
from significant support measures taken by Barclays, central banks and governments across the Barclays Bank Group’s key markets.
This scenario assumed a strong contraction in GDP and a sharp rise in unemployment in 2020 across both the UK and US, and
required a recalibration of probability weights. This scenario was superseded by a further revised Baseline scenario generated in
June 2020, based broadly on the latest economic forecasts which recognise some the impacts from the various support measures
still in place across the Barclays Bank Group’s key markets. Upside and downside scenarios were also regenerated in June 2020
(together with the revised Baseline scenario, the “COVID -19 Scenarios”). The downside scenarios reflect slower economic growth
than the Baseline with social distancing measures continuing to drag GDP. Economic growth begins to recover later in 2020 in
Downside 1 but only in 2021 in the Downside 2 scenario. The upside scenarios reflect a fast er rebound in economic growth than the
Baseline with a sharp decrease in infection rates and an almost fully reopened economy. Scenario weights were also revised in June
2020 with greater weight being applied to the tail scenarios (Upside 2 and Downside 2). This reflects the significant range of
uncertainty in the economic environment compared to previous quarters given the conditions surrounding the COVID -19
pandemic.
The economic environment remains uncertain and future impairment charges may be subject to further volatility (including from
changes to macroeconomic variable forecasts) depending on the longevity of the COVID -19 pandemic and related containment
measures, as well as the longer term effectiveness of central bank, government and other support measures.
The tables on next page show the key macroeconomic variables used in the COVID -19 Baseline scenario and the probability weights
applied to each respective scenario.
![bbplch120p2i0.gif](https://capedge.com/proxy/6-K/0001562762-20-000258/bbplch120p2i0.gif)
Credit Risk
Barclays Bank PLC
13
Baseline average macroeconomic variables used in the calculation of ECL
2020
2021
2022
Expected Worst
Point
As at 30.06.20
%
UK GDP
1
(8.7)
6.1
2.9
(51.4)
UK unemployment
2
6.6
6.5
4.4
8.0
UK HPI
3
0.6
2.0
-
(1.5)
UK bank rate
0.2
0.1
0.1
0.1
US GDP
1
(4.2)
4.4
(0.3)
(30.4)
US unemployment
4
9.3
7.6
5.5
13.4
US HPI
5
1.1
1.8
(0.8)
(1.9)
US federal funds rate
0.5
0.3
0.3
0.3
1
Avera ge Real GDP seasonally adjusted change in year; expected worst point using Seasonally Adjusted Annual Rate, SAAR.
2
Average UK unemployment rate 16-year+.
3
Change in average yearly UK HPI = Halifax All Houses, All Buyers index, relative to prior year end; worst point is based on cumulative drawdown in year relative to
prior year end.
4
Average US civilian unemployment rate 16-year+.
5
Change in average yearly US HPI = FHFA house price index, relative to prior year end; worst point is based on cumulative drawdown in year relative to prior year end.
Scenario probability weighting
Upside 2
Upside 1
Baseline
Downside 1
Downside 2
As at 30.06.20
Scenario probability weighting
20.3
22.4
25.4
17.5
14.4
As at 31.12.19
Scenario probability weighting
10.1
23.1
40.8
22.7
3.3
![bbplch120p2i0.gif](https://capedge.com/proxy/6-K/0001562762-20-000258/bbplch120p2i0.gif)
Credit Risk
Barclays Bank PLC
14
Macroeconomic variables (specific bases)
1
Upside 2
Upside 1
Baseline
Downside 1
Downside 2
As at 30.06.20
UK GDP
2
32.7
26.4
5.4
1.6
1.2
UK unemployment
3
3.5
3.6
4.9
9.6
10.9
UK HPI
4
45.3
27.2
2.3
(15.0)
(33.4)
UK bank rate
3
0.1
0.1
0.2
0.3
0.2
US GDP
2
19.1
13.5
3.3
2.0
(3.1)
US unemployment
3
4.1
4.4
6.3
15.4
18.7
US HPI
4
32.3
20.9
2.3
(8.8)
(19.7)
US federal funds rate
3
0.3
0.3
0.3
0.4
0.4
As at 31.12.19
UK GDP
2
4.2
2.9
1.6
0.2
(4.7)
UK unemployment
3
3.4
3.8
4.2
5.7
8.7
UK HPI
4
46.0
32.0
3.1
(8.2)
(32.4)
UK bank rate
3
0.5
0.5
0.7
2.8
4.0
US GDP
2
4.2
3.3
1.9
0.4
(3.4)
US unemployment
3
3.0
3.5
3.9
5.3
8.5
US HPI
4
37.1
23.3
3.0
0.5
(19.8)
US federal funds rate
3
1.5
1.5
1.7
3.0
3.5
As at 30.06.19
UK GDP
2
4.5
3.1
1.7
0.3
(4.1)
UK unemployment
3
3.4
3.9
4.3
5.7
8.8
UK HPI
4
46.4
32.6
3.2
(0.5)
(32.1)
UK bank rate
3
0.8
0.8
1.0
2.5
4.0
US GDP
2
4.8
3.7
2.1
0.4
(3.3)
US unemployment
3
3.0
3.4
3.7
5.2
8.4
US HPI
4
36.9
30.2
4.1
-
(17.4)
US federal funds rate
3
2.3
2.3
2.7
3.0
3.5
1
UK GDP = Real GDP growth seasonally adjusted; UK unemployment = UK unemployment rate 16-year+; UK HPI = Halifax All Houses, All Buyers Index; US GDP = Real
GDP growth seasonally adjusted; US unemployment = US civilian unemployment rate 16-year+; US HPI = FHFA house price index. Forecast period based on 20
quarters from Q3 2020.
2
Upside scenario is the highest annual average growth rate based on seasonally adjusted quarterly annualised rate; 5-year average in Baseline; downside is the
lowest annual average growth rate based on seasonally adjusted quarterly annualised rate.
3
Lowest yearly average in Upside scenarios; 5-year average in Baseline; highest yearly average in Downside scenarios.
4
Cumulative growth (trough to peak) in Upside scenarios; 5-year average in Baseline; cumulative fall (peak- to-trough) in Downside scenarios.
![bbplch120p2i0.gif](https://capedge.com/proxy/6-K/0001562762-20-000258/bbplch120p2i0.gif)
Credit Risk
Barclays Bank PLC
15
Macroeconomic variables (5-year averages)
1
Upside 2
Upside 1
Baseline
Downside 1
Downside 2
As at 30.06.20
UK GDP
8.9
7.2
5.4
5.2
2.8
UK unemployment
4.0
4.3
4.9
6.2
7.2
UK HPI
7.8
5.0
2.3
(1.4)
(5.5)
UK bank rate
0.4
0.3
0.2
0.1
0.1
US GDP
5.9
4.4
3.3
2.7
1.8
US unemployment
4.4
5.1
6.3
8.4
10.9
US HPI
5.8
3.9
2.3
(0.5)
(3.1)
US federal funds rate
0.6
0.5
0.3
0.3
0.3
As at 31.12.19
UK GDP
3.2
2.4
1.6
0.8
(0.7)
UK unemployment
3.5
3.9
4.2
5.4
7.7
UK HPI
7.9
5.7
3.1
(1.1)
(6.5)
UK bank rate
0.5
0.5
0.7
2.5
3.7
US GDP
3.5
2.8
1.9
1.0
(0.5)
US unemployment
3.1
3.6
3.9
5.0
7.5
US HPI
6.5
4.3
3.0
1.3
(3.7)
US federal funds rate
1.6
1.7
1.7
2.9
3.4
As at 30.06.19
UK GDP
3.4
2.6
1.7
0.9
(0.6)
UK unemployment
3.7
4.0
4.3
5.1
7.9
UK HPI
7.9
5.8
3.2
0.9
(6.4)
UK bank rate
0.8
0.8
1.0
2.3
3.7
US GDP
3.7
3.0
2.1
1.1
(0.5)
US unemployment
3.1
3.5
3.7
4.7
7.4
US HPI
6.5
5.4
4.1
2.4
(2.6)
US federal funds rate
2.3
2.3
2.7
3.0
3.4
1
UK GDP = Real GDP growth seasonally adjusted; UK unemployment = UK unemployment rate 16-year+; UK HPI = Halifax All Houses, All Buyers Index; US GDP = Real
GDP growth seasonally adjusted; US unemployment = US civilian unemployment rate 16-year+; US HPI = FHFA house price index. For GDP and HPI, numbers
represent average of seasonally adjusted quarterly annualised rates. Forecast period based on 20 quarters from Q3 2020”.
![bbplch120p2i0.gif](https://capedge.com/proxy/6-K/0001562762-20-000258/bbplch120p2i0.gif)
Market Risk
Barclays Bank PLC
16
Analysis of management value at risk (VaR )
The table below shows the total management VaR on a diversified basis by risk factor. Total management VaR includes all trading
positions in CIB and Treasury within Barclays Bank Group and it is calculated with a one- day holding period.
Limits are applied against each risk factor VaR as well as total management VaR, which are then cascaded further by risk managers
to each business.
Management VaR (95%) by asset class
Half year ended 30.06.20
Half year ended 31.12.19
Half year ended 30.06.19
Average
High
1
Low
1
Average
High
1
Low
1
Average
High
1
Low
1
£m
£m
£m
£m
£m
£m
£m
£m
£m
Credit risk
22
38
10
13
17
11
11
14
8
Interest rate risk
9
17
6
7
11
5
5
9
3
Equity risk
15
35
6
11
22
5
9
16
5
Basis risk
9
14
7
9
11
7
7
9
6
Spread risk
5
9
3
4
5
3
4
5
3
Foreign exchange risk
4
7
2
3
5
2
3
5
2
Commodity risk
1
1
-
1
2
-
1
1
-
Inflation risk
1
2
1
1
2
1
2
3
2
Diversification effect
1
(31)
n/a
n/a
(25)
n/a
n/a
(21)
n/a
n/a
Total management VaR
35
57
17
24
29
18
21
26
16
1
Diversification effects recognise that forecast losses from different assets or businesses are unlikely to occur concurrently, hence the expected aggregate loss is lower
than the sum of the expected losses from each area. Historical correlations between losses are taken into account in making these assessments. The high and low
VaR figures reported for each category did not necessarily occur on the same day as the high and low VaR reported as a whole. Consequently, a divers ification effect
balance for the high and low VaR figures would not be meaningful and is therefore omitted from the above table.
Average management VaR increased 46% to £35m in H120 (H219: £24m) as elevated market volatility resulted in an increase in
credit and equity risk.
![bbplch120p2i0.gif](https://capedge.com/proxy/6-K/0001562762-20-000258/bbplch120p2i0.gif)
Treasury and Capital Risk
Barclays Bank PLC
17
Funding and liquidity
Overview
The liquidity pool increased to £234bn (December 2019: £169bn) driven by customer deposit growth and actions to maintain a
prudent funding and liquidity position in the current environment.
For the purpose of liquidity management, Barclays Bank PLC and its subsidiary Barclays Capital Securities Limited, a UK broker
dealer entity, are monitored on a combined basis by the PRA under Barclays Bank PLC DoLSub arrangement.
Liquidity risk stress testing
The liquidity risk stress assessment measures the potential contractual and contingent stress outflows under a range of scenarios,
which are then used to determine the size of the liquidity pool that is immediately available to meet anticipated outflows if a stress
occurs. The scenarios include a 30 day Barclays -specific stress event, a 90 day market -wide stress event and a 30 day combined
scenario consisting of both a Barclays specific and market -wide stress event.
The CRR (as amended by CRR II) Liquidity Coverage rati o (LCR) requirement takes into account the relative stability of different
sources of funding and potential incremental funding requirements in a stress. The LCR is designed to promote short-term
resilience of a bank’s liquidity risk profile by holding sufficient high quality liquid assets to survive an acute stress scenario lasting
for 30 days.
As at 30 June 2020, Barclays Bank PLC DoLSub held eligible liquid assets well above 100% of the net stress outflows to its internal
and regulatory requirements. The proportion of the liquidity pool between cash and deposits with central banks, government
bonds and other eligible securities is broadly similar to the Barclays Group.
A significant portion of the liquidity pool is located in Barclays Bank PLC and Barclays Bank Ireland PLC . The residual portion of the
liquidity pool, which is predominantly in the US subsidiaries, is held against entity- specific stress outflows and local regulatory
requirements.
As at
As at
30.06.20
31.12.19
£bn
£bn
Barclays Bank Group liquidity pool
234
169
%
%
Barclays Bank PLC DoLSub liquidity coverage ratio
166
141
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Treasury and Capital Risk
Barclays Bank PLC
18
Capital and leverage
Barclays Bank PLC is currently regulated by the PRA on a solo-consolidated basis. Barclays Bank PLC solo-consolidated comprises
Barclays Bank PLC plus certain additional subsidiaries, subject to PRA approval. The disclosures below provide key capital metrics
for Barclays Bank PLC solo-consolidated with further information on its risk profile to be included in the Barclays PLC Pillar 3 Report
H1 2020, expected to be published on 14 August 2020, and which will be available at home.barclays/investor -relations/reports-
and-events /latest -financial-results .
On 27 June 2019, CRR II came into force amending CRR. As an amending regulation, the existing provisions of CRR apply unless they
are amended by CRR II. Certain aspects of CRR II are dependent on final technical standards to be issued by the European Banking
Authority (EBA) and adopted by the European Commission as well as UK implementation of the rules.
On 27 June 2020, CRR was further amended to accelerate specific CRR II measures and implement a new IFRS 9 transitional relief
calculation. Previously due to be implemented in June 2021, the accelerated measures primarily relate to the CRR leverage
calculation to include additional settlement netting and limited changes to the calculation of RWAs .
The IFRS 9 transitional arrangements have been extended by two years and a new modified calculation has been introduced. 100%
relief will be applied to increases in stage 1 and stage 2 provisions from 1 January 2020 throughout 2020 and 2021; 75% in 2022;
50% in 2023; 25% in 2024 with no relief applied from 2025. The phasing out of transitional relief on the “day 1” impact of IFRS 9
��
aswell as increases in stage 1 and stage 2 provisions between 1 January 2018 and 31 December 2019 under the modified calculation
remain unchanged and continue to be subject to 70% transitional relief throughout 2020; 50% for 2021; 25% for 2022 and with no
relief applied from 2023.
Also impacting own funds from 30 June 2020 until 31 December 2020 inclusive are amendments to the regulatory technical
standards on prudential valuation which include an increase to diversification factors applied to certain additional valuation
adjustment s.
The disclosures in the following section reflect Barclays’ interpretation of the current rules and guidance.
Capital ratios
1,2,3
As at
30.06.20
As at
31.12.19
CET1
14.3%
13.9%
Tier 1 (T1)
17.8%
18.1%
Total regulatory capital
21.0%
22.1%
Capital resources
£m
£m
CET1 capital
27,197
22,080
T1 capital
33,781
28,600
Total regulatory capital
39,965
34,955
Risk weighted assets (RWAs)
190,049
158,393
Leverage ratio
1,4
£m
£m
CRR leverage ratio
4.1%
3.9%
T1 capital
33,781
28,600
CRR leverage exposure
817,372
731,715
1
Capital , RWAs and leverage are calculated applying the transitional arrangements of the CRR as amended by CRR II applicable as at the reporting date . This includes
IFRS 9 transitional arrangements and the grandfathering of CRR and CRR II non-compliant capital instruments.
2
The fully loaded CET1 ratio was 13.8%, with £26,116m of CET1 capital and £189,150 m of RWAs calculated without applyin g the transitional arrangements of the CRR
as amended by CRR II applicable as at the reporting date .
3
The Barclays PLC CET1 ratio, as is relevant for assessing against the conversion trigger in Barclays Bank PLC Tier 2 Contingent Capital Notes, was 14.2%. For this
calculation CET1 capital and RWAs are calculated applying the transitional arrangements under the CRR, including the IFRS 9 transitional arrangements. The benefit
of the Financial Services Authority (FSA ) October 2012 interpretation of the transitional provisions, relating to the implementation of CRD IV, expired in December
2017.
4
Barclays Bank PLC solo-consolidated d isclose s the CRR Leverage Ratio and has no binding requirement as at 30 June 2020. Had the UK leverage rules been applied,
which provide s a similar exclusion for qualifying claims on central banks as under CRR II, the 30 June leverage exposure would have reduced to £713.2bn and the
ratio would have increased to 4.6%. The exclusion for qualifying claims on central banks under CRR II is subject to PRA approval for all UK banks and as at 30 June
2020 this approval had not been given.
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Condensed Consolidated Financial Statements
Barclays Bank PLC
19
Condensed consolidated income statement (unaudited)
Half year
ended
Half year
ended
30.06.20
30.06.19
Notes
1
£m
£m
Interest and similar income
3,173
3,938
Interest and similar expense
(1,502)
(2,117)
Net interest income
1,671
1,821
Fee and commission income
3,818
3,790
Fee and commission expense
(939)
(961)
Net fee and commission income
3
2,879
2,829
Net trading income
4,225
2,093
Net investment income
(146)
337
Other income
8
42
Total income
8,637
7,122
Credit impairment charges
(2,674)
(510)
Net operating income
5,963
6,612
Staff costs
(2,191)
(2,354)
Infrastructure, administration and general expenses
(2,357)
(2,488)
Litigation and conduct
(19)
(68)
Operating expenses
(4,567)
(4,910)
Share of post-tax results of associates and joint ventures
1
13
Profit on disposal of subsidiaries, associates and joint ventures
126
10
Profit before tax
1,523
1,725
Tax charge
4
(230)
(260)
Profit after tax
1,293
1,465
Attributable to:
Equity holders of the parent
960
1,171
Other equity instrument holders
333
294
Profit after tax
1,293
1,465
1
For notes to the Financial Statements see pages 25 to 44.
