G5GSEF7VJP5I7OUK5573-2021-12-31-T01

▪Net interest income sensitivity

▪Analysis of equity sensitivity

▪Volatility of the fair value through other comprehensive income

(FVOCI) portfolio in the liquidity pool

▪Operational risk overview and summary of performance

Operational risk: The risk of loss to the Barclays Bank Group from

inadequate or failed processes or systems, human factors or due to

external events (for example fraud) where the root cause is not due

to credit or market risks.

117

▪Operational risk profile

117

Model risk: The potential for adverse consequences from decisions

based on incorrect or misused model outputs and reports.

▪Model risk overview and summary of performance

119

Conduct risk: The risk of poor outcomes for, or harm to,

customers, clients and markets, arising from the delivery of the

Barclays Bank Group's products and services.

▪Conduct risk overview and summary of performance

119

Reputation risk: The risk that an action, transaction, investment,

event, decision, or business relationship will reduce trust in the

Barclays Bank Group’s integrity and/or competence.

▪Reputation risk overview and summary of performance

119

Legal risk: The risk of loss or imposition of penalties, damages or

fines from the failure of the Barclays Bank Group to meet its legal

obligations including regulatory or contractual requirements.

▪Legal risk overview and summary of performance

120

Supervision and regulation

The Barclays Bank Group’s operations, including its overseas

offices, subsidiaries and associates, are subject to a significant body

of rules and regulations.

▪Supervision of the Barclays Bank Group

121

Risk review

Contents

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The Barclays Bank Group’s risk management strategy

This section introduces the Barclays Bank Group’s approach to managing and identifying risks, and for fostering a strong risk culture.

Enterprise Risk Management Framework (ERMF)

The ERMF outlines the highest level principles for risk management by setting out standards, objectives and key responsibilities of different groups of

employees of the Barclays Bank Group. It is approved by the Barclays PLC Board on recommendation of the Barclays Group Board Risk Committee and

the Barclays Bank Group Chief Risk Officer (CRO); it is then adopted by the Barclays Bank Group.

The ERMF sets out:

▪Risk Management and Segregation of duties: the ERMF defines a Three Lines of Defence model.

▪Principal risks faced by the Barclays Bank Group which guides the organisation of the risk management function.

▪Risk appetite requirements: this helps define the level of risk we are willing to undertake in our business.

▪Roles and responsibilities for key risk management and governance structure.

The ERMF is complemented by frameworks, policies and standards which are mainly aligned to individual principal risks:

▪Frameworks cover the management processes for a collection of related activities and define the associated policies used to govern them.

▪Policies set out principles, control objectives and other core requirements for the activities of the Barclays Bank Group. Policies describe “what”

must be done.

▪Standards set out the key control requirements that describe ''how'' the requirements set out in the policy are met.

Segregation of duties - the "Three Lines of Defence" model

The ERMF sets out a clear lines of defence model. All colleagues are responsible for understanding and managing risks within the context of their

individual roles and responsibilities, as set out below:

▪The First line comprises of all employees engaged in the revenue generating and client facing areas of the Barclays Bank Group and all associated

support functions, including Finance, Operations, Treasury and Human Resources. The first line is responsible for identifying and managing the risks

in which they are engaged , developing a control framework, and escalating risk events to Risk and Compliance.

▪The Second line is comprised of the Risk and Compliance functions. The role of the second line is to establish the limits, rules and constraints,

Policies and Standards under which first line activities shall be performed, consistent with the risk appetite of the Barclays Bank Group, and to

monitor the performance of the first line against these limits, rules and constraints. Controls for first line activities, especially those related to

Operational Risk, will ordinarily be established by the Control Officers operating within the Control Framework of the Barclays Bank Group. These

controls will remain subject to supervision by the second line.

▪The Third line of defence is Internal Audit, who are responsible for providing independent assurance over the effectiveness of governance, risk

management and control over current, systemic and evolving risks.

▪The Legal function provides support to all areas of the Barclays Bank Group and is not formally part of any of the three lines. However, it is subject

to second line oversight with respect to Operational and Conduct Risks.

Principal risks

The ERMF identifies nine principal risks (see managing risks in the strategic report section) namely: credit risk, market risk, treasury and capital risk,

climate risk, operational risk, model risk, conduct risk, reputation risk and legal risk. Note that climate risk was added in January 2022; see page 49 for

more information.

Each of the principal risks is overseen by an accountable executive at the Barclays Group level who is responsible for the framework, policies and

standards that set out associated responsibilities and expectations, and detail the related requirements around risk management. In addition, certain

risks span across more than one principal risk.

Risk appetite

Risk appetite is defined as the level of risk which the Barclays Bank Group is prepared to accept in the conduct of their activities. It provides a basis for

ongoing dialogue between management and Board with respect to the Barclays Bank Group’s current and evolving risk profile, allowing strategic and

financial decisions to be made on an informed basis.

Risk appetite is approved by the Barclays PLC Board in aggregate and disseminated across legal entities and businesses, including the Barclays Bank

Group. The Barclays Bank PLC Board cannot approve a higher risk appetite than that determined by the Barclays PLC Board without the approval of the

Barclays PLC Board but may choose to operate at a lower level of risk appetite than that approved by the Barclays Group.

The Barclays Group’s total risk appetite and its allocation to the Barclays Bank Group are supported by limits to enable and control, specific exposures

and activities that have material concentration risk implications.

Risk Committees

The Barclays Bank Group product/risk type committees consider risk matters relevant to their business, and escalate as required to the Barclays Group

Risk Committee, whose Chairman, in turn, escalates to the Barclays Bank PLC Board Committees and the Barclays Bank PLC Board.

Risk review

Risk management

Barclays’ risk management strategy

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The Barclays Bank PLC Board receives regular information on the risk profile of Barclays Bank Group, and has ultimate responsibility for approval of risk

appetite and capital plans, within the parameters set by the Barclays PLC Board. The Barclays Bank PLC Board is also responsible for the adoption of the

ERMF.

Further, there are two Board-level committees which oversee the application of the ERMF and review and monitor risk across Barclays Bank PLC. These

are: the Barclays Bank PLC Board Risk Committee and the Barclays Bank PLC Board Audit Committee. Additionally, the Barclays Bank PLC Board

Remuneration Committee oversees pay practices focusing on aligning pay to sustainable performance:

▪The Barclays Bank PLC Board Risk Committee (BRC): The BRC monitors Barclays Bank Group’s risk profile against the agreed appetite. Where

actual performance differs from expectations, the actions taken by management are reviewed to ascertain that the BRC is comfortable with them.

The Barclays Bank Group CRO regularly presents a report to the BRC summarising developments in the risk environment and performance trends in

the key portfolios. The BRC also reviews certain key risk methodologies, the effectiveness of risk management, and the Barclays Bank Group risk

profile, including the material issues affecting each business portfolio and forward risk trends. The committee also commissions in-depth analyses

of significant risk topics, which are presented by the Barclays Bank Group CRO or senior risk managers in the businesses.

▪The Barclays Bank PLC Board Audit Committee (BAC): The BAC receives regular reports on the effectiveness of internal control systems, on

material control issues of significance, and on accounting judgements (including impairment), and a quarterly review of the adequacy of

impairment allowances, relative to the risk inherent in the portfolios, the business environment, and Barclays policies and methodologies.

▪The Barclays Bank PLC Board Remuneration Committee (RemCo): The RemCo receives proposals on ex-ante and ex-post risk adjustments to

variable remuneration based on risk management performance including events, issues and the wider risk profile. These inputs are considered in

the setting of performance incentives.

Barclays’ risk culture

Risk culture can be defined as the norms, attitudes and behaviours related to risk awareness, risk taking and risk management. This is reflected in how

the Barclays Group identifies, escalates and manages risk matters.

The Barclays Group is committed to maintaining a robust risk culture in which:

▪management expect, model and reward the right behaviours from a risk and control perspective; and

▪colleagues identify, manage and escalate risk and control matters, and meet their responsibilities around risk management.

The Group CEO works with the Executive Management to embed a strong risk culture within the Group, with particular regard to the identification,

escalation and management of risk matters, in accordance with the ERMF. Specifically, all employees regardless of their positions, functions or locations

must play their part in the Barclays Bank Group’s risk management. Employees are required to be familiar with risk management policies which are

relevant to their responsibilities, know how to escalate actual or potential risk issues, and have a role-appropriate level of awareness of the risk

management process as defined by the ERMF.

Our Code of Conduct – the Barclays Way

Globally, all colleagues must attest to the “Barclays Way”, our Code of Conduct, and comply with all frameworks, policies and standards applicable to

their roles. The Code of Conduct outlines the Purpose, Values and Mindset which govern our ‘Barclays Way’ of working across our business globally. It

constitutes a reference point covering all aspects of colleagues’ working relationships, and provides guidance on working with other Barclays

employees, customers and clients, governments and regulators, business partners, suppliers, competitors and the broader community.

Risk review

Risk management

Barclays’ risk management strategy

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Material existing and emerging risks to the Barclays Bank Group’s future performance

The Barclays Bank Group has identified a broad range of risks to which its businesses are exposed. Material risks are those to which senior management

pay particular attention and which could cause the delivery of the Barclays Bank Group’s strategy, results of operations, financial condition and/or

prospects to differ materially from expectations. Emerging risks are those which have unknown components, the impact of which could crystallise over

a longer time period. In addition, certain other factors beyond the Barclays Bank Group’s control, including escalation of terrorism or global conflicts,

natural disasters, pandemics and similar events, although not detailed below, could have a similar impact on the Barclays Bank Group.

Material existing and emerging risks potentially impacting more than one principal risk

i)Risks relating to the impact of COVID-19

The COVID-19 pandemic has had, and continues to have, a material impact on businesses around the world and the economic environments in which

they operate. Additionally, the impacts of the economic downturn resulting from the COVID-19 pandemic and post-recovery environment, from a

commercial, regulatory and risk perspective, could be significantly different to past crises and persist for a prolonged period. As a result, there are a

number of factors associated with the COVID-19 pandemic and its impact on global economies that have had and could continue to have a material

adverse effect on the profitability, capital and liquidity of the Barclays Bank Group.

The COVID-19 pandemic has caused disruption to the Barclays Bank Group's customers, suppliers and staff globally. Most jurisdictions in which the

Barclays Bank Group operates implemented severe restrictions on the movement of their respective populations, with a resultant significant impact on

economic activity in those jurisdictions. While a number of restrictions have been eased with the roll-out of COVID-19 vaccination programmes, others

still remain in place and future developments are highly uncertain. In some jurisdictions, restrictions that had been previously lifted were re-imposed in

response to a resurgence in cases. These decisions are being taken by the governments of individual jurisdictions (including through the

implementation of emergency powers) and impacts (including any subsequent lifting, extension or reimposition of restrictions) may vary from

jurisdiction to jurisdiction and/or within jurisdictions. It remains unclear how the COVID-19 pandemic will evolve through 2022 (including whether

there will be further waves of the COVID-19 pandemic, whether COVID-19 vaccines continue to prove effective, whether further new strains of

COVID-19 will emerge and whether, and in what manner, additional restrictions will be imposed and/or existing restrictions extended) and the Barclays

Bank Group continues to monitor the situation closely. However, despite the COVID-19 contingency plans established by the Barclays Bank Group, the

ability to conduct business may be adversely affected by disruptions to infrastructure and supply chains, business processes and technology services,

resulting from the unavailability of staff due to illness or the failure of third parties to supply services. This may cause significant customer detriment,

costs to reimburse losses incurred by the Barclays Bank Group’s customers, potential litigation costs (including regulatory fines, penalties and other

sanctions), and reputational damage.

In many of the jurisdictions in which the Barclays Bank Group operates, schemes were initiated by central banks, national governments and regulators

to provide financial support to parts of the economy most impacted by the COVID-19 pandemic. The rapid introduction and varying nature of these

support schemes, as well as customer expectations, required the Barclays Bank Group to implement large-scale changes in a short period of time,

leading to an increase in certain risks faced by the Barclays Bank Group, including operational risk, conduct risk, reputation risk and fraud risk. These

risks are likely to be heightened further as and when those government and other support schemes expire, are withdrawn or are no longer supported.

Furthermore, the impact from participating in government and central bank-supported loan and other financing schemes may be exacerbated if the

Barclays Bank Group is required by any government or regulator to offer forbearance or additional financial relief to borrowers or if the Barclays Bank

Group is unable to rely on guarantees provided by governments in connection with financial support schemes.

As these schemes and other financial support schemes provided by national governments (such as job retention and furlough schemes, payment

deferrals and mass lending schemes) expire, are withdrawn or are no longer supported, there is a risk that economic growth and employment may be

negatively impacted which may, in turn, impact the Barclays Bank Group’s results of operations and profitability. In addition, the Barclays Bank Group

may experience a higher volume of defaults and delinquencies in certain portfolios which may negatively impact the Barclays Bank Group’s RWAs, level

of impairment and, in turn, capital position, and may initiate collection and enforcement actions to recover defaulted debts. The inception of large scale

collections and recovery programmes (including the use of third party debt collection agents) may also create significant risk if (because of the

complexity, speed and scale of these programmes) defaulting borrowers are harmed by the Barclays Bank Group’s conduct which may also give rise to

civil legal proceedings, including class actions, regulatory censure, potentially significant fines and other sanctions, and reputational damage. Other legal

disputes may also arise between the Barclays Bank Group and defaulting borrowers relating to matters such as breaches or enforcement of legal rights

or obligations arising under loan and other credit agreements. Adverse findings in any such matters may result in the Barclays Bank Group’s rights not

being enforced as intended.

Changes in macroeconomic variables such as gross domestic product (GDP) and unemployment have a significant impact on the modelling of expected

credit losses (ECLs) by the Barclays Bank Group. As a result, the Barclays Bank Group experienced higher ECLs in 2020 compared to prior periods

though this trend was reversed in 2021 as economic conditions partially recovered. The economic environment remains uncertain and future

impairment charges may be subject to further volatility (including from changes to macroeconomic variable forecasts) depending on the longevity of

the COVID-19 pandemic and related containment measures and the continued efficacy of any COVID-19 vaccines, as well as the longer term

effectiveness of central bank, government and other support measures. For further details on macroeconomic variables used in the calculation of ECLs,

refer to the credit risk performance section. In addition, ECLs may be adversely impacted by increased levels of default for single name exposures in

certain sectors directly impacted by the COVID-19 pandemic (such as the retail, airline, and hospitality and leisure sectors).

Furthermore, the Barclays Bank Group relies on models to support a broad range of business and risk management activities, including informing

business decisions and strategies, measuring and limiting risk, valuing exposures (including the calculation of impairment), conducting stress testing

and assessing capital adequacy. Models are, by their nature, imperfect and incomplete representations of reality because they rely on assumptions and

inputs, and so they may be subject to errors affecting the accuracy of their outputs and/or misused. This may be exacerbated when dealing with

unprecedented scenarios, such as the COVID-19 pandemic, due to the lack of reliable historical reference points and data. For further details on model

risk, refer to ‘(vi) Model risk’ below.

There can be no assurance that economic activity will return to pre-pandemic levels and, accordingly, there could be further adverse impacts on the

Barclays Bank Group’s income and profitability caused by lower lending and transaction volumes due to volatility or weakness in the capital markets.

Furthermore, in order to support lending activity to promote economic growth, governments and/or regulators may limit management’s flexibility in

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Material existing and emerging risks

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managing its business, require the deployment of capital in particular business lines or otherwise restrict or limit capital distributions and capital

allocation.

Any and all such events mentioned above could have a material adverse effect on the Barclays Bank Group's business, results of operations, financial

condition, prospects, liquidity, capital position and credit ratings (including potential credit rating agency changes of outlooks or ratings), as well as on

the Barclays Bank Group's customers, employees and suppliers.

ii)Business conditions, general economy and geopolitical issues

The Barclays Bank Group’s operations are subject to potentially unfavourable global and local economic and market conditions, as well as geopolitical

developments, which may have a material effect on the Barclays Bank Group’s business, results of operations, financial condition and prospects.

A deterioration in global or local economic and market conditions may lead to (among other things): (i) deteriorating business, consumer or investor

confidence and lower levels of fixed asset investment and productivity growth, which in turn may lead to lower client activity, including lower demand

for borrowing from creditworthy customers; (ii) higher default rates, delinquencies, write-offs and impairment charges as borrowers struggle with the

burden of additional debt; (iii) subdued asset prices and payment patterns, including the value of any collateral held by the Barclays Bank Group; (iv)

mark-to-market losses in trading portfolios resulting from changes in factors such as credit ratings, share prices and solvency of counterparties; and (v)

revisions to calculated ECLs leading to increases in impairment allowances. In addition, the Barclays Bank Group’s ability to borrow from other financial

institutions or raise funding from external investors may be affected by deteriorating economic conditions and market disruption.

Geopolitical events may lead to further financial instability and affect economic growth. In particular:

•Global GDP growth recovered in 2021 from the severe contraction in 2020 as a result of the COVID-19 pandemic. While government support

packages, accommodative monetary policy and the lifting of certain restrictions on movement bolstered economic growth and confidence in

2021, the global outlook remains highly uncertain especially regarding: (a) ongoing concerns about how the COVID-19 pandemic may

develop; (b) the disruptive impact of the COVID-19 pandemic on supply chains; and (c) how long inflationary pressures will persist and

whether central banks will succeed in normalising monetary policy. These factors could adversely affect economic growth, affect specific

industries or countries or affect the Barclays Bank Group’s employees and business operations in affected countries. Refer to 'i) Risks relating

to the impact of COVID-19' above for further details.

•In the UK, the UK Government’s subsidised job retention and furlough schemes, which were implemented as a response to the COVID-19

pandemic, came to an end on 30 September 2021. Prior to the end of the job retention and furlough schemes, the UK labour market

performed more favourably than initially predicted at the start of the COVID-19 pandemic, with low unemployment rates and the number of

employees on UK company payrolls surpassing pre-pandemic levels. However, the end of the job retention and furlough schemes,

exacerbated by further uncertainty arising from the impact of new strains of COVID-19 (including the Omicron variant), may cause upward

pressure on unemployment which may result in higher impairment charges.

•Recent increases in inflation have been partly driven by a rebalancing of supply and demand, following the relaxation of restrictions on

movement that were imposed during the COVID-19 pandemic. Monetary policy remains highly accommodative, increasing the risk that more

abrupt government action will be necessary later if inflation does not prove transitory. A prolonged period of rising inflation may develop into

slow or stagnant economic growth if combined with slowing economic expansion and elevated unemployment. Inflation may be further

driven by supply chain disruptions and labour shortages, the imposition of further restrictions on movement due to the failure to contain the

spread of COVID-19, and structural changes in the UK economy after the UK's exit from the European Union.

•A significant proportion of the Barclays Bank Group’s portfolio is located in the US, including a major credit card portfolio and a range of

corporate and investment banking exposures. The possibility of significant continued changes in US policy in certain sectors (including trade,

healthcare and commodities) may have an impact on the Barclays Bank Group's associated portfolios. Stress in the US economy, weakening

GDP and the associated exchange rate fluctuations, heightened trade tensions (such as between the US and China), an unexpected rise in

unemployment and/or an increase in interest rates could lead to increased levels of impairment, which may have a material adverse effect on

the Barclays Bank Group’s results of operations and profitability.

•An escalation in geopolitical tensions or increased use of protectionist measures may have a material adverse effect on the Barclays Bank

Group’s business in the affected regions.

•In China the pace of credit growth remains a concern, given the high level of leverage and despite government and regulatory action. A

stronger than expected slowdown could result if authorities fail to manage growth appropriately during the transition from manufacturing

towards services and the end of the investment and credit-led boom. Deterioration in emerging markets could have a material adverse effect

on the Barclays Bank Group's results of operations if contagion results in higher impairment charges via sovereign or counterparty defaults.

•Trading disruption between the EU and the UK may have a significant impact on economic activity in the EU and the UK which, in turn, could

have a material adverse effect on the Barclays Bank Group’s business, results of operations, financial condition and prospects. Unstable

economic conditions could result in (among other things):

◦a recession in the UK and/or one or more member states of the EEA in which it operates, with lower growth, higher unemployment

and falling property prices, which could lead to increased impairments in relation to a number of the Barclays Bank Group’s

portfolios (including, but not limited to, its unsecured lending portfolio (including credit cards) and commercial real estate

exposures);

◦increased market volatility (in particular in currencies and interest rates), which could impact the Barclays Bank Group’s trading

book positions and affect the underlying value of assets in the banking book and securities held by the Barclays Bank Group for

liquidity purposes;

◦a credit rating downgrade for one or more members of the Barclays Bank Group (either directly or indirectly as a result of a

downgrade in the UK sovereign credit ratings), which could significantly increase the Barclays Bank Group’s cost of and/or reduce

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its access to funding, widen credit spreads and materially adversely affect the Barclays Bank Group’s interest margins and liquidity

position; and/or

◦a widening of credit spreads more generally or reduced investor appetite for the Barclays Bank Group’s debt securities, which could

negatively impact the Barclays Bank Group’s cost of and/or access to funding.

iii)The impact of interest rate changes on the Barclays Bank Group’s profitability

Changes to interest rates are significant for the Barclays Bank Group, especially given the uncertainty as to the direction of interest rates and the pace at

which they may change particularly in the Barclays Bank Group’s main markets of the UK and the US.

A period of low interest rates and flat yield curves, including any rate cuts and/or negative interest rates, may affect and put pressure on the Barclays

Bank Group’s net interest margins (the difference between its lending income and borrowing costs) and could adversely affect the profitability and

prospects of the Barclays Bank Group.

Interest rate rises could positively impact the Barclays Bank Group’s profitability as retail and corporate business income increases due to margin

decompression. However, further increases in interest rates, if larger or more frequent than expected, could lead to generally weaker than expected

growth, reduced business confidence and higher unemployment. This, combined with the impact interest rate rises may have on the affordability of

loan arrangements for borrowers, could cause stress in the lending portfolio and underwriting activity of the Barclays Bank Group with resultant higher

credit losses driving an increased impairment charge which would most notably impact retail unsecured portfolios and wholesale non-investment grade

lending and could have a material effect on the Barclays Bank Group’s business, results of operations, financial condition and prospects.