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Condensed Consolidated Financial Statements
Barclays Bank PLC
20
Condensed consolidated statement of comprehensive income (unaudited)
Half year ended
Half year ended
30.06.20
30.06.19
Notes
1
£m
£m
Profit after tax
1,293
1,465
Other comprehensive income/(loss) that may be recycled to profit or loss
2
Currency translation reserve
12
1,386
232
Fair value through other comprehensive income reserve
12
137
359
Cash flow hedging reserve
12
1,065
612
Other
(6)
-
Other comprehensive income that may be recycled to profit
2,582
1,203
Other comprehensive income/(loss) not recycled to profit or loss
Retirement benefit remeasurements
9
645
(140)
Own credit
12
496
44
Other comprehensive income/(loss) not recycled to profit or loss
1,141
(96)
Other comprehensive income for the period
3,723
1,107
Total comprehensive income for the period
5,016
2,572
1
For notes to the Financial Statements see pages 25 to 44.
2
Reported net of tax.
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Condensed Consolidated Financial Statements
Barclays Bank PLC
21
Condensed consolidated balance sheet (unaudited)
As at
As at
30.06.20
31.12.19
Assets
Notes
1
£m
£m
Cash and balances at central banks
155,792
125,940
Cash collateral and settlement balances
130,873
79,486
Loans and advances at amortised cost
150,203
141,636
Reverse repurchase agreements and other similar secured lending
19,811
1,731
Trading portfolio assets
109,461
113,337
Financial assets at fair value through the income statement
155,540
129,470
Derivative financial instruments
307,650
229,641
Financial assets at fair value through other comprehensive income
55,161
45,406
Investments in associates and joint ventures
30
295
Goodwill and intangible assets
1,250
1,212
Property, plant and equipment
1,654
1,631
Current tax assets
984
898
Deferred tax assets
4
2,639
2,460
Retirement benefit assets
9
2,848
2,108
Other assets
2,062
1,421
Total assets
1,095,958
876,672
Liabilities
Deposits at amortised cost
245,737
213,881
Cash collateral and settlement balances
113,341
67,682
Repurchase agreements and other similar secured borrowing
4,033
2,032
Debt securities in issue
50,496
33,536
Subordinated liabilities
7
36,965
33,425
Trading portfolio liabilities
50,378
35,212
Financial liabilities designated at fair value
222,142
204,446
Derivative financial instruments
307,989
228,940
Current tax liabilities
310
320
Deferred tax liabilities
4
1,084
80
Retirement benefit liabilities
9
319
313
Other liabilities
5,385
5,239
Provisions
8
1,085
951
Total liabilities
1,039,264
826,057
Equity
Called up share capital and share premium
10
2,348
2,348
Other equity instruments
11
8,323
8,323
Other reserves
12
6,319
3,235
Retained earnings
39,704
36,709
Total equity
56,694
50,615
Total liabilities and equity
1,095,958
876,672
1
For notes to the Financial Statements see pages 25 to 44.
![bbplch120p2i0.gif](https://capedge.com/proxy/6-K/0001562762-20-000258/bbplch120p2i0.gif)
Condensed Consolidated Financial Statements
Barclays Bank PLC
22
Condensed consolidated statement of changes in equity (unaudited)
Called up share
capital and
share premium
1
Other equity
instruments
1
Other
reserves
1
Retained
earnings
Total
Half year ended 30.06.20
£m
£m
£m
£m
£m
Balance as at 1 January 2020
2,348
8,323
3,235
36,709
50,615
Profit after tax
-
333
-
960
1,293
Currency translation movements
-
-
1,386
-
1,386
Fair value through other comprehensive income reserve
-
-
137
-
137
Cash flow hedges
-
-
1,065
-
1,065
Retirement benefit remeasurements
-
-
-
645
645
Own credit
-
-
496
-
496
Other
-
-
-
(6)
(6)
Total comprehensive income for the period
-
333
3,084
1,599
5,016
Other equity instruments coupons paid
-
(333)
-
-
(333)
Equity settled share schemes
-
-
-
475
475
Vesting of Barclays PLC shares under equity settled share
schemes
-
-
-
(289)
(289)
Dividends paid
-
-
-
(263)
(263)
Dividends paid - preference shares
-
-
-
(28)
(28)
Capital contribution from Barclays PLC
-
-
-
1,500
1,500
Other movements
-
-
-
1
1
Balance as at 30 June 2020
2,348
8,323
6,319
39,704
56,694
Half year ended 31.12.19
Balance as at 1 July 2019
2,348
9,402
4,608
36,252
52,610
Profit after tax
-
366
-
949
1,315
Currency translation movements
-
-
(776)
-
(776)
Fair value through other comprehensive income reserve
-
-
(200)
-
(200)
Cash flow hedges
-
-
(101)
-
(101)
Retirement benefit remeasurements
-
-
-
(54)
(54)
Own credit
-
-
(296)
-
(296)
Other
-
-
-
16
16
Total comprehensive income for the period
-
366
(1,373)
911
(96)
Issue and exchange of other equity instruments
-
(1,079)
-
(395)
(1,474)
Other equity instruments coupons paid
-
(366)
-
-
(366)
Equity settled share schemes
-
-
-
194
194
Vesting of Barclays PLC shares under equity settled share
schemes
-
-
-
(9)
(9)
Dividends paid
-
-
-
(233)
(233)
Dividends paid - preference shares
(14)
(14)
Other movements
-
-
-
3
3
Balance as at 31 December 2019
2,348
8,323
3,235
36,709
50,615
1
Details of share capital, other equity instruments and other reserves are shown on pages 25 to 44
.
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Condensed Consolidated Financial Statements
Barclays Bank PLC
23
Condensed consolidated statement of changes in equity (unaudited)
Called up share
capital and
share
premium
1
Other equity
instruments
1
Other
reserves
1
Retained
earnings
Total
Non-
controlling
interests
Total
equity
Half year ended 30.06.19
£m
£m
£m
£m
£m
£m
£m
Balance as at 1 January 2019
2,348
7,595
3,361
34,405
47,709
2
47,711
Profit after tax
-
294
-
1,171
1,465
-
1,465
Currency translation movements
-
-
232
-
232
-
232
Fair value through other comprehensive income
reserve
-
-
359
-
359
-
359
Cash flow hedges
-
-
612
-
612
-
612
Retirement benefit remeasurements
-
-
-
(140)
(140)
-
(140)
Own credit
-
-
44
-
44
-
44
Total comprehensive income for the period
-
294
1,247
1,031
2,572
-
2,572
Issue or exchange of other equity instruments
-
1,807
-
(11)
1,796
-
1,796
Other equity instruments coupon paid
(294)
-
(294)
-
(294)
Equity settled share schemes
-
-
-
198
198
-
198
Vesting of Barclays PLC shares under equity settled
share schemes
-
-
-
(340)
(340)
-
(340)
Dividends paid - preference shares
-
-
-
(27)
(27)
-
(27)
Capital contribution from Barclays PLC
-
-
-
995
995
-
995
Other movements
-
-
-
1
1
(2)
(1)
Balance as at 30 June 2019
2,348
9,402
4,608
36,252
52,610
-
52,610
1
Details of share capital, other equity instruments and other reserves are shown on pages 25 to 44.
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Condensed Consolidated Financial Statements
Barclays Bank PLC
24
Condensed consolidated cash flow statement (unaudited)
Half year
ended
Half year
ended
30.06.20
30.06.19
£m
£m
Profit before tax
1,523
1,725
Adjustment for non-cash items
301
314
Net increase in loans and advances at amortised cost
(11,096)
(6,368)
Net increase in deposits at amortised cost
32,357
15,553
Net increase in debt securities in issue
16,960
3,188
Changes in other operating assets and liabilities
4,825
(16,727)
Corporate income tax paid
(270)
(260)
Net cash from operating activities
44,600
(2,575)
Net cash from investing activities
(7,022)
(9,094)
Net cash from financing activities
653
2,552
Effect of exchange rates on cash and cash equivalents
7,813
652
Net increase/(decrease) in cash and cash equivalents
46,044
(8,465)
Cash and cash equivalents at beginning of the period
156,016
167,357
Cash and cash equivalents at end of the period
202,060
158,892
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Financial Statement Notes
Barclays Bank PLC
25
1. Basis of preparation
These condensed consolidated interim financial statements for the six months ended 30 June 2020 have been prepared in
accordance with the Disclosure and Transparency Rules (DTR) of the Financial Conduct Authority UK (FCA) and with IAS 34, Interim
Financial Reporting, as published by the International Accounting Standards Board (IASB) and adopted by the EU. The condensed
consolidated interim financial statements should be read in conjunction with the annual financial statements for the year ended 31
December 2019, which have been prepared in accordance with IFRSs as published by the IASB and as adopted by the EU.
The accounting policies and methods of computation used in these condensed consolidated interim financial statements are the
same as those used in the Barclays Bank PLC Annual Report 2019.
1.
Going concern
The financial statements are prepared on a going concern basis, as the Directors are satisfied that the Barclays Bank Group and
parent company have the resources to continue in business for the foreseeable future. In making this assessment, the Directors
have considered a wide range of information relating to present and future conditions, including future projection s of profitability,
capital requirements and capital resources.
2.
Other disclosures
The Credit risk disclosures on pages 8 to 15 form part of these interim financial statements.
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Financial Statement Notes
Barclays Bank PLC
26
2. Segmental reporting
Analysis of results by business
Corporate and
Investment Bank
Consumer, Cards
and Payments
Head Office
Barclays Bank
Group
Half year ended 30.06.20
£m
£m
£m
£m
Total income
6,973
1,742
(78)
8,637
Credit impairment charges
(1,320)
(1,299)
(55)
(2,674)
Net operating income/(expenses)
5,653
443
(133)
5,963
Operating expenses
(3,458)
(1,053)
(37)
(4,548)
Litigation and conduct
(4)
(8)
(7)
(19)
Total operating expenses
(3,462)
(1,061)
(44)
(4,567)
Other net income/(expenses)
1
12
115
-
127
Profit/(loss) before tax
2,203
(503)
(177)
1,523
As at 30.06.20
£bn
£bn
£bn
£bn
Total assets
1,017.1
66.0
12.9
1,096.0
Corporate and
Investment Bank
Consumer, Cards
and Payments
Head Office
Barclays Bank
Group
Half year ended 30.06.19
£m
£m
£m
£m
Total income
5,149
2,193
(220)
7,122
Credit impairment charges
(96)
(396)
(18)
(510)
Net operating income/(expenses)
5,053
1,797
(238)
6,612
Operating expenses
(3,589)
(1,207)
(45)
(4,841)
Litigation and conduct
(26)
(4)
(39)
(69)
Total operating expenses
(3,615)
(1,211)
(84)
(4,910)
Other net income/(expenses)
1
15
16
(8)
23
Profit/(loss) before tax
1,453
602
(330)
1,725
As at 31.12.19
£bn
£bn
£bn
£bn
Total assets
799.6
65.7
11.4
876.7
1
Other net income/(expenses) represents the share of post -tax results of associates and joint ventures, profit (or loss) on disposal of subsidiaries, associates and joint
ventures and gains on acquisitions.
Split of income by geographic region
1
Half year ended
Half year ended
30.06.20
30.06.19
£m
£m
UK
2,835
2,089
Europe
1,240
783
Americas
3,872
3,680
Africa and Middle East
23
41
Asia
667
529
Total
8,637
7,122
1
The geographical analysis is now based on the location of office where the transactions are recorded, whereas in the prior year it was based on counterparty
location. The approach was changed at year -end 2019 and is better aligned to the geographical view of the business following the implementation of structural
reform. Prior year comparatives have been restated.
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Financial Statement Notes
Barclays Bank PLC
27
3. Net fee and commission income
Fee and commission income is disaggregated below and includes a total for fees in scope of IFRS 15, Revenue from Contracts with
Customers:
Corporate and
Investment Bank
Consumer, Cards and
Payments
Head Office
Total
Half year ended 30.06.20
£m
£m
£m
£m
Fee type
Transactional
177
968
-
1,145
Advisory
260
46
-
306
Brokerage and execution
654
31
-
685
Underwriting and syndication
1,468
-
-
1,468
Other
35
100
19
154
Total revenue from contracts with customers
2,594
1,145
19
3,758
Other non-contract fee income
57
3
-
60
Fee and commission income
2,651
1,148
19
3,818
Fee and commission expense
(441)
(497)
(1)
(939)
Net fee and commission income
2,210
651
18
2,879
Corporate and
Investment Bank
Consumer, Cards and
Payments
Head Office
Total
Half year ended 30.06.19
£m
£m
£m
£m
Fee type
Transactional
185
1,168
-
1,353
Advisory
364
41
-
405
Brokerage and execution
512
24
-
536
Underwriting and syndication
1,240
-
-
1,240
Other
62
124
16
202
Total revenue from contracts with customers
2,363
1,357
16
3,736
Other non-contract fee income
54
-
-
54
Fee and commission income
2,417
1,357
16
3,790
Fee and commission expense
(350)
(611)
-
(961)
Net fee and commission income
2,067
746
16
2,829
Transactional fees are service charges on deposit accounts, cash management services and transactional processing fees. This
includes interchange and merchant fee income generated from credit and bank card usage.
Advisory fees are generated from asset management services and advisory services related to mergers, acquisitions and financial
restructuring.
Brokerage and execution fees are earned for executing client transactions with exchanges and over -the-counter markets and
assisting clients in clearing transactions.
Underwriting and syndication fees are earned for the distribution of client equity or debt securities, and the arrangement and
administration of a loan syndication. This includes commitment fees to provide loan financing.
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Financial Statement Notes
Barclays Bank PLC
28
4.
Tax
The tax charge for H120 was £230m (H119: £260m), representing an effective tax rate of 15.1% (H119: 15.1%).
As at
As at
30.06.20
31.12.19
Deferred tax assets and liabilities
£m
£m
USA
2,168
2,052
Other territories
471
408
Deferred tax assets
2,639
2,460
Deferred tax liabilities - UK
(1,084)
(80)
Analysis of deferred tax assets
Temporary differences
2,184
1,937
Tax losses
455
523
Deferred tax assets
2,639
2,460
5. Dividends on ordinary shares
Half year ended
30.06.20
Half year ended
30.06.19
Dividends paid during the period
£m
£m
Ordinary shares
263
-
Preference shares
28
27
Total
291
27
A dividend of £263m was paid on 25 March 2020 by Barclays Bank PLC to its parent Barclays PLC. This was prior to the
announcement made by the PRA on 31 March 2020 that capital be preserved for use in serving Barclays customers and clients
through the extraordinary challenges presented by the COVID -19 pandemic. As part of a response to this announcement, Barcl ays
PLC took steps to provide additional capital to Barclays Bank PLC as part of the £1.5bn of capital contributions made during H120.
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Financial Statement Notes
Barclays Bank PLC
29
6. Fair value of financial instruments
This section should be read in conjunction with Note 16, Fair value of financial instruments of the Barclays Bank PLC Annual Report
2019 and Note 1, Basis of preparation on page 25, which provides more detail about accounting policies adopted, valuation
methodologies used in calculating fair value and the valuation control framework which governs oversight of valuations. There
have been no changes in the accounting policies adopted or the valuation methodologies used.
Valuation
The following table shows Barclays Bank Group’s assets and liabilities that are held at fair value disaggregated by valuation
technique (fair value hierarchy) and balance sheet classification:
Valuation technique using
Quoted market
prices
Observable
inputs
Significant
unobservable
inputs
(Level 1)
(Level 2)
(Level 3)
Total
As at 30.06.20
£m
£m
£m
£m
Trading portfolio assets
49,106
57,277
3,078
109,461
Financial assets at fair value through the income statement
1,824
148,894
4,822
155,540
Derivative financial instruments
8,761
291,142
7,747
307,650
Financial assets at fair value through other comprehensive income
13,172
41,642
347
55,161
Investment property
-
-
10
10
Total assets
72,863
538,955
16,004
627,822
Trading portfolio liabilities
(31,333)
(19,045)
-
(50,378)
Financial liabilities designated at fair value
(123)
(221,664)
(355)
(222,142)
Derivative financial instruments
(8,445)
(290,612)
(8,932)
(307,989)
Total liabilities
(39,901)
(531,321)
(9,287)
(580,509)
As at 31.12.19
Trading portfolio assets
59,968
51,105
2,264
113,337
Financial assets at fair value through the income statement
10,300
115,008
4,162
129,470
Derivative financial instruments
5,439
221,048
3,154
229,641
Financial assets at fair value through other comprehensive income
11,577
33,400
429
45,406
Investment property
-
-
13
13
Total assets
87,284
420,561
10,022
517,867
Trading portfolio liabilities
(19,645)
(15,567)
-
(35,212)
Financial liabilities designated at fair value
(82)
(204,021)
(343)
(204,446)
Derivative financial instruments
(5,305)
(219,646)
(3,989)
(228,940)
Total liabilities
(25,032)
(439,234)
(4,332)
(468,598)
![bbplch120p2i0.gif](https://capedge.com/proxy/6-K/0001562762-20-000258/bbplch120p2i0.gif)
Financial Statement Notes
Barclays Bank PLC
30
The following table shows Barclays Bank Group’s Level 3 assets and liabilities that are held at fair value disaggregated by product
type:
As at 30.06.20
As at 31.12.19
Assets
Liabilities
Assets
Liabilities
£m
£m
£m
£m
Interest rate derivatives
4,152
(3,772)
605
(812)
Foreign exchange derivatives
655
(588)
291
(298)
Credit derivatives
193
(456)
539
(342)
Equity derivatives
2,730
(4,099)
1,710
(2,528)
Commodity derivatives
17
(17)
9
(9)
Corporate debt
516
-
521
-
Reverse repurchase and repurchase agreements
-
(176)
-
(167)
Non-asset backed loans
4,827
-
3,280
-
Asset backed securities
740
-
756
-
Equity cash products
1,145
-
1,228
-
Private equity investments
126
-
112
-
Other
1
903
(179)
971
(176)
Total
16,004
(9,287)
10,022
(4,332)
1
Other includes commercial real estate loans, fund and fund -linked products, asset backed loans, issued debt, commercial paper, government sponsored debt and
investment property.
Assets and liabilities reclassified between Level 1 and Level 2
During the period, there were no material transfers between Level 1 and Level 2 (period ended December 2019: no material
transfers between Level 1 and Level 2).
Level 3 movement analysis
The following table summarises the movements in the balances of Level 3 assets and liabilities during the period. The table shows
gains and losses and includes amounts for all financial assets and liabilities that are held at fair value transferred to and from Level
3 during the period. Transfers have been reflected as if they had taken place at the beginning of the year.
Asset and liability moves between Level 2 and Level 3 are primarily due to i) an increase or decrease in observable market activity
relat ed to an input or ii) a change in the significance of the unobservable input, with assets and liabilities classified as Level 3 if an
unobservable input is deemed significant.
![bbplch120p2i0.gif](https://capedge.com/proxy/6-K/0001562762-20-000258/bbplch120p2i0.gif)
Financial Statement Notes
Barclays Bank PLC
31
Level 3 movement analysis
Purchases
Sales
Issues
Settle -
ments
Total gains and losses
in the period
recognised in the
income statement
Total gains
or losses
recognised
in OCI
Transfers
As at
30.06.20
As at
01.01.20
Trading
income
Other
income
In
Out
£m
£m
£m
£m
£m
£m
£m
£m
£m
£m
£m
Corporate debt
120
25
(26)
4
(17)
106
Non-asset backed loans
974
1,927
(740)
(4)
(111)
97
(320)
1,823
Asset backed securities
656
249
(224)
(76)
(12)
41
(11)
623
Equity cash products
392
2
(4)
(67)
28
(4)
347
Other
122
47
2
8
179
Trading portfolio assets
2,264
2,250
(968)
(80)
(214)
178
(352)
3,078
Non-asset backed loans
1,964
1,050
(270)
(112)
110
2,742
Equity cash products
835
14
(22)
(29)
798
Private equity investments
113
1
(2)
2
4
20
(12)
126
Other
1,250
1,865
(2,017)
(13)
(8)
55
24
1,156
Financial assets at fair value
through the income statement
4,162
2,930
(2,289)
(125)
82
30
44
(12)
4,822
Non-asset backed loans
343
79
(157)
(3)
262
Asset backed securities
86
(1)
1
(1)
85
Financial assets at fair value
through other comprehensive
income
429
79
(1)
(157)
1
(4)
347
Investment property
13
(1)
(2)
2
(2)
10
Trading portfolio liabilities
Issued debt
(146)
(3)
(22)
14
(157)
Other
(197)
(12)
(1)
12
(198)
Financial liabilities
designated at fair value
(343)
(3)
(12)
(1)
(22)
26
(355)
Interest rate derivatives
(206)
17
10
268
1
300
(10)
380
Foreign exchange derivatives
(7)
(12)
89
5
(8)
67
Credit derivatives
198
(258)
11
(376)
151
1
2
8
(263)
Equity derivatives
(820)
(447)
(1)
17
(90)
(5)
(23)
(1,369)
Commodity derivatives
Net derivative financial
instruments
1
(835)
(688)
10
(361)
418
2
302
(33)
(1,185)
Total
5,690
4,571
(3,249)
(3)
(723)
275
29
(4)
504
(373)
6,717
1
Derivative financial instruments are represented on a net basis. On a gross basis, derivative financial assets were £7,747m and derivative financial liabilities were
£8,932m.
![bbplch120p2i0.gif](https://capedge.com/proxy/6-K/0001562762-20-000258/bbplch120p2i0.gif)
Financial Statement Notes
Barclays Bank PLC
32
Level 3 movement analysis
Purchases
Sales
Issues
Settle-
ments
Total gains and
losses in the period
recognised in the
income statement
Transfers
As at
30.06.19
As at
01.01.19
Trading
income
Other
income
In
Out
£m
£m
£m
£m
£m
£m
£m
£m
£m
£m
Government and government
sponsored debt
14
2
(14)
2
Corporate debt
388
70
(24)
(31)
14
32
(74)
375
Non-asset backed loans
2,263
1,235
(1,260)
(19)
12
19
(90)
2,160
Asset backed securities
664
81
(127)
5
16
(29)
610
Equity cash products
136
48
(13)
(2)
116
(20)
265
Other
148
(1)
(10)
(1)
136
Trading portfolio assets
3,613
1,436
(1,424)
(51)
19
183
(228)
3,548
Non-asset backed loans
1,836
2
(132)
70
(1)
1,775
Equity cash products
559
9
(10)
4
178
740
Private equity investments
191
4
(3)
(1)
(6)
185
Other
2,064
2,334
(2,619)
(2)
17
9
24
(840)
987
Financial assets at fair value
through the income statement
4,650
2,349
(2,622)
(145)
91
181
24
(841)
3,687
Non-asset backed loans
353
48
(55)
(218)
128
Asset backed securities
40
40
Equity cash products
2
2
Financial assets at fair value
through other comprehensive
income
355
88
(55)
(218)
170
Investment property
9
(1)
8
Trading portfolio liabilities
(3)
2
(5)
(6)
Certificates of deposit, commercial
paper and other money market
instruments
(10)
1
(1)
(11)
(21)
Issued debt
(251)
(16)
1
5
(3)
1
(263)
Financial liabilities designated at
fair value
(261)
(16)
2
5
(1)
(14)
1
(284)
Interest rate derivatives
22
(3)
76
116
(107)
145
249
Foreign exchange derivatives
7
(12)
(41)
(51)
17
(80)
Credit derivatives
1,050
(63)
4
(3)
86
2
3
1,079
Equity derivatives
(607)
(122)
(5)
23
89
(16)
292
(346)
Commodity derivatives
Net derivative financial
instruments
1
472
(188)
(1)
84
250
(172)
457
902
Total
8,835
3,685
(4,047)
(16)
(165)
367
179
16
(829)
8,025
1
Derivative financial instruments are presented on a net basis. On a gross basis, derivative financial assets were £5,701m and derivative financial liabilities were
£4,799m.
![bbplch120p2i0.gif](https://capedge.com/proxy/6-K/0001562762-20-000258/bbplch120p2i0.gif)
Financial Statement Notes
Barclays Bank PLC
33
Unrealised gains and losses on Level 3 financial assets and liabilities
The following table discloses the unrealised gains and losses recognised in the period arising on Level 3 financial assets and
liabilities held at the period end.
Half year ended 30.06.20
Half year ended 30.06.19
Income statement
Other
compre-
hensive
income
Total
Income statement
Other
compre-
hensive
income
Total
Trading
income
Other
income
Trading
income
Other
income
£m
£m
£m
£m
£m
£m
£m
£m
Trading portfolio assets
(177)
-
-
(177)
21
-
-
21
Financial assets at fair value through the income
statement
126
(24)
-
102
75
178
-
253
Financial assets at fair value through other
comprehensive income
-
-
(2)
(2)
-
-
-
-
Investment properties
-
(2)
-
(2)
-
(1)
-
(1)
Trading portfolio liabilities
-
-
-
-
2
-
-
2
Financial liabilities designated at fair value
(16)
(1)
-
(17)
6
-
-
6
Net derivative financial instruments
248
-
-
248
212
-
-
212
Total
181
(27)
(2)
152
316
177
-
493
Valuation techniques and sensitivity analysis
Sensitivity analysis is performed on products with significant unobservable inputs (Level 3) to generate a range of reasonably
possible alternative valuations. The sensitivity methodologies applied take account of the nature of valuation techniques used, as
well as the availability and reliability of observable proxy and historical data and the impact of using alternative models.
Sensitivity analysis of valuations using unobservable inputs
As at 30.06.20
As at 31.12.19
Favourable changes
Unfavourable changes
Favourable changes
Unfavourable changes
Income
statement
Equity
Income
Statement
Equity
Income
statement
Equity
Income
Statement
Equity
£m
£m
£m
£m
£m
£m
£m
£m
Interest rate derivatives
138
-
(256)
-
44
-
(127)
-
Foreign exchange derivatives
7
-
(11)
-
5
-
(7)
-
Credit derivatives
127
-
(109)
-
73
-
(47)
-
Equity derivatives
151
-
(158)
-
114
-
(119)
-
Commodity derivatives
-
-
-
-
-
-
-
-
Corporate debt
23
-
(23)
11
-
(16)
-
Non-asset backed loans
159
4
(322)
(4)
125
8
(228)
(8)
Equity cash products
164
-
(206)
-
123
-
(175)
-
Private equity investments
18
-
(19)
-
16
-
(25)
-
Other
1
2
-
(2)
-
1
-
(1)
-
Total
789
4
(1,106)
(4)
512
8
(745)
(8)
1
Other includes commercial real estate loans, fund and fund -linked products, asset backed loans, issued debt, commercial paper, government sponsored debt and
investment propert y.
The effect of stressing unobservable inputs to a range of reasonably possible alter natives, alongside considering the impact of using
alternative models, would be to increase fair values by up to £793m (December 2019: £520m) or to decrease fair values by up to
£1,110m (December 2019: £753m) with substantially all the potential effect impacting profit and loss rather than reserves.
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Financial Statement Notes
Barclays Bank PLC
34
Significant unobservable inputs
The valuation techniques and significant unobservable inputs for assets and liabilities recognised at fair value and classified as Level
3 are consistent with Note 16, Fair value of financial instruments in the Barclays Bank PLC Annual Report 2019. The description of
the significant unobservable inputs and the sensitivity of fair value measurement of the instruments categorised as Level 3 assets or
liabilities to increases in significant unobservable inputs is also found in Note 16, Fair value of financial instruments of the Barclays
Bank PLC Annual Report 2019.
Fair value adjustments
Key balance sheet valuation adjustments are quantified below:
As at
As at
30.06.20
31.12.19
£m
£m
Exit price adjustments derived from market bid-offer spreads
(564)
(420)
Uncollateralised derivative funding
(181)
(57)
Derivative credit valuation adjustments
(378)
(135)
Derivative debit valuation adjustments
148
155
●
Exit price adjustments derived from market bid-offer spreads increased by £144m to £564m as a result of movements in market
bid offer spreads.
●
Uncollateralised derivative funding increased by £124m to £181m as a result of widening input funding spreads and an update
to methodology.
●
Derivative credit valuation adjust ments increased by £243m to £378m as a result of widening input counterparty credit
spreads.
●
Derivative debit valuation adjustments decreased by £7m to £148m as a result of widening input Barclays Bank PLC credit
spreads and an update to methodology.
Portfolio exemption
Barclays Bank Group uses the portfolio exemption in IFRS 13, Fair Value Measurement to measure the fair value of groups of
financial assets and liabilities. Instruments are measured using the price that would be received to sell a net long position (i.e. an
asset) for a particular risk exposure or to transfer a net short position (i.e. a liability) for a particular risk exposure in an orderly
transaction between market participants at the balance sheet date under current market conditions. Accordingly, the Barclays Bank
Group measures the fair value of the group of financial assets and liabilities consistently with how market participants would price
the net risk exposure at the measurement date.
Unrecognised gains as a result of the use of valuation models using unobservable inputs
The amount that has yet to be rec ognised in income that relates to the difference between the transaction price (the fair value at
initial recognition) and the amount that would have arisen had valuation models using unobservable inputs been used on initial
recognition, less amounts subsequently recognised, is £101m (December 2019: £100m) for financial instruments measured at fair
value and £31m (December 2019 : £31m) for financial instruments carried at amortised cost. There are additions of £11m
(December 2019: £40m) and amortisation and releases of £10m (December 2019: £67m) for financial instruments measured at fair
value and additions of £1m (December 2019: £2m) and amortisation and releases of £1m (December 2019: £2m) for financial
instruments carried at amortised cost .
Third party credit enhancements
Structured and brokered certificates of deposit issued by Barclays Bank Group are insured up to $250,000 per depositor by the
Federal Deposit Insurance Corporation (FDIC) in the United States. The FDIC is funded by premiums that the Barclays Bank Group and
other banks pay for deposit insurance coverage. The carrying value of these issued certificates of deposit that are designated under
the IFRS 9 fair value option includes this third party credit enhancement. The on-balance sheet value of these brokered certificates of
deposit amounted to £3,162m (December 2019: £3,218m).
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Financial Statement Notes
Barclays Bank PLC
35
Comparison of carrying amounts and fair values for assets and liabilities not held at fair value
Valuation methodologies employed in calculating the fair value of financial assets and liabilities measured at amortised cost are
consistent with the Barclays Bank PLC Annual Report 2019 disclosure.
The following table summarises the fair value of financial assets and liabilities measured at amortised cost on the Barclays Bank
Group’s balance sheet:
As at 30.06.20
As at 31.12.19
Carrying
amount
Fair value
Carrying
amount
Fair value
Financial assets
£m
£m
£m
£m
Loans and advances at amortised cost
150,203
149,511
141,636
141,251
Reverse repurchase agreements and other similar secured lending
19,811
19,811
1,731
1,731
Financial liabilities
Deposits at amortised cost
(245,737)
(245,758)
(213,881)
(213,897)
Repurchase agreements and other similar secured borrowing
(4,033)
(4,033)
(2,032)
(2,032)
Debt securities in issue
(50,496)
(50,568)
(33,536)
(33,529)
Subordinated liabilities
(36,965)
(37,675)
(33,425)
(34,861)
7. Subordinated liabilities
Half year
ended
Year ended
30.06.20
31.12.19
£m
£m
Opening balance as at 1 January
33,425
35,327
Issuances
3,162
6,785
Redemptions
(2,814)
(7,804)
Other
3,192
(883)
Closing balance
36,965
33,425
Issuances of £3,162m comprises £3,082m intra -group loans from Barclays PLC as well as £80m USD Floating Rate Notes issued
externally by a Barclays Bank PLC subsidiary.
Redemptions of £2,814m comprises £2,518m intra -group loans from Barclays PLC as well as £266m USD Floating Rate Notes and
£30m USD Fixed Rate Notes issued externally by Barclays Bank PLC subsidiaries.
Other movements predominantly include foreign exchange and fair value hedge adjustments.
8. Provisions
As at
As at
31.12.19
£m
£m
Customer redress
27
71
Legal, competition and regulatory matters
250
374
Redundancy and restructuring
34
63
Undrawn contractually committed facilities and guarantees
593
252
Onerous contracts
9
20
Sundry provisions
172
171
Total
1,085
951
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Financial Statement Notes
Barclays Bank PLC
36
9. Retirement benefits
As at 30 June 2020, Barclays Bank Group’s IAS 19 pension surplus across all schemes was £2.5bn (December 2019: £1.8bn). The UK
Retirement Fund (UKRF), which is the Group’s main scheme, had an IAS 19 pension surplus of £2.8bn (December 2019: £2.1bn). The
movement for the UKRF was driven by higher than assumed asset returns and lower than expected long- term price inflation,
partially offset by a decrease in the discount rate.
UKRF funding valuations
The last triennial actuarial valuation of the UKRF had an effective date of 30 September 2019 and was completed in February 2020.
This valuation showed a funding deficit of £2.3bn and a funding level of 94.0%. A revised deficit recovery plan was agreed with
deficit reduction contributions required from Barclays Bank PLC of £500m in 2019, £500m in 2020, £700m in 2021, £294m in 2022
and £286m in 2023. The deficit reduction contributions are in addition to the regular contributions to meet the Group’s share of
the cost of benefits accruing over each year.
On 12 June 2020, Barclays Bank PLC paid the £500m deficit reduction contribu tion agreed for 2020 and at the same time the UKRF
subscribed for non-transferrable listed senior fixed rate notes for £750m, backed by UK gilts (the Senior Notes). These Senior Notes
entitle the UKRF to semi-annual coupon payments for five years, and full repayment in cash in three equal tranches in 2023, 2024,
and at final maturity in 2025. The Senior Notes were issued by Heron Issuer Number 2 Limited (Heron 2), an entity that is
consolidated within the Barclays Bank Group under IFRS 10. As a result of the investment in Senior Notes, the regulatory capital
impact of the £500m deficit reduction contribution paid on 12 June 2020 takes effect in 2023, 2024 and 2025 on maturity of the
notes. The £250m additional investment by the UKRF in the Senior Notes has a positive capital impact in 2020 which is reduced
equally in 2023, 2024 and 2025 on the maturity of the notes. Heron 2 acquired a total of £750m of gilts from Barclays Bank PLC for
cash to support payments on the Senior Notes.
The next triennial actuarial valuation of the UKRF is due to be completed in 2023 with an effective date of 30 September 2022.
10. Called up share capital
Ordinary shares
As at 30 June 2020 the issued ordinary share capital of Barclays Bank PLC comprised 2,342m (December 2019: 2,342m) ordinary
shares of £1 each.
Preference share s
As at 30 June 2020 the issued preference share capital of Barclays Bank PLC of £6m (December 2019: £6m) comprise d 1,000
Sterling Preference Shares of £1 each (December 2019: 1,000); 31,856 Euro Preference Shares of €100 each (December 2019:
31,856); and 58,133 US Dollar Preference shares of $100 each (December 2019: 58,133).
There were no issuances or redemption s of ordinary or preference shares in the six months to 30 June 2020.
11. Other equity instruments
Other equity instruments of £8,323m (December 2019: £8,323m) are AT1 securities issued to Barclays PLC . Barclays PLC uses funds
from the market issuance to purchase AT1 securities from Barclays Bank PLC. There have been no issuances or redemptions in the
period.