In addition, changes in interest rates could have an adverse impact on the value of the securities held in the Barclays Bank Group’s liquid asset portfolio.

Consequently, this could create more volatility than expected through the Barclays Bank Group’s Fair Value through Other Comprehensive Income

(FVOCI) reserve.

iv)Competition in the banking and financial services industry

The Barclays Bank Group operates in a highly competitive environment (in particular, in the UK and US) in which it must evolve and adapt to the

significant changes as a result of financial regulatory reform, technological advances, increased public scrutiny and prevailing economic conditions. The

Barclays Bank Group expects that competition in the financial services industry will continue to be intense and may have a material adverse effect on the

Barclays Bank Group’s future business, results of operations, financial condition and prospects.

New competitors in the financial services industry continue to emerge. Technological advances and the growth of e-commerce have made it possible

for non-banks to offer products and services that traditionally were banking products such as electronic securities trading, payments processing and

online automated algorithmic-based investment advice. Furthermore, payments processing and other services could be significantly disrupted by

technologies, such as blockchain (used in cryptocurrency systems) and "buy now pay later" lending, both of which are currently subject to lower levels

of regulatory oversight. Furthermore, the introduction of Central Bank Digital Currencies could potentially have significant impacts on the banking

system and the role of commercial banks within it by disrupting the current provision of banking products and services. It could allow new competitors,

some previously hindered by banking regulation (such as FinTechs), to provide customers with access to banking facilities and increase

disintermediation of banking services.

New technologies have required and could require the Barclays Bank Group to spend more to modify or adapt its products or make additional capital

investments in its businesses to attract and retain clients and customers or to match products and services offered by its competitors, including

technology companies.

Ongoing or increased competition and/or disintermediation of banking services may put pressure on the pricing for the Barclays Bank Group’s products

and services, which could reduce the Barclays Bank Group's revenues and profitability, or may cause the Barclays Bank Group to lose market share,

particularly with respect to traditional banking products such as deposits, bank accounts and mortgage lending. This competition may be on the basis

of quality and variety of products and services offered, transaction execution, innovation, reputation and price. The failure of any of the Barclays Bank

Group’s businesses to meet the expectations of clients and customers, whether due to general market conditions, under-performance, a decision not to

offer a particular product or service, changes in client and customer expectations or other factors, could affect the Barclays Bank Group’s ability to

attract or retain clients and customers. Any such impact could, in turn, reduce the Barclays Bank Group’s revenues.

v)Regulatory change agenda and impact on business model

The Barclays Bank Group remains subject to ongoing significant levels of regulatory change and scrutiny in many of the countries in which it operates

(including, in particular, the UK and the US). As a result, regulatory risk will remain a focus for senior management. Furthermore, a more intensive

regulatory approach and enhanced requirements together with the potential lack of international regulatory co-ordination as enhanced supervisory

standards are developed and implemented may adversely affect the Barclays Bank Group’s business, capital and risk management strategies and/or

may result in the Barclays Bank Group deciding to modify its legal entity, capital and funding structures and business mix, or to exit certain business

activities altogether or not to expand in areas despite otherwise attractive potential.

There are several significant pieces of legislation and areas of focus which will require considerable management attention, cost and resource, including:

▪Changes in prudential requirements may impact minimum requirements for own funds and eligible liabilities (MREL) (including requirements for

internal MREL), leverage, liquidity or funding requirements, applicable buffers and/or add-ons to such minimum requirements and risk weighted

assets calculation methodologies all as may be set by international, EU or national authorities. This includes the upcoming implementation of the

remaining Basel III reforms, as well as the expected incorporation of risks associated with climate change into the prudential framework and increased

scrutiny of firms’ governance and risk management frameworks (including in respect of climate change and Environmental, Social and Governance

(ESG) risks). Such or similar changes to prudential requirements or additional supervisory and prudential expectations, as well as requirements

imposed by the Barclays Bank Group's regulators under the resolution framework, either individually or in aggregate, may result in, among other

things, a need for further management actions to meet the changed requirements, such as:

–increasing capital, MREL or liquidity resources, reducing leverage and risk weighted assets;

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–modifying the terms of outstanding capital instruments;

–modifying legal entity structure (including with regard to issuance and deployment of capital, MREL and funding);

–changing the Barclays Bank Group’s business mix or exiting other businesses; and/or

–undertaking other actions to strengthen the Barclays Bank Group’s position or resolvability.

▪The derivatives market has been the subject of particular focus for regulators in recent years across the G20 countries and beyond, with regulations

introduced which require the on-venue trading and clearing of standardised over the counter (OTC) derivatives and the mandatory margining of non-

cleared OTC derivatives. These regulations may increase costs for market participants, as well as reduce liquidity in the derivatives markets, in

particular if there are areas of overlapping or conflicting regulation. More broadly, changes to the regulatory framework could entail significant costs

for market participants and may have a significant impact on certain markets in which the Barclays Bank Group operates.

▪The Barclays Group and certain of its members (including Barclays Bank PLC) are subject to supervisory stress testing exercises in a number of

jurisdictions. These exercises currently include the programmes of the Bank of England, the European Banking Authority (EBA) and the Federal

Reserve Board (FRB). Failure to meet the requirements of regulatory stress tests, or the failure by regulators to approve the stress test results and

capital plans of the Barclays Group, could result in the Barclays Group or certain of its members (including Barclays Bank PLC) being required to

enhance their capital position, limit capital distributions or position additional capital in specific subsidiaries.

▪As a result of the on-shoring of EU legislation in the UK, UK-based entities within the Barclays Group are currently subject to substantially the same

rules and regulations as prior to the UK’s withdrawal from the EU. It is the UK’s intention to recast on-shored EU legislation as part of UK legislation

and PRA and FCA rules, which could result in changes to regulatory requirements in the UK. If the regulatory regimes for EU and UK financial services

change further, the provision of cross-border banking and investment services across the Barclays Bank Group may become more complex and costly

which could have a material adverse effect on the Barclays Bank Group’s business and results of operations and could result in the Barclays Bank

Group modifying its legal entity, capital and funding structures and business mix, exiting certain business activities altogether or not expanding in

areas despite otherwise attractive potential returns. This may also be exacerbated if Barclays Bank Ireland PLC expands further and, as a result of its

growth and importance to the Barclays Bank Group and the EEA banking system as a whole, Barclays Bank Ireland PLC is made subject to higher

capital requirements or restrictions are imposed by regulators, on capital allocation and capital distributions by Barclays Bank Ireland PLC.

For further details on the regulatory supervision of, and regulations applicable to, the Barclays Bank Group, refer to the Supervision and regulation

section.

vi)Impact of benchmark interest rate reforms on the Barclays Bank Group

Global regulators and central banks in the UK, US and EU have been driving international efforts to reform key benchmark interest rates and indices,

such as the London Interbank Offered Rate (LIBOR), which are used to determine the amounts payable under a wide range of transactions and make

them more reliable and robust. These benchmark reforms have resulted in significant changes to the methodology and operation of certain benchmarks

and indices, the adoption of alternative risk-free reference rates (RFRs), the discontinuation of certain reference rates (including LIBOR), and the

introduction of implementing legislation and regulations. Specifically, regulators in the UK, US and EU directed that certain non-US dollar LIBOR tenors

would cease at the end of 2021. Furthermore, certain US dollar LIBOR tenors are to cease by the end of June 2023, and restrictions have been imposed

on new use of US dollar LIBOR. Notwithstanding these developments, given the unpredictable consequences of benchmark reform, any of these

developments could have an adverse impact on market participants, including the Barclays Bank Group, in respect of any financial instruments linked to,

or referencing, any of these benchmark interest rates.

Uncertainty associated with such potential changes, including the availability and/or suitability of alternative RFRs, the participation of customers and

third-party market participants in the transition process, challenges with respect to required documentation changes, and impact of legislation to deal

with certain legacy contracts that cannot convert into or add fall-back RFRs before cessation of the benchmark they reference, may adversely affect a

broad range of transactions (including any securities, loans and derivatives which use LIBOR or any other affected benchmark to determine the interest

payable which are included in the Barclays Bank Group’s financial assets and liabilities) that use these reference rates and indices, and present a number

of risks for the Barclays Bank Group, including but not limited to:

▪Conduct risk: in undertaking actions to transition away from using certain reference rates (such as LIBOR) to new alternative RFRs, the Barclays Bank

Group faces conduct risks. These may lead to customer complaints, regulatory sanctions or reputational impact if the Barclays Bank Group is

considered to be (among other things): (i) undertaking market activities that are manipulative or create a false or misleading impression; (ii) misusing

sensitive information or not identifying or appropriately managing or mitigating conflicts of interest; (iii) providing customers with inadequate advice,

misleading information, unsuitable products or unacceptable service; (iv) not taking a consistent approach to remediation for customers in similar

circumstances; (v) unduly delaying the communication and migration activities in relation to client exposure, leaving them insufficient time to

prepare; or (vi) colluding or inappropriately sharing information with competitors.

▪Litigation risk: members of the Barclays Bank Group may face legal proceedings, regulatory investigations and/or other actions or proceedings

regarding (among other things): (i) the conduct risks identified above, (ii) the interpretation and enforceability of provisions in LIBOR-based contracts,

and (iii) the Barclays Bank Group’s preparation and readiness for the replacement of LIBOR with alternative RFRs.

▪Financial risk: the valuation of certain of the Barclays Bank Group’s financial assets and liabilities may change. Moreover, transitioning to alternative

RFRs may impact the ability of members of the Barclays Bank Group to calculate and model amounts receivable by them on certain financial assets

and determine the amounts payable on certain financial liabilities (such as debt securities issued by them) because certain alternative RFRs (such as

the Sterling Overnight Index Average (SONIA) and the Secured Overnight Financing Rate (SOFR)) are look-back rates whereas term rates (such as

LIBOR) allow borrowers to calculate at the start of any interest period exactly how much is payable at the end of such interest period. This may have a

material adverse effect on the Barclays Bank Group’s cash flows.

▪Pricing risk: changes to existing reference rates and indices, discontinuation of any reference rate or indices and transition to alternative RFRs may

impact the pricing mechanisms used by the Barclays Bank Group on certain transactions.

Risk review

Material existing and emerging risks

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▪Operational risk: changes to existing reference rates and indices, discontinuation of any reference rate or index and transition to alternative RFRs may

require changes to the Barclays Bank Group’s IT systems, trade reporting infrastructure, operational processes, and controls. In addition, if any

reference rate or index (such as LIBOR) is no longer available to calculate amounts payable, the Barclays Bank Group may incur additional expenses in

amending documentation for new and existing transactions and/or effecting the transition from the original reference rate or index to a new

reference rate or index.

▪Accounting risk: an inability to apply hedge accounting in accordance with IAS 39 could lead to increased volatility in the Barclays Bank Group’s

financial results and performance.

Any of these factors may have a material adverse effect on the Barclays Bank Group’s business, results of operations, financial condition, prospects and

reputation.

For further details on the impacts of benchmark interest rate reforms on the Barclays Bank Group, refer to Note 40.

vii) Change delivery and execution risks

The Barclays Bank Group will need to adapt and/or transform the way it conducts business in response to changing customer behaviour and needs,

technological developments, regulatory expectations, increased competition and cost management initiatives. Accordingly, effective management of

transformation projects is required to successfully deliver the Barclays Bank Group's strategic priorities, involving delivering both on externally driven

programmes, as well as key business initiatives to deliver revenue growth, product enhancement and operational efficiency outcomes. The magnitude,

complexity and, at times, concurrent demands of the projects required to meet these priorities can result in heightened execution risk.

The ability to execute the Barclays Bank Group’s strategy may be limited by operational capacity and the increasing complexity of the regulatory

environment in which the Barclays Bank Group operates. In addition, whilst the Barclays Bank Group continues to pursue cost management initiatives,

they may not be as effective as expected and cost saving targets may not be met.

The failure to successfully deliver or achieve any of the expected benefits of these strategic initiatives and/or the failure to meet customer and

stakeholder expectations could have a material adverse effect on the Barclays Bank Group’s business, results of operations, financial condition,

customer outcomes, prospects and reputation.

Risk review

Material existing and emerging risks

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Material existing and emerging risks impacting individual principal risks

i)Climate risk

The risks associated with climate change are subject to rapidly increasing societal, regulatory and political focus, both in the UK and internationally.

Embedding climate risk into the Barclays Bank Group’s risk framework in line with regulatory expectations and requirements, and adapting the Barclays

Bank Group’s operations and strategy to address the financial risks resulting from both: (i) the physical risk of climate change; and (ii) the risk from the

transition to a low-carbon economy, could have a significant impact on the Barclays Bank Group’s business results of operations, financial condition and

prospects, the Barclays Bank Group’s customers and clients and the creditworthiness of the Barclays Bank Group’s counterparties.

Physical risks from climate change arise from a number of factors and relate to specific weather events and longer-term shifts in the climate. The nature

and timing of extreme weather events are uncertain but they are increasing in frequency and their impact on the economy is predicted to be more acute

in the future. The potential impact on the economy includes, but is not limited to, lower GDP growth, higher unemployment and significant changes in

asset prices and profitability of industries. Damage to properties and operations of borrowers could impair asset values and the creditworthiness of

customers leading to increased default rates, delinquencies, write-offs and impairment charges in the Barclays Bank Group’s portfolios. In addition, the

Barclays Bank Group’s premises and resilience may also suffer physical damage due to weather events leading to increased costs for the Barclays Bank

Group.

As the economy transitions to a low-carbon economy, financial institutions such as the Barclays Bank Group may face significant and rapid

developments in stakeholder expectations, policy, law and regulation which could impact the lending activities the Barclays Bank Group undertakes, as

well as the risks associated with its lending portfolios, and the value of the Barclays Bank Group’s financial assets. As sentiment towards climate change

shifts and societal preferences change, the Barclays Bank Group may face greater scrutiny of the type of business it conducts, adverse media coverage

and reputational damage, which may in turn impact customer demand for the Barclays Bank Group's products, returns on certain business activities

and the value of certain assets and trading positions, resulting in impairment charges.

In addition, the impacts of physical and transition climate risks can lead to second order connected risks, which have the potential to affect the Barclays

Bank Group’s retail and wholesale portfolios. The impacts of climate change may increase losses for those sectors sensitive to the effects of physical and

transition risks. Any subsequent increase in defaults and rising unemployment could create recessionary pressures, which may lead to wider

deterioration in the creditworthiness of the Barclays Bank Group’s clients, higher ECLs, and increased charge-offs and defaults among retail customers.

With effect from 1 January 2022, climate risk became one of the principal risks within the Barclays Bank Group’s Enterprise Risk Management

Framework. Failure to adequately embed risks associated with climate change into its risk framework to appropriately measure, manage and disclose

the various financial and operational risks it faces as a result of climate change, or failure to adapt the Barclays Bank Group's strategy and business

model to the changing regulatory requirements and market expectations on a timely basis, may have a material and adverse impact on the Barclays

Bank Group’s level of business growth, competitiveness, profitability, capital requirements, cost of funding, and financial condition.

In March 2020, the Barclays Group announced its ambition to become a net zero bank by 2050 and its commitment to align all of its financing activities

with the goals and timelines of the Paris Agreement. In order to reach these ambitions and targets or any other climate-related ambitions or targets the

Barclays Group may commit to in future, the Barclays Bank Group will need to incorporate climate considerations into its strategy, business model, the

products and services it provides to customers and its financial and non-financial risk management processes (including processes to measure and

manage the various financial and non-financial risks the Barclays Bank Group faces as a result of climate change). The Barclays Bank Group also needs

to ensure that its strategy and business model adapt to changing national and international standards, industry and scientific practices, regulatory

requirements and market expectations regarding climate change, which remain under continuous development and are subject to different

interpretations. There can be no assurance that these standards, practices, requirements and expectations will not be interpreted differently than what

was the Barclays Group’s understanding when defining its climate-related ambitions and targets, or change in a manner that substantially increases the

cost or effort for the Barclays Bank Group to achieve such ambitions and targets. In addition, the Barclays Group’s ambitions and targets may prove to

be considerably more difficult or even impossible to achieve under such changing circumstances. This may be exacerbated if the Barclays Group

chooses or is required to accelerate its climate-related ambitions or targets as a result of (among other things) UK or international regulatory

developments or stakeholder expectations. Achieving the Barclays Group’s climate-related ambitions and targets will also depend on a number of

factors outside the Barclays Bank Group’s control, including (among other things) availability of data to measure and assess the climate impact of the

Barclays Bank Group’s customers, advancements of low-carbon technologies and supportive public policies in the markets where the Barclays Bank

Group operates. If these external factors and other changes do not occur, or do not occur on a timely basis, the Barclays Group may fail to achieve its

climate-related ambitions and targets and this could have a material adverse effect on the Barclays Bank Group’s business, results of operations,

financial condition, prospects and reputation.

For further details on the Barclays Bank Group’s approach to climate change, refer to the climate change risk management section.

ii)Credit risk

Credit risk is the risk of loss to the Barclays Bank Group from the failure of clients, customers or counterparties, including sovereigns, to fully honour

their obligations to members of the Barclays Bank Group, including the whole and timely payment of principal, interest, collateral and other receivables.

a)Impairment

Impairment is calculated in line with the requirements of IFRS9 which results in recognition of loss allowances, based on ECLs, on a forward-looking

basis using a broad scope of financial instruments. Measurement involves complex judgement and impairment charges are potentially volatile,

particularly under stressed conditions, which could have a material adverse effect on the Barclays Bank Group's business, results of operations, financial

condition and prospects.

For further details, refer to Note 7.

Risk review

Material existing and emerging risks

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b)Specific sectors and concentrations

The Barclays Bank Group is subject to risks arising from changes in credit quality and recovery rates of loans and advances due from borrowers and

counterparties in any specific portfolio. Any deterioration in credit quality could lead to lower recoverability and higher impairment in a specific sector.

The following are areas of uncertainties to the Barclays Bank Group’s portfolio which could have a material impact on performance:

▪UK retail, hospitality and leisure: softening demand, rising costs and a structural shift to online shopping, which have been exacerbated due to

restrictions imposed during the COVID-19 pandemic and changes in consumer behaviour, continue to pressurise the UK High Street and other

sectors heavily reliant on consumer discretionary spending. As these sectors continue to reposition themselves, the trend represents a potential risk

in the Barclays Bank Group’s UK corporate portfolio as a higher probability of default exists for retailers, hospitality providers and their landlords

while this transition takes place.

▪Consumer affordability: this has remained a key area of focus, particularly in unsecured lending. Macroeconomic factors, such as unemployment,

higher interest rates or broader inflationary pressures, that impact a customer’s ability to service debt payments, could lead to increased arrears in

both unsecured and secured products. The Barclays Bank Group is exposed to the adverse credit performance of unsecured products, particularly in

the US through its US Cards business.

▪UK real estate market: the Barclays Bank Group’s corporate credit exposure is vulnerable to weakness in retail property, for example, as a result of

reduced rent collections and residential development, and faces the risk of increased impairment from a material fall in property prices. There can

be no assurance that the significant increase in house prices seen during 2021 will continue in 2022. In addition, small segments of the housing

market could be subject to specific valuation impacts such as requirements to remediate issues related to fire safety standards.

▪Leverage finance underwriting: the Barclays Bank Group takes on sub-investment grade underwriting exposure, including single name risk,

particularly in the US and Europe. The Barclays Bank Group is exposed to credit events and market volatility during the underwriting period. Any

adverse events during this period may potentially result in loss for the Barclays Bank Group, or an increased capital requirement should there be a

need to hold the exposure for an extended period.

▪Italian mortgage and wholesale exposure: the Barclays Bank Group is exposed to a decline in the Italian economic environment through a

mortgage portfolio in run-off and positions to wholesale customers. The Italian economy was severely impacted by the COVID-19 pandemic in

2020 and recovery has been slower than anticipated. Should the Italian economy deteriorate further or any recovery take longer to materialise, there

could be a material adverse effect on the Barclays Bank Group’s results of operations including, but not limited to, increased credit losses and higher

impairment charges.

▪Oil & Gas sector: the Barclays Bank Group’s corporate credit exposure includes companies whose performance is dependent on the oil and gas

sector. Whilst market prices have recovered in 2021, a sustained period of lower energy prices in recent years has led to the erosion of balance sheet

strength, particularly for higher cost producers and those businesses which supply goods and services to the oil and gas sector. In the longer term,

costs associated with the transition towards renewable sources of energy may place greater financial demands on companies that the Barclays

Bank Group has exposure to globally. These factors could have a material adverse effect on the Barclays Bank Group’s business, results of

operations, financial condition and prospects through increased impairment charges.

▪Air travel: the COVID-19 pandemic has caused a significant reduction in demand for air travel as both the willingness and ability to travel have

reduced, impacting revenues of the Barclays Bank Group’s clients and their ability to service their debt obligations. While the situation is expected to

improve as travel restrictions are eased, changes in consumer behaviour both due to COVID-19 and climate change create uncertainty for the

sector. Furthermore, the possibility of further global and regional pandemics pose additional risks for the sector.

The Barclays Bank Group also has large individual exposures to single name counterparties, both in its lending activities and in its financial services and

trading activities, including transactions in derivatives and transactions with brokers, central clearing houses, dealers, other banks, mutual and hedge

funds and other institutional clients. The default of such counterparties could have a significant impact on the carrying value of these assets. In addition,

where such counterparty risk has been mitigated by taking collateral, credit risk may remain high if the collateral held cannot be monetised, or has to be

liquidated at prices which are insufficient to recover the full amount of the loan or derivative exposure. Any such defaults could have a material adverse

effect on the Barclays Bank Group’s results due to, for example, increased credit losses and higher impairment charges.

For further details on the Barclays Bank Group’s approach to credit risk, refer to the credit risk management and credit risk performance sections.

iii)Market risk

Market risk is the risk of loss arising from potential adverse changes in the value of the Barclays Bank Group’s assets and liabilities from fluctuation in

market variables including, but not limited to, interest rates, foreign exchange, equity prices, commodity prices, credit spreads, implied volatilities and

asset correlations.

Economic and financial market uncertainties remain elevated, as the path of the COVID-19 pandemic is inherently difficult to predict. Further waves of

the COVID-19 pandemic, a disruptive adjustment to monetary policy normalisation, intensifying social unrest that weighs on market sentiment and

deteriorating trade and geopolitical tensions are some of the factors that could heighten market risks for the Barclays Bank Group’s portfolios.