The AT1 securities are perpetual securities with no fixed maturity and are structured to qualify as AT1 instruments under prevailing
capital rules applicable as at the relevant issue date. AT1 securities are undated and are redeemab le, at the option of Barclays Bank
PLC, in whole at the initial call date, or on any fifth anniversary after the initial call date. In addition, the AT1 securities are
redeemable, at the option of Barclays Bank PLC, in whole in the event of certain changes in the tax or regulatory treatment of the
securities. Any redemptions require the prior consent of the PRA.
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Financial Statement Notes
Barclays Bank PLC
37
12. Other reserves
As at
As at
30.06.20
31.12.19
£m
£m
Currency translation reserve
4,769
3,383
Fair value through other comprehensive income reserve
(2)
(139)
Cash flow hedging reserve
1,453
388
Own credit reserve
123
(373)
Other reserves
(24)
(24)
Total
6,319
3,235
Currency translation reserve
The currency translation reserve represents the cumulative gains and losses on the retranslation of Barclays Bank Group’s net
investment in foreign operations, net of the effects of hedging.
As at 30 June 2020, there was a credit balance of £4,769m (December 2019: £3,383m credit) in the currency translation reserve.
The £1,386m credit movement principally reflected the strengthening of period end USD exchange rate against GBP.
Fair value through other comprehensive income reserve
The fair value through other comprehensive income reserve represents the unrealised change in the fair value through other
comprehensive income investments since initial recognition.
As at 30 June 2020, there was a debit balance of £2m (December 2019: £139m debit) in the fair value through other comprehensive
income reserve. The gain of £137m is principally driven by a £277 m gain from the increase in fair value of bonds due to decreasing
bond yields. This is partially offset by £114m of net gains transferred to the income statement and a tax charge of £42m.
Cash flow hedging reserve
The cash flow hedging reserve represents the cumulative gains and losses on effective cash flow hedging instruments that will be
recycled to the income statement when the hedged transactions affect profit or loss.
As at 30 June 2020, there was a credit balance of £1,453m (December 2019: £388m credit) in the cash flow hedging reserve. The
increase of £1,065m principally reflect s a £1,587m increase in the fair value of interest rate swaps held for hedging purpose as
major interest ra te forward curves decreased . This is partially offset by £117m of gains transferred to the income statement and a
tax charge of £408m.
Own credit reserve
The own credit reserve reflects the cumulative own credit gains and losses on financial liabilities at fair value. Amounts in the own
credit reserve are not recycled to profit or loss in future periods.
As at 30 June 2020, there was a credit balance of £123m (December 2019: £373m debit) in the own credit reserve. The movement
of £496m principally reflect s a £845m gain from the widening of Barclays funding spreads. This is partially offset by other activity of
£209m and a tax charge of £144m.
Other reserves
As at 30 June 2020, there was a debit balance of £24m (December 2019: £24m debit) in other reserves relating to redeemed
ordinary and preference shares issued by Barclays Bank Group.
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Financial Statement Notes
Barclays Bank PLC
38
13. Contingent liabilities and commitments
As at
As at
30.06.20
31.12.19
Contingent liabilities
£m
£m
Guarantees and letters of credit pledged as collateral security
15,825
17,006
Performance guarantees, acceptances and endorsements
6,589
6,771
Total
22,414
23,777
Commitments
Documentary credits and other short-term trade related transactions
1,162
1,291
Standby facilities, credit lines and other commitments
264,376
268,736
Total
265,538
270,027
In addition to the above, Note 14
,
Legal, competition and regulatory matters details out further contingent liabilities where it is not
practicable to disclose an estimate of the potential financial effect on Barclays Bank Group.
14. Legal, competition and regulatory matters
Barclays Bank Group face legal, competition and regulatory challenges, many of which are beyond our control. The extent of the
impact of these matters cannot always be predicted but may materially impact our operations, financial results, condition and
prospects. Matters arising from a set of similar circumstances can give rise to either a contingent liability or a provision, or both,
depending on the relevant facts and circumstances.
The recognition of provisions in relation to such matters involves critical accounting estimates and judgments in accordance with
the relevant accounting policies as described in Note 8, Provisions. We have not disclosed an estimate of the potential financial
impact or effect on the Barclays Bank Group of contingent liabilities where it is not currently practicable to do so. Various matters
detailed in this note seek damages of an unspecified amount. While certain matters specify the damages claimed, such claimed
amounts do not necessarily reflect the Barclays Bank Group’s potential financial exposure in respect of those matters.
Investigations into certain advisory services agreements and other matters and civil action
FCA proceedings
In 2008, Barclays Bank PLC and Qatar Holdings LLC entered into two advisory service agreements (the Agreements). The Financial
Conduct Authority (FCA) conducted an investigation into whether the Agreements may have related to Barclays PLC’s capital
raising s in June and November 2008 (the Capital Raisings) and therefore should have been disclosed in the announcements or
public documents relating to the Capital Raisings. In 2013, the FCA issued warning notices (the Notices) finding that Barclays PLC
and Barcl ays Bank PLC acted recklessly and in breach of certain disclosure-related listing rules, and that Barclays PLC was also in
breach of Listing Principle 3. The financial penalty provided in the Notices is £50m. Barclays PLC and Barclays Bank PLC continue to
contest the findings. Following the conclusion of the Serious Fraud Office (SFO) proceedings against certain former Barclays
executives resulting in their acquittals, the FCA proceedings, which were stayed, have resumed. All charges brought by the SFO
agai nst Barclays PLC and Barclays Bank PLC in relation to the Agreements were dismissed in 2018.
Civil action
PCP Capital Partners LLP and PCP International Finance Limited (PCP) are seeking damages of approximately £1.6bn from Barclays
Bank PLC for fraudulent misrepresentation and deceit, arising from alleged statements made by Barclays Bank PLC to PCP in
relation to the terms on which securities were to be issued to potential investors, allegedly including PCP, in the November 2008
capital raising. Barclays Bank PLC is defending the claim and trial commenced in June 2020.
Investigations into LIBOR and other benchmarks and related civil actions
Regulators and law enforcement agencies, including certain competition authorities, from a number of governments have
conducted investigations relating to Barclays Bank PLC’s involvement in allegedly manipulating certain financial benchmarks, such
as LIBOR. The SFO has closed its investigation with no action to be taken against the Barclays Group. Various individuals and
corporates in a range of jurisdictions have threatened or brought civil actions against the Barclays Group and other banks in
relation to the alleged manipulation of LIBOR and/or other benchmarks. Certain actions remain pending.
USD LIBOR civil actions
The majority of the USD LIBOR cases, which have been filed in various US jurisdictions, have been consolidated for pre-trial
purposes in the US District Court in the Southern District of New York (SDNY). The complaints are substantially similar and allege,
among other things, that Barclays PLC, Barclays Bank PLC, Barclays Capital Inc. (BCI) and other financial institutions individually and
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Financial Statement Notes
Barclays Bank PLC
39
collectively violated provisions of the US Sherman Antitrust Act (Antitrust Act), the US Commodity Exchange Act (CEA), the US
Racketeer Influenced and Corrupt Organizations Act (RICO), the Securities Exchange Act of 1934 and various state laws by
manipulating USD LIBOR rates.
Putative class actions and individual actions seek unspecified damages with the exception of three lawsuits, in which the plaintiffs
are seeking a combined total of approximately $900m in actual damages and additional punitive damages against all defendants,
including Barclays Bank PLC. Some of the lawsuits also seek trebling of damages under the Antitrust Act and RICO. Barclays has
previously settled certai n claims. Two of the class action settlements where Barclays has paid $20m and $7.1m, respectively,
remain subject to final court approval and/or the right of class members to opt out of the settlement to file their own claims.
Sterling LIBOR civil actions
In 2016, two putative class actions filed in the SDNY against Barclays Bank PLC, BCI and other Sterling LIBOR panel banks alleging,
among other things, that the defendants manipulated the Sterling LIBOR rate in violation of the Antitrust Act, CEA and RICO, were
consolidated. The defendants’ motion to dismiss the claims was granted in December 2018. The plaintiffs have appealed the
dismissal.
Japanese Yen LIBOR civil actions
In 2012, a putative class action was filed in the SDNY against Barclays Bank PLC and other Japanese Yen LIBOR panel banks by a lead
plaintiff involved in exchange -traded derivatives and members of the Japanese Bankers Association’s Euroyen Tokyo Interbank
Offered Rate (Euroyen TIBOR) panel. The complaint alleges, among other things, manipulation of the Euroyen TIBOR and Yen LIBOR
rates and breaches of the CEA and the Antitrust Act. In 2014, the court dismissed the plaintiff’s antitrust claims in full, but the
plaintiff’s CEA claims remain pending.
In 2015, a second putative class action, making similar allegations to the above class action, was filed in the SDNY against Barclays
PLC, Barclays Bank PLC and BCI. In 2017, this action was dismissed in full and the plaintiffs appealed the dismissal. The appellate
court reversed the dismissal and the matter has been remanded to the lower court.
SIBOR/SOR civil action
In 2016, a putative class action was filed in the SDNY against Barclays PLC, Barclays Bank PLC, BCI and other defendants, alleging
manipulation of the Singapore Interbank Offered Rate (SIBOR) and Singapore Swap Offer Rate (SOR). In October 2018, the court
dismissed all claims against Barclays PLC, Barclays Bank PLC and BCI. The plaintiffs have appealed the dismissal.
ICE LIBOR civil actions
In 2019, several putative class actions have been filed in the SDNY against Barclays PLC, Barclays Bank PLC, BCI, other financial
institution defendants and Intercontinental Exchange Inc. and certain of its affiliates (ICE), asserting antitrust claims that
defendants manipulated USD LIBOR through defendants’ submissions to ICE. These actions have been consolidated. The
defendants’ motion to dismiss was granted in March 2020. The plaintiffs have appealed the dismissal.
Non -US benchmarks civil actions
Legal proceedings (which include the claims referred to below in ‘Local authority civil actions concerning LIBOR’) have been brought
or threatened against Barclays Bank PLC (and, in certain cases, Barclays Bank UK PLC) in the UK in connection with alleged
manipulation of LIBOR, EURIBOR and other benchmarks. Proceedings have also been brought in a number of other jurisdictions in
Europe and Israel. Additional proceedings in other jurisdictions may be brought in the future.
Foreign Exchange investigations and related civil actions
In 2015, the Barclays Group reached settlements totalling approximately $2.38bn with various US federal and state authorities and
the FCA in relation to investigations into certain sales and trading practices in the Foreign Exchange market. Under the related plea
agreement with the US Department of Justice (DoJ), which received final court approval in January 2017, the Barclays Group agreed
to a term of probation of three years, which expired in January 2020. The Barclays Group also continues to provide relevant
information to certain authorities.
The European Commission is one of a number of authorities still conducting an investigation into certain trading practices in
Foreign Exc hange markets. The European Commission announced two settlements in May 2019 and the Barclays Group paid
penalties totalling approximately €210m. In June 2019, the Swiss Competition Commission announced two settlements and the
Barclays Group paid penalties totalling approximately CHF 27m. The financial impact of the ongoing matters is not expected to be
material to the Barclays Bank Group’s operating results, cash flows or financial position.
A number of individuals and corporates in a range of jurisdictions have also threatened or brought civil actions against the Barclays
Group and other banks in relation to alleged manipulation of Foreign Exchange markets, and may do so in the future. Certain
actions remain pending.
FX opt out civil action
In 2018, Barclays Bank PLC and BCI settled a consolidated action filed in the SDNY, alleging manipulation of Foreign Exchange
markets (Consolidated FX Action), for a total amount of $384m. Also in 2018, a group of plaintiffs who opted out of the
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Financial Statement Notes
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40
Consolidated FX Action filed a complaint in the SDNY against Barclays PLC, Barclays Bank PLC, BCI and other defendants. Some of
the plaintiff’s claims were dismissed in May 2020.
Retail basis civil action
In 2015, a putative class action was filed against several international banks, including Barclays PLC and BCI, on behalf of a
proposed class of individuals who exchanged currencies on a retail basis at bank branches (Retail Basis Claims). The SDNY has ruled
that the Retail Basis Claims are not co vered by the settlement agreement in the Consolidated FX Action. The Court subsequently
dismissed all Retail Basis Claims against the Barclays Group and all other defendants. The plaintiffs have filed an amended
complaint.
State law FX civil action
In 2017, the SDNY dismissed consolidated putative class actions brought under federal and various state laws on behalf of proposed
classes of (i) stockholders of Exchange Traded Funds and others who purportedly were indirect investors in FX instruments, and (ii)
investors who traded FX instruments through FX dealers or brokers not alleged to have manipulated Foreign Exchange Rates.
Barclays Bank PLC and BCI have settled the claim, which is subject to court approval.
Non -US FX civil actions
In addition to the actions described above, legal proceedings have been brought or are threatened against Barclays PLC, Barclays
Bank PLC, BCI and Barclays Execution Services Limited (BX) in connection with alleged manipulation of Foreign Exchange in the UK,
a number of other jurisdictions in Europe, Israel and Australia and additional proceedings may be brought in the future.
Metals investigations and related civil actions
Barclays Bank PLC previously provided information to the DoJ, the US Commodity Futures Trading Commission and other
authorities in connection with investigations into metals and metals -based financial instruments.
A number of US civil complaints, each on behalf of a proposed class of plaintiffs, have been consolidated and transferred to the
SDNY. The complaints allege that Barclays Bank PLC and other members of The London Gold Market Fixing Ltd. manipulated the
prices of gold and gold derivative contracts in violation of US antitrust and other federal laws. This consolidated putative class
action remains pending. A separate US civil complaint by a proposed class of plaintiffs against a number of banks, including Barclays
Bank PLC, BCI and BX, alleging manipulation of the price of silver in violation of the CEA, the Antitrust Act and state antitrust and
consumer protection laws, has been dismissed as against the Barclays entities. The plaintiffs have the option to seek the court’s
permission to appeal.
Civil actions have also been filed in Canadian courts against Barclays PLC, Barclays Bank PLC, Barclays Capital Canada Inc. and BCI on
behalf of proposed classes of plaintiffs alleging manipulation of gold and silver prices.
US residential mortgage relat ed civil actions
There are various pending civil actions relating to US Residential Mortgage -Backed Securities (RMBS), including four actions arising
from unresolved repurchase requests submitted by Trustees for certain RMBS, alleging breaches of various loan-level
representations and warranties (R&Ws) made by Barclays Bank PLC and/or a subsidiary acquired in 2007 (the Acquired Subsidiary).
The unresolved repurchase requests received as at 31 December 2019 had an original unpaid principal balance of approx imately
$2.1bn. The Trustees have also alleged that the relevant R&Ws may have been breached with respect to a greater (but unspecified)
amount of loans than previously stated in the unresolved repurchase requests.
These repurchase actions are ongoing. In one repurchase action, the New York Court of Appeals held that claims related to certain
R&Ws are time-barred. Barclays Bank PLC has reached a settlement to resolve two of the repurchase actions, which is subject to
final court approval. The financial impact of the settlement is not expected to be material to the Barclays Bank Group’s operating
results, cash flows or financial position. The remaining two repurchase actions are pending.
Government and agency securities civil actions and related matters
Certain governmental authorities are conducting investigations into activities relating to the trading of certain government and
agency securities in various markets. The Barclays Group provided information in cooperation with such investigations. Civil actions
have also been filed on the basis of similar allegations, as described below.
Treasury auction securities civil actions
Consolidated putative class action complaints filed in US federal court against Barclays Bank PLC, BCI and other financial institutions
under the Antitrust Act and state common law allege that the defendants (i) conspired to manipulate the US Treasury securities
market and/or (ii) conspired to prevent the creation of certain platforms by boycotting or threatening to boycott such trading
platforms. The defendants have filed a motion to dismiss.
In addition, certain plaintiffs have filed a related, direct action against BCI and certain other financial institutions, alleging that
defendants conspired to fix and manipulate the US Treasury securities market in violation of the Antitrust Act, the CEA and state
common law.
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Financial Statement Notes
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41
Supranational, Sovereign and Agency bonds civil actions
Civil antitrust actions have been filed in the SDNY and Federal Court of Canada in Toronto against Barclays Bank PLC, BCI, BX,
Barclays Capital Securities Limited and, with respect to the civil action filed in Canada only, Barclays Capital Canada, Inc. and other
financial institutions alleging that the defendants conspired to fix prices and restrain competition in the market for US dollar-
denominated Supranational, Sovereign and Agency bonds.
In one of the actions filed in the SDNY, the court granted the defend ants’ motion to dismiss the plaintiffs’ complaint, which the
plaintiffs have appealed. The plaintiffs have voluntarily dismissed the other SDNY action.
Variable Rate Demand Obligations civil actions
Civil actions have been filed against Barclays Bank PLC and BCI and other financial institutions alleging the defendants conspired or
colluded to artificially inflate interest rates set for Variable Rate Demand Obligations (VRDOs). VRDOs are municipal bonds with
interest rates that reset on a periodic basis, most commonly weekly. Two actions in state court have been filed by private plaintiffs
on behalf of the states of Illinois and California. Two putative class action complaints, which have been consolidated, have been
filed in the SDNY.
Government bond civil actions
In a putative class action filed in the SDNY in 2019, plaintiffs alleged that BCI and certain other bond dealers conspired to fix the
prices of US government sponsored entity bonds in violation of US antitrust law. BCI agreed to a settlement of $87m, which
received final court approval in June 2020. Separately, various entities in Louisiana, including the Louisiana Attorney General and
the City of Baton Rouge, have filed complaints against Barclays Bank PLC and other financial institutions making similar allegations
as the class action plaintiffs .
In 2018, a separate putative class action against various financial institutions including Barclays PLC, Barclays Bank PLC, BCI,
Barclays Bank Mexico, S.A., and certain other subsidiaries of the Barclays Bank Group was consolidated in the SDNY. The plaintiffs
asserted antitrust and state law claims arising out of an alleged conspiracy to fix the prices of Mexican Government bonds. Barclays
PLC has settled the claim for $5.7m, which is subject to court approval.
BDC Finance L.L.C.
In 2008, BDC Finance L.L.C. (BDC) filed a complaint in the NY Supreme Court, demanding damages of $298m, alleging that Barclays
Bank PLC had breached a contract in connection with a portfolio of total return swaps governed by an ISDA Master Agreement
(collectively, the Agreement). Following a trial on certain liability issues, the court ruled in December 2018 that Barclays Bank PLC
was not a defaulting party, which was affirmed on appeal. Barclays Bank PLC’s counterclaim against BDC remains pending.
In 2011, BDC’s investment advisor, BDCM Fund Adviser, L.L.C. and its parent company, Black Diamond Capital Holdings, L.L.C. also
sued Barclays Bank PLC and BCI in Connecticut State Court for unspecified damages allegedly resulting from Barclays Bank PLC’s
conduct relating to the Agreement, asserting claims for violation of the Connecticut Unfair Trade Practices Act and tortious
interference with business and prospective business relations. This case is curren tly stayed.
Civil actions in respect of the US Anti-Terrorism Act
There are a number of civil actions, on behalf of more than 4,000 plaintiffs, filed in US federal courts in the US District Court in the
Eastern District of New York (EDNY) and SDNY against Barclays Bank PLC and a number of other banks. The complaints gene rally
allege that Barclays Bank PLC and those banks engaged in a conspiracy to facilitate US dollar- denominated transactions for the
Government of Iran and various Iranian banks, which in turn funded acts of terrorism that injured or killed plaintiffs or plaintiffs’
family members. The plaintiffs seek to recover damages for pain, suffering and mental anguish under the provisions of the US Anti-
Terrorism Act, which allow for the trebling of any proven damages.
The court granted the defendants’ motion to dismiss three actions in the EDNY. Plaintiffs have appealed in one action. The court
also granted the defendants’ motion to dismiss another action in the SDNY. The remaining actions are stayed pending decisions in
these cases.
Interest rate swap and credit default swap US civil actions
Barclays PLC, Barclays Bank PLC and BCI, together with other financial institutions that act as market makers for interest rat e swaps
(IRS) are named as defendants in several antitrust class actions which were consolidated in the SDNY in 2016. The complaints allege
the defendants conspired to prevent the development of exchanges for IRS and demand unspecified money damages.
In 2018, trueEX LLC filed an antitrust class action in the SDNY against a number of financial institutions including Barclays PLC,
Barclays Bank PLC and BCI based on similar allegations with respect to trueEX LLC’s development of an IRS platform. In 2017, Ter a
Group Inc. filed a separate civil antitrust action in the SDNY claiming that certain conduct alleged in the IRS cases also caused the
plaintiff to suffer harm with respect to the Credit Default Swaps market. In November 2018 and July 2019, respectively, the court
dismissed certain claims in both cases for unjust enrichment and tortious interference but denied motions to dismiss the federal
and state antitrust claims, which remain pending.
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Financial Statement Notes
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42
Odd-lot corporate bonds antitrust class action
In 2020, BCI, together with other financial institutions, were named as defendants in a putative class action. The complaint alleges a
conspiracy to boycott developing electronic trading platforms for odd-lots and price fixing. Plaintiffs demand unspecified money
damages.
Investigation into collections and recoveries relating to unsecured lending
Since February 2018, the FCA has been investigating whether the Barclays Group implemented effective systems and controls with
respect to collections and recoveries and whether it paid due consideration to the interests of customers in default and arrears.
The FCA investigation is at an advanced stage.
HM Revenue & Customs (HMRC) assessments concerning UK Value Added Tax
In 2018, HMRC issued notices that have the effect of removing certain overseas subsidiaries that have operations in the UK from
Barclays ’ UK VAT group, in which group supplies between members are generally free from VAT. The notices have retrospective
effect and correspond to assessments of £181m (inclusive of interest), of which Barclays would expect to attribute an amount of
approximatel y £128m to Barclays Bank UK PLC and £53m to Barclays Bank PLC. HMRC’s decision has been appealed to the First Tier
Tribunal (Tax Chamber).
Local authority civil actions concerning LIBOR
Following settlement by Barclays Bank PLC of various governmental investigations concerning certain benchmark interest rate
submissions referred to above in ‘Investigations into LIBOR and other benchmarks and related civil actions’, in the UK, certain local
authorities have brought claims against Barclays Bank PLC (and, in certain cases, Barclays Bank UK PLC) asserting that they entered
into loans in reliance on misrepresentations made by Barclays Bank PLC in respect of its conduct in relation to LIBOR. Barclays has
applied to strike out the claims.
General
The Barclays Bank Group is engaged in various other legal, competition and regulatory matters in the UK, the US and a number of
other overseas jurisdictions. It is subject to legal proceedings brought by and against the Barclays Bank Group which arise in the
ordinary course of business from time to time, including (but not limited to) disputes in relation to contracts, securities, debt
collection, consumer credit, fraud, trusts, client assets, competition, data management and protection, money laundering, financial
crime, employment, environmental and other statutory and common law issues.
The Barclays Bank Group is also subject to enquiries and examinations, requests for information, audits, investigations and legal
and other proceedings by regulators, gov ernmental and other public bodies in connection with (but not limited to) consumer
protection measures, compliance with legislation and regulation, wholesale trading activity and other areas of banking and
business activities in which the Barclays Bank Gro up is or has been engaged. The Barclays Bank Group is cooperating with the
relevant authorities and keeping all relevant agencies briefed as appropriate in relation to these matters and others described in
this note on an ongoing basis.
At the present time, Barclays Bank PLC does not expect the ultimate resolution of any of these other matters to have a material
adverse effect on its financial position. However, in light of the uncertainties involved in such matters and the matters specifically
described in this note, there can be no assurance that the outcome of a particular matter or matters (including formerly active
matters or those matters arising after the date of this note) will not be material to Barclays Bank PLC’s results, operations or cash
flow for a particular period, depending on, among other things, the amount of the loss resulting from the matter(s) and the amount
of profit otherwise reported for the reporting period.
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Financial Statement Notes
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43
15. Related party transactions
Related party transactions in the half year ended 30 June 2020 were similar in nature to those disclosed in the Barclays Bank PLC
Annual Report 2019.
Amounts included in the Barclays Bank Group’s financial statements with other Barclays Group companies are as follows:
Half year ended 30.06.20
Half year ended 30.06.19
Parent
Fellow
subsidiaries
Parent
Fellow
subsidiaries
£m
£m
£m
£m
Total income
(346)
31
(275)
32
Operating expenses
(34)
(1,443)
(46)
(1,546)
As at 30.06.20
As at 31.12.19
Parent
Fellow
subsidiaries
Parent
Fellow
subsidiaries
£m
£m
£m
£m
Total assets
5,793
1,952
2,097
2,165
Total liabilities
27,262
2,531
24,876
1,600
Except for the above, no related party transactions that have taken place in the half year ended 30 June 2020 have materially
affected the financial position or performance of the Barclays Bank Group during this period.
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Financial Statement Notes
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44
16. Barclays Bank PLC parent condensed balance sheet
As at
As at
30.06.20
31.12.19
Assets
£m
£m
Cash and balances at central banks
128,461
112,287
Cash collateral and settlement balances
115,391
75,822
Loans and advances at amortised cost
186,606
161,663
Reverse repurchase agreements and other similar secured lending
22,926
4,939
Trading portfolio assets
73,646
79,079
Financial assets at fair value through the income statement
187,575
162,500
Derivative financial instruments
304,807
229,338
Financial assets at fair value through other comprehensive income
53,475
43,760
Investment in associates and joint ventures
16
119
Investment in subsidiaries
16,653
16,105
Goodwill and intangible assets
114
115
Property, plant and equipment
419
426
Current tax assets
1,045
946
Deferred tax assets
1,203
1,115
Retirement benefit assets
2,797
2,062
Other assets
1,234
845
Total assets
1,096,368
891,121
Liabilities
Deposits at amortised cost
268,286
240,631
Cash collateral and settlement balances
94,744
59,448
Repurchase agreements and other similar secured borrowing
9,778
9,185
Debt securities in issue
34,926
19,883
Subordinated liabilities
36,937
33,205
Trading portfolio liabilities
53,953
45,130
Financial liabilities designated at fair value
234,510
207,765
Derivative financial instruments
306,288
225,607
Current tax liabilities
287
221
Deferred tax liabilities
1,083
80
Retirement benefit liabilities
105
104
Other liabilities
3,297
2,807
Provisions
885
630
Total liabilities
1,045,079
844,696
Equity
Called up share capital and share premium
2,348
2,348
Other equity instruments
11,089
11,089
Other reserves
2,763
678
Retained earnings
35,089
32,310
Total equity
51,289
46,425
Total liabilities and equity
1,096,368
891,121
In H120, Barclays Bank PLC sold its investments in Barclaycard International Payments Limited, Entercard Group AB, Carnegie
Holdings Limited and Barclays Mercantile Business Finance Limited to Barclays Principal Investments Limited, a fellow group
company, at their fair values of £102m, £292m, £188m and £154m respectively.
Barclays Bank PLC recorded profit on disposal of £56m, £192m, £133m and £23m in respect of these transactions. The Barclays
Bank Group recorded profit on disposal of £45m, £13m, £57m and £11m.
Barclays Bank PLC considers the carrying value of its investment in subsidiaries to be fully recoverable .
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Other Information
Barclays Bank PLC
45
Results timetable
1
Date
2020 Annual Report
11 February 2021
% Change
3
Exchange rates
2
30.06.20
31.12.19
30.06.19
31.12.19
30.06.19
Period end - USD/GBP
1.24
1.33
1.27
(7%)
(2%)
6 month average - USD/GBP
1.26
1.26
1.29
-
(2%)
3 month average - USD/GBP
1.24
1.29
1.29
(4%)
(4%)
Period end - EUR/GBP
1.10
1.18
1.12
(7%)
(2%)
6 month average - EUR/GBP
1.14
1.14
1.15
-
(1%)
3 month average - EUR/GBP
1.13
1.16
1.14
(3%)
(1%)
For further information please contact
Investor relations
Media relations
Chris Manners +44 (0) 20 7773 2136
Thomas Hoskin +44 (0) 20 7116 4755
More information on Barclays Bank PLC can be found on our website: home.barclays.
Registered office
1 Churchill Place, London, E14 5HP, United Kingdom. Tel: +44 (0) 20 7116 1000. Company number: 1026167.
1
Note that this date is provisional and subject to change .
2
The average rates shown above are derived from daily spot rates during the year.
3
The change is the impact to GBP reported information.
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Glossary of Terms
Barclays Bank PLC
46
‘A -IRB’ / ‘Advanced -Internal Ratings Based’
‘Acceptances and endorsements’
Barclays Bank Group expects most acceptances to be presented, but reimbursement by the customer is normally immediate.
Endorsements are residual liabilities of the Barclays Bank Group in respect of bills of exchange which have been paid and
subsequently rediscounted.
‘Additional Tier 1 (AT1) capital’
premium.
‘Additi onal Tier 1 (AT1) securities’
‘Advanced Measurement Approach (AMA)’
required capital for operational risk. Banks can only use this approach subject to approval from their local regulators.
‘Agencies’
‘Agency Mortgage -Backed Securities’
‘All price risk (APR)’
An estimate of all the material market risks, including rating migration and defaul t for the correlation trading
portfolio.
‘American Depository Receipts (ADR)’
A negotiable certificate that represents the ownership of shares in a non-US company (for
example Barclays) trading in US financial markets.
‘Americas’
America.
‘Annual Earnings at Risk (AEaR)’
A measure of the potential change in Net Interest Income (NII) due to an interest rate movement
over a one-year period.
‘Annualised cumulative weighted average lifetime PD’
The probability of default over the remaining life of the asset, expressed as
an annual rate, reflecting a range of possible economic scenarios.
‘Application scorecards’
Algorithm based decision tools used to aid business decisions and manage credit risk based on available
customer data at the point of application for a product.
‘Arrears’
loan is unpaid or overdue. Such customers are also said to be in a state of delinquency. When a customer is in arrears, their entire
outstanding balance is said to be delinquent, meaning that delinquent balances are the total outstanding loans on which payments
are overdue.
‘Asia’
‘Asset Backed Commercial Paper’
entities for funding purposes.
‘Asset Backed Securities (ABS)’
can comprise any assets which attract a set of associated cash flows but are commonly pools of residential or commercial
mortgages and, in the case of Collateralised Debt Obligations (CDOs), the referenced pool may be ABS or other classes of assets.
‘Attributable profit’
amounts of capital securities classified as equity.
‘Average allocated tangible equity’
Calculated as the average of the previous month’s period end allocated tangible equity and the
current month’s period end allocated tangible equity. The average allocated tangible equity for the period is the average of the
monthly averages within that period.
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‘Average tangible shareholders’ equity’
Calculated as the average of the previous month’s period end tangible equity and the
current month’s period end tangible equity. The average tangible shareholders’ equity for the period is the average of the monthly
averages within that period.
‘Average UK leverage ratio’
As per the PRA rulebook, is calculated as the average capital measure based on the last day of each
month in the quarter divided by the average exposure measure for the quarter, where the average exposure is based on each day
in the quarter.
‘Back testing’
Includes a number of techniques that assess the continued statistical validity of a model by simulating how the model
would have predicted recent experience.
‘Barclays Africa’ or ‘Absa’
Barclays Africa Group Limited (now Absa Group Limited), which was previously a subsidiary of the
Barclays Group. Following a sell down of shares resulting in a loss of control, the Barclays Group’s shareholding in Absa Group
Limited is now classified as a financial asset at fair value through other comprehensive income.
‘Balance weighted Loan to Value (LTV) ratio’
calculating marked to market LTVs derived by calculating individual LTVs at account level and weighting it by the balances to arrive
at the average position. Balance weighted loan to value is calculated using the following formula: LTV = ((loan balance 1 x MTM
LTV% for loan 1) + (loan balance 2 x MTM LTV% for loan 2) + ...) / total outstandings in portfolio.
‘Barclaycard’
consumer lending, merchant acquiring, commercial cards and point of sale finance. Barclaycard has scaled operations in the UK, US,
Germany and Scandinavia.
‘Barclaycard Consumer UK’
‘Barclays’ or ’Barclays Group’
‘Barclays Bank Group’
‘Barclays Bank UK Group’
‘Barclays Bank Group Operating businesses’
The core Barclays Bank Group businesses operated by Corporate and Investment Bank
(which include the the large UK Corporate business; the international Corporate and the Investment Bank) and Consumer, Cards
and Payments (the Private Bank businesses; the international Barclaycard business; and payments).
‘Barclays Execution Services’ or ‘BX’ or ‘BSerL’ or ‘Group Service Company’
Barclays Execution Services Limited, the Barclays Group
services company set up to provide services to Barclays UK and Barclays International to deliver operational continuity.
‘Barclays International’
The segment of Barclays Bank held by Barclays Bank PLC. The division includes the large UK Corporate
business; the international Corporate and Private Bank businesses; the Investment Bank; the international Barclaycard business;
and payments.
‘Barclays UK’
The segment of Barclays held by Barclays Bank UK PLC. The division includes the UK Personal banking; UK business
banking and the Barclaycard consumer UK businesses.
‘Basel 3’
Basel 3 is a set of measures developed by the Basel Committee on Banking Supervision aiming to strengthen the regulation,
supervision and risk management of banks.
‘Basel Committee of Banking Supervision (BCBS or The Basel Committee)’
matters which develops global supervisory standards for the banking industry. Its 45 members are officials from central banks or
prudential supervisors from 28 jurisdictions.
‘Basic Indicator Approach (BIA)’
Under the BIA, banks are required to hold regulatory capital for operational risk equal to 15% of the
annual average, calculated over a rolling three-year period, of the relevant income indicator for the bank as whole.
‘Basis point(s)’ / ‘bp(s)’
interest rates, yields on securities and for other purposes.
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‘Basis risk’
imperfectly correlated, especially under stressed market conditions.
‘Behavioural scorecards’
Algorithm based decision tools used to aid business decisions and manage credit risk based on existing
customer data derived from account usage.
‘Book quality’
In the context of the Capital Risk section, changes in RWAs caused by factors such as underlying customer behaviour
or demographics leading to changes in risk profile.
‘Book size’
In the con text of the Capital Risk section
,
repayments .
‘Bounce Back Loan Scheme (BBLS)’
A government (British Business Bank) backed loan scheme which allows small and medium- sized
businesses to borrow between £2,000 and £50,000. The UK government guarantees 100% of the loan and pays the first 12 months
of interest on behalf of the borrowers, subject to terms and conditions.
‘Business Banking’
Offers specialist advice, products and services to small and medium enterprises in the UK.
exposures of the Investment Bank.
‘Buy to let mortgage’
A mortgage where the intention of the customer (investor) was to let the property at origination.
‘Capital Conservation Buffer (CCB)’
A capital buffer of 2.5% of a bank’s total exposures that needs to be met with an additional
amount of Common Equity Tier 1 capital above the 4.5% minimum requirement for Common Equity Tier 1 set out in CRR. Its
objective is to conserve a bank’s capital by ensuring that banks build up surplus capital outside periods of stress which can be
drawn down if losses are incurred.