In addition, the Barclays Bank Group’s trading business is generally exposed to a prolonged period of elevated asset price volatility, particularly if it

adversely affects market liquidity. Such a scenario could impact the Barclays Bank Group’s ability to execute client trades and may also result in lower

client flow-driven income and/or market-based losses on its existing portfolio of market risks. These can include higher hedging costs from rebalancing

risks that need to be managed dynamically as market levels and their associated volatilities change.

It is difficult to predict changes in market conditions, and such changes could have a material adverse effect on the Barclays Bank Group’s business,

results of operations, financial condition and prospects.

For further details on the Barclays Bank Group’s approach to market risk, refer to the market risk management and market risk performance sections.

Risk review

Material existing and emerging risks

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iv)Treasury and capital risk

There are three primary types of treasury and capital risk faced by the Barclays Bank Group:

a)Liquidity risk

Liquidity risk is the risk that the Barclays Bank Group is unable to meet its contractual or contingent obligations or that it does not have the appropriate

amount, tenor and composition of funding and liquidity to support its assets. This could cause the Barclays Bank Group to fail to meet internal and/or

regulatory liquidity requirements, make repayments as they fall due or be unable to support day-to-day banking activities. Key liquidity risks that the

Barclays Bank Group faces include:

▪Stability of the Barclays Bank Group’s deposit funding profile: deposits which are payable on demand or at short notice could be affected by the

Barclays Bank Group failing to preserve the current level of customer and investor confidence.

▪Ongoing access to wholesale funding: the Barclays Bank Group regularly accesses the money and capital markets to provide short-term and long-

term unsecured and secured funding to support its operations. A loss of counterparty confidence, or adverse market conditions could lead to a

reduction in the tenor, or an increase in the costs, of the Barclays Bank Group's unsecured and secured wholesale funding.

▪Impacts of market volatility: adverse market conditions, with increased volatility in asset prices can negatively impact the Barclays Bank Group’s

liquidity position through increased derivative margin requirements and/or wider haircuts when monetising liquidity pool securities, and make it

more difficult to execute secured financing transactions.

▪Intraday liquidity usage: increased collateral requirements at payments and securities settlement systems could negatively impact the Barclays

Bank Group’s liquidity position, as cash and liquid assets required for intraday purposes are unavailable to meet other outflows.

▪Off-balance sheet commitments: deterioration in economic and market conditions could cause customers to draw on off-balance sheet

commitments provided to them, for example, revolving credit facilities, negatively affecting the Barclays Bank Group's liquidity position.

▪Credit rating changes and the impact on funding costs: any reductions in a credit rating (in particular, any downgrade below investment grade)

may affect the Barclays Bank Group’s access to the money or capital markets and/or terms on which the Barclays Bank Group is able to obtain

market funding (for example, this could lead to increased costs of funding and wider credit spreads, the triggering of additional collateral or other

requirements in derivative contracts and other secured funding arrangements, or limits on the range of counterparties who are willing to enter into

transactions with the Barclays Bank Group).

b)Capital risk

Capital risk is the risk that the Barclays Bank Group has an insufficient level or composition of capital to support its normal business activities and to

meet its regulatory capital requirements under normal operating environments and stressed conditions (both actual and as defined for internal planning

or regulatory stress testing purposes). This also includes the risk from the Barclays Bank Group’s pension plans. Key capital risks that the Barclays Bank

Group faces include:

▪Failure to meet prudential capital requirements: This could lead to the Barclays Bank Group being unable to support some or all of its business

activities, a failure to pass regulatory stress tests, increased cost of funding due to deterioration in investor appetite or credit ratings, restrictions on

distributions including the ability to meet dividend targets, and/or the need to take additional measures to strengthen the Barclays Bank Group's

capital or leverage position.

▪Adverse changes in FX rates impacting capital ratios: The Barclays Bank Group has capital resources, risk weighted assets and leverage exposures

denominated in foreign currencies. Changes in foreign currency exchange rates may adversely impact the Sterling equivalent value of these items.

As a result, the Barclays Bank Group’s regulatory capital ratios are sensitive to foreign currency movements. Failure to appropriately manage the

Barclays Bank Group’s balance sheet to take account of foreign currency movements could result in an adverse impact on the Barclays Bank

Group’s regulatory capital and leverage ratios.

▪Adverse movements in the pension fund: Adverse movements in pension assets and liabilities for defined benefit pension schemes could result in

deficits on a technical provision and/or IAS 19 accounting basis. This could lead to the Barclays Bank Group making substantial additional

contributions to its pension plans and/or a deterioration in its capital position. Under IAS 19, the liabilities discount rate is derived from the yields of

high quality corporate bonds. Therefore, the valuation of the Barclays Bank Group’s defined benefits schemes would be adversely affected by a

prolonged fall in the discount rate due to a persistent low interest rate and/or credit spread environment. Inflation is another significant risk driver

to the pension fund as the liabilities are adversely impacted by an increase in long-term inflation expectations.

c)Interest rate risk in the banking book

Interest rate risk in the banking book is the risk that the Barclays Bank Group is exposed to capital or income volatility because of a mismatch between

the interest rate exposures of its (non-traded) assets and liabilities. The Barclays Bank Group’s hedging programmes for interest rate risk in the banking

book rely on behavioural assumptions and, as a result, the effectiveness of the hedging strategy cannot be guaranteed. A potential mismatch in the

balance or duration of the hedging assumptions could lead to earnings deterioration. A decline in interest rates in sterling, US dollars or euros may also

compress net interest margin on retail and corporate portfolios. In addition, the Barclays Bank Group’s liquid asset portfolio is exposed to potential

capital and/or income volatility due to movements in market rates and prices which may have a material adverse effect on the capital position of the

Barclays Bank Group.

For further details on the Barclays Bank Group’s approach to treasury and capital risk, refer to the treasury and capital risk management and treasury

and capital risk performance sections.

Risk review

Material existing and emerging risks

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v)Operational risk

Operational risk is the risk of loss to the Barclays Bank Group from inadequate or failed processes or systems, human factors or due to external events

where the root cause is not due to credit or market risks. Examples include:

a)Operational resilience

The Barclays Bank Group functions in a highly competitive market, with market participants that expect consistent and smooth business processes. The

loss of or disruption to business processing is a material inherent risk within the Barclays Bank Group and across the financial services industry, whether

arising through impacts on the Barclays Bank Group’s technology systems or availability of personnel or services supplied by third parties. Failure to

build resilience and recovery capabilities into business processes or into the services of technology, real estate or suppliers on which the Barclays Bank

Group’s business processes depend, may result in significant customer detriment, costs to reimburse losses incurred by the Barclays Bank Group’s

customers, and reputational damage.

b)Cyberattacks

Cyberattacks continue to be a global threat that is inherent across all industries, with the number and severity of attacks continuing to rise. The financial

sector remains a primary target for cybercriminals, hostile nation states, opportunists and hacktivists. The Barclays Bank Group, like other financial

institutions, experiences numerous attempts to compromise its cybersecurity.

The Barclays Bank Group dedicates significant resources to reducing cybersecurity risks, but it cannot provide absolute security against cyberattacks.

Malicious actors are increasingly sophisticated in their methods, seeking to steal money, gain unauthorised access to, destroy or manipulate data, and

disrupt operations, and some of their attacks may not be recognised until launched, such as zero-day attacks that are launched before patches and

defences can be readied. Cyberattacks can originate from a wide variety of sources and target the Barclays Bank Group in numerous ways, including

attacks on networks, systems, or devices used by the Barclays Bank Group or parties such as service providers and other suppliers, counterparties,

employees, contractors, customers or clients, presenting the Barclays Bank Group with a vast and complex defence perimeter. Moreover, the Barclays

Bank Group does not have direct control over the cybersecurity of the systems of its clients, customers, counterparties and third-party service providers

and suppliers, limiting the Barclays Bank Group’s ability to effectively defend against certain threats. Some of the Barclays Bank Group’s third-party

service providers and suppliers have experienced successful attempts to compromise their cybersecurity. These included ransomware attacks that

disrupted the service providers’ or suppliers’ operations and, in some cases, had a limited impact on the Barclays Bank Group’s operations. Such

cyberattacks are likely to continue.

A failure in the Barclays Bank Group’s adherence to its cybersecurity policies, procedures or controls, employee malfeasance, and human, governance or

technological error could also compromise the Barclays Bank Group’s ability to successfully defend against cyberattacks. Furthermore, certain legacy

technologies that are at or approaching end-of-life may not be able to maintain acceptable levels of security. The Barclays Bank Group has experienced

cybersecurity incidents and near-misses in the past, and it is inevitable that additional incidents will occur in the future. Cybersecurity risks will continue

to increase, due to factors such as the increasing demand across the industry and customer expectations for continued expansion of services delivered

over the Internet; increasing reliance on internet-based products, applications and data storage; and changes in ways of working by the Barclays Bank

Group’s employees, contractors, and third party service providers and suppliers and their subcontractors as a potentially long-term consequence of the

COVID-19 pandemic. Bad actors have taken advantage of remote working practices and modified customer behaviours that have taken hold during the

COVID-19 pandemic, exploiting the situation in novel ways that may elude defences.

Common types of cyberattacks include deployment of malware to obtain covert access to systems and data; ransomware attacks that render systems

and data unavailable through encryption; denial of service and distributed denial of service (DDoS) attacks; infiltration via business email compromise;

social engineering, including phishing, vishing and smishing; automated attacks using botnets; and credential validation or stuffing attacks using login

and password pairs from unrelated breaches. A successful cyberattack of any type has the potential to cause serious harm to the Barclays Bank Group

or its clients and customers, including exposure to potential contractual liability, litigation, regulatory or other government action, loss of existing or

potential customers, damage to the Barclays Bank Group’s brand and reputation, and other financial loss. The impact of a successful cyberattack is also

likely to include operational consequences (such as unavailability of services, networks, systems, devices or data), remediation of which could come at

significant cost.

Regulators worldwide continue to recognise cybersecurity as an increasing systemic risk to the financial sector and have highlighted the need for

financial institutions to improve their monitoring and control of, and resilience to, cyberattacks. A successful cyberattack may, therefore, result in

significant regulatory fines for the Barclays Bank Group.

For further details on the Barclays Bank Group’s approach to cyberattacks, refer to the operational risk performance section. For further details on cyber

security regulation applicable to the Barclays Bank Group, refer to the Supervision and regulation section.

c)New and emergent technology

Technology is fundamental to the Barclays Bank Group’s business and the financial services industry. Technological advancements present

opportunities to develop new and innovative ways of doing business across the Barclays Bank Group, with new solutions being developed both in-house

and in association with third-party companies. For example, payment services and securities, futures and options trading are increasingly occurring

electronically, both on the Barclays Bank Group’s own systems and through other alternative systems, and becoming automated. Whilst increased use

of electronic payment and trading systems and direct electronic access to trading markets could significantly reduce the Barclays Bank Group’s cost

base, it may, conversely, reduce the commissions, fees and margins made by the Barclays Bank Group on these transactions which could have a

material adverse effect on the Barclays Bank Group’s business, results of operations, financial condition and prospects.

Introducing new forms of technology, however, has the potential to increase inherent risk. Failure to evaluate, actively manage and closely monitor risk

exposure during all phases of business development could introduce new vulnerabilities and security flaws and have a material adverse effect on the

Barclays Bank Group’s business, results of operations, financial condition and prospects.

Risk review

Material existing and emerging risks

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d)External fraud

The nature of fraud is wide-ranging and continues to evolve, as criminals continually seek opportunities to target the Barclays Bank Group’s business

activities and exploit changes in customer behaviour and product and channel use (such as the increased use of digital products and enhanced online

services). Fraud attacks can be very sophisticated and are often orchestrated by highly organised crime groups who use ever more sophisticated

techniques to target customers and clients directly to obtain confidential or personal information that can be used to commit fraud. The impact from

fraud can lead to customer detriment, financial losses (including the reimbursement of losses incurred by customers), loss of business, missed business

opportunities and reputational damage, all of which could have a material adverse impact on the Barclays Bank Group’s business, results of operations,

financial condition and prospects.

e)Data management and information protection

The Barclays Bank Group holds and processes large volumes of data, including personal information, intellectual property and financial data and the

Barclays Bank Group’s businesses are subject to complex and evolving laws and regulations governing the privacy and protection of personal

information of individuals. The protected parties can include: (i) the Barclays Bank Group’s clients and customers, and prospective clients and

customers; (ii) clients and customers of the Barclays Bank Group’s clients and customers; (iii) employees and prospective employees; and (iv)

employees of the Barclays Bank Group’s suppliers, counterparties and other external parties.

The international nature of both the Barclays Bank Group’s business and its IT infrastructure also means that personal information may be available in

countries other than those from where it originated. Accordingly, the Barclays Bank Group needs to ensure that its collection, use, transfer and storage

of personal information complies with all applicable laws and regulations in all relevant jurisdictions (including as such new and existing regulations

continue to be implemented, interpreted and applied), which could: (i) increase the Barclays Bank Group’s compliance and operating costs, particularly

in the context of ensuring that adequate data protection and data transfer mechanisms are in place; (ii) impact the development of new products or

services, impact the offering of existing products or services, or affect how products and services are offered to clients and customers; (iii) demand

significant oversight by the Barclays Bank Group’s management; and (iv) require the Barclays Bank Group to review some elements of the structure of

its businesses, operations and systems in less efficient ways.

Concerns regarding the effectiveness of the Barclays Bank Group’s measures to safeguard personal information, or even the perception that those

measures are inadequate, could expose the Barclays Bank Group to the risk of loss or unavailability of data or data integrity issues and/or cause the

Barclays Bank Group to lose existing or potential clients and customers, and thereby reduce the Barclays Bank Group’s revenues. Furthermore, any

failure or perceived failure by the Barclays Bank Group to comply with applicable privacy or data protection laws and regulations (and the evolving

standards imposed by data protection authorities in connection therewith) may subject it to potential contractual liability, litigation, regulatory or other

government investigation or action (including significant regulatory fines) and require changes to certain operations or practices which could also

inhibit the Barclays Bank Group’s development or marketing of certain products or services, or increase the costs of offering them to customers. Any of

these events could damage the Barclays Bank Group’s reputation, subject the Barclays Bank Group to material fines or other monetary penalties, make

the Barclays Bank Group liable to the payment of compensatory damages, divert management’s time and attention, lead to enhanced regulatory

oversight and otherwise materially adversely affect its business, results of operations, financial condition and prospects.

For further details on data protection regulation applicable to the Barclays Bank Group, refer to the supervision and regulation section.

f)Algorithmic trading

In some areas of the investment banking business, trading algorithms are used to price and risk manage client and principal transactions. An

algorithmic error could result in erroneous or duplicated transactions, a system outage, or impact the Barclays Bank Group’s pricing abilities, which

could have a material adverse effect on the Barclays Bank Group’s business, results of operations, financial condition, prospects and reputation.

g)Processing errors

The Barclays Bank Group’s businesses are highly dependent on its ability to process and monitor, on a daily basis, a very large number of transactions,

many of which are highly complex and occur at high volumes and frequencies, across numerous and diverse markets in many currencies. As the

Barclays Bank Group’s customer base and geographical reach expand and the volume, speed, frequency and complexity of transactions, especially

electronic transactions (as well as the requirements to report such transactions on a real-time basis to clients, regulators and exchanges) increase,

developing, maintaining and upgrading operational systems and infrastructure becomes more challenging, and the risk of systems or human error in

connection with such transactions increases, as well as the potential consequences of such errors due to the speed and volume of transactions involved

and the potential difficulty associated with discovering errors quickly enough to limit the resulting consequences. Furthermore, events that are wholly or

partially beyond the Barclays Bank Group’s control, such as a spike in transaction volume, could adversely affect the Barclays Bank Group’s ability to

process transactions or provide banking and payment services.

Processing errors could result in the Barclays Bank Group, among other things: (i) failing to provide information, services and liquidity to clients and

counterparties in a timely manner; (ii) failing to settle and/or confirm transactions; (iii) causing funds transfers, capital markets trades and/or other

transactions to be executed erroneously, illegally or with unintended consequences; and (iv) adversely affecting financial, trading or currency markets.

Any of these events could materially disadvantage the Barclays Bank Group’s customers, clients and counterparties (including them suffering financial

loss) and/or result in a loss of confidence in the Barclays Bank Group which, in turn, could have a material adverse effect on the Barclays Bank Group’s

business, results of operations, financial condition and prospects.

h)Supplier exposure

The Barclays Bank Group depends on suppliers for the provision of many of its services and the development of technology. Whilst the Barclays Bank

Group depends on suppliers, it remains fully accountable for any risk arising from the actions of suppliers. The dependency on suppliers and sub-

contracting of outsourced services introduces concentration risk where the failure of specific suppliers could have an impact on the Barclays Bank

Group’s ability to continue to provide material services to its customers. Failure to adequately manage supplier risk could have a material adverse effect

on the Barclays Bank Group’s business, results of operations, financial condition and prospects.

Risk review

Material existing and emerging risks

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i)Estimates and judgements relating to critical accounting policies and regulatory disclosures

The preparation of financial statements requires the application of accounting policies and judgements to be made in accordance with IFRS. Regulatory

returns and capital disclosures are prepared in accordance with the relevant capital reporting requirements and also require assumptions and estimates

to be made. The key areas involving a higher degree of judgement or complexity, or areas where assumptions are significant to the consolidated and

individual financial statements, include credit impairment provisions, taxes, fair value of financial instruments, pensions and post-retirement benefits,

and provisions including conduct and legal, competition and regulatory matters (refer to the notes to the audited financial statements for further

details). There is a risk that if the judgement exercised, or the estimates or assumptions used, subsequently turn out to be incorrect, this could result in

material losses to the Barclays Bank Group, beyond what was anticipated or provided for. Further development of accounting standards and regulatory

interpretations could also materially impact the Barclays Bank Group’s results of operations, financial condition and prospects.

j)Tax risk

The Barclays Bank Group is required to comply with the domestic and international tax laws and practice of all countries in which it has business

operations. There is a risk that the Barclays Bank Group could suffer losses due to additional tax charges, other financial costs or reputational damage as

a result of failing to comply with such laws and practice, or by failing to manage its tax affairs in an appropriate manner, with much of this risk

attributable to the international structure of the Barclays Bank Group. In addition, increasing tax authority focus on reporting and disclosure

requirements around the world and the digitisation of the administration of tax has potential to increase the Barclays Bank Group’s tax compliance

obligations further. For example, the OECD and G20 Inclusive Framework on Base Erosion and Profit Shifting has announced plans to introduce a global

minimum tax from 2023 which, if enacted, will increase the Barclays Bank Group’s tax compliance obligations. In addition, the proposed Build Back

Better Act includes proposals to implement changes to US international tax provisions which may require systems and process changes if enacted. Any

systems and process changes associated with these changes introduce additional operational risk.

k)Ability to hire and retain appropriately qualified employees

As a regulated financial institution, the Barclays Bank Group requires diversified and specialist skilled colleagues. The Barclays Bank Group’s ability to

attract, develop and retain a diverse mix of talent is key to the delivery of its core business activity and strategy. This is impacted by a range of external

and internal factors, such as potential effects on employee engagement and wellbeing from long-term periods of working remotely. Failure to attract or

prevent the departure of appropriately qualified and skilled employees could have a material adverse effect on the Barclays Bank Group’s business,

results of operations, financial condition and prospects. Additionally, this may result in disruption to service which could in turn lead to disenfranchising

certain customer groups, customer detriment and reputational damage.

For further details on the Barclays Bank Group’s approach to operational risk, refer to the operational risk management and operational risk

performance sections.

vi)Model risk

Model risk is the potential for adverse consequences from decisions based on incorrect or misused model outputs and reports. The Barclays Bank Group

relies on models to support a broad range of business and risk management activities, including informing business decisions and strategies, measuring

and limiting risk, valuing exposures (including the calculation of impairment), conducting stress testing, assessing capital adequacy, supporting new

business acceptance and risk and reward evaluation, managing client assets, and meeting reporting requirements.

Models are, by their nature, imperfect representations of reality and have some degree of uncertainty because they rely on assumptions and inputs, and

so are subject to intrinsic uncertainty, errors and inappropriate use affecting the accuracy of their outputs. This may be exacerbated when dealing with

unprecedented scenarios, such as the COVID-19 pandemic, due to the lack of reliable historical reference points and data. For instance, the quality of

the data used in models across the Barclays Bank Group has a material impact on the accuracy and completeness of its risk and financial metrics. Model

uncertainty, errors and inappropriate use may result in (among other things) the Barclays Bank Group making inappropriate business decisions and/or

inaccuracies or errors in the Barclays Bank Group’s risk management and regulatory reporting processes. This could result in significant financial loss,

imposition of additional capital requirements, enhanced regulatory supervision and reputational damage, all of which could have a material adverse

effect on the Barclays Bank Group’s business, results of operations, financial condition and prospects.