‘Capital ratios’
‘Capital Requirements Directive (CRD)’
Directive 2013/36/EU, a component of the CRD IV package which accompanies the Capital
Requirements Regulation and sets out macroprudential standards including the countercyclical capital buffer and capital buffers for
systemically important institutions. Directive (EU) 2019/878, published as part of the EU Risk Reduction Measure package amends
CRD. These amendments enter into force from 27 June 2019, with EU member states required to adopt the measures within the
Directive by 28 December 2020.
‘Capital Requirements Regulation (CRR)’
Regulation (EU) No 575/2013, a component of the CRD IV package which accompanies the
Capital Requirements Direct ive and sets out detailed rules for capital eligibility, the calculation of RWAs, the measurement of
leverage, the management of large exposures and minimum standards for liquidity. Between 27 June 2019 and 28 June 2023, this
regulation will be amended in line with the requirements of amending Regulation (EU) 2019/876 (CRR II).
‘Capital Requirements Regulation II (CRR II)’
Regulation (EU) 2019/876, amending Regulation (EU) No 575/2013 (CRR). This is a
component of the EU Risk Reduction Measure package. The requirements set out in CRR II will be introduced between 27 June
2019 and 28 June 2023.
‘Capital requirements on the underlying exposures (KIRB)’
An approach available to banks when calculating RWAs for securitisation
exposures. This is based upon the RWA amounts that would be calculated under the IRB approach for the underlying pool of
securitised exposures in the program, had such exposures not been securitised.
‘Capital resources’
CRD. Referred to as ‘own funds’ within EU regulatory texts.
‘Capital risk’
activities and to meet its regulatory capital requirements under normal operating environments or stressed conditions (both actual
and as defined for internal planning or regulatory testing purposes). This includes the risk from the Barclays Bank Group’s pension
plans.
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‘Central Counterparty’ / ‘Central Clearing Counterparties (CCPs)’
financial transaction, such as a derivative contract or repurchase agreement (repo). Where a central counterparty is used, a single
bi-lateral contract between the buyer and seller is replaced with two contracts, one between the buyer and the CCP and one
between the CCP and the seller. The use of CCPs allows for greater oversight and improved credit risk mitigation in over -the-
counter (OTC) markets.
‘Charge -off’
the recovery of the full balance. This is normally when six payments are in arrears.
‘Client Assets’
Assets managed or administered by Barcla ys Bank Group on behalf of clients including assets under management
(AUM), custody assets, assets under administration and client deposits.
‘CLOs and Other insured assets’
assets wrapped with Credit Support Annex (CSA) protection.
‘Collateralised Debt Obligation (CDO)’
above) and/or certain other related assets purchased by the issuer. CDOs may feature exposure to sub-prime mortgage assets
through the underlying assets.
‘Collateralised Loan Obligation (CLO)’
made to different classes of owners (in tranches).
‘Collateralised Mortgage Obligation (CMO)’
the mortgages and passes them on to investors of the security.
‘Combined Buffer Requirement’
In the context of the CRD capital obligations, the combined requirements of the Capital
Conservation Buffer, the GSII Buffer, the OSII buffer, the Systemic Risk buffer and an institution specific counter -cyclical buffer.
‘Commercial paper (CP)’
‘Commercia l real estate (CRE)’
Commercial real estate includes office buildings, industrial property, medical centres, hotels, retail
stores, shopping centres, farm land, multifamily housing buildings, warehouses, garages, and industrial properties and other similar
properties. Commercial real estate loans are loans backed by a package of commercial real estate. Note: for the purposes of the
Credit Risk section, the UK CRE portfolio includes property investment, development, trading and housebuilders but excludes social
housing contractors.
‘Commissions and other incentives’
awards.
‘Committee of Sponsoring Organisations of the Treadway Commission Framework (COSO)’
A joint initiative of five private sector
organisations dedicated to the development of frameworks and providing guidance on enterprise risk management, internal
control and fraud deterrence.
‘Commodity derivatives’
precious metals, oil and oil related, power and natural gas).
‘Commodity risk’
commodities (e.g. Brent vs. WTI crude prices).
‘Common Equity Tier 1 (CET1) capital’
issued and related share premium, retained earnings and other reserves, less specified regulatory adjustments.
‘Common Equity Tier 1 (CET1) ratio’
‘Compensation: income ratio’
The ratio of compensation expense over total income. Compensation represents total staff costs less
non-compensation items consisting of outsourcing, staff training, redundancy costs and retirement costs.
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‘
Comprehensive Capital Analysis and Review (CCAR)’
An annual exercise, required by and evaluated by the Federal Reserve,
through which the largest bank holding companies operating in the US assess whether they have sufficient capital to continue
operations through periods of economic and financial stress and have robust capital -planning processes that account for their
unique risks.
‘Comprehensive Risk Measure (CRM)’
An estimate of all the material market risks, including rating migration and default for the
correlation trading portfolio. Also referred to as All Price Risk (APR) and Comprehensive Risk Capital Charge (CRCC).
‘Conduct risk’
inappropriate supply of financial services, including instances of wilful or negligent misconduct.
‘Constant Currency Basis’
Excluding the impact of foreign currency conversion to GBP when comparing financial results in two
different financial periods.
‘Consumer, Cards and Payments’
Barclays US Consumer Bank, Barclaycard Germany, Barclaycard Commercial Payments,
Barclaycard Payment Solutions (including merchant acquiring) and the international Wealth business.
‘Contingent capital notes (CCNs)’
permanently written off or converted into an equity instrument from the issuer's perspective in the event of the Common Equity
Tier 1 (CET1) ratio of the relevant Barclays Bank Group entity falling below a specific level, or at the direction of regulators.
‘Conversion Trigger’
Used in the context of Contingent Capital Notes and AT1 securities. A capital adequacy trigger event occurs
when the CET1 ratio of the bank falls below a certain level (the trigger) as defined in the Terms & Conditions of the instruments
issued. See ‘Contingent capital notes’.
‘Coronavirus Business Interr uption Loan Scheme (CBILS)’
A loan scheme by the British Business Bank (BBB) to support UK based
small and medium- sized businesses (turnover of up to £45 million) adversely impacted by COVID -19, . The CBILS scheme provides
loans up to £5 million which are backed by an 80% government (BBB) guarantee. The UK government will pay interest and fees for
the first 12 months on behalf of the borrowers, subject to terms and conditions.
Coronavirus Large Business Interruption Loan Scheme (CLBILS)’
A loan scheme by the British Business Bank (BBB) to support UK
based medium-sized businesses (turnover above £45 million, but with no access to CCFF) adversely impacted by COVID -19, The
CBILS scheme provides loans up to £50 million which are backed by an 80% government (BBB) guarantee.
‘Corporate and Investment Bank (CIB)’
Barclays Bank Corporate and Investment Bank businesses.
‘Correlation risk’
changes over time.
‘Cost: income ratio’
‘Cost of Equity’
‘Cost: income jaws’
‘Countercyclical Capital Buffer (CCyB)’
An additional buffer introduced as part of the CRD IV package that requires banks to have an
additional cushion of CET 1 capital with which to absorb potential losses, enhancing their resilience and contributing to a stable
financial system.
‘Countercyclical leverage ratio buffer (CCLB)’
A macroprudential buffer that has applied to specific PRA regulated institutions since
2018 and is calculated at 35% of any risk weighted countercyclical capital buffer set by the Financial Policy Committee (FPC). The
CCLB applies in addition to the minimum of 3.25% and any G-SII additional Leverage Ratio Buffer that applies.
‘Counterparty credit risk’
the context of RWAs, a component of RWAs that represents the risk of loss in derivatives, repurchase agreements and similar
transactions resulting from the default of the counterparty.
‘Coverage ratio’
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‘Covered bonds’
benefit of the holders of the covered bonds.
‘Covid Corporate Finance Facility (CCFF)’:
which make a material UK contribution, helping to bridge coronavirus disruption to their cash flows. The Bank of England provides
liquidity by purchasing short-term debt in the form of commercial paper from corporates . Barclays Bank Group acts as dealer.
‘CRD IV’
The Fourth Capital Requirements Directive, an EU Directive and an accompanying Regulation (CRR) that together prescribe
EU capital adequacy and liquidity requirements and implements Basel 3 in the European Union.
‘CRD V’
The Fifth Capital Requirements Directive, comprising an EU amending Directive and an accompanying amending Regulation
(CRR II) that together prescribe EU capital adequacy and liquidity requirements and implements enhanced Basel 3 proposals in the
European Union.
‘Credit conversion factor (CCF)’
Factor used to estimate the risk from off -balance sheet commitments for the purpose of calculating
the total Exposure at Default (EAD) used to calculate RWAs.
‘Credit default swaps (CDS)’
for contracting to make payments to the protection buyer in the event of a defined credit event. Credit events normally include
bankruptcy, payment defau lt on a reference asset or assets, or downgrades by a rating agency.
‘Credit derivatives (CDs)’
the seller of the protection.
‘Credit impairment charges’
and impairment charges on fair value through other comprehensive income assets and reverse repurchase agreements.
‘Credit market exposures’
have been significantly impacted by the deterioration in the global credit markets. The exposures include positions subject to fair
value movements in the Income Statement, positions that are classified as loans and advances and available for sale and other
assets.
‘Credit quality step’
maps the credit assessments of a recognised credit rating agency or export credit agency to credit quality steps that determine the
risk weight to be applied to an exposure.
‘Credit Rating’
An evaluation of the creditworthiness of an entity seeking to enter into a credit agreement.
‘Credit risk’
fully honour their obligations to Barclays Bank Group, including the whole and timely payment of principal, interest, collateral and
other receivables. In the context of RWAs, it is the component of RWAs that represents the risk of loss in loans and advances and
similar transactions resulting from the default of the counterparty.
‘Credit risk mitigation’
be broadly divided into three types; collateral, netting and set-off, and risk transfer.
‘Credit spread’
‘Credit Valuation Adjustment (CVA)’
takes into account the counterparty’s risk of default. The CVA therefore represents an estimate of the adjustment to fair value that
a market participant would make to incorporate the credit risk of the counterparty due to any failure to perform on contractual
agreements.
‘CRR leverage exposure’
‘CRR leverage ratio’
Is calculated using the CRR definition of Tier 1 capital for the numerator and the CRR definition of leverage
exposure as the denominator.
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‘Customer assets’
the year to date divided by number of days in the year to date.
‘Customer deposits’
credit institutions. Such funds are recorded as liabilities in the Barclays Bank Group’s balance sheet under deposits at amortised
cost.
‘Customer liabilities’
conditions, if the current positions were to be held unchanged for one business day, measured to a specified confidence level.
‘DBRS’
‘Debit Valuation Adjustment (DVA)’
value of a portfolio of trades and the market value which takes into account the Barclays Bank Group’s risk of default. The DVA,
therefore, represents an estimate of the adjustment to fair value that a market participant would make to incorporate the credit
risk of the Barclays Bank Group due to any failure to perform on contractual obligations. The DVA decreases the value of a liability
to take into account a reduction in the remaining balance that would be settled should the Barclays Bank Group default or not
perform any contractual obligations.
‘Debt buybacks’
their de-recognition from the balance sheet.
‘Debt securities in issue’
Barclays Bank Group and include certificates of deposit and commercial paper.
‘Default grades’
to distinguish differences in the probability of default risk.
‘Default fund contributions’
required to contribute to this fund in advance of using a CCP. The default fund can be used by the CCP to cover losses incurred by
the CCP where losses are greater than the margins provided by that member.
‘Derivatives netting’
enforceable bilateral netting agreements and eligible cash co llateral received in derivative transactions that meet the requirements
of BCBS 270.
‘Diversification effect’
It is measured as the sum of the individual asset class DVaR estimates less the total DVaR.
‘Dodd-Frank Act (DFA)’
‘Economic Value of Equity (EVE)’
interest rate movement, based on existing balance sheet run-off profile.
'Effec tive Expected Positive Exposure (EEPE)'
The weighted average over time of effective expected exposure. The weights are the
proportion that an individual exposure represents of the entire exposure horizon time interval.
‘Eligible liabilities’
Liabilities and capital instruments that are eligible to meet MREL that do not already qualify as own funds.
‘Encumbrance’
The use of assets to secure liabilities, such as by way of a lien or charge.
‘Enterprise Risk Management Framework (ERMF)’
Enterprise Risk Management Framework, which describes how Barclays Bank Group identifies and manages risk. The framework
identifies the principal risks faced by the Barclays Bank Gro up; sets out risk appetite requirements; sets out roles and
responsibilities for risk management; and sets out risk committee structure.
‘Equities’
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‘Equity and stock index derivatives’
stock index swaps and options (including warrants, which are equity options listed on an exchange). The Barclays Bank Group also
enters into fund-linked derivatives, being swaps and options whose underlyings include mutual funds, hedge funds, indices and
multi-asset portfolios. An equity swap is an agreement between two parties to exchange periodic payments, based upon a notional
principal amount, with one side paying fixed or floating interest and the other side paying based on the actual return of the stock or
stock index. An equity option provides the buyer with the right, but not the obligation, either to purchase or sell a specified stock,
basket of stocks or stock index at a specified price or level on or before a specified date.
‘Equity risk’
‘Equity structural hedge’
investment and to smoothen the income over a medium/long term.
‘EU Risk Reduction Measure package’
A collection of amending Regulations and Directives that update core EU regulatory texts and
which came into force on 27 June 2019.
‘Euro Interbank Offered Rate (EURIBOR)’
European interbank market.
‘Europe’
Continental and Eastern Europe.
‘European Banking Authority (EBA)’
The European Banking Authority (EBA) is an independent EU Authority which works to ensure
effective and consistent prudential regulation and supervision across the European banking sector. Its overall objectives are to
maintain financial stability in the EU and to safeguard the integrity, efficiency and orderly functioning of the banking sector.
‘European Securities and Markets Authority (ESMA)’
An independent European Supervisory Authority with the remit of enhancing
the protection of investors and reinforcing stable and well-functioning financial markets in the Euro pean Union.
‘Eurozone’
Represents the 19 European Union countries that have adopted the euro as their common currency. The 19 countries
are Austria, Belgium, Cyprus, Estonia, Finland, France, Germany, Greece, Ireland, Italy, Latvia, Lithuania, Luxembourg, Malta,
Netherlands, Portugal, Slovakia, Slovenia and Spain.
‘Expected Credit Losses (ECL)’
during a specified period of time. ECLs must reflect the present value of cash shortfalls, and must reflect the unbiased and
probability weighted assessment of a range of outcomes.
‘Expected Losses’
approach for capital adequacy calculations. It is measured as the Barclays Bank Group's modelled view of anticipated losses based
on Probability of Default (PD), Loss Given Default (LGD) and Exposure at Default (EAD), with a one- year time horizon.
’Expert lender models’
particular counterparty, but where there is insufficient data to support the construction of a statistical model. These models utilise
the knowledge of credit experts that have in depth experience of the specific customer type being modelled.
‘Exposure’
Generally refers to positions or actions taken by the bank, or consequences thereof, that may put a certain amount of a
bank’s resource s at risk.
‘Exposure at Default (EAD)’
counterparty in the event of, and at the time of, that counterparty’s default. At default, the customer may not have drawn the loan
fully or may already have repaid some of the principal, so that exposure may be less than the approved loan limit.
‘External Credit Assessment Institutions (ECAI)’
Institutions whose credit assessments may be used by credit institutions for the
determination of risk weight exposures according to CRR.
‘Federal Reserve Board (FRB)’
Is the governing board of the
Federal Reserve System
country's
monetary policy
.
'FICC'
Represents Macro (including rates and currency), Credit and Securitised products.
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'Financial Policy Committee (FPC)'
remove or reduce systemic risks with a view to protecting and enhancing the resilience of the UK financial system. The FPC also has
a secondary objective to support the economic policy of the UK Government.
‘F-IRB’/ 'Foundation-Internal Ratings Based’
‘Financial Conduct Authority (FCA)’
authorised firms. The FCA also has responsibility for the prudential regulation of firms that do not fall within the PRA’s scope.
‘Financial Services Compensation Scheme (FSCS)’
unable to pay claims.
‘Financial collateral comprehensive method (FCCM)’
A counterparty credit risk exposure calculation approach which applies
volatility adjustments to the market value of exposure and collateral when calculating RWA values.
‘Financial Stability Board (FSB)’
An international body that monitors and makes recommendations about the global financial
system. It promotes international financial stability by coordinating national financial authorities and international standard - setting
bodies as they work toward developing strong regulatory, supervisory and other financial sector policies. It fosters a level playing
field by encouraging coherent implementation of these policies across sectors and jurisdictions.
‘Fitch’
‘Forbearance Programmes’
than contractual amounts due where financial distress would otherwise prevent satisfactory repayment within the original terms
and conditions of the contract. These agreements may be initiated by the customer, Barclays Bank Group or a third party and
include approved debt counselling plans, minimum due reductions, interest rate concessions and switches from capital and interest
repayments to interest -only payments.
‘Foreclosures in Progress’
The process by which the bank initiates legal action against a customer with the intention of terminating
a loan agreement whereby the bank may repossess the property subject to local law and recover amounts it is owed.
‘Foreign exchange derivatives’
co ntracts, currency swaps and currency options. Forward foreign exchange contracts are agreements to buy or sell a specified
quantity of foreign currency, usually on a specified future date at an agreed rate. Currency swaps generally involves the exchange,
or notional exchange, of equivalent amounts of two currencies and a commitment to exchange interest periodically until the
principal amounts are re -exchanged on a future date. Currency options provide the buyer with the right, but not the obligation,
either to purchase or sell a fixed amount of a currency at a specified exchange rate on or before a future date. As compensation for
assuming the option risk, the option writer generally receives a premium at the start of the option period.
‘Foreign exchange risk’
Full time equivalent units are the on-job hours paid for employee services divided by the number of ordinary-
time hours normally paid for a full-time staff member when on the job (or contract employees where applicable).