For further details on the Barclays Bank Group’s approach to model risk, refer to the model risk management and model risk performance sections.

vii)Conduct risk

Conduct risk is the risk of poor outcomes for, or harm to, customers, clients and markets, arising from the delivery of the Barclays Bank Group's

products and services. This risk could manifest itself in a variety of ways, including:

a)Market integrity

The Barclays Bank Group’s businesses are exposed to risk from potential non-compliance with its policies and standards and instances of wilful and

negligent misconduct by employees, all of which could result in potential customer and client detriment, enforcement action (including regulatory fines

and/or sanctions), increased operation and compliance costs, redress or remediation or reputational damage which in turn could have a material

adverse effect on the Barclays Bank Group’s business, results of operations, financial condition and prospects. Examples of employee misconduct which

could have a material adverse effect on the Barclays Bank Group’s business include: (i) employees improperly selling or marketing the Barclays Bank

Group’s products and services; (ii) employees engaging in insider trading, market manipulation or unauthorised trading; or (iii) employees

misappropriating confidential or proprietary information belonging to the Barclays Bank Group, its customers or third parties. These risks may be

exacerbated in circumstances where the Barclays Bank Group is unable to rely on physical oversight and supervision of employees (such as during the

COVID-19 pandemic where employees have worked remotely).

b)Customer protection

The Barclays Bank Group must ensure that its customers, particularly those that are vulnerable, are able to make well-informed decisions on how best

to use the Barclays Bank Group’s financial services and understand that they are appropriately protected if something goes wrong. Poor customer

outcomes can result from the failure to: (i) communicate fairly and clearly with customers; (ii) provide services in a timely and fair manner; (iii) handle

Risk review

Material existing and emerging risks

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and protect customer data appropriately; and (iv) undertake appropriate activity to address customer detriment, including the adherence to regulatory

and legal requirements on complaint handling. The Barclays Bank Group is at risk of financial loss and reputational damage as a result.

c)Product design and review risk

Products and services must meet the needs of clients, customers, markets and the Barclays Bank Group throughout their life cycle. However, there is a

risk that the design and review of the Barclays Bank Group products and services fail to reasonably consider and address potential or actual negative

outcomes, which may result in customer detriment, enforcement action (including regulatory fines and/or sanctions), redress and remediation and

reputational damage. Both the design and review of products and services are a key area of focus for regulators and the Barclays Bank Group.

d)Financial crime

The Barclays Bank Group may be adversely affected if it fails to effectively mitigate the risk that third parties or its employees facilitate, or that its

products and services are used to facilitate, financial crime (money laundering, terrorist financing, breaches of economic and financial sanctions, bribery

and corruption, and the facilitation of tax evasion). UK and US regulations covering financial institutions continue to focus on combating financial crime.

Failure to comply may lead to enforcement action by the Barclays Bank Group’s regulators, including severe penalties, which may have a material

adverse effect on the Barclays Bank Group’s business, financial condition and prospects.

e)Regulatory focus on culture and accountability

Regulators around the world continue to emphasise the importance of culture and personal accountability and enforce the adoption of adequate

internal reporting and whistleblowing procedures to help to promote appropriate conduct and drive positive outcomes for customers, colleagues,

clients and markets. The requirements and expectations of the UK Senior Managers Regime, Certification Regime and Conduct Rules have reinforced

additional accountabilities for individuals across the Barclays Bank Group with an increased focus on governance and rigour, with similar requirements

also introduced in other jurisdictions globally. Failure to meet these requirements and expectations may lead to regulatory sanctions, both for the

individuals and the Barclays Bank Group.

For further details on the Barclays Bank Group’s approach to conduct risk, refer to the conduct risk management and conduct risk performance

sections.

viii)Reputation risk

Reputation risk is the risk that an action, transaction, investment, event, decision, or business relationship will reduce trust in the Barclays Bank Group’s

integrity and/or competence.

Any material lapse in standards of integrity, compliance, customer service or operating efficiency may represent a potential reputation risk. Stakeholder

expectations constantly evolve, and so reputation risk is dynamic and varies between geographical regions, groups and individuals. A risk arising in one

business area can have an adverse effect upon the Barclays Bank Group’s overall reputation and any one transaction, investment or event (in the

perception of key stakeholders) can reduce trust in the Barclays Bank Group’s integrity and competence. The Barclays Bank Group’s association with

sensitive topics and sectors has been, and in some instances continues to be, an area of concern for stakeholders, including: (i) the financing of, and

investments in, businesses which operate in sectors that are sensitive because of their relative carbon intensity or local environmental impact; (ii)

potential association with human rights violations (including combating modern slavery) in the Barclays Bank Group’s operations or supply chain and

by clients and customers; and (iii) the financing of businesses which manufacture and export military and riot control goods and services.

Reputation risk could also arise from negative public opinion about the actual, or perceived, manner in which the Barclays Bank Group (including its

employees, clients and other associations) conducts its business activities, or the Barclays Bank Group’s financial performance, as well as actual or

perceived practices in banking and the financial services industry generally. Modern technologies, in particular online social media channels and other

broadcast tools that facilitate communication with large audiences in short time frames and with minimal costs, may significantly enhance and

accelerate the distribution and effect of damaging information and allegations. Negative public opinion may adversely affect the Barclays Bank Group’s

ability to retain and attract customers, in particular, corporate and retail depositors, and to retain and motivate staff, and could have a material adverse

effect on the Barclays Bank Group’s business, results of operations, financial condition and prospects.

In addition to the above, reputation risk has the potential to arise from operational issues or conduct matters which cause detriment to customers,

clients, market integrity, effective competition or the Barclays Bank Group (refer to ‘v) Operational risk’ above).

For further details on the Barclays Bank Group’s approach to reputation risk, refer to the reputation risk management and reputation risk performance

sections.

ix)Legal risk and legal, competition and regulatory matters

The Barclays Bank Group conducts activities in a highly regulated global market which exposes it and its employees to legal risk arising from: (i) the

multitude of laws and regulations that apply to the businesses it operates, which are highly dynamic, may vary between jurisdictions and/or conflict,

and are often unclear in their application to particular circumstances especially in new and emerging areas; and (ii) the diversified and evolving nature of

the Barclays Bank Group’s businesses and business practices. In each case, this exposes the Barclays Bank Group and its employees to the risk of loss or

the imposition of penalties, damages or fines from the failure of members of the Barclays Bank Group to meet their respective legal obligations,

including legal or contractual requirements. Legal risk may arise in relation to any number of the material existing and emerging risks identified above.

A breach of applicable legislation and/or regulations by the Barclays Bank Group or its employees could result in criminal prosecution, regulatory

censure, potentially significant fines and other sanctions in the jurisdictions in which the Barclays Bank Group operates. Where clients, customers or

other third parties are harmed by the Barclays Bank Group’s conduct, this may also give rise to civil legal proceedings, including class actions. Other

legal disputes may also arise between the Barclays Bank Group and third parties relating to matters such as breaches or enforcement of legal rights or

obligations arising under contracts, statutes or common law. Adverse findings in any such matters may result in the Barclays Bank Group being liable to

third parties or may result in the Barclays Bank Group’s rights not being enforced as intended.

Details of legal, competition and regulatory matters to which the Barclays Bank Group is currently exposed are set out in Note 25. In addition to matters

specifically described in Note 25, the Barclays Bank Group is engaged in various other legal proceedings which arise in the ordinary course of business.

Risk review

Material existing and emerging risks

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The Barclays Bank Group is also subject to requests for information, investigations and other reviews by regulators, governmental and other public

bodies in connection with business activities in which the Barclays Bank Group is, or has been, engaged and may (from time to time) be subject to legal

proceedings and other investigations relating to financial and non-financial disclosures made by members of the Barclays Bank Group (including, but

not limited to, in relation to ESG disclosures). Additionally, due to the increasing number of new climate and sustainability-related laws and regulations

(or laws and regulatory processes seeking to protect the energy sector from any risks of divestment or challenges in accessing finance), growing

demand from investors and customers for environmentally sustainable products and services, and regulatory scrutiny, financial institutions, including

the Barclays Bank Group, may through their business activities face increasing litigation, conduct, enforcement and contract liability risks related to

climate change, environmental degradation and other social, governance and sustainability-related issues. Furthermore, there is a risk that shareholders,

campaign groups, customers and other interest groups could seek to take legal action against the Barclays Bank Group for financing or contributing to

climate change and environmental degradation.

The outcome of legal, competition and regulatory matters, both those to which the Barclays Bank Group is currently exposed and any others which may

arise in the future, is difficult to predict. In connection with such matters, the Barclays Bank Group may incur significant expense, regardless of the

ultimate outcome, and any such matters could expose the Barclays Bank Group to any of the following outcomes: substantial monetary damages,

settlements and/or fines; remediation of affected customers and clients; other penalties and injunctive relief; additional litigation; criminal prosecution;

the loss of any existing agreed protection from prosecution; regulatory restrictions on the Barclays Bank Group’s business operations including the

withdrawal of authorisations; increased regulatory compliance requirements or changes to laws or regulations; suspension of operations; public

reprimands; loss of significant assets or business; a negative effect on the Barclays Bank Group’s reputation; loss of confidence by investors,

counterparties, clients and/or customers; risk of credit rating agency downgrades; potential negative impact on the availability and/or cost of funding

and liquidity; and/or dismissal or resignation of key individuals. In light of the uncertainties involved in legal, competition and regulatory matters, there

can be no assurance that the outcome of a particular matter or matters (including formerly active matters or those arising after the date of this Annual

Report) will not have a material adverse effect on the Barclays Bank Group’s business, results of operations, financial condition and prospects.

Risk review

Material existing and emerging risks

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Climate risk management

The impact on Financial and Operational Risks arising from climate change through, physical risks, risks associated with transitioning to a lower

carbon economy and connected risks arising as a result of second order impacts on portfolios of these two drivers.

Overview

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

that climate risk would become a Principal Risk from 2022.

To support this decision, in 2021 the Barclays Group delivered a Climate Risk Integration Plan with three overarching objectives:

1.Governance Framework: Develop a Principal Risk Framework and Risk Appetite Statement and integrate climate drivers into limit setting.

2.Scenario Analysis: Refine methodologies used for the 2020 scenario analysis to support the Bank of England Biennial Exploratory Scenario on

climate change, with specific focus on wholesale credit and physical risk modelling.

3.Carbon Modelling: Enhance the BlueTrackTM model to further develop the approach for the Energy sector, expand coverage to Cement and

Metals and consider the overall net zero ambition of the Barclays Group.

For more detail on how climate risks arise and their impact on the Barclays Bank Group, refer to the ‘material existing and emerging risks’ section.

Organisation and Structure

On behalf of the Barclays PLC Board, the Barclays PLC Board Risk Committee reviews and approves the Barclays Group’s approach to managing the

financial and operational risks associated with climate change. Reputation risk is the responsibility of the Barclays PLC Board, which directly handles the

most material issues facing the Barclays Group. Broader sustainability matters and other reputation risk issues associated with climate change are

coordinated by the Sustainability team.

In 2021 the Head of Climate Risk took the role of Climate Principal Risk owner, reporting directly to Group Chief Risk Officer.

To support the oversight of Barclays Group climate risk profile a Climate Risk Committee (CRC) has been established. The CRC is a sub-committee of

the Group Risk Committee (GRC), the most senior executive body responsible for review and challenge of risk practices and risk profile, for climate risk

and other principal risk types. The authority of the CRC is delegated by the GRC.

Working groups support the management of climate risk at Barclays Bank Group and Barclays Bank UK Group.

Risk review

Principal risk management

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The Climate Risk Framework (CRF) was developed in 2021 to support the Enterprise Risk Management Framework and outlines the key principles for

managing climate risk.

Climate risk across certain other Principal Risk types is managed via a ‘Climate Change Financial Risk and Operational Risk Policy’, which is embedded in

each of the following Principal Risk Frameworks and contains key principles for identifying and quantifying climate risk, with supporting reporting and

governance.

Risk Type

Risk Identification

Risk Measurement

Credit risk

Identified as part of sovereign, portfolio and

obligor credit annual reviews.

Measured using a Credit Risk Materiality Matrix completed for

obligor/obligee groups with elevated exposure to climate change

risk. Retail portfolios are monitored through regular reporting of

climate metrics and are assessed against mandate triggers where

appropriate.

Market risk

Identified using stress tests, aggregate market risk

exposures from climate related risks.

Measured by using adverse multi-asset stress scenarios applied

to individual risk factors reflecting climate change risks across

sectors, countries and regions.

Treasury and capital risk

Identified using stress tests and analysis to assess

the exposures which may be impacted by climate

related risks.

Measured as part of stress testing and key risk indicator

monitoring.

Operational risk

Confirmed operational risks associated with

climate change are included in the Barclays Bank

Group's Operational Risk Taxonomy. Climate risk

included within the Strategic Risk Assessment

process.

Established reporting on internal and external climate related risk

events to the Operational Risk Committee. Risk tolerances for

premises and resilience risks are reviewed so these adequately

capture climate related risk drivers.

Risks resulting from climate change aligned to Model, Conduct, Reputation and Legal Principal Risks are out of the scope of the CRF and continue to be

managed under their respective Principal Risk Frameworks. As climate risk continues to evolve, the effect upon these risks may change. Specific

consideration of the impact of these changes will be covered as part of these frameworks.

A Climate Risk Appetite at Barclays Group level was introduced in line with the Barclays Group’s risk appetite approach. It establishes a direct link

between strategic plans and risk appetite, supporting the Barclays Group's ambition to be a net zero bank by 2050.

Linking with ESG and Reputation Risk:

Barclays has published a Climate Change Statement, which sets out the strategic ambition to support economies and clients through the net zero

transition, as well as appetite for conducting business with particularly sensitive energy sub-sectors. It is supported by an internal Climate Change

Standard, which outlines the controls and approach to these sectors in more detail, including requirements for enhanced due diligence for restricted

activities (such as outlined in the Barclays Group Forestry & Palm Oil Standard).

These standards are enforced through an existing transaction origination, review and approval process.

A dedicated Sustainability team considers how the Barclays Group approaches wider sustainability and environmental, social and governance (ESG)

matters, working closely with the Environmental Risk Management function.

Risk review

Principal risk management

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Credit risk management (audited)

The risk of loss to the Barclays Bank Group from the failure of clients, customers or counterparties, including sovereigns, to fully honour their

obligations to the Barclays Bank Group, including the whole and timely payment of principal, interest, collateral and other receivables.

Overview

The credit risk that the Barclays Bank Group faces arises from wholesale and retail loans and advances together with the counterparty credit risk arising

from derivative contracts with clients; trading activities, including: debt securities, settlement balances with market counterparties, FVOCI assets and

reverse repurchase loans.

Credit risk management objectives are to:

▪maintain a framework of controls to oversee credit risk;

▪identify, assess and measure credit risk clearly and accurately across the Barclays Bank Group and within each separate business, from the level of

individual facilities up to the total portfolio;

▪control and plan credit risk taking in line with external stakeholder expectations and avoiding undesirable concentrations; and

▪monitor credit risk and adherence to agreed controls.

Organisation, roles and responsibilities

The first line of defence has primary responsibility for managing credit risk within the risk appetite and limits set by the Risk function, supported by a

defined set of policies, standards and controls. In the Barclays Bank Group, business risk committees (attended by the first line) monitor and review the

credit risk profile of each business unit where the most material issues are escalated to the Retail Credit Risk Management Committee, Wholesale Credit

Risk Management Committee and the Barclays Group Risk Committee.

Wholesale and retail portfolios are managed separately to reflect the differing nature of the assets; wholesale balances tend to be larger and are

managed on an individual basis, while retail balances are greater in number but lesser in value and are, therefore, managed in aggregated segments.

The responsibilities of the credit risk management teams in the businesses, the sanctioning team and other shared services include: sanctioning new

credit agreements (principally wholesale); setting strategies for approval of transactions (principally retail); setting risk appetite; monitoring risk against

limits and other parameters; maintaining robust processes, data gathering, quality, storage and reporting methods for effective credit risk management;

performing effective turnaround and workout scenarios for wholesale portfolios via dedicated restructuring and recoveries teams; maintaining robust

collections and recovery processes/units for retail portfolios; and review and validation of credit risk measurement models. The credit risk management

teams in the Barclays Bank Group are accountable to the Barclays Bank PLC CRO, who reports to the Barclays Group CRO.

For wholesale portfolios, credit risk managers are organised in sanctioning teams by geography, industry and/or product. In wholesale portfolios, credit

risk approval is undertaken by experienced credit risk professionals operating within a clearly defined delegated authority framework, with only the most

senior credit officers assigned the higher levels of delegated authority. The largest credit exposures, which are outside the Risk Sanctioning Unit or Risk

Distribution Committee authority, require the support of the Barclays Bank PLC Senior Credit Officers. For exposures in excess of the Barclays Bank PLC

Senior Credit Officers’ authority, approval by the Barclays Group Senior Credit Officer/Barclays PLC Board Risk Committee is also required. The Barclays

Group Credit Risk Committee, attended by the Barclays Bank PLC Senior Credit Officers, provides a formal mechanism for the Barclays Group Senior

Credit Officer to exercise the highest level of credit authority over the most material Barclays Group single name exposures.

Credit risk mitigation

The Barclays Bank Group employs a range of techniques and strategies to actively mitigate credit risks. These can broadly be divided into three types:

▪Netting and set-off.

▪Collateral.

▪Risk transfer.

Netting and set-off

Credit risk exposures can be reduced by applying netting and set-off. For derivative transactions, the Barclays Bank Group’s normal practice is to enter

into standard master agreements with counterparties (e.g. ISDAs). These master agreements typically allow for netting of credit risk exposure to a

counterparty resulting from derivative transactions against the obligations to the counterparty in the event of default, and so produce a lower net credit

exposure. These agreements may also reduce settlement exposure (e.g. for foreign exchange transactions) by allowing payments on the same day in

the same currency to be set-off against one another.

Collateral

The Barclays Bank Group has the ability to call on collateral in the event of default of the counterparty, comprising:

▪Home loans: a fixed charge over residential property in the form of houses, flats and other dwellings.

▪Wholesale lending: a fixed charge over commercial property and other physical assets, in various forms.

▪Other retail lending: includes charges over motor vehicles and other physical assets; second lien charges over residential property and finance lease

receivables.

▪Derivatives: the Barclays Bank Group also often seeks to enter into a margin agreement (e.g. Credit Support Annex) with counterparties with which

the Barclays Bank Group has master netting agreements in place. These annexes to master agreements provide a mechanism for further reducing

credit risk, whereby collateral (margin) is posted on a regular basis (typically daily) to collateralise the mark to market exposure of a derivative

portfolio measured on a net basis.

▪Reverse repurchase agreements: collateral typically comprises highly liquid securities which have been legally transferred to the Barclays Bank Group

subject to an agreement to return them for a fixed price.

▪Financial guarantees and similar off-balance sheet commitments: cash collateral may be held against these arrangements.

Risk review

Principal risk management

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Risk transfer

A range of instruments including guarantees, credit insurance, credit derivatives and securitisation can be used to transfer credit risk from one

counterparty to another. These mitigate credit risk in two main ways:

▪If the risk is transferred to a counterparty which is more creditworthy than the original counterparty, then overall credit risk is reduced.

▪Where recourse to the first counterparty remains, both counterparties must default before a loss materialises. This is less likely than the default of

either counterparty individually so credit risk is reduced.

Market risk management (audited)

The risk of loss arising from potential adverse changes in the value of the Barclays Bank Group’s assets and liabilities from fluctuation in market

variables including, but not limited to, interest rates, foreign exchange, equity prices, commodity prices, credit spreads, implied volatilities and asset

correlations.

Overview

Market risk arises primarily as a result of client facilitation in wholesale markets, involving market making activities, risk management solutions and

execution of syndications. Upon execution of a trade with a client, the Barclays Bank Group will look to hedge against the risk of the trade moving in an

adverse direction. Mismatches between client transactions and hedges result in market risk due to changes in asset prices, volatility or correlations.

Organisation, roles and responsibilities

Market risk in the businesses resides primarily in CIB and Treasury. These businesses have the mandate to assume market risk. The front office and

Treasury trading desks are responsible for managing market risk on a day-to-day basis, where they are required to understand and adhere to all limits

applicable to their businesses. The Market Risk team support the trading desks with the day-to-day limit management of market risk exposures through

governance processes which are outlined in supporting market risk policies and standards.

Market risk oversight and challenge is provided by business committees and Barclays Group committees, including the Market Risk Committee (MRC).

The objectives of market risk management are to:

▪Identify, understand and control market risk by robust measurement, limit setting, reporting and oversight.

▪Facilitate business growth within a controlled and transparent risk management framework.

▪Control market risk in the businesses according to the allocated appetite.

To meet the above objectives, a governance structure is in place to manage these risks consistent with the ERMF.

The Barclays Bank PLC Board Risk Committee recommends market risk appetite to the Barclays Bank PLC Board for their approval, within the

parameters set by the Barclays PLC Board.

The Market Risk Committee (MRC) reviews and makes recommendations concerning the Barclays Group-wide market risk profile. This includes

overseeing the operation of the Market Risk Framework and associated standards and policies; reviewing market or regulatory issues and reviewing

limits and utilisation. The committee is chaired by the Market Risk Principal Risk Lead and attendees include the business heads of market risk and

business aligned market risk managers.

In addition to MRC, the Corporate and Investment Bank Risk Committee (CIBRC) is the main forum in which market risk exposures are discussed and

reviewed with senior business heads. The Committee is chaired by the CRO of Barclays International and meets weekly, covering current market events,

notable market risk exposures, and key risk topics. New business initiatives are generally socialised at CIBRC before any changes to risk appetite or

associated limits are considered in other governance committees.

Management value at risk (VaR)

VaR is an estimate of the potential loss arising from unfavourable market movements if the current positions were to be held unchanged for one

business day. For internal market risk management purposes, a historical simulation methodology with a one-year equally weighted historical period, at

the 95% confidence level is used for all trading books and some banking books.

Limits are applied at the total level as well as by risk factor type, which are then cascaded down to particular trading desks and businesses by the market

risk management function.

See page 99 for a review of management VaR.

Treasury and capital risk management

This comprises:

Liquidity risk: The risk that the Barclays Bank Group is unable to meet its contractual or contingent obligations or that it does not have the appropriate

amount, tenor and composition of funding and liquidity to support its assets.

Capital risk: The risk that the Barclays Bank Group has an insufficient level or composition of capital to support its normal business activities and to

meet its regulatory capital requirements under normal operating environments and stressed conditions (both actual and as defined for internal

planning or regulatory testing purposes). This also includes the risk from the Barclays Bank Group’s pension plans.

Interest rate risk in the banking book: The risk that the Barclays Bank Group is exposed to capital or income volatility because of a mismatch between

the interest rate exposures of its (non-traded) assets and liabilities.

Risk review

Principal risk management

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The Treasury function manages treasury and capital risk exposure on a day-to-day basis, acting as the principal management body for the Barclays

Bank Group. The Treasury and Capital Risk function is responsible for oversight and provides insight into key capital, liquidity, interest rate risk in the

banking book (IRRBB) and pension risk management activities.

Liquidity risk management (audited)

Overview

The efficient management of liquidity is essential to Barclays Bank PLC in order to retain the confidence of the financial markets and maintain the

sustainability of the business. Treasury and Capital Risk have created a framework that is used to manage all liquidity risk exposures under both normal

and stressed conditions. The framework is designed to maintain liquidity resources that are sufficient in amount, tenor, quality and composition to

remain within the liquidity risk appetite as expressed by the Barclays Bank PLC Board. The liquidity risk appetite is monitored against both internal and

regulatory liquidity metrics.

Organisation, roles and responsibilities

Treasury has the primary responsibility for managing liquidity risk within the set risk appetite. Both Risk and Treasury contribute to the production of the

Internal Liquidity Adequacy Assessment Process (ILAAP). The Treasury and Capital Risk function is responsible for the management and governance of

the liquidity risk mandate, as defined by the Barclays Bank PLC Board.

The framework established by Treasury and Capital Risk is designed to deliver the appropriate term and structure of funding, consistent with the

liquidity risk appetite set by the Barclays Bank PLC Board.

The framework incorporates a range of ongoing business management tools to monitor, limit and stress test the Barclays Bank PLC balance sheet and

contingent liabilities. Limit setting and stress testing are tools that are designed to control the level of liquidity risk taken and drive the appropriate mix

of funds. In addition, Barclays maintains a Barclays Group recovery plan which includes application to Barclays Bank PLC. Together, these tools reduce

the likelihood that a liquidity stress event could lead to an inability to meet Barclays Bank PLC obligations as they fall due.

The Barclays Bank PLC Board approves the Barclays Bank PLC funding plan, recovery plan and liquidity risk appetite. Barclays Bank PLC’s Treasury

Committee is responsible for monitoring and managing liquidity risk in line with Barclays Bank PLC’s funding management objectives, funding plan and

risk appetite. The Barclays Group Treasury and Capital Risk Committee monitors and reviews the liquidity risk profile and control environment, providing

second line oversight of the management of liquidity risk. The Barclays Bank PLC Board Risk Committee reviews the risk profile, and reviews liquidity risk

appetite at least annually and the impact of stress scenarios on Barclays Bank PLC’s funding plan/forecast in order to agree risk appetite in line with

Barclays Bank PLC’s projected funding abilities.

Capital risk management (audited)

Overview

Capital risk is managed through ongoing monitoring and management of the capital position, regular stress testing and a robust capital governance

framework. The objectives of the framework are to maintain adequate capital for the Barclays Bank Group and its legal entities to withstand the impact

of the risks that may arise under normal and stressed conditions, and maintain adequate capital to cover current and forecast business needs and

associated risks to provide a viable and sustainable business offering.

Organisation, roles and responsibilities

Treasury has the primary responsibility for managing and monitoring capital adequacy. The Barclays Bank Group Treasury and Capital Risk function

provides oversight of capital risk. Production of the Barclays Bank PLC Internal Capital Adequacy Assessment Process (ICAAP) is the responsibility of

Treasury.

Capital risk management is underpinned by a control framework and policy. The capital management strategy, outlined in the relevant legal entity

capital plans, is developed in alignment with the control framework and policy for capital risk, and is implemented consistently in order to deliver on the

Barclays Bank Group’s objectives, which are aligned to those of the Barclays Group.

The Barclays Bank PLC Board approves the Barclays Bank PLC capital plan, internal stress tests and results of regulatory stress tests and those of the

relevant Barclays Bank Group entities. The Barclays PLC Board also approves the Barclays Group recovery plan which takes into account management

actions identified at the Barclays Bank Group level. The Barclays Bank PLC Treasury Committee together with the Barclays Group Treasury Committee

are responsible for monitoring and managing capital risk in line with Barclays Bank Group’s capital management objectives, capital plan and risk

frameworks. The BRC monitors and reviews the capital risk profile and control environment, providing second line oversight of the management of

capital risk.

For the relevant Barclays Bank Group subsidiaries, local management assures compliance with an entity’s minimum regulatory capital requirements by

reporting to local Asset and Liability Committees (or equivalents) with oversight by the Barclays Bank PLC Treasury Committee and the Barclays Group

Treasury Committee, as required. In 2021, Barclays complied with all regulatory minimum capital requirements.

Pension risk

The Barclays Bank Group maintains a number of defined benefit pension schemes for past and current employees. The ability of schemes to meet

pension payments is achieved with investments and contributions.

Pension risk arises because the market value of pension fund assets might decline; investment returns might reduce; or the estimated value of pension

liabilities might increase. The Barclays Bank Group monitors the pension risks arising from its defined benefit pension schemes and works with the

relevant pension fund’s trustees to address shortfalls. In these circumstances the Barclays Bank Group could be required or might choose to make extra

contributions to the pension fund. The Barclays Bank Group’s main defined benefit scheme was closed to new entrants in 2012.

Risk review

Principal risk management

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Interest rate risk in the banking book management (IRRBB)

Overview

Interest rate risk in the banking book is driven by customer deposit taking and lending activities, investments in the liquid asset portfolio and funding

activities. As per the Barclays Bank Group’s policy to remain within the defined risk appetite, hedging strategies are executed to mitigate the various

IRRBB risks that result from these activities. However, the Barclays Bank Group remains susceptible to interest rate risk and other non-traded market

risks from the following key sources:

▪Interest rate and repricing risk: the risk that net interest income could be adversely impacted by a change in interest rates, differences in the timing of

interest rate changes between assets and liabilities, and other constraints on interest rate changes as per product terms and conditions.

▪Customer behavioural risk: the risk that net interest income could be adversely impacted by the discretion that customers and counterparties may

have in respect of being able to vary their contractual obligations with the Barclays Bank Group. This risk is often referred to by industry regulators as

‘embedded option risk’.

▪Investment risks in the liquid asset portfolio: the risk that the fair value of assets held in the liquid asset portfolio and associated risk management

portfolios could be adversely impacted by market volatility, creating volatility in capital directly.

Organisation, roles and responsibilities

The Barclays Bank PLC Treasury Committee, together with the Barclays Group Treasury Committee, are responsible for monitoring and managing

IRRBB risk in line with the Barclays Bank Group’s management objectives and risk frameworks. The BRC and Treasury and Capital Risk Committee

monitors and reviews the IRRBB risk profile and control environment, providing second line oversight of the management of IRRBB. The BRC reviews the

interest rate risk profile, including review of the risk appetite at least annually and the impact of stress scenarios on the interest rate risk of the Barclays

Bank PLC’s banking books.

In addition, the Barclays Bank Group’s IRRBB policy sets out the processes and key controls required to identify all IRRBB risks arising from banking book

operations, to monitor the risk exposures via a set of metrics with a frequency in line with the risk management horizon, and to manage these risks

within agreed risk appetite and limits.

Operational risk management

The risk of loss to the Barclays Bank Group from inadequate or failed processes or systems, human factors or due to external events (for example

fraud) where the root cause is not due to credit or market risks.

Overview

The management of operational risk has three key objectives:

•deliver an operational risk capability owned and used by business leaders to enable sound risk decisions over the long term;

•provide the frameworks, policies and standards to enable management to meet their risk management responsibilities while the second line of

defence provides robust, independent, and effective oversight and challenge; and

•deliver a consistent and aggregated measurement of operational risk that will provide clear and relevant insights, so that the right management

actions can be taken to keep the operational risk profile consistent with the Barclays Bank Group’s strategy, the stated risk appetite and stakeholder

needs.

The Barclays Bank Group operates within a system of internal controls that enables business to be transacted and risk taken without exposing it to

unacceptable potential losses or reputational damages.

Organisation, roles and responsibilities

The prime responsibility for the management of operational risk and the compliance with control requirements rests within the business and functional

units where the risk arises. The operational risk profile and control environment is reviewed by management through business risk committees and

control committees. Operational risk issues escalated from these meetings are considered through the second line of defence review meetings.

Depending on their nature, the outputs of these meetings are presented to the Operational Risk Profile Forum, the Operational Risk Committee, the

Barclays Bank Risk Forum, the Barclays Bank PLC Board Risk Committee or the Barclays Bank PLC Board Audit Committee. In addition, specific reports

are prepared by Operational Risk on a regular basis for the Barclays Bank Risk Forum, GRC and the BRC.

Businesses and functions are required to report their operational risks on both a regular and an event-driven basis. The reports include a profile of the

material risks that may threaten the achievement of their objectives and the effectiveness of key controls, operational risk events and a review of

scenarios.

The Barclays Group Head of Operational Risk is responsible for establishing, owning and maintaining an appropriate Barclays Group-wide Operational

Risk Management Framework, meanwhile the Barclays Bank PLC Head of Operational Risk is responsible for overseeing the portfolio of operational risk

across all Barclays Bank Group businesses.

The Operational Risk function acts in a second line of defence capacity, and is responsible for defining and overseeing the implementation of the

framework and monitoring Barclays Bank Group’s operational risk profile. The Operational Risk function alerts management when risk levels exceed

acceptable tolerance in order to drive timely decision making and actions by the first line of defence.

Operational risk categories

Operational risks are grouped into risk categories to support effective risk management, measurement and reporting. These comprise: Data

Management Risk; Financial Reporting Risk; Fraud Risk; Information Security Risk; Operational Resilience Planning Risk; Payments Process Risk; People

Risk; Premises Risk; Physical Security Risk; Strategic Investment Change Management Risk; Supplier Risk; Tax Risk; Technology Risk; and Transaction

Operations Risk.

In addition to the above, operational risk encompasses risks associated with prudential regulation. This includes the risk of failing to: adhere to

prudential regulatory requirements; provide regulatory submissions; or monitor and manage adherence to new prudential regulatory requirements.

Risk review

Principal risk management

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Risk themes

The Barclays Bank Group also recognises that there are certain threats/risk drivers that are more thematic and have the potential to impact the Barclays

Bank Group’s strategic objectives. These are risk themes which require an overarching and integrated risk management approach. The Barclays Bank

Group’s risk themes include Cyber, Data and Resilience.

For definitions of the Barclays Bank Group’s operational risk categories and enterprise risk themes, refer to pages 202 to 204 of the Barclays PLC Pillar 3

Report 2021.

Model risk management

The potential for adverse consequences from decisions based on incorrect or misused model outputs and reports.

Overview

The Barclays Bank Group uses models to support a broad range of activities, including informing business decisions and strategies, measuring and

limiting risk, valuing exposures, conducting stress testing, assessing capital adequacy, managing client assets, and meeting reporting requirements.

Organisation, roles and responsibilities

The Barclays Group has a dedicated Model Risk Management (MRM) function that consists of four teams: (i) Independent Validation Unit (IVU),

responsible for model validation and approval; (ii) Model Governance (MG), responsible for model risk governance, controls and reporting, including

ownership of Model Risk Framework, the Group Model Risk Policy, and the associated standards; (iii) Strategy and Transformation responsible for

inventory, strategy, communications and business management; and (iv) Model Risk Measurement and Quantification (MRMQ), responsible for the

design of the framework and methodology to measure and, where possible, quantify model risk. It is also responsible for the strategic Validation Centre

of Excellence (VCoE), which is an independent quality assurance function within MRM with the mandate to review and challenge validation outcomes.

The model risk management framework consists of the model risk policy and standards. The policy prescribes the Barclays Group-wide, end-to-end

requirements for the identification, measurement and management of model risk, covering model documentation, development, monitoring, annual

review, independent validation and approval, change and reporting processes. The policy is supported by global standards covering model inventory,

documentation, validation, complexity and materiality, testing and monitoring, overlays, risk appetite, as well as vendor models and stress testing

challenger models.

The function reports to the Barclays Group CRO and operates a global framework. Implementation of best practice standards is a central objective of the

Barclays Group.

The key model risk management activities include:

▪Correctly identifying models across all relevant areas of the Barclays Bank Group, and recording models in the Barclays Group Models Database

(GMD), the Barclays Group-wide model inventory.

▪Enforcing that every model has a model owner who is accountable for the model. The model owner must sign off models prior to submission to IVU

for validation and maintain that the model presented to IVU is and remains fit for purpose.

▪Overseeing that every model is subject to validation and approval by IVU, prior to being used and on a continual basis.

▪Defining model risk appetite in terms of risk tolerance, and qualitative metrics which are used to track and report model risk.

Conduct risk management

The risk of poor outcomes for, or harm to, customers, clients and markets, arising from the delivery of the Barclays Bank Group's products and

services.

Overview

The Barclays Bank Group defines, manages and mitigates conduct risk with the objective of providing good customer and client outcomes, protecting

market integrity and promoting effective competition.

Conduct risk incorporates market integrity, customer protection, financial crime and product design and review risks.

Organisation, roles and responsibilities

The Conduct Risk Management Framework (CRMF) outlines how the Barclays Bank Group manages and measures its conduct risk profile. The Barclays

Group Chief Compliance Officer is accountable for developing, maintaining and overseeing the CRMF. The Barclays Bank Group Chief Compliance

Officer is responsible for providing effective oversight, management and escalation of conduct risk in line with the CRMF. This includes overseeing the

development and maintenance of the relevant conduct risk policies and standards and monitoring and reporting on the consistent application and

effectiveness of the implementation of controls to manage conduct risk. It is the responsibility of the first line of defence to establish controls to manage

its performance and assess conformance to these policies and controls.

Senior managers are accountable within their areas of responsibility for owning and managing conduct risk in accordance with the CRMF, as defined

within their regulatory Statement of Responsibilities.

Compliance as an independent second line function helps to prevent, detect and manage breaches of applicable laws, rules, regulations and procedures

and has a key role in helping Barclays Bank Group achieve the right conduct outcomes and evolve a conduct-focused culture.

The governance of conduct risk within the Barclays Bank Group is fulfilled through management committees and forums operated by the first and

second lines of defence with clear escalation and reporting lines to the Board. The Barclays Group and Barclays Bank Group Risk Committees are the

Risk review

Principal risk management

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primary second line governance committees for the oversight of the Conduct Risk Profile. The risk committees' responsibilities include the identification

and discussion of any emerging conduct risks exposures in the Barclays Group and Barclays Bank Group.

Reputation risk management

The risk that an action, transaction, investment, event, decision, or business relationship will reduce trust in the Barclays Bank Group’s integrity and/or

competence.

Overview

A reduction of trust in the Barclays Bank Group’s integrity and competence may reduce the attractiveness of Barclays Bank Group to stakeholders and

could lead to negative publicity, loss of revenue, regulatory or legislative action, loss of existing and potential client business, reduced workforce morale

and difficulties in recruiting talent. Ultimately it may destroy shareholder value.

Organisation, roles and responsibilities

The governance of reputation risk within the Barclays Bank Group is fulfilled through management committees and forums operated by the First and

Second Lines of Defence, with clear escalation and reporting lines to the relevant Barclays Bank Group Board committees.

The Barclays PLC Board is responsible for reviewing and monitoring the effectiveness of the Barclays Bank Group's management of reputation risk.

The Reputation Risk Management Framework (RRMF) comprises a number of elements that allow the Barclays Bank Group to manage and measure its

reputation risk profile. The RRMF sets out what is required to manage reputation risk across the Barclays Bank Group.

The Barclays Bank PLC Chief Compliance Officer is responsible for providing independent second line oversight of Businesses' adherence to the RRMF.

Legal risk management

The risk of loss or imposition of penalties, damages or fines from the failure of the Barclays Bank Group to meet its legal obligations, including

regulatory or contractual requirements.

Overview

The Barclays Bank Group has no tolerance for wilful breaches of laws, regulations or other legal obligations. However, the multitude of laws and

regulations across the globe are highly dynamic and their application to particular circumstances is often unclear. This results in a high level of inherent

legal risk which Barclays Bank Group seeks to mitigate through the operation of a Barclays Group-wide legal risk management framework, including the

implementation of Barclays Group-wide legal risk policies requiring the engagement of legal professionals in situations that have the potential for legal

risk. Notwithstanding these mitigating actions, Barclays Bank Group operates with a level of residual legal risk, for which the Barclays Bank Group has

limited tolerance.

Organisation, roles and responsibilities

The Barclays Bank Group’s businesses and functions have primary responsibility for identifying and escalating legal risk in their area as well as

responsibility for adherence to minimum control requirements.

The Legal function organisation and coverage model aligns legal expertise to businesses, functions, products, activities and geographic locations so that

the Barclays Bank Group receives support from appropriate legal professionals, working in partnership to manage legal risk. The senior management of

the Legal function oversees, challenges and monitors the legal risk profile and effectiveness of the legal risk control environment across the Barclays

Group. The Legal function does not sit in any of the Three Lines of Defence but supports them all.

The Barclays Group General Counsel is responsible for developing and maintaining a Barclays Group-wide legal risk management framework. This

includes defining the relevant legal risk policies, developing Barclays Group-wide risk appetite for legal risk, and oversight of the implementation of

controls to manage and escalate legal risk.

The legal risk profile and control environment is reviewed by management through business risk committees and control committees. The Barclays

Bank Group Risk Committee is incorporated in the Barclays Group Risk Committee and is the most senior executive body responsible for reviewing and

monitoring the effectiveness of risk management across the Barclays Bank Group. Escalation paths from this committee exist to the Barclays Bank PLC

Board Risk Committee.

Risk review

Principal risk management

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Summary of Contents

Page

Credit risk represents a significant risk to the Barclays Bank

Group and mainly arises from exposure to wholesale and retail

loans and advances together with the counterparty credit risk

arising from derivative contracts entered into with clients.

•Credit risk overview and summary of performance

•Maximum exposure and effects of netting, collateral and risk

transfer

This section outlines the expected credit loss allowances, the

movements in allowances during the period, material

management adjustments to model output and measurement

uncertainty and sensitivity analysis.

•Expected credit losses

–Loans and advances at amortised cost by product

–Movement in gross exposure and impairment allowance for

loans and advances at amortised cost including provisions for

loan commitments and financial guarantees

–Stage 2 decomposition

–Stage 3 decomposition

•Management adjustments to models for impairment

•Measurement uncertainty and sensitivity analysis

The Barclays Bank Group reviews and monitors risk

concentrations in a variety of ways. This section outlines

performance against key concentration risks.

•Analysis of the concentration of credit risk

–Geographic concentrations

–Industry concentrations

•Approach to management and representation of credit quality

–Asset credit quality

–Debt securities

–Balance sheet credit quality

–Credit exposures by internal PD grade

Credit Risk monitors exposure performance across a range of

significant portfolios.

•Analysis of specific portfolios and asset types

–Credit cards, unsecured loans and other retail lending

–Government supported loans

Risk review

Risk performance

Credit risk

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All disclosures in this section pages 58 to 97 are unaudited unless otherwise stated.

Overview

Credit risk represents a significant risk to the Barclays Bank Group and mainly arises from exposure to wholesale and retail loans and advances together

with the counterparty credit risk arising from derivative contracts entered into with clients.

The continued impact of the COVID-19 pandemic has meant that management was required to monitor economic uncertainty judgement over the

course of 2021. Customer and client default rates have remained relatively stable despite the impact of the pandemic and volatile macroeconomic

environment. In retail cards, credit profiles did not show material deterioration due to continued government support measures in some geographies

and customer deleveraging. In wholesale, watch list balances continue to improve. However, the degree of economic uncertainty remains relatively

high: credit deterioration may still occur when support measures are fully withdrawn; emerging supply chain disruption and inflationary pressures may

challenge economic stability. Given this backdrop, management has maintained economic uncertainty adjustments to modelled outputs to address

these sources of uncertainties and ensure that the potential impact of stress are provided for. This uncertainty continues to be captured in two distinct

ways: firstly, the identification of customers and clients who may be more vulnerable to the withdrawal of support and emerging economic instability

and secondly, model uncertainty which does not capture certain macroeconomic and risk parameter uncertainties which are applied at a portfolio level.

Refer to the Management adjustment to models for impairment section on pages 74 to 75 for further details.

Further detail can be found in the financial statements section in Note 7 Credit impairment charges. Descriptions of terminology can be found in the

glossary, available at home.barclays/annualreport.

Summary of performance in the period

Credit impairment release of £277m (2020: £3,377m charge) was driven by an improved macro-economic outlook. CIB credit impairment release of

£461m (2020: £1,565m charge) was also supported by net single name wholesale loan release and a benign credit environment and CC&P credit

impairment charges of £185m (2020: £1,720m charge) was supported by lower delinquencies and higher customer repayments. As at 31 December

2021, 30 and 90 days arrears rates in US cards were 1.6% (2020: 2.5%) and 0.8% (2020: 1.4%) respectively.

Key metrics

Decrease of £1,837m impairment allowance

Impairment allowances on loans and advances at amortised cost including off-balance sheet elements of the allowance in Barclays Bank Group

decreased by £1,837m to £3,998m (2020: £5,835m) during the year. This is driven by a decrease in Wholesale Loans of £842m, Credit cards, unsecured

loans and other retail lending of £677m and Home Loans £48m and further decrease in off-balance sheet provisions of £270m. Please refer to page 64

Expected Credit loss section for further details.

Please see risk management section on pages 51 to 52 for details of governance, policies and procedures.

Risk review

Risk performance

Credit risk

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Analysis of the Balance Sheet

Barclays Bank Group’s maximum exposure and effects of netting, collateral and risk transfer

Basis of preparation

The following tables present a reconciliation between the Barclays Bank Group’s maximum exposure and its net exposure to credit risk, reflecting the

financial effects of risk mitigation reducing the Barclays Bank Group’s exposure.

For financial assets recognised on the balance sheet, maximum exposure to credit risk represents the balance sheet carrying value after allowance for

impairment. For off-balance sheet guarantees, the maximum exposure is the maximum amount that the Barclays Bank Group would have to pay if the

guarantees were to be called upon. For loan and other credit related commitments that are irrevocable over the life of the respective facilities, the

maximum exposure is the full amount of the committed facilities.

This and subsequent analyses of credit risk exclude other financial assets not subject to credit risk, mainly equity securities. For off-balance sheet

exposures certain contingent liabilities not subject to credit risk such as performance guarantees are excluded.

The Barclays Bank Group mitigates the credit risk to which it is exposed through netting and set-off, collateral and risk transfer. Further detail on the

Barclays Bank Group's policies to each of these forms of credit enhancement is presented on pages 51 to 52 of the credit risk management section.

Overview

As at 31 December 2021, the Barclays Bank Group’s net exposure to credit risk, after taking into account credit risk mitigation, increased 3% to

£741.1bn (2020: £719.6bn). Overall, the extent to which the Barclays Bank Group holds mitigation against its total exposure slightly decreased to 42%

(2020: 43%).