‘Fully loaded’
When a measure is presented or described as being on a fully loaded basis, it is calculated without applying the
transitional provisions set out in Part Ten of CRR.
‘Funded credit protection’
institution derives from the right of that institution, in the event of the default of the counterparty or on the occurrence of other
specified credit events relating to the counterparty, to liquidate, or to obtain transfer or appropriation of, or to retain certain assets
or amounts, or to reduce the amount of the exposure to, or to replace it with, the amount of the difference between the amount of
the exposure and the amount of a claim on the institution.
‘Gains on acquisitions’
contingent liabilities, recognised in a business combination, exceeds the cost of the combination.
‘General Data Protection Regulation (GDPR)’
GDPR (Regulation (EU) 2016/679) is a regulation by which the Euro pean Parliament,
the Council of the European Union and the European Commission intend to strengthen and unify data protection for all individuals
within the European Union.
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‘General market risk’
broad equity market movement unrelated to any specific attributes of individual securities.
‘Global -Systemically Important Banks (G-SIBs or G-SIIs)’
interconnectedness, mean that their distress or failure would cause significant disruption to the wider financial system and
economic activity. The Financial Stability Board and the Basel Committee on Banking Supervision publish a list of globally
systemically important banks.
‘G -SII additional leverage ratio buffer (G-SII ALRB)’
A macroprudential buffer that applies to globally systemically important banks
(G-SIBs) and other major domestic UK banks and building societies, including banks that are subject to ring-fencing requirements.
The G-SII ALRB will be calibrated as 35% (on a phased basis) of the combined systemic risk buffers that applies to the bank.
‘GSII Buffer’
Common Equity Tier 1 capital required to be held under CRD to ensure that G- SIBs build up surplus capital to
compensate for the systemic risk that such institutions represent to the financial system.
’Grandfathering’
and CRR II non-compliant capital instruments to be included in regulatory capital subject to certain thresholds which decrease over
the transitional period.
‘Gross charge-off rates’
average outstanding balances excluding balances in recoveries. Charge-off to recoveries generally occurs when the collections focus
switches from the collection of arrears to the recovery of the entire outstanding balance, and represents a fundamental change in
the relationship between the bank and the customer. This is a measure of the proportion of customers that have gone into default
during the period.
‘Gros s write-off rates’
and advances held at amortised cost at the balance sheet date.
‘Gross new lending’
‘Guarantee’
of credit substitution.
‘Head Office’
Compliance, Risk, Treasury and Tax and other operations.
‘High-Net-Worth’
‘High Risk’
In retail banking, ‘High Risk’ is defined as the subset of up-to -date customers who, either through an event or observed
behaviour exhibit potential financial difficulty. Where appropriate, these customers are proactively contacted to assess whether
assistance is required.
‘Home loan’
The borrower gives the lender a lien against the property and the lender can foreclose on the property if the borrower does not
repay the loan per the agreed terms. Also known as a residential mortgage.
‘IHC’ or ‘US IHC’
Barclays US LLC, the intermediate holding company established by Barclays Bank Group in July 2016, which holds
most of Barclays Bank’ subsidiaries and assets in the US.
‘IMA’ / 'Internal Model Approach’
In the context of RWAs, RWAs for which the exposure amount has been derived via the use of a
PRA approved internal market risk model.
‘IMM’ / 'Internal Model Method’
In the context of RWAs, RWAs for which the exposure amount has been derived via the use of a
PRA approved internal counterparty credit risk model.
‘Identified Impairment (II)’
‘IFRS 9 transitional arrangements’
Following the application of IFRS 9 as of 1 January 2018, Article 473a of CRR permits institutions
to phase-in the impact on capital and leverage ratios of the impairment requirements under the new accounting standard.
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‘Impairment Allowances’
losses in the lending book. An impairment allowance may either be identified or unidentified and individual or collective.
‘Income’
‘Incremental Risk Charge (IRC)’
An estimate of the incremental risk arising from rating migrations and defaults for traded debt
instruments beyond what is already captured in specific market risk VaR for the non-correlation trading portfolio.
‘Independent Validation Unit (IVU)’
The function within the bank responsible for independent review, challenge and approval of all
models.
‘Individual liquidity guidance (ILG)’
that the PRA has asked the bank to maintain.
‘Inflation risk’
‘Insurance Risk’
The risk of the Barclays Bank Group’s aggregate insurance premiums received from policyholders under a portfolio
of insurance contracts being inadequate to cover the claims arising from those policies.
‘Interchange’
‘Interest -only home loans’
Under the terms of these loans, the customer makes payments of interest only for the entire term of the
mortgage, although customers may make early repayments of the principal within the terms of their agreement. The customer is
responsible for repaying the entire outstanding principal on maturity, which may require the sale of the mortgaged property.
‘Interest rate derivatives’
swaptions. An interest rate swap is an agreement between two parties to exchange fixed rate and floating rate interest by means of
periodic payments based upon a notional principal amount and the intere st rates defined in the contract. Certain agreements
combine interest rate and foreign currency swap transactions, which may or may not include the exchange of principal amounts. A
basis swap is a form of interest rate swap, in which both parties exchange interest payments based on floating rates, where the
floating rates are based upon different underlying reference indices. In a forward rate agreement, two parties agree a future
settlement of the difference between an agreed rate and a future interest rat e, applied to a notional principal amount. The
settlement, which generally occurs at the start of the contract period, is the discounted present value of the payment that would
otherwise be made at the end of that period.
‘Interest rate risk’
context of the calculation of market risk DVaR, measures the impact of changes in interest (swap) rates and volatilities on cash
instruments and derivatives.
‘Interest rate risk in the banking book (IRRBB)’
The risk that the Barclays Bank Group is exposed to capital or income volatility
because of a mismatch between the interest rate exposures of its (non-traded) assets and liabilities.
‘Internal Assessment Approach (IAA)’
One of three types of calculation that a bank with permission to use the Internal Ratings
Based (IRB) approach may apply to securitisation exposures. It consists of mapping a bank's internal rating methodology for credi t
exposures to those of an External Credit Assessment Institution (ECAI) to determine the appropriate risk weight based on the
ratings based approach. Its applicability is limited to ABCP programmes related to liquidity facilities and credit enhancement.
‘Internal Capital Adequacy Assessment Process (ICAAP)’
Companies are required to perform a formal Internal Capital Adequacy
Assessment Process (ICAAP) as part of the Pillar 2 requirements (BIPRU) and to provide this document to the PRA on a yearly basis.
The ICAAP document summarises the Barclays Bank Group’s risk management framework, including approach to managing all risks
(i.e. Pillar 1 and non-Pillar 1 risks); and, the Barclays Bank Group’s risk appetite, economic capital and stress testing frameworks.
‘Internal Ratings Based (IRB)’
weights. The IRB approach is divided into two alternative applications, Advanced and Foundation:
–
Advanced IRB (A-IRB): the bank uses its own estimates of probability of default (PD), loss given default (LGD) and credit
conversion factor to model a given risk exposure.
–
Foundation IRB: the bank applies its own PD as for Advanced, but it uses standard parameters for the LGD and the credit
conversion factor. The Foundation IRB approach is specifically designed for wholesale credit exposures. Hence retail,
equity, securitisation positions and non-credit obligations asset exposures are treated under standardised or A-IRB.
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‘Investme nt Bank’
The Barclays Bank Group’s investment bank which
consists of origination led and returns focused markets and
banking business which forms part of the Corporate and Investment Bank segment.
‘Investment Banking Fees’
businesses – including financial advisory, debt and equity underwriting.
‘Investment grade’
credit rating agencies.
‘ISDA Master Agreement’
framework of documents, designed to enable OTC derivatives to be documented fully and flexibly. The framework consists of a
master agreement, a schedule, confirmations, definition booklets, and a credit support annex. The ISDA master agreement is
published by the International Swaps and Derivatives Association (ISDA).
‘Key Risk Scenarios (KRS)’
Key Risk Scenarios are a summary of the extreme potential risk exposure for each Key Risk in each
business and function, including an assessment of the potential frequency of risk events, the average size of losses and three
extreme scenarios. The Key Risk Scenario assessments are a key input to the Advanced Measurement Approach calculation of
regulatory and economic capital requirements.
‘Large exposure’
A large exposure is defined as the total exposure of a bank to a counterparty or group of connected clients,
whether in the banking book or trading book or both, which in aggregate equals or exceeds 10% of the bank's eligible capital.
‘Legal risk’
obligations including regulatory or contractual requirements.
‘Lending’
In the context of Investment Bank Analysis of Total Income, lending income includes net interest income, gains or losses
on loan sale activity, and risk management activity relating to the loan portfolio.
‘Letters of credit’
will be made on time and in full. In the event that the debtor is unable to make payment, the bank will be required to cover the full
or remaining amount of the purchase.
‘Level 1 assets’
High quality liquid assets under the Basel Committee’s Liquidity Coverage Ratio (LCR), including cash, central bank
reserves and higher quality government securities.
‘Level 2 assets’
Level 2 assets, with the latter comprised of Level 2A and Level 2B assets. Level 2A assets include, for example, lower quality
government securities, covered bonds and corporate debt securities. Level 2B assets include, for example, lower rated corporate
bonds, residential mortgage backed securities and equities that meet certain conditions.
‘Lifetime expected credit losses’
an exposure, reflecting the present value of cash shortfalls over the remaining expected life of the asset.
‘Lifetime Probability’
‘Liquidity Coverage Ratio (LCR)’
days. High- quality liquid assets should be unencumbered, liquid in markets during a time of stress and, ideally, be central bank
eligible. These include, for example, cash and claims on central governments and central banks.
‘Liquidity Pool’
by the Barclays Bank Group as a contingenc y to enable the bank to meet cash outflows in the event of stressed market conditions.
‘Liquidity Risk’
The risk that the Barclays Bank Group is unable to meet its contractual or contingent obligations or that is does not
have the appropriate amount, tenor and composition of funding and liquidity to support its assets.
‘Liquidity risk appetite (LRA)’
objectives and in meeting its regulatory obligations.
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‘Liquidity Risk Management Framework (the Liquidity Framework)’
The Liquidity Risk Management Framework (the Liquidity
Framework), which is sanctioned by the Board Risk Committee (BRC) and which incorporates liquidity policies, systems and controls
that the Barclays Bank Group has implemented to manage liquidity risk within tolerances approved by the Board and re gulatory
agencies.
‘Litigation and conduct charges’ or ‘Litigation and conduct’
Litigation and conduct charges include regulatory fines, litigation
settlements and conduct related customer redress.
‘Loan loss rate’
held at amortised cost at the balance sheet date.
‘Loan to deposit ratio’
‘Loan to value (LTV) ratio’
of the asset. The ratios are used in determining the appropriate level of risk for the loan and are generally reported as an average
for new mortgages or an entire portfolio. Also see ‘Marked to market (MTM) LTV ratio.’
‘London Interbank Offered Rate (LIBOR)’
London interbank market.
‘Loss Given Default (LGD)’
default. LGD comprises the actual loss (the part that is not expected to be recovered), together with the economic costs associated
with the recovery process.
‘Management VaR’
level, if current positions were to be held unchanged for predefined period. Corporate and Investment Bank uses Management VaR
with a two -year equally weighted historical period, at a 95% confidence level, with a one day holding period.
‘Mandatory break clause’
In the context of counterparty credit risk, a contract clause that means a trade will be ended on a
particular date.
‘Marked to market approach’
value of derivative positions as well as a potential future exposure add-on to calculate an exposure to which a risk weight can be
applied. This is also known as the Current Exposure Method.
‘Marked to market (MTM) LTV ratio’
Also see ‘Balance weighted Loan to Value (LTV) ratio’ and ‘Valuation weighte d Loan to Value (LTV) ratio.’
‘Market risk’
from fluctuation in market variables including, but not limited to, interest rates, foreign exchange, equity prices, commodity prices,
credit spreads, implied volatilities and asset correlations.
‘Master netting agreements’
covered by the agreemen t in the event of the counterparty’s default or bankruptcy or insolvency, resulting in a reduced exposure.
‘Master trust securitisation programmes’
receivables. The trust issues multiple series of securities backed by these receivables.
‘Material Risk Takers (MRTs)’
Categories of staff whose professional activities have or are deemed to have a material impact on
Barclays Bank Group’ risk profile, as determined in accor dance with the European Banking Authority regulatory technical standard
on the identification of such staff.
‘Maximum Distributable Amount (MDA)’
The MDA is a factor representing the available distributable profit whilst remaining in
excess of its combined buffer requirement. CRD IV places restrictions on a bank’s dividend decisions depending on its proximity to
meeting the buffer.
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‘Medium-Term Notes’
Investors can choose from differing maturities, ranging from nine months to 30 years. They can be issued on a fixed or floating
coupon basis or with an exotic coupon; with a fixed maturity date (non-callable) or with embedded call or put options or early
repayment triggers. MTNs are most generally issued as senior, unsecured debt.
‘Methodology and policy’
In the context of the Capital Risk section, the effect on RWAs of methodology changes driven by
regulatory policy changes.
‘MiFID II’
The Markets in Financial Instruments Directive 2004/39/EC (known as "MiFID" I) as subsequently amended to MiFID II is a
European Union law that provides harmonised regulation for investment services across the 31 member states of the European
Economic Area.
‘Minimum requirement for own funds and eligible liabilities (MREL)’
A European Union wide requirement under the Bank Recovery
and Resolution Directive for all European banks and investment banks to hold a minimum level of equity and/or loss absorbing
eligible liabilities to ensure the operation of the bail-in tool to absorb losses and recapitalise an institution in resolution. An
institution’s MREL requirement is set by its resolution authority. Amendments in the EU Risk Reduction Measure package are
designed to align MREL and TLAC for EU G-SIBs.
‘Model risk’
The risk of the potential adverse consequences from financial assessments or decisions based on incorrect or misused
model outputs and reports.
‘Model updates’
In the context of the Capital Risk section, changes in RWAs caused by model implementation, changes in model
scope or any changes required to address model malfunctions.
‘Model validation’
Process through which models are independently challenged, tested and verified to prove that they hav e been
built, implemented and used correctly, and that they continue to be fit-for -purpose.
‘Modelled—VaR’
the PRA.
‘Money market funds’
‘Monoline derivatives’
‘Moody’s’
‘Mortgage Servicing Rights (MSR)’
A contractual agreement in which the right to service an existing mortgage is sold by the original
lender to another party that specialises in the various functions involved with servicing mortgages.
‘Multilateral development banks’
national boundaries.
‘National discretion’
certain CRD rules in its jurisdiction.
‘Net asset value per share’
instruments, by the number of issued ordinary shares.
‘Net interest income (NII)’
‘Net interest margin (NIM)’
‘Net investment income’
result on disposal of available for sale assets.
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‘Net Stable Funding Ratio (NSFR)’
assuming a stressed scenario. The ratio is required to be over 100%. Available stable funding would include such items as equity
capital, preferred stock with a maturity of over 1 year, or liabilities with a maturity of over 1 year. The required amount of stable
funding is calculated as the sum of the value of the assets held and funded by the institution, multiplied by a specific required
stable funding (RSF) fa ctor assigned to each particular asset type, added to the amount of potential liquidity exposure multiplied by
its associated RSF factor.
‘Net trading income’
and customer business, together with interest, dividends and funding costs relating to trading activities.
‘Net write-off rate’
rec overies divided by gross loans and advances held at amortised cost at the balance sheet date.
‘Net written credit protection’
credit derivatives protectio n bought.
‘New bookings’
The total of the original balance on accounts opened in the reporting period, including any applicable fees and
charges included in the loan amount.
‘Non-asset backed debt instruments’
corporate bonds; commercial paper; certificates of deposit; convertible bonds; corporate bonds and issued notes.
‘Non-model method (NMM)’
through the use of CRR norms, as opposed to an internal model.
‘Non-Traded Market Risk’
The risk that the current or future exposure in the banking book (i.e. non-traded book) will impact bank's
capital and/or earnings due to adverse movements in Interest or foreign exchange rates.
‘Non-Traded VaR’
Reflects the volatility in the value of the fair value through other comprehensive income (FVOCI) investments in
the liquidity pool which flow directly through capital via the FVOCI reserve. The underlying methodology to calculate non-traded
VaR is similar to Traded Management VaR, but the two measures are not directly comparable. The Non-Traded VaR represents the
volatility to capital driven by the FVOCI exposures. These exposures are in the banking book and do not meet the criteria for trading
book treatment.
‘Notch’
‘Notional amount’
The nominal or face amount of a financial instrument, such as a loan or a derivative, that is used to calculate
payments made on that instrument.
‘Open Banking’
The Payment Services Directive (PSD2) and the Open API standards and data sharing remedy imposed by the UK
Competition and Markets Authority following its Retail Banking Market Investigation Order.
‘Operating leverage’
‘Operational risk’
events (for example, fraud) where the root cause is not due to credit or market risks.
‘Operational Riskdata eXchange (ORX)’
dedicated to advancing the measurement and management of operational risk in the global financial services industry. Barclays
Bank is a member of ORX.
‘Origination led’
‘OSII’
Other systemically important institutions are institutions that are deemed to create risk to financial stability due to their
systemic importance.
‘Over -the-counter (OTC) derivatives’
They offer flexibility because, unlike standardised exchange -traded products, they can be tailored to fit specific needs.
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‘Ov erall capital requirement’
The overall capital requirement is the sum of capital required to meet the total of a Pillar 1
requirement, a Pillar 2A requirement, a Global Systemically Important Institution (G- SII) buffer, a Capital Conservation Buffer (CCB)
and a Countercyclical Capital Buffer (CCyB).
‘Own credit’
‘Owner occupied mortgage’
A mortgage where the intention of the customer was to occupy the property at origination.
‘Own funds’
The sum of Tier 1 and Tier 2 capital.