Of the unmitigated on balance sheet exposure, a significant portion relates to cash held at central banks, cash collateral and settlement balances, and

debt securities issued by governments, all of which are considered to be lower risk. The increase in the Barclays Bank Group’s net exposure to credit risk

has been mainly driven by increases in cash and balances at central banks and off-balance sheet loan commitments. Trading portfolio liability positions,

which to a significant extent economically hedge trading portfolio assets but which are not held specifically for risk management purposes, are excluded

from the analysis. The credit quality of counterparties to derivatives, financial investments and wholesale loan assets are predominantly investment

grade and there are no significant changes from prior year. Further analysis on the credit quality of assets is presented on pages 90 to 96.

Collateral obtained

Where collateral has been obtained in the event of default, the Barclays Bank Group does not, ordinarily, use such assets for its own operations and they

are usually sold on a timely basis. The carrying value of assets held by the Barclays Bank Group as at 31 December 2021, as a result of the enforcement

of collateral, was £22m (2020: £6m).

Risk review

Risk performance

Credit risk

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Maximum exposure and effect of netting, collateral and risk transfer (audited)

Maximum

exposure

Netting and

set-off

Cash

collateral

Non-cash

collateral

Risk transfer

Net

exposure

Barclays Bank Group

As at 31 December 2021

£m

On-balance sheet:

Cash and balances at central banks

169,085

—

169,085

Cash collateral and settlement balances

88,085

—

88,085

Loans and advances at amortised cost:

Home loans

10,985

—

(338)

(10,483)

(89)

Credit cards, unsecured loans and other retail lending

25,960

—

(968)

(4,229)

(252)

20,511

Wholesale loans

108,314

(5,001)

(118)

(30,287)

(5,080)

67,828

Total loans and advances at amortised cost

145,259

(5,001)

(1,424)

(44,999)

(5,421)

88,414

Of which credit-impaired (Stage 3):

Home loans

615

—

(11)

(604)

—

Credit cards, unsecured loans and other retail lending

563

—

(29)

(217)

(3)

314

Wholesale loans

486

—

(76)

(22)

388

Total credit-impaired loans and advances at amortised cost

1,664

—

(40)

(897)

(25)

702

Reverse repurchase agreements and other similar secured lending

3,177

—

(3,177)

—

Trading portfolio assets:

Debt securities

50,700

—

(461)

—

50,239

Traded loans

12,525

—

(268)

—

12,257

Total trading portfolio assets

63,225

—

(729)

—

62,496

Financial assets at fair value through the income statement:

Loans and advances

35,901

—

(29,485)

—

6,416

Debt securities

2,256

—

(319)

—

1,937

Reverse repurchase agreements

145,186

—

(1,428)

(143,229)

—

529

Other financial assets

—

Total financial assets at fair value through the income statement

183,428

—

(1,428)

(173,033)

—

8,967

Derivative financial instruments

262,291

(202,347)

(34,149)

(5,804)

(5,738)

14,253

Financial assets at fair value through other comprehensive income

45,907

—

(53)

(931)

44,923

Other assets

994

—

994

Total on-balance sheet

961,451

(207,348)

(37,001)

(227,795)

(12,090)

477,217

Off-balance sheet:

Contingent liabilities

23,746

—

(906)

(1,367)

(256)

21,217

Loan commitments

284,451

—

(99)

(40,104)

(1,627)

242,621

Total off-balance sheet

308,197

—

(1,005)

(41,471)

(1,883)

263,838

Total

1,269,648

(207,348)

(38,006)

(269,266)

(13,973)

741,055

Off-balance sheet exposures are shown gross of provisions of £499m (2020: £769m). See Note 24 for further details. In addition to the above, Barclays

Bank Group holds forward starting reverse repos amounting to £39.3bn (2020: £30.8bn). The balances are fully collateralised. Wholesale loans and

advances at amortised cost include £1.0bn (2020: £1.2bn) of CBILs and CLBILs supported by UK government guarantees of £0.8bn (2020: £0.9bn).

Barclays Bank Group has issued £1.7bn (2020: £2.6bn) of guarantees that have been provided to subsidiaries of Barclays PLC outside the Barclays Bank

Group. These guarantees have not been reported in the prior periods and the comparatives have not been restated.

For further information on credit risk mitigation techniques, refer to the Credit risk management section.

Risk review

Risk performance

Credit risk

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Maximum exposure and effects of netting, collateral and risk transfer (audited)

Maximum

exposure

Netting and

set-off

Cash

collateral

Non-cash

collateral

Risk transfer

Net

exposure

Barclays Bank Group

As at 31 December 2020

£m

On-balance sheet:

Cash and balances at central banks

155,902

—

155,902

Cash collateral and settlement balances

97,616

—

97,616

Loans and advances at amortised cost:

Home loans

11,193

—

(283)

(10,782)

(85)

Credit cards, unsecured loans and other retail lending

23,368

—

(827)

(3,459)

(195)

18,887

Wholesale loans

99,706

(6,988)

(50)

(24,328)

(4,419)

63,921

Total loans and advances at amortised cost

134,267

(6,988)

(1,160)

(38,569)

(4,699)

82,851

Of which credit-impaired (Stage 3):

Home loans

723

—

(13)

(708)

—

Credit cards, unsecured loans and other retail lending

600

—

(10)

(218)

(2)

370

Wholesale loans

1,327

—

(4)

(167)

(85)

1,071

Total credit-impaired loans and advances at amortised cost

2,650

—

(27)

(1,093)

(87)

1,443

Reverse repurchase agreements and other similar secured lending

8,981

—

(8,981)

—

Trading portfolio assets:

Debt securities

56,196

—

(391)

—

55,805

Traded loans

8,348

—

(374)

—

7,974

Total trading portfolio assets

64,544

—

(765)

—

63,779

Financial assets at fair value through the income statement:

Loans and advances

27,449

—

(9)

(21,819)

—

5,621

Debt securities

1,697

—

(292)

—

1,405

Reverse repurchase agreements

138,558

—

(685)

(137,466)

—

407

Other financial assets

315

—

315

Total financial assets at fair value through the income statement

168,019

—

(694)

(159,577)

—

7,748

Derivative financial instruments

302,693

(233,088)

(43,164)

(4,656)

(6,409)

15,376

Financial assets at fair value through other comprehensive income

51,901

—

(106)

(1,065)

50,730

Other assets

614

—

614

Total on-balance sheet

984,537

(240,076)

(45,018)

(212,654)

(12,173)

474,616

Off-balance sheet:

Contingent liabilities

20,932

—

(1,095)

(2,135)

(282)

17,420

Loan commitments

265,022

—

(56)

(35,970)

(1,479)

227,517

Total off-balance sheet

285,954

—

(1,151)

(38,105)

(1,761)

244,937

Total

1,270,491

(240,076)

(46,169)

(250,759)

(13,934)

719,553

Risk review

Risk performance

Credit risk

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Barclays Bank PLC Annual Report

Maximum exposure and effects of netting, collateral and risk transfer (audited)

Maximum

exposure

Netting and

set-off

Cash

collateral

Non-cash

collateral

Risk transfer

Net

exposure

Barclays Bank PLC

As at 31 December 2021

£m

On-balance sheet:

Cash and balances at central banks

144,964

—

144,964

Cash collateral and settlement balances

75,571

—

75,571

Loans and advances at amortised cost:

Home loans

5,982

—

(293)

(5,588)

(39)

Credit cards, unsecured loans and other retail lending

4,908

—

(788)

(2,933)

(73)

1,114

Wholesale loans

188,892

(5,003)

(3,571)

(29,623)

(4,323)

146,372

Total loans and advances at amortised cost

199,782

(5,003)

(4,652)

(38,144)

(4,435)

147,548

Of which credit-impaired (Stage 3):

Home loans

418

—

(7)

(409)

—

Credit cards, unsecured loans and other retail lending

140

—

(28)

(100)

(3)

Wholesale loans

404

—

(74)

(22)

308

Total credit-impaired loans and advances at amortised cost

962

—

(35)

(583)

(25)

319

Reverse repurchase agreements and other similar secured lending

4,982

—

(4,982)

—

Trading portfolio assets:

Debt securities

33,517

—

(461)

—

33,056

Traded loans

11,989

—

(268)

—

11,721

Total trading portfolio assets

45,506

—

(729)

—

44,777

Financial assets at fair value through the income statement:

Loans and advances

45,311

—

(16,100)

—

29,211

Debt securities

3,053

—

3,053

Reverse repurchase agreements

188,053

—

(1,346)

(186,707)

—

Other financial assets

—

Total financial assets at fair value through the income statement

236,439

—

(1,346)

(202,807)

—

32,286

Derivative financial instruments

234,409

(183,718)

(26,166)

(5,154)

(5,738)

13,633

Financial assets at fair value through other comprehensive income

44,163

—

(53)

(931)

43,179

Other assets

1,018

—

1,018

Total on-balance sheet

986,834

(188,721)

(32,164)

(251,869)

(11,104)

502,976

Off-balance sheet:

Contingent liabilities

55,774

—

(894)

(1,357)

(252)

53,271

Loan commitments

195,103

—

(84)

(43,828)

(1,587)

149,604

Total off-balance sheet

250,877

—

(978)

(45,185)

(1,839)

202,875

Total

1,237,711

(188,721)

(33,142)

(297,054)

(12,943)

705,851

Off-balance sheet exposures are shown gross of provisions of £420m (2020: £654m). See Note 24 for further details. In addition to the above, Barclays

Bank PLC holds forward starting reverse repos amounting to £31.0bn (2020: £29.8bn). The balances are fully collateralised. Wholesale loans and

advances at amortised cost include £1.0bn (2020: £1.2bn) of CBILs and CLBILs supported by UK government guarantees of £0.8bn (2020: £0.9bn).

Barclays Bank PLC has issued £14.5bn (2020: £13.9bn) of guarantees to its subsidiaries and other subsidiaries of Barclays PLC. These guarantees were

not reported in prior periods and the comparatives have been restated. For further information on credit risk mitigation techniques, refer to the credit

risk management section.

Risk review

Risk performance

Credit risk

home.barclays/annualreport

Barclays Bank PLC Annual Report

Maximum exposure and effects of netting, collateral and risk transfer (audited)

Maximum

exposure

Netting and

set-off

Cash

collateral

Non-cash

collateral

Risk transfer

Net

exposure

Barclays Bank PLC

As at 31 December 2020

£m

On-balance sheet:

Cash and balances at central banks

133,386

—

133,386

Cash collateral and settlement balances

87,723

—

87,723

Loans and advances at amortised cost:

Home loans

5,298

—

(241)

(5,004)

(32)

Credit cards, unsecured loans and other retail lending

4,188

—

(697)

(2,373)

(45)

1,073

Wholesale loans

182,052

(6,988)

(3,032)

(27,109)

(4,380)

140,543

Total loans and advances at amortised cost

191,538

(6,988)

(3,970)

(34,486)

(4,457)

141,637

Of which credit-impaired (Stage 3):

Home loans

525

—

(7)

(516)

—

Credit cards, unsecured loans and other retail lending

141

—

(10)

(112)

(2)

Wholesale loans

1,229

—

(4)

(167)

(85)

973

Total credit-impaired loans and advances at amortised cost

1,895

—

(21)

(795)

(87)

992

Reverse repurchase agreements and other similar secured lending

11,535

—

(11,535)

—

Trading portfolio assets:

Debt securities

35,442

—

(391)

—

35,051

Traded loans

8,241

—

(374)

—

7,867

Total trading portfolio assets

43,683

—

(765)

—

42,918

Financial assets at fair value through the income statement:

Loans and advances

36,117

—

(9)

(11,537)

—

24,571

Debt securities

2,139

—

2,139

Reverse repurchase agreements

164,670

—

(625)

(164,045)

—

Other financial assets

—

Total financial assets at fair value through the income statement

202,948

—

(634)

(175,582)

—

26,732

Derivative financial instruments

297,129

(238,339)

(34,081)

(4,454)

(6,409)

13,846

Financial assets at fair value through other comprehensive income

50,308

—

(106)

(1,065)

49,137

Other assets

741

—

741

Total on-balance sheet

1,018,991

(245,327)

(38,685)

(226,928)

(11,931)

496,120

Off-balance sheet:

Contingent liabilities

42,417

—

(1,076)

(2,113)

(269)

38,959

Loan commitments

183,762

—

(15)

(37,437)

(1,457)

144,853

Total off-balance sheet

226,179

—

(1,091)

(39,550)

(1,726)

183,812

Total

1,245,170

(245,327)

(39,776)

(266,478)

(13,657)

679,932

Risk review

Risk performance

Credit risk

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Barclays Bank PLC Annual Report

Expected Credit Losses

Loans and advances at amortised cost by product

The table below presents a breakdown of loans and advances at amortised cost and the impairment allowance with stage allocation by asset

classification.

Impairment allowance under IFRS 9 considers both the drawn and the undrawn counterparty exposure. For retail portfolios, the total impairment

allowance is allocated to the drawn exposure to the extent that the allowance does not exceed the exposure as ECL is not reported separately. Any

excess is reported on the liability side of the balance sheet as a provision. For wholesale portfolios the impairment allowance on the undrawn exposure

is reported on the liability side of the balance sheet as a provision.

Barclays Bank Group (audited)

Stage 2

As at 31 December 2021

Stage 1

Not past due

<=30 days

past due

>30 days

past due

Total

Stage 3

Totala

Gross exposure

£m

Home loans

9,760

548

653

958

11,371

Credit cards, unsecured loans and other retail lending

24,011

2,402

198

182

2,782

1,469

28,262

Wholesale loans

95,242

12,275

301

386

12,962

921

109,125

Total

129,013

15,225

521

651

16,397

3,348

148,758

Impairment allowance

Home loans

343

386

Credit cards, unsecured loans and other retail lending

605

677

791

906

2,302

Wholesale loans

183

188

193

435

811

Total

796

898

1,019

1,684

3,499

Net exposure

Home loans

9,752

515

618

615

10,985

Credit cards, unsecured loans and other retail lending

23,406

1,725

159

107

1,991

563

25,960

Wholesale loans

95,059

12,087

298

384

12,769

486

108,314

Total

128,217

14,327

478

573

15,378

1,664

145,259

Coverage ratio

Home loans

0.1

6.0

4.5

1.2

5.4

35.8

3.4

Credit cards, unsecured loans and other retail lending

2.5

28.2

19.7

41.2

28.4

61.7

8.1

Wholesale loans

0.2

1.5

1.0

0.5

1.5

47.2

0.7

Total

0.6

5.9

8.3

12.0

6.2

50.3

2.4

As at 31 December 2020

Gross exposure

£m

Home loans

9,627

761

901

1,099

11,627

Credit cards, unsecured loans and other retail lending

18,923

4,987

393

191

5,571

1,853

26,347

Wholesale loans

83,254

14,184

1,066

688

15,938

2,167

101,359

Total

111,804

19,932

1,512

966

22,410

5,119

139,333

Impairment allowance

Home loans

376

434

Credit cards, unsecured loans and other retail lending

399

1,092

111

124

1,327

1,253

2,979

Wholesale loans

280

475

533

840

1,653

Total

685

1,607

166

139

1,912

2,469

5,066

Net exposure

Home loans

9,621

721

849

723

11,193

Credit cards, unsecured loans and other retail lending

18,524

3,895

282

4,244

600

23,368

Wholesale loans

82,974

13,709

1,017

679

15,405

1,327

99,706

Total

111,119

18,325

1,346

827

20,498

2,650

134,267

Coverage ratio

Home loans

0.1

5.3

11.3

6.9

5.8

34.2

3.7

Credit cards, unsecured loans and other retail lending

2.1

21.9

28.2

64.9

23.8

67.6

11.3

Wholesale loans

0.3

3.3

4.6

1.3

3.3

38.8

1.6

Total

0.6

8.1

11.0

14.4

8.5

48.2

3.6

Note

a.Other financial assets subject to impairment excluded in the table above include cash collateral and settlement balances, financial assets at fair value through other

comprehensive income, accrued income and sundry debtors. These have a total gross exposure of £135.5bn (2020: £150.3bn) and impairment allowance of £104m

(2020: £145m). This comprises £4m (2020: £7m) ECL on £135.3bn (2020: £146.3bn) Stage 1 assets, £0m (2020: £6m) on £65m (2020: £3.8bn) Stage 2 fair value

through other comprehensive income assets, cash collateral and settlement assets and £100m (2020: £132m) on £100m (2020: £132m) Stage 3 other assets. Loan

commitments and financial guarantee contracts have total ECL of £499m (2020: £769m).

The increase in coverage on Credit cards, unsecured loans and other retail lending Stage 2 not past due is driven by a reduction in balances and the

economic uncertainty adjustments held for specific customers and clients who may be more vulnerable to the full withdrawal of support and emerging

economic uncertainty.

Risk review

Risk performance

Credit risk

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Barclays Bank PLC Annual Report

Barclays Bank PLC

Stage 2

As at 31 December 2021

Stage 1

Not past due

<=30 days

past due

>30 days

past due

Total

Stage 3

Totala

Gross exposure

£m

Home loans

5,350

133

220

724

6,294

Credit cards, unsecured loans and other retail lending

4,367

346

459

201

5,027

Wholesale loans

176,701

11,709

293

139

12,141

806

189,648

Total

186,418

12,188

373

259

12,820

1,731

200,969

Impairment allowance

Home loans

—

306

312

Credit cards, unsecured loans and other retail lending

119

Wholesale loans

180

170

174

402

756

Total

221

187

197

769

1,187

Net exposure

Home loans

5,345

132

219

418

5,982

Credit cards, unsecured loans and other retail lending

4,331

330

437

140

4,908

Wholesale loans

176,521

11,539

290

138

11,967

404

188,892

Total

186,197

12,001

367

255

12,623

962

199,782

Coverage ratio

Home loans

0.1

0.8

—

0.5

42.3

5.0

Credit cards, unsecured loans and other retail lending

0.8

4.6

4.8

6.0

4.8

30.3

2.4

Wholesale loans

0.1

1.5

1.0

0.7

1.4

49.9

0.4

Total

0.1

1.5

1.6

1.5

44.4

0.6

As at 31 December 2020

Gross exposure

£m

Home loans

4,630

146

863

5,639

Credit cards, unsecured loans and other retail lending

3,576

390

168

568

205

4,349

Wholesale loans

166,521

13,396

1,005

680

15,081

2,020

183,622

Total

174,727

13,841

1,196

758

15,795

3,088

193,610

Impairment allowance

Home loans

—

338

341

Credit cards, unsecured loans and other retail lending

161

Wholesale loans

280

450

499

791

1,570

Total

336

477

543

1,193

2,072

Net exposure

Home loans

4,628

145

525

5,298

Credit cards, unsecured loans and other retail lending

3,522

364

155

525

141

4,188

Wholesale loans

166,241

12,946

964

672

14,582

1,229

182,052

Total

174,391

13,364

1,142

746

15,252

1,895

191,538

Coverage ratio

Home loans

—

1.8

—

0.7

39.2

6.0

Credit cards, unsecured loans and other retail lending

1.5

6.7

7.7

40.0

7.6

31.2

3.7

Wholesale loans

0.2

3.4

4.1

1.2

3.3

39.2

0.9

Total

0.2

3.4

4.5

1.6

3.4

38.6

1.1

Note

a.Other financial assets subject to impairment not included in the table above include cash collateral and settlement balances, financial assets at fair value through other

comprehensive income, accrued income and sundry debtors. These have a total gross exposure of £120.8bn (2020: £138.9bn) and impairment allowance of £101m

(2020: £146m). This comprises £5m ECL (2020: £13m) on £120.7bn Stage 1 assets (2020: £134.9bn), £0m (2020: £5m) on £65m Stage 2 fair value through other

comprehensive income assets, cash collateral and settlement assets (2020: £3.8bn) and £96m (2020: £128m) on £96m Stage 3 other assets (2020: £128m). Loan

commitments and financial guarantee contracts have total ECL of £420m (2020: £654m).

Risk review

Risk performance

Credit risk

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Barclays Bank PLC Annual Report

Movement in gross exposures and impairment allowance including provisions for loan commitments and financial guarantees

The following tables present a reconciliation of the opening to the closing balance of the exposure and impairment allowance. An explanation of the

methodology used to determine credit impairment provisions is included in page 167. Transfers between stages in the tables have been reflected as if

they had taken place at the beginning of the year. The movements are measured over a 12-month period.

Loans and advances at amortised cost (audited)

Stage 1

Stage 2

Stage 3

Total

Barclays Bank Group

Gross

ECL

Gross

ECL

Gross

ECL

Gross

ECL

£m

Home loans

As at 1 January 2021

9,627

901

1,099

376

11,627

434

Transfers from Stage 1 to Stage 2

(253)

—

253

—

Transfers from Stage 2 to Stage 1

331

(331)

(22)

—

Transfers to Stage 3

(80)

—

(52)

(5)

132

—

Transfers from Stage 3

—

(71)

(4)

—

Business activity in the yeara

1,745

—

1,745

Refinements to models used for calculationb

—

(4)

—

Net drawdowns, repayments, net re-measurement

and movements due to exposure and risk parameter

changes

(742)

(22)

(25)

(70)

(50)

(837)

(61)

Final repayments

(890)

—

(142)

(1)

(114)

(4)

(1,146)

(5)

Disposals

—

Write-offsc

—

(18)

As at 31 December 2021d

9,760

653

958

343

11,371

386

Credit cards, unsecured loans and other retail lending

As at 1 January 2021

18,923

399

5,571

1,327

1,853

1,253

26,347

2,979

Transfers from Stage 1 to Stage 2

(897)

(41)

897

—

Transfers from Stage 2 to Stage 1

2,520

548

(2,520)

(548)

—

Transfers to Stage 3

(307)

(13)

(362)

(165)

669

178

—

Transfers from Stage 3

(34)

(14)

—

Business activity in the yeara

4,731

106

4,853

112

Refinements to models used for calculationb

—

(3)

—

(27)

—

(30)

Net drawdowns, repayments, net re-measurement

and movements due to exposure and risk parameter

changes

509

(360)

(514)

147

(96)

337

(101)

124

Final repayments

(1,489)

(14)

(409)

(16)

(76)

(5)

(1,974)

(35)

Disposalse

—

(37)

(22)

(37)

(22)

Write-offsc

—

(826)

As at 31 December 2021d

24,011

605

2,782

791

1,469

906

28,262

2,302

Wholesale loans

As at 1 January 2021

83,254

280

15,938

533

2,167

840

101,359

1,653

Transfers from Stage 1 to Stage 2

(4,122)

(14)

4,122

—

Transfers from Stage 2 to Stage 1

5,454

179

(5,454)

(179)

—

Transfers to Stage 3

(32)

(1)

(164)

(12)

196

—

Transfers from Stage 3

363

145

(508)

(8)

—

Business activity in the yeara

27,946

1,674

29,657

112

Refinements to models used for calculationb

—

Net drawdowns, repayments, net re-measurement

and movements due to exposure and risk parameter

changes

2,448

(301)

1,072

(14)

(82)

3,438

(268)

Final repayments

(19,481)

(29)

(4,322)

(168)

(504)

(125)

(24,307)

(322)

Disposalse

(588)

(8)

(49)

(4)

(71)

(41)

(708)

(53)

Write-offsc

—

(314)

As at 31 December 2021d

95,242

183

12,962

193

921

435

109,125

811

Notes

a.Business activity in the year does not include additional drawdowns on the existing facility which are reported under “Net drawdowns, repayments, net re-measurement

and movements due to exposure and risk parameter changes”.

b.Refinements to models used for calculation include a £34m movement in Home loans, £30m in Credit cards, unsecured loans and other retail lending and £3m in

Wholesale loans. These reflect methodology changes made during the year. Barclays Bank Group continually reviews the output of models to determine accuracy of the

ECL calculation including review of model monitoring, external benchmarking and experience of model operation over an extended period of time. This ensures that the

models used continue to reflect the risks inherent across the businesses.

c.In 2021, gross write-offs amounted to £1,158m (2020: £1,337m) and post write-off recoveries amounted to £31m (2020: £4m). Net write-offs represent gross write-offs

less post write-off recoveries and amounted to £1,127m (2020: £1,333m).

d.Other financial assets subject to impairment excluded in the table above include cash collateral and settlement balances, financial assets at fair value through other

comprehensive income, accrued income and sundry debtors. These have a total gross exposure of £135.5bn (2020: £150.3bn) and impairment allowance of £104m

(2020: £145m). This comprises £4m (2020: £7m) ECL on £135.3bn (2020: £146.3bn) Stage 1 assets, £0m (2020: £6m) on £65m (2020: £3.8bn) Stage 2 fair value

through other comprehensive income assets, cash collateral and settlement assets and £100m (2020: £132m) on £100m (2020: £132m) Stage 3 other assets.

Risk review

Risk performance

Credit risk

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Barclays Bank PLC Annual Report

e.The £37m of disposals reported within Credit cards, unsecured loans and other retail lending portfolio relate to debt sales undertaken during the year. The £708m of

disposals reported within Wholesale loans include debt sales and sale of Barclays Asset Finance.

Reconciliation of ECL movement to credit impairment (release)/charge for the period

£m

Home loans

(30)

Credit cards, unsecured loans and other retail lending

171

Wholesale loans

(475)

ECL movement excluding assets derecognised due to disposals and write-offs

(334)

Recoveries and reimbursementsa

259

Exchange and other adjustmentsb

Credit impairment release on loan commitments and financial guarantees

(257)

Credit impairment release on other financial assetsc

(15)

Credit impairment release for the year

(277)

Notes

aRecoveries and reimbursements includes a net reduction in amounts recoverable from financial guarantee contracts held with third parties of £290m and cash recoveries

of previously written off amounts of £31m.

bIncludes foreign exchange and interest and fees in suspense.

cOther financial assets subject to impairment excluded in the table above include cash collateral and settlement balances, financial assets at fair value through other

comprehensive income, accrued income and sundry debtors. These have a total gross exposure of £135.5bn (2020: £150.3bn) and impairment allowance of £104m

(2020: £145m). This comprises £4m (2020: £7m) ECL on £135.3bn (2020: £146.3bn) Stage 1 assets, £0m (2020: £6m) on £65m (2020: £3.8bn) Stage 2 fair value

through other comprehensive income assets, cash collateral and settlement assets and £100m (2020: £132m) on £100m (2020: £132m) Stage 3 other assets.

Loan commitments and financial guarantees

(audited)

Stage 1

Stage 2

Stage 3

Total

Barclays Bank Group

Gross

ECL

Gross

ECL

Gross

ECL

Gross

ECL

£m

Home loans

As at 1 January 2021

125

—

131

—

Net transfers between stages

—

Business activity in the year

—

Net drawdowns, repayments, net re-

measurement and movement due to

exposure and risk parameter changes

(4)

—

(4)

—

Limit management and final repayments

(87)

—

(2)

—

(3)

—

(92)

—

As at 31 December 2021

—

Credit cards, unsecured loans and other retail lending

As at 1 January 2021

68,211

6,244

74,485

Net transfers between stages

2,992

(4)

(3,431)

(2)

439

—

Business activity in the year

10,628

—

410

—

11,040

—

Net drawdowns, repayments, net re-

measurement and movement due to

exposure and risk parameter changes

3,712

585

(437)

(9)

3,860

(1)

Limit management and final repayments

(6,888)

—

(594)

—

(2)

—

(7,484)

—

As at 31 December 2021

78,655

3,214

81,901

Wholesale loansd

As at 1 January 2021

160,404

205

39,426

446

2,031

201,861

679

Net transfers between stages

7,801

220

(6,730)

(214)

(1,071)

(6)

—

Business activity in the year

45,395

4,658

102

—

50,062

116

Net drawdowns, repayments, net re-

measurement and movement due to

exposure and risk parameter changes

10,551

(232)

539

(13)

11,092

(233)

Limit management and final repayments

(46,145)

(40)

(8,939)

(105)

(491)

(7)

(55,575)

(152)

As at 31 December 2021

178,006

167

28,417

241

1,017

207,440

410

dBarclays Bank Group has issued £1.7bn (2020: £2.6bn) of guarantees that have been provided to subsidiaries of Barclays PLC outside the Barclays Bank Group. These

guarantees have not been reported in the prior periods and the comparatives have not been restated.

Risk review

Risk performance

Credit risk

home.barclays/annualreport

Barclays Bank PLC Annual Report

Loans and advances at amortised cost

(audited)

Stage 1

Stage 2

Stage 3

Total

Barclays Bank PLC

Gross

ECL

Gross

ECL

Gross

ECL

Gross

ECL

£m

Home loans

As at 1 January 2021

4,630

146

863

338

5,639

341

Transfers from Stage 1 to Stage 2

(169)

—

169

—

Transfers from Stage 2 to Stage 1

(48)

(1)

—

Transfers to Stage 3

(64)

—

(26)

—

Transfers from Stage 3

—

(33)

(2)

—

Business activity in the yeara

1,526

—

1,526

Refinements to models used for calculationb

—

(3)

—

Net drawdowns, repayments, net re-

measurement and movements due to

exposure and risk parameter changes

(173)

(74)

(41)

(212)

(38)

Final repayments

(464)

—

(73)

—

(106)

(3)

(643)

(3)

Disposals

—

Write-offsc

—

(16)

As at 31 December 2021d

5,350

220

724

306

6,294

312

Credit cards, unsecured loans and other retail lending

As at 1 January 2021

3,576

568

205

4,349

161

Transfers from Stage 1 to Stage 2

(262)

(3)

262

—

Transfers from Stage 2 to Stage 1

(60)

(12)

—

Transfers to Stage 3

(45)

(1)

(9)

(5)

—

Transfers from Stage 3

—

(3)

(1)

—

Business activity in the yeara

1,364

—

1,402

Refinements to models used for calculationb

—

(3)

—

(1)

—

(4)

Net drawdowns, repayments, net re-

measurement and movements due to

exposure and risk parameter changes

190

(28)

(7)

(2)

189

(15)

Final repayments

(519)

(2)

(324)

(6)

(48)

(1)

(891)

(9)

Disposalse

—

Write-offsc

—

(22)

As at 31 December 2021d

4,367

459

201

5,027

119

Wholesale loans

As at 1 January 2021

166,521

280

15,081

499

2,020

791

183,622

1,570

Transfers from Stage 1 to Stage 2

(3,649)

(13)

3,649

—

Transfers from Stage 2 to Stage 1

5,126

162

(5,126)

(162)

—

Transfers to Stage 3

(31)

(1)

(134)

(5)

165

—

Transfers from Stage 3

363

113

(476)

(9)

—

Business activity in the yeara

37,978

1,836

39,851

109

Refinements to models used for calculationb

—

Net drawdowns, repayments, net re-

measurement and movements due to

exposure and risk parameter changes

(1,553)

(289)

1,056

(19)

(75)

(572)

(236)

Final repayments

(27,421)

(29)

(4,285)

(167)

(502)

(123)

(32,208)

(319)

Transfer to Barclays Bank Ireland

(45)

—

(3)

—

(48)

—

Disposalse

(588)

(8)

(49)

(4)

(44)

(42)

(681)

(54)

Write-offsc

—

(316)

As at 31 December 2021d

176,701

180

12,141

174

806

402

189,648

756

Notes

aBusiness activity in the year does not include additional drawdowns on the existing facility which are reported under “Net drawdowns, repayments, net re-measurement

and movements due to exposure and risk parameter changes”.

bRefinements to models used for calculation include a £27m movement in Home loans, £4m in Credit cards, unsecured loans and other retail lending and £2m in Wholesale

loans. These reflect methodology changes made during the year. Barclays continually review the output of models to determine accuracy of the ECL calculation including

review of model monitoring, external benchmarking and experience of model operation over an extended period of time. This ensures that the models used continue to

reflect the risks inherent across the businesses.

cIn 2021, gross write-offs amounted to £354m (2020: £301m) and post write-off recoveries amounted to £3m (2020: £4m). Net write-offs represent gross write-offs less

post write-off recoveries and amounted to £351m (2020: £297m).

dOther financial assets subject to impairment not included in the table above include cash collateral and settlement balances, financial assets at fair value through other

comprehensive income, accrued income and sundry debtors. These have a total gross exposure of £120.8bn (2020: £138.9bn) and impairment allowance of £101m

(2020: £146m). This comprises £5m ECL (2020: £13m) on £120.7bn Stage 1 assets (2020: £134.9bn), £0m (2020: £5m) on £65m Stage 2 fair value through other

comprehensive income assets, cash collateral and settlement assets (2020: £3.8bn) and £96m (2020: £128m) on £96m Stage 3 other assets (2020: £128m).

Risk review

Risk performance

Credit risk

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Barclays Bank PLC Annual Report

eThe £681m of disposals reported within Wholesale loans include debt sales and sale of Barclays Asset Finance.

Reconciliation of ECL movement to credit impairment (release)/charge for the period

£m

Home loans

(13)

Credit cards, unsecured loans and other retail lending

(20)

Wholesale loans

(444)

ECL movement excluding assets derecognised due to disposals and write-offs

(477)

Recoveries and reimbursementsa

274

Exchange and other adjustmentsb

Credit impairment release on loan commitments and financial guarantees

(213)

Credit impairment release on other financial assetsc

(19)

Credit impairment release for the year

(414)

Notes

aRecoveries and reimbursements includes a net reduction in amounts recoverable from financial guarantee contracts held with third parties of £277m and cash recoveries

of previously written off amounts of £3m.

bIncludes foreign exchange and interest and fees in suspense.

cOther financial assets subject to impairment not included in the table above include cash collateral and settlement balances, financial assets at fair value through other

comprehensive income, accrued income and sundry debtors. These have a total gross exposure of £120.8bn (2020: £138.9bn) and impairment allowance of £101m

(2020: £146m). This comprises £5m ECL (2020: £13m) on £120.7bn Stage 1 assets (2020: £134.9bn), £0m (2020: £5m) on £65m Stage 2 fair value through other

comprehensive income assets, cash collateral and settlement assets (2020: £3.8bn) and £96m (2020: £128m) on £96m Stage 3 other assets (2020: £128m).

Loan commitments and financial guarantees

(audited)

Stage 1

Stage 2

Stage 3

Total

Barclays Bank PLC

Gross

ECL

Gross

ECL

Gross

ECL

Gross

ECL

£m

Home loans

As at 1 January 2021

—

Net transfers between stages

—

Business activity in the year

—

Net drawdowns, repayments, net re-

measurement and movement due to

exposure and risk parameter changes

—

Limit management and final repayments

(6)

—

(2)

—

(8)

—

As at 31 December 2021

—

Credit cards, unsecured loans and other retail lending

As at 1 January 2021

5,173

667

5,869

Net transfers between stages

142

(4)

(181)

(2)

—

Business activity in the year

1,018

—

1,032

—

Net drawdowns, repayments, net re-

measurement and movement due to

exposure and risk parameter changes

(222)

—

139

(1)

(46)

(10)

(129)

(11)

Limit management and final repayments

(692)

—

(115)

—

(2)

—

(809)

—

As at 31 December 2021

5,419

523

5,963

Wholesale loansd

As at 1 January 2021

174,115

187

35,279

398

1,926

211,320

613

Net transfers between stages

7,926

189

(6,922)

(182)

(1,004)

(7)

—

Business activity in the year

53,175

3,923

—

57,107

115

Net drawdowns, repayments, net re-

measurement and movement due to

exposure and risk parameter changes

11,827

(201)

457

404

(12)

12,688

(196)

Transfer to Barclays Bank Ireland

(952)

—

(155)

—

(3)

—

(1,110)

—

Limit management and final repayments

(43,509)

(36)

(8,664)

(100)

(475)

(6)

(52,648)

(142)

As at 31 December 2021

202,582

156

23,918

231

857

227,357

390

dBarclays Bank PLC has issued £14.5bn (2020: £13.9bn) of guarantees to its subsidiaries and other subsidiaries of Barclays PLC. These guarantees were not reported in prior

periods and the comparatives have been restated.

Risk review

Risk performance

Credit risk

home.barclays/annualreport

Barclays Bank PLC Annual Report

Loans and advances at amortised cost

(audited)

Stage 1

Stage 2

Stage 3

Total

Barclays Bank Group

Gross

ECL

Gross

ECL

Gross

ECL

Gross

ECL

£m

Home loans

As at 1 January 2020

9,604

674

1,056

292

11,334

348

Transfers from Stage 1 to Stage 2

(537)

(1)

537

—

Transfers from Stage 2 to Stage 1

204

(204)

(7)

—

Transfers to Stage 3

(157)

—

(52)

(7)

209

—

Transfers from Stage 3

—

(84)

(1)

—

Business activity in the yeara

1,193

—

1,194

Refinements to models used for calculation

—

Net drawdowns, repayments, net re-

measurement and movements due to

exposure and risk parameter changes

133

(17)

(62)

103

104

Final repayments

(842)

—

(47)

(1)

(98)

(1)

(987)

(2)

Write-offsb

—

(17)

As at 31 December 2020c

9,627

901

1,099

376

11,627

434

Credit cards, unsecured loans and other retail lending

As at 1 January 2020

29,541

362

4,450

784

2,129

1,471

36,120

2,617

Transfers from Stage 1 to Stage 2

(4,116)

(92)

4,116

—

Transfers from Stage 2 to Stage 1

994

139

(994)

(139)

—

Transfers to Stage 3

(464)

(19)

(516)

(188)

980

207

—

Transfers from Stage 3

(80)

(20)

—

Business activity in the yeara

3,467

130

3,626

Refinements to models used for calculation

—

Net drawdowns, repayments, net re-

measurement and movements due to

exposure and risk parameter changes

(4,613)

(1,231)

806

731

(5,806)

1,552

Final repayments

(2,232)

(29)

(168)

(23)

(68)

(8)

(2,468)

(60)

Transfers to Barclays Groupd

(2,182)

(16)

(92)

(25)

(47)

(41)

(2,321)

(82)

Disposalse

(1,493)

(8)

(183)

(20)

(92)

(58)

(1,768)

(86)

Write-offsb

—

(1,036)

As at 31 December 2020c

18,923

399

5,571

1,327

1,853

1,253

26,347

2,979

Wholesale loans

As at 1 January 2020

89,200

114

7,515

234

1,163

383

97,878

731

Transfers from Stage 1 to Stage 2

(10,213)

(31)

10,213

—

Transfers from Stage 2 to Stage 1

2,651

(2,651)

(25)

—

Transfers to Stage 3

(772)

(3)

(642)

(50)

1,414

—

Transfers from Stage 3

189

—

(223)

(1)

—

Business activity in the yeara

19,773

1,954

144

393

22,120

255

Refinements to models used for calculation

—

Net drawdowns, repayments, net re-

measurement and movements due to

exposure and risk parameter changes

7,033

154

2,969

248

687

10,007

1,089

Final repayments

(24,098)

(22)

(2,844)

(28)

(283)

(59)

(27,225)

(109)

Transfers to Barclays Groupd

(509)

(1)

(600)

(22)

(18)

(6)

(1,127)

(29)

Disposalse

—

(10)

—

(10)

—

Write-offsb

—

(284)

As at 31 December 2020c

83,254

280

15,938

533

2,167

840

101,359

1,653

Notes

a.Business activity during the year does not include additional drawdowns on the existing facility which are reported under “Net drawdowns, repayments, net re-

measurement and movements due to exposure and risk parameter changes”.

b.In 2020, gross write-offs amounted to £1,337m (2019: £1,293m) and post write-off recoveries amounted to £4m (2019: £73m). Net write-offs represent gross write-offs

less post write-off recoveries and amounted to £1,333m (2019: £1,220m).

c.Other financial assets subject to impairment not included in the table above include cash collateral and settlement balances, financial assets at fair value through other

comprehensive income, accrued income and sundry debtors. These have a total gross exposure of £150.3bn (2019: £125.5bn) and impairment allowance of £145m

(2019: £22m). This comprises £7m ECL (2019 £10m) on £146.3bn stage 1 assets (2019: £124.7bn), £6m (2019: £2m) on £3.8bn stage 2 fair value through other

comprehensive income assets, cash collateral and settlement assets (2019: £0.8bn) and £132m (2019: £10m) on £132m Stage 3 other assets (2019: £10m).

d.Transfers to Barclays Group include a £2.3bn transfer of the Barclays Partner Finance retail portfolio reported within Credit cards, unsecured loans and other retail lending

and £1.1bn transfer of the Barclays Mercantile Business Finance Limited reported within loans to Barclays Principal Investments Limited.

Risk review

Risk performance

Credit risk

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Barclays Bank PLC Annual Report

e.The £1.8bn disposals reported within Credit cards, unsecured loans and other retail lending portfolio include sale of motor financing business within Barclays Partner

Finance business. Disposal within Wholesale loans include sale of debt securities as part of Group Treasury Operations.

Reconciliation of ECL movement to credit impairment (release)/charge for the period

£m

Home loans

103

Credit cards, unsecured loans and other retail lending

1,484

Wholesale loans

1,206

ECL movement excluding assets derecognised due to disposals and write-offs

2,793

Recoveries and reimbursementsa

(368)

Exchange and other adjustmentsb

267

Credit impairment charge on loan commitments and financial guarantees

547

Credit impairment charge on other financial assetsc

138

Credit impairment charge for the year

3,377

Notes

aRecoveries and reimbursements includes £364m for reimbursements expected to be received under the arrangement where Group has entered into financial guarantee

contracts which provide credit protection over certain loan assets with third parties. Cash recoveries of previously written off amounts to £4m.

bIncludes foreign exchange and interest and fees in suspense.

cOther financial assets subject to impairment not included in the table above include cash collateral and settlement balances, financial assets at fair value through other

comprehensive income, accrued income and sundry debtors. These have a total gross exposure of £150.3bn (2019: £125.5bn) and impairment allowance of £145m

(2019: £22m). This comprises £7m ECL (2019: £10m) on £146.3bn stage 1 assets (2019: £124.7bn), £6m (2019: £2m) on £3.8bn stage 2 fair value through other

comprehensive income assets, cash collateral and settlement assets (2019: £0.8bn) and £132m (2019: £10m) on £132m Stage 3 other assets (2019: £10m).

Loan commitments and financial guarantees

(audited)

Stage 1

Stage 2

Stage 3

Total

Barclays Bank Group

Gross

ECL

Gross

ECL

Gross

ECL

Gross

ECL

£m

Home loans

As at 1 January 2020

—

Net transfers between stages

(4)

—

Business activity in the year

113

—

113

—

Net drawdowns, repayments, net re-

measurement and movement due to

exposure and risk parameter changes

—

Limit management and final repayments

(19)

—

(2)

—

(21)

—

As at 31 December 2020

125

—

131

—

Credit cards, unsecured loans and other retail lending

As at 1 January 2020

78,257

2,053

80,377

Net transfers between stages

(4,124)

3,603

(2)

521

(4)

—

Business activity in the year

4,591

128

4,720

Net drawdowns, repayments, net re-

measurement and movement due to

exposure and risk parameter changes

1,471

1,076

(553)

1,994

Limit management and final repayments

(11,984)

(1)

(616)

(1)

(6)

(3)

(12,606)

(5)

As at 31 December 2020

68,211

6,244

74,485

Wholesale loansa

As at 1 January 2020

183,001

12,053

636

195,690

201

Net transfers between stages

(28,048)

27,052

(72)

996

—

Business activity in the year

42,904

4,705

102

774

48,383

136

Net drawdowns, repayments, net re-

measurement and movement due to

exposure and risk parameter changes

12,755

(219)

334

(79)

(19)

12,457

365

Limit management and final repayments

(50,208)

(7)

(4,165)

(15)

(296)

(1)

(54,669)

(23)

As at 31 December 2020

160,404

205

39,426

446

2,031

201,861

679

Note

a Barclays Bank Group has issued £1.7bn (2020: £2.6bn) of guarantees that have been provided to subsidiaries of Barclays PLC outside the Barclays Bank Group. These

guarantees have not been reported in the prior periods and the comparatives have not been restated.