‘Past due items’
Refers to loans where the borrower has failed to make a payment when due under the terms of the loan contract.
‘Payment Protection Insurance (PPI) redress’
costs.
‘Pension Risk’
The risk of the Barclays Bank Group’s earnings and capital being adversely impacted by the Barclays Bank Group’s
defined benefit obligations increasing or the value of the assets backing these defined benefit obligations decreasing due to
changes in both the level and volatility of prices.
‘Performance costs’
term incentives, the accounting charge is spread over the relevant periods in which the employee delivers service.
‘Personal Banking’
Offers retail advice, products and services to community and premier customers in the UK.
‘Per iod end allocated tangible equity’
adjusted for capital deductions, excluding goodwill and intangible assets, reflecting assumptions the Barclays Bank Group uses for
capital planning purposes. Head Office allocated tangible equity represents the difference between the Barclays Bank Group’s
tangible shareholders’ equity and the amounts allocated to businesses.
‘Pillar 1 requirements’
The minimum regulatory capital requirements to meet the sum of credit (including counterparty credit),
market and operational risk.
‘Pillar 2A requirements’
The additional regulatory capital requirement to meet risks not captured under Pillar 1 requirements. This
requirement is the outcome of the bank’s Internal Capital Adequacy Assessment Process (ICAAP) and the complementary
supervisory review and evaluation carried out by the PRA.
‘Post -model adjustment (PMA)’
portfolio level to account for model input data deficiencies, inadequate model performance or changes to regulatory definitions
(e.g. definition of default) to ensure the model output is accurate, complete and appropriate.
‘Potential Future Exposure (PFE) on Derivatives’
credit exposure on both exchange traded and OTC derivative contracts, calculated by assigning a standardised percentage (based
on the underlying risk category and residual trade maturity) to the gross notional value of each contract.
‘PRA waivers’
specific to an orga nisation and require applications being submitted to and approved by the PRA.
‘Primary securitisations’
The issuance of securities (bonds and commercial papers) for fund-raising.
‘Primary Stress Tests’
losses that might arise from extreme market moves or scenarios. Primary Stress Tests apply stress moves to key liquid risk factors
for each of the major trading asset classes.
‘Prime Services’
business also provides brokerage facilitation services for hedge fund clients offering executi on and clearance facilities for a variety
of asset classes.
‘Principal’
interest).
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‘Principal Investments’ / ‘Private equity investments’
public exchange. Investment in private equity often involves the investment of capital in private companies or the acquisition of a
public company that results in the delisting of public equity. Capital for private equity investment is raised by retail or institutional
investors and used to fund investment strategies such as leveraged buyouts, venture capital, growth capital, distressed investments
and mezzanine capital.
‘Principal Risks’
Annual Report.
‘Pro -cyclicality’
cycle, where the subsequent impact on lending or other market behaviours acts as an amplification of the economic cycle by the
financial sector.
‘Probability of Default (PD)’
The likelihood that a loan will not be repaid and will fall into default. PD may be calculated for each
client who has a loan (normally applicable to wholesale customers/clients) or for a portfolio of clients with similar attributes
(normally applicable to retail customers). To calculate PD, Barclays Bank Group assesses the credit quality of borrowers and other
counterparties and assigns them an internal risk rating. Multiple rating methodologies may be used to inform the rating decision on
individual large credits, such as internal and external models, ra ting agency ratings, and for wholesale assets market information
such as credit spreads. For smaller credits, a single source may suffice such as the result from an internal rating model.
‘Product structural hedge’
(such as non-interest bearing current accounts and managed rate deposits) and to smoothen the income over a medium/long term.
‘Properties in Possession held as ’Loans and Advances to Customers’’
Properties in the UK and Italy where the customer continues
to retain legal title but where the bank has enforced the possession order as part of the foreclosure process to allow for the
disposal of the asset or the court has ordered the auction of the property.
‘Properties in Possession held as ‘Other Real Estate Owned’’
Properties in South Africa, where the bank has taken legal ownership
of the title as a result of purchase at an auction or similar and treated as ‘Other Real Estate Owned’ within other assets on the
bank’s balance sheet.
‘Proprietary trading’
behalf of customers , so as to make a profit for itself.
‘Prudential Regulation Authority (PRA)’
insurers and a small number of significant investment banks in the UK. The PRA is a subsidiary of the Bank of England.
‘Prudential valuation adjustment (PVA)’
value to comply with regulatory valuation standards, which place greater emphasis on the inherent uncertainty around the value at
which a trading book position could be exited.
‘Public benchmark’
‘Qualifying central bank claims’
An amount calculated in line with the PRA policy statement allowing banks to exclude claims on the
central bank from the calculation of the leverage exposure measure, as long as these are matched by deposits denominated in the
same currency and of identical or longer maturity.
‘Qualifying Revolving Retail Exposure (QRRE)’
In the context of the IRB approach to credit risk RWA calculations, an exposure
meeting the criteria set out in BIPRU 4.6.42 R (2). It includes most types of credit card exposure.
‘Rates’
derivatives.
‘Re -aging’
The returning of a delinquent account to up-to -date status without collecting the full arrears (principal, interest and
fees).
‘Real Estate Mortgage Investment Conduits (REMICs)’
An entity that holds a fixed pool of mortgages and that is
separated into
multiple classes of interests for issuance to investors.
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‘Recovery book’
strategies to recover the Group’s exposure.
‘Recovery book Impairment Coverage Ratio’
balance in recoveries.
‘Recovery book proportion of outstanding balances’
all accounts that have charged -off) as at the period end compared to total outstanding balances. The size of the recoveries book
would ultimately have an impact on the overall impairment requirement on the portfolio. Balances in recoveries will decrease if:
assets are written -off; amounts are collected; or assets are sold to a third party (i.e. debt sale).
‘Regulatory capital’
‘Renegotiated loans’
adverse change in the circumstances of the borrower. In the latter case renegotiation can result in an extension of the due date of
payment or repayment plans under which the Barclays Bank Group offers a concessionary rate of interest to genuinely distressed
borrowers. This will result in the asset continuing to be overdue and will be individually impaired where the renegotiated payments
of interest and principal will not recover the original carrying amount of the asset. In other cases, renegotiation will lead to a new
agreement, which is treated as a new loan.
‘Repurchase agreement (Repo)’ / ‘Reverse repurchase agreement (Reverse repo)’
financial securities as collateral for an interest bearing cash loan. The borrower agrees to sell a security to the lender subject to a
commitment to repurchase the asset at a specified price on a given date. For the party selling the security (and agreeing to
repurchase it in the future) it is a Repurchase agreement or Repo; for the counterp arty to the transaction (buying the security and
agreeing to sell in the future) it is a Reverse repurchase agreement or Reverse repo.
‘Reputation risk’
and competence by clients, counterparties, investors, regulators, employees or the public.
‘Re -securitisations’
positions where the underlying assets are also predominantly securitisation positions.
‘Reserve Capital Instruments (RCIs)’
terms.
‘Residential Mortgage -Backed Securities (RMBS)’
these securities have the right to cash received from future mortgage payments (interest and/or principal).
‘Residual maturity’
The remaining contractual term of a credit obligation associated with a credit exposure.
‘Restructured loans’
has been granted to the debtor that would not otherwise be considered. Where the concession results in the expected cash flows
discounted at the original effective interest rate being less than the loan’s carrying value, an impairment allowance will be raised.
‘Retail Loans’
It includes both secured and unsecured loans such as mortgages and credit card balances, as well as loans to certain smaller
business customers, typically with exposures up to £3m or with a turnover up to £5m.
‘Return on average Risk Weighted Assets’
‘Return on average tangible shareholders’ equity’ (RoTE) Annualised
profit after tax attributable to ordinary equity holders of the
parent, as a proportion of average shareholders’ equity excluding non-controlling interests and other equity instruments adjusted
for the deduction of intangible assets and goodwill.
‘Return on average allocated tangible equity’ Annualised
profit after tax attributable to ordinary equity holders of the parent, as a
proportion of average allocated tangible equity.
‘Risk appetite’
range of possible outcomes as business plans are implemented.
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‘Risk weighted assets (RWAs)’
accordance with the Basel rules as implemented by CRR and local regulators.
‘Risks not in VaR (RNIVS)’
framework.
‘Sarbanes-Oxley requirements’
against corporate governance scandals such as Enron, WorldCom and Tyco. All US-listed companies must comply with SOX.
‘Second Lien’
compensation for this debt will only be received after the first lien has been repaid and thus represents a riskier investm ent than
the first lien.
‘Secondary Stress Tests’
be hedged or reduced within the time period covered in Primary Stress Tests.
‘Secured Overnight Financing Rate (SOFR)’
A broad measure of the cost of borrowing cash overnight collateralized by U.S. Treasury
securities in the repurchase agreement (repo) market.
‘Securities Financing Transactions (SFT)’
securities or commodities lending or borrowing transaction, or a margin lending transaction whereby cash collateral is received or
paid in respect of the transfer of a related asset.
‘Securities financing transactions adjustments’
collateral, taking into account master netting agreements.
‘Securities lending arrangements’
to return them at a future date. The counterparty generally provides collateral against non performance in the form of cash or
other assets.
‘Securitisation’
pool, which is used to back new securities. A company sells assets to a special purpose vehicle (SPV) which then issues securities
backed by the assets. This allows the credit quality of the assets to be separated from the credit rating of the original borrower and
transfers risk to external investors.
‘Set-off clauses’
In the context of Counterparty credit risk, contract clauses that allow Barclays Bank Group to set off amounts owed
to us by a counterparty against amounts owed by us to the counterparty.
‘Settlement balances’
bond) is sold, purchased or otherwise closed out, and the date the asset is delivered by or to the entity (the settlement date) and
cash is received or paid.
‘Settlement risk’
one or more settlement obligations.
‘Significant Increase in Credit Risk (SICR)’
on quantitative and qualitative assessments.
‘Slotting’
assessment of factors such as the financial strength of the counterparty. The requirements for the application of the Slotting
approach are detailed in BIPRU 4.5.
‘Sovereign exposure(s)’
‘Specific market risk’
change in an investment due to factors related to the issuer or, in the case of a derivative, the issuer of the underlying investment.
‘Spread risk’
yields.
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‘SRB ALRB’
The systemic risk buffer (SRB) additional leverage ratio buffer (ALRB) is firm specific requirement set by the PRA using its
powers under section 55M of the Financial Services and Markets Act (2000). Barclays Bank PLC is required to hold an amount of
CET1 capital that is equal to or greater than its ALRB.
initial recognition. Stage 1 financial instruments are required to recognise a 12 month expected credit loss allowance.
‘Stage 2’
initial recognition. Stage 2 financial instruments are re quired to recognise a lifetime expected credit loss allowance.
‘Stage 3’
are required to recognise a lifetime expected credit loss allowance.
‘Standard & Poor’s’
‘Standby facilities, credit lines and other commitments’
conditions. Such commitments are either made for a fixed period, or have no specific maturity but are cancellable by the lender
subject to notice requirements.
‘Statutory’
the UK Companies Act 2006 and the requirements of International Financial Reporting Standards (IFRS).
‘Statutory return on average shareholders’ equity’
average shareholders’ equity.
‘STD’ / ‘Standardised Approach’
risk weights based on counterparty type and a credit rating provided by an External Credit Assessment Institute.
‘Sterling Over Night Index Average (SONIA)’
unsecured market administrated and calculated by the Bank of England.
‘Stress Testing’
have unfavourable effects on the Barclays Bank Group (either financial or non-financial), assessing the Barclays Bank Group’s ability
to withstand such changes, and identifying management actions to mitigate the impact.
‘Stressed Value at Risk (SVaR)’
An estimate of the potential loss arising from a 12-month period of significant financial stress
calibrated to 99% confidence level over a 10-day holding period.
‘Structured entity’
generally created to achieve a narrow and well defined objective with restrictions around their ongoing activities.
‘Structural hedge’ / ‘hedging’
medium/long term on positions that exist within the balance sheet and do not re- price in line with market rates. See also ‘Equity
structural hedge’ and ‘Product structural hedge’.
‘Structural model of default’
A model based on the assumption that an obligor will default when its assets are insufficient to cover
its liabilities.
‘Structured credit’
structured credit vehicles.
‘Structured finance/notes’
or index and sometimes offers capital protection if the value declines. Structured notes can be linked to equities, interest rates,
funds, commodities and foreign currency.
‘Sub-prime’
delinquencies and potentia lly more severe problems such as court judgments and bankruptcies. They may also display reduced
repayment capacity as measured by credit scores, high debt-to -income ratios, or other criteria indicating heightened risk of default.
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‘Subordinated liabilities’
depositors and other creditors of the issuer.
‘Supranational bonds’
Bonds issued by an international organisation, where membership transcends national boundaries (e.g. the
European Union or World Trade Organisation).
‘Synthetic Securitisation Transactions’
Securitisation transactions effected through the use of derivatives.
‘Systemic Risk Buffer’
CET1 capital that may be required to be held as part of the Combined Buffer Requirement increasing the
capacity of UK banks to absorb stress and limiting the damage to the economy as a result of restricted lending.
‘Tangible net asset value (TNAV)’
assets and goodwill.
‘Tangible net asset value per share’
equity instruments, less goodwill and intangible assets, by the number of issued ordinary shares.
‘Tangible shareholders’ equity’
the deduction of intangible assets and goodwill.
‘Term premium’
‘The Fundamental Review of the Trading Book (FRTB)’
on Banking Supervision as part of Basel III applicable to banks’ wholesale trading activities.
‘The Standardised Approach (TSA)’
Under the TSA, banks are required to hold regulatory capital for operational risk equal to the
annual average, calculated over a rolling three-year period, of the relevant income indicator (across all business lines), multiplied by
a supervisory defined percentage factor by business lines.
‘The three lines of defence’
The three lines of defence operating model enables Barclays Bank Group to separate risk management
activities between those client facing areas of the Barclays Bank Group and associated support functions responsible for identifying
risk, operating within applicable limits and escalating risk events (first line); colleagues in Risk and Compliance who establish the
limits, rules and constraints under which the first line operates and monitors their performance against those limits and constraints
(second line); and, colleagues in Internal Audit who provide assurance to the Board and Executive Management over the
effectiveness of governance, risk management and control over risks (third line). The Legal function does not sit in any of the three
lines, but supports them all. The Legal function is, however, subject to oversight from Risk and Compliance with respect to
operational and conduct risks.
‘Tier 1 capital’
‘Tier 1 capital ratio’
‘Tier 2 (T2) capita
l’
share premium accounts where qualifying conditions have been met.
‘Tier 2 (T2) securities’
‘Total capital ratio’
Total Regulatory capital as a percentage of RWAs.
‘Total Loss Absorbing Capacity (TLAC)’
A standard published by the FSB which is applicable to G-SIBs and requires a G-SIB to hold a
prescriptive minimum level of instruments and liabilities that should be readily available for bail-in within resolution to absorb
losses and recapitalise the institution.
‘Total outstanding balance’
In retail banking, total outstanding balance is defined as the gross month-end customer balances on all
accounts including accounts charged off to recoveries.
‘Total return swap’
and change in the capital value of the asset. The buyer of the protection in return receives a predetermined amount.
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‘Total balances on forbearance programmes coverage ratio’
a percentage of balance in forbearance.
‘Traded Market Risk’
The risk of a reduction to earnings or capital due to volatility of trading book positions.
‘Trading book’
All positions in financial instruments and commodities held by an institution either with trading intent, or in order to
hedge positions held with trading intent.
‘Traditional Securitisation Transactions’
Securitisation transactions in which an underlying pool of assets generates cash flows to
service payments to investors.
‘Transitional’
transitional provisions set out in Part Ten of CRR.
‘Treasury and Capital Risk’
‘Twelve month expected credit losses’
date (or shorter period if the expected life is less than 12 months), weighted by the probability of said default occurring.
‘Twelve month PD’
‘Unencumbered’
‘United Kingdom (UK)’
‘UK Bank levy’
on a percentage of the chargeable equity and liabilities of the bank on its balance sheet date.
‘UK leverage exposure’
Is calculated as per the PRA rulebook, where the exposure calculation also includes the FPC’s
recommendation to allow banks to exclude claims on the central bank from the calculation of the leverage exposure measure, as
long as these are matched by deposits denominated in the same currency and of identical or longer maturity.
‘UK levera ge ratio’
As per the PRA rulebook, means a bank’s tier 1 capital divided by its total exposure measure, with this ratio
expressed as a percentage.
‘Unfunded credit protection’
institution derives from the obligation of a third party to pay an amount in the event of the default of the borrower or the
occurrence of other specified credit events.
‘US Partner Portfolio’
retail and financial sectors.
‘US Residential Mortgages’
‘Valuation weighted Loan to Value (LTV) Ratio’
calculating marked to market LTVs derived by comparing total outstanding balance and the value of total collateral we hold against
these balances. Valuation weighted loan to value is calculated using the following formula: LTV = total outstandings in
portfolio/total property values of total outstandings in portfolio.
‘Value at Risk (VaR)’
level and within a specific timeframe.
‘Weighted off balance sheet commitments’
factors used in the Standardised Approach to credit risk.
‘Wholesale loans’ / ‘lending’
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‘Write -off (gross)’
to try to recover the asset or it is deemed immaterial or full and final settlement is reached and the shortfall written off. In the
event of write-off, the customer balance is removed from the balance sheet and the impairment allowance held against the asset is
released. Net write-offs represent gross write-offs less post write - off recoveries.
‘Wrong -way risk’
Arises, in a trading exposure, when there is significant correlation between the underlying asset and the
counterparty, which in the event of default would lead to a significant mark to market loss. When assessing the credit exposure of a
wrong -way trade, analysts take into account the correlation between the counterparty and the underlying asset as part of the
sanctioning process.