Risk review

Risk performance

Credit risk

home.barclays/annualreport

Barclays Bank PLC Annual Report

Loans and advances at amortised cost

(audited)

Stage 1

Stage 2

Stage 3

Total

Barclays Bank PLC

Gross

ECL

Gross

ECL

Gross

ECL

Gross

ECL

£m

Home loans

As at 1 January 2020

4,138

112

878

271

5,128

282

Transfers from Stage 1 to Stage 2

(69)

—

Transfers from Stage 2 to Stage 1

—

(33)

—

Transfers to Stage 3

(123)

—

(8)

—

131

—

Transfers from Stage 3

—

(60)

(1)

—

Business activity in the yeara

958

—

958

Net drawdowns, repayments, net re-

measurement and movements due to

exposure and risk parameter changes

(8)

(2)

108

Final repayments

(421)

—

(29)

—

(93)

—

(543)

—

Disposals

—

Write-offs

—

(12)

As at 31 December 2020b

4,630

146

863

338

5,639

341

Credit cards, unsecured loans and other retail lending

As at 1 January 2020

3,619

562

287

4,468

135

Transfers from Stage 1 to Stage 2

(211)

(3)

211

—

Transfers from Stage 2 to Stage 1

107

(107)

(9)

—

Transfers to Stage 3

(43)

(1)

(21)

(8)

—

Transfers from Stage 3

(58)

(3)

—

Business activity in the yeara

1,004

—

1,008

Net drawdowns, repayments, net re-

measurement and movements due to

exposure and risk parameter changes

(222)

(61)

(7)

(290)

Final repayments

(686)

(1)

(68)

(6)

(48)

(2)

(802)

(9)

Disposals

—

Write-offs

—

(35)

As at 31 December 2020b

3,576

568

205

4,349

161

Wholesale loans

As at 1 January 2020

145,094

112

6,957

237

1,131

349

153,182

698

Transfers from Stage 1 to Stage 2

(9,233)

(27)

9,233

—

Transfers from Stage 2 to Stage 1

2,499

(2,499)

(23)

—

Transfers to Stage 3

(678)

(2)

(598)

(50)

1,276

—

Transfers from Stage 3

189

—

(223)

(1)

—

Business activity in the yeara

48,192

1,732

143

393

50,317

255

Net drawdowns, repayments, net re-

measurement and movements due to

exposure and risk parameter changes

7,062

152

3,014

193

(12)

634

10,064

979

Final repayments

(26,325)

(22)

(2,695)

(26)

(282)

(51)

(29,302)

(99)

Transfer to Barclays Bank Ireland

(279)

(1)

(87)

(3)

(9)

(5)

(375)

(9)

Disposalsc

—

(10)

—

(10)

—

Write-offsd

—

(254)

As at 31 December 2020b

166,521

280

15,081

499

2,020

791

183,622

1,570

Notes

a.Business activity during the year does not include additional drawdowns on the existing facility which are reported under “Net drawdowns, repayments, net re-

measurement and movements due to exposure and risk parameter changes”.

b.Other financial assets subject to impairment not included in the table above include cash collateral and settlement balances, financial assets at fair value through other

comprehensive income, accrued income and sundry debtors. These have a total gross exposure of £138.9bn (2019: £120.3bn) and impairment allowance of £146m

(2019: £19m). This comprises £13m ECL (2019: £11m) on £134.9bn stage 1 assets (2019: £119.5bn), £5m (2019: £2m) on £3.8bn stage 2 fair value through other

comprehensive income assets, cash collateral and other settlement balances (2019: £0.8bn) and £128m (2019: £6m) on £128m Stage 3 other assets (2019: £6m).

c.Disposal within Wholesale loans include sale of debt securities as part of Group Treasury operations.

d.In 2020, gross write-offs amounted to £301m (2019: £154m) and post write-off recoveries amounted to £4m (2019: £39m). Net write-offs represent gross write-offs less

post write-off recoveries and amounted to £297m (£115m).

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Reconciliation of ECL movement to credit impairment (release)/charge for the period

£m

Home loans

Credit cards, unsecured loans and other retail lending

Wholesale loans

1,126

ECL movement excluding assets derecognised due to disposals and write-offs

1,258

Recoveries and reimbursementsa

(352)

Exchange and other adjustmentsb

Credit impairment charge on loan commitments and financial guarantees

469

Credit impairment charge on other financial assetsc

142

Credit impairment charge for the year

1,577

Notes

aRecoveries and reimbursements includes £348m for reimbursements expected to be received under the arrangement where the Bank has entered into financial guarantee

contracts which provide credit protection over certain loan assets with third parties. Cash recoveries of previously written off amounts to £4m.

bIncludes foreign exchange and interest and fees in suspense.

cOther financial assets subject to impairment not included in the table above include cash collateral and settlement balances, financial assets at fair value through other

comprehensive income, accrued income and sundry debtors. These have a total gross exposure of £138.9bn (2019: £120.3bn) and impairment allowance of £146m

(2019: £19m). This comprises £13m ECL (2019: £11m) on £134.9bn stage 1 assets (2019: £119.5bn), £5m (2019: £2m) on £3.8bn stage 2 fair value through other

comprehensive income assets, cash collateral and other settlement balances (2019: £0.8bn) and £128m (2019: £6m) on £128m Stage 3 other assets (2019: £6m).

Loan commitments and financial guarantees

(audited)

Stage 1

Stage 2

Stage 3

Total

Barclays Bank PLC

Gross

ECL

Gross

ECL

Gross

ECL

Gross

ECL

£m

Home loans

As at 1 January 2020

—

Net transfers between stages

(4)

—

Business activity in the year

—

Net drawdowns, repayments, net re-

measurement and movement due to

exposure and risk parameter changes

—

Limit management and final repayments

(19)

—

(2)

—

(21)

—

As at 31 December 2020

—

Credit cards, unsecured loans and other retail lending

As at 1 January 2020

5,071

663

5,761

Net transfers between stages

(205)

(2)

117

(3)

—

Business activity in the year

770

800

Net drawdowns, repayments, net re-

measurement and movement due to

exposure and risk parameter changes

(293)

(2)

236

(110)

(167)

Limit management and final repayments

(463)

(1)

(56)

(1)

(6)

(3)

(525)

(5)

As at 31 December 2020

5,173

667

5,869

Wholesale loansd

As at 1 January 2020

183,702

11,040

613

195,355

191

Net transfers between stages

(26,586)

25,674

(72)

912

—

Business activity in the year

39,929

3,929

772

44,630

112

Net drawdowns, repayments, net re-

measurement and movement due to

exposure and risk parameter changesd

29,134

(498)

316

(69)

(20)

28,567

338

Limit management and final repayments

(3,990)

(2)

(886)

(4)

(6)

—

(4,882)

(6)

Transfer to Barclays Bank Ireland

(48,074)

(7)

(3,980)

(14)

(296)

(1)

(52,350)

(22)

As at 31 December 2020

174,115

187

35,279

398

1,926

211,320

613

dBarclays Bank PLC has issued £14.5bn (2020: £13.9bn) of guarantees to its subsidiaries and other subsidiaries of Barclays PLC. These guarantees were not reported in prior

periods and the comparatives have been restated.

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Stage 2 decomposition

Loans and advances at amortised costa

2021

2020

Gross Exposure

Impairment

allowance

Gross Exposure

Impairment

allowance

As at 31 December

£m

Quantitative test

13,289

679

17,434

1,698

Qualitative test

2,593

314

3,228

180

30 days past due backstop

515

1,748

Total Stage 2

16,397

1,019

22,410

1,912

Note

aWhere balances satisfy more than one of the above three criteria for determining a significant increase in credit risk, the corresponding gross exposure and ECL has been

assigned in order of categories presented.

Stage 2 exposures are predominantly identified using quantitative tests where the lifetime probability of default (PD) has deteriorated more than a pre-

determined amount since origination during the year driven by changes in macro-economic variables. This is augmented by inclusion of accounts

meeting the designated high risk criteria (including watchlist) for the portfolio under the qualitative test. Qualitative tests include £1.4bn (2020: £2.0bn)

relating to Corporate and Investment Bank and £1.1bn (2020: £1.0bn) relating to Consumer, Cards and Payments.

A small number of other accounts (3% of impairment allowances and 3% of gross exposure) are included in Stage 2. These accounts are not otherwise

identified by the quantitative or qualitative tests but are more than 30 days past due. The percentage triggered by these backstop criteria is a measure of

the effectiveness of the Stage 2 criteria in identifying deterioration prior to delinquency. These balances include items in Corporate and Investment Bank

for reasons such as outstanding interest and fees rather than principal balances.

For further detail on the three criteria for determining a significant increase in credit risk required for Stage 2 classification, refer to Note 7.

Stage 3 decomposition

Loans and advances at amortised cost

2021

2020

Gross Exposure

Impairment

allowance

Gross Exposure

Impairment

allowance

As at 31 December

£m

Exposures not charged-off including within cure perioda

904

319

1,294

398

Exposures individually assessed or in recovery bookb

2,444

1,365

3,825

2,071

Total Stage 3

3,348

1,684

5,119

2,469

Notes

aIncludes £0.7bn (2020: £0.6bn) of gross exposure in a cure period that must remain in Stage 3 for a minimum of 12 months before moving to Stage 2.

bExposures individually assessed or in recovery book cannot cure out of Stage 3.

Management adjustments to models for impairment (audited)

Management adjustments to impairment models are applied in order to factor in certain conditions or changes in policy that are not fully incorporated

into the impairment models, or to reflect additional facts and circumstances at the period end. Management adjustments are reviewed and incorporated

into future model development where applicable.

Total management adjustments to impairment allowance are presented by product below:

Overview of management adjustments to models for impairment (audited)a

2021

2020

Management

adjustments to

impairment

allowances

Proportion of total

impairment

allowances

Management

adjustments to

impairment

allowances

Proportion of total

impairment

allowances

As at 31 December

£m

Home loans

8.8

12.4

Credit cards, unsecured loans and other retail lending

966

40.4

960

31.3

Wholesale loans

142

11.6

(78)

(3.3)

Total

1,142

28.6

936

16.0

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Management adjustments to models are presented by product below: (audited)a

Impairment

allowance pre

management

adjustmentsb

Economic

uncertainty

adjustments (a)

Other

adjustments (b)

Total

adjustments

(a+b)

Total impairment

allowancec

As at 31 December, 2021

£m

Home loans

352

—

386

Credit cards, unsecured loans and other retail lending

1,425

771

195

966

2,391

Wholesale loans

1,079

244

(102)

142

1,221

Total

2,856

1,049

1,142

3,998

As at 31 December, 2020

£m

Home loans

380

434

Credit cards, unsecured loans and other retail lending

2,109

986

(26)

960

3,069

Wholesale loans

2,410

379

(457)

(78)

2,332

Total

4,899

1,386

(450)

936

5,835

Notes:

a.Positive values reflect an increase in impairment allowance and negative values reflect a reduction in the impairment allowance.

b.Includes £2.2bn (2020: £3.9bn) of modelled ECL, £0.5bn (2020: £0.8bn) of individually assessed impairments and £0.2bn (2020: £0.2bn) ECL from non-modelled

exposures.

c.Total impairment allowance consists of ECL stock on drawn and undrawn exposures.

Economic uncertainty adjustments

Throughout the COVID-19 pandemic in 2020 and 2021, macroeconomic forecasts anticipated lasting impacts to unemployment levels and customer

and client stress. More recent macroeconomic forecasts indicated that the outlook has improved, with measures of government and bank support

starting to taper down and no material deterioration in customer delinquencies observed to date. However, the degree of economic uncertainty remains

relatively high: credit deterioration may still occur when support measures are fully withdrawn across geographies; emerging supply chain disruption

and inflationary pressures may challenge economic stability; and economic consensus may not capture the range of economic uncertainty associated

with fast moving new COVID-19 variants such as Omicron.

Given this backdrop, management has recognised economic uncertainty adjustments to modelled outputs to address these sources of uncertainties

and ensure that the potential impacts of stress are provided for. This uncertainty continues to be captured in two distinct ways. Firstly, customer

uncertainty: the identification of customers and clients who may be more vulnerable to the withdrawal of support schemes and emerging economic

instability; and secondly, model uncertainty: to capture the impact from model limitations and sensitivities to specific macroeconomic parameters which

are applied at a portfolio level.

The economic uncertainty adjustments of £1.0bn (2020 £1.4bn) include customer and client uncertainty provisions of £0.9bn (2020 £1.1bn) and model

uncertainty provisions of £0.1bn (2020 £0.3bn).

Customer uncertainty provisions comprise:

a. An adjustment of £0.1bn (2020: £0.1bn) to adjust the probability of default (PDs) to pre-COVID-19 levels to offset the temporary improvement to

PDs in light of reduced customer spend behaviour and support measures.

b. A vulnerable customer adjustment of £0.8bn (2020: £1.0bn) has been applied to customers and clients considered potentially vulnerable to the

withdrawal of support schemes and emerging economic instability against which lifetime coverage is applied. This has marginally reduced considering

the improved macro-economic and low customer delinquencies observed in 2021. This is split between credit cards, unsecured loans and other retail

lending of £0.6bn (2020: £0.8bn) and wholesale loans of £0.2bn (2020: £0.2bn).

Model uncertainty provisions reduced by £0.2bn reflecting an update in adjustment in response to the modelled provisions following the update in the

Q421 scenarios.

Other adjustments

Other adjustments are operational in nature and are expected to remain in place until they can be corrected in the underlying models. These

adjustments result from data limitations and model performance related issues identified through established governance processes. The quantum of

adjustments reduced in response to the Q421 scenarios as well as model enhancements made during the year. Material adjustments consist of the

following:

Credit cards, unsecured loans and other retail lending: Includes an adjustment for model inaccuracies informed by model monitoring.

Wholesale loans: Represents the net adjustments for model inaccuracies informed by model monitoring. Further, it includes an adjustment to offset

modelled ECL output in the Investment Bank to limit excessive ECL sensitivity to the macroeconomic variable for Federal Tax Receipts.

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Measurement uncertainty and sensitivity analysis

Management has applied economic uncertainty and other adjustments to modelled ECL outputs. Economic uncertainty adjustments reflect the

potential for specific customers and clients who may be more vulnerable to the full withdrawal of support and emerging economic instability and the

degree to which economic consensus may not have captured the range of economic uncertainty associated with continued developments resulting

from COVID-19. As a result, ECL is higher than would be the case if it were based on forecast economic scenarios alone.

The measurement of modelled ECL involves complexity and judgement, including estimation of probabilities of default (PD), loss given default (LGD), a

range of unbiased future economic scenarios, estimation of expected lives, estimation of exposures at default (EAD) and assessing significant increases

in credit risk. The Barclays Bank Group uses a five-scenario model to calculate ECL. An external consensus forecast is assembled from key sources,

including HM Treasury (short and medium term forecasts), Bloomberg (based on median of economic forecasts) and the Urban Land Institute (for US

House Prices), which forms the Baseline scenario. In addition, two adverse scenarios (Downside 1 and Downside 2) and two favourable scenarios

(Upside 1 and Upside 2) are derived, with associated probability weightings. The adverse scenarios are calibrated to a broadly similar severity to

Barclays' internal stress tests and stress scenarios provided by regulators whilst also considering IFRS 9 specific sensitivities and non-linearity. The

favourable scenarios are designed to reflect plausible upside risks to the Baseline scenario which are broadly consistent with the economic narrative

approved by the Senior Scenario Review Committee. All scenarios are regenerated at a minimum semi-annually. The scenarios include eight key

economic variables, (GDP, unemployment, House Price Index (HPI) and base rates in both the UK and US markets), and expanded variables using

statistical models based on historical correlations. The upside and downside shocks are designed to evolve over a five-year stress horizon, with all five

scenarios converging to a steady state after approximately eight years.

Scenarios used to calculate the Barclays Bank Group’s ECL charge were reviewed and updated regularly throughout 2021, following the continuation of

the COVID-19 pandemic throughout the year, including the emergence of the Omicron variant and the global vaccination rollout. The current Baseline

scenario reflects the latest consensus economic forecasts; the steady recovery in GDP in both the UK and US continues with UK GDP returning to pre-

COVID-19 pandemic levels by Q222. UK unemployment peaks at 5.0% in Q122 and US unemployment continues to decline. In the Downside 2 scenario,

inflation continues to accelerate and the UK bank rate is increased to 4.0% and the US federal funds rate is increased to 3.5%, by the end of 2022,

leading to a further downturn in GDP until Q323. Unemployment peaks in Q323 at 9.2% in the UK and 9.5% in the US. In the Upside 2 scenario, inflation

expectations and global energy prices stabilise and GDP growth rises as COVID-19 risks continue to decline helping to release more of the pent-up

demand and accumulated household savings into the economy. Unemployment rates decline gradually.

The methodology for estimating probability weights used in calculating ECL involves simulating a range of future paths for UK and US GDP using

historical data. The five scenarios are mapped against the distribution of these future paths, with the median centred around the Baseline such that

scenarios further from the Baseline attract a lower weighting. A single set of five scenarios is used across all portfolios and all five weights are

normalised to equate to 100%. The same scenarios and weights that are used in the estimation of expected credit losses are also used for internal

planning purposes. The impacts across the portfolios are different because of the sensitivities of each of the portfolios to specific macroeconomic

variables, for example, mortgages are highly sensitive to house prices, and credit cards and unsecured consumer loans are highly sensitive to

unemployment.

The changes to the scenario weights in 2021 primarily reflect changes made to the severity of the scenarios. The Downside 2 scenario has been aligned

with the internal stress test, which is informed by a weaker GDP outlook. The effect of this is to move the Downside 2 scenario further away from the

Baseline, resulting in a lower weighting. For further details see page 79.

Although the macroeconomic outlook has improved, the level of uncertainty remains relatively high. A key judgement is the extent to which economic

uncertainty experienced throughout the COVID-19 pandemic now reflects additional challenges, namely inflationary pressures and global supply chain

disruptions. Inflationary headwinds have yet to materially impact customer affordability and corporate profitability data. A balanced approach has

therefore been adopted in the sizing of expert judgements as we move away from a period characterised by significant customer support.

The economic uncertainty adjustments of £1.0bn (FY20: £1.4bn) have been applied as overlays to the modelled ECL output. These adjustments consist

of a customer and client uncertainty provision of £0.9bn (FY20 £1.1bn) and a model uncertainty provision of £0.1bn (FY20 £0.3bn). For further details

see page 75.

The tables below show the key macroeconomic variables used in the five scenarios (5 year annual paths), the probability weights applied to each

scenario and the macroeconomic variables by scenario using ‘specific bases’ i.e. the most extreme position of each variable in the context of the

scenario, for example, the highest unemployment for downside scenarios and the lowest unemployment for upside scenarios. 5-year average tables and

movement over time graphs provide additional transparency. Annual paths show quarterly averages for the year (unemployment and base rate) or

change in the year (GDP and HPI).

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Baseline average macroeconomic variables used in the calculation of ECL

2021

2022

2023

2024

2025

As at 31 December 2021

UK GDPa

6.2

4.9

2.3

1.9

1.7

UK unemploymentb

4.8

4.7

4.5

4.3

4.2

UK HPIc

4.7

1.0

1.9

2.3

UK bank rate

0.1

0.8

1.0

0.8

US GDPa

5.5

3.9

2.6

2.4

US unemploymentd

5.5

4.2

3.6

US HPIe

11.8

4.5

5.2

4.9

5.0

US federal funds rate

0.2

0.3

0.9

1.2

1.3

2020

2021

2022

2023

2024

As at 31 December 2020

UK GDPa

(10.1)

6.3

3.3

2.6

2.0

UK unemploymentb

4.5

6.7

6.4

5.8

5.1

UK HPIc

6.1

2.4

2.3

5.0

2.4

UK bank rate

0.2

—

(0.1)

—

0.1

US GDPa

(4.4)

3.9

3.1

2.9

US unemploymentd

8.4

6.9

5.7

5.6

US HPIe

2.3

2.8

4.7

US federal funds rate

0.5

0.3

0.4

Downside 2 average macroeconomic variables used in the calculation of ECL

2021

2022

2023

2024

2025

As at 31 December 2021

UK GDPa

6.2

0.2

(4.0)

2.8

4.3

UK unemploymentb

4.8

7.2

9.0

7.6

6.3

UK HPIc

4.7

(14.3)

(21.8)

11.9

15.2

UK bank rate

0.1

2.2

3.9

3.1

2.2

US GDPa

5.5

(0.8)

(3.5)

2.5

3.2

US unemploymentd

5.5

6.4

9.1

8.1

6.4

US HPIe

11.8

(6.6)

(9.0)

5.9

6.7

US federal funds rate

0.2

2.1

3.4

2.6

2.0

2020

2021

2022

2023

2024

As at 31 December 2020

UK GDPa

(10.1)

(3.9)

6.5

2.6

1.4

UK unemploymentb

4.5

8.0

9.3

7.8

6.3

UK HPIc

6.1

(13.6)

(10.8)

0.5

1.5

UK bank rate

0.2

(0.2)

(0.1)

US GDPa

(4.4)

(2.4)

3.6

2.1

2.0

US unemploymentd

8.4

13.4

11.9

10.1

8.2

US HPIe

2.3

(17.2)

(0.7)

0.6

1.3

US federal funds rate

0.5

0.3

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Downside 1 average macroeconomic variables used in the calculation of ECL

2021

2022

2023

2024

2025

As at 31 December 2021

UK GDPa

6.2

2.8

(0.7)

2.3

2.9

UK unemploymentb

4.8

6.2

6.8

6.0

5.3

UK HPIc

4.7

(6.8)

(10.5)

6.9

8.6

UK bank rate

0.1

1.6

2.7

2.3

1.6

US GDPa

5.5

1.6

(0.4)

2.4

2.7

US unemploymentd

5.5

5.4

6.6

6.1

5.2

US HPIe

11.8

(1.2)

(2.1)

4.8

5.2

US federal funds rate

0.2

1.3

2.3

2.1

1.8

2020

2021

2022

2023

2024

As at 31 December 2020

UK GDPa

(10.1)

(3.9)

6.5

2.6

1.4

UK unemploymentb

4.5

8.0

9.3

7.8

6.3

UK HPIc

6.1

(13.6)

(10.8)

0.5

1.5

UK bank rate

0.2

(0.2)

(0.1)

US GDPa

(4.4)

(2.4)

3.6

2.1

2.0

US unemploymentd

8.4

13.4

11.9

10.1

8.2

US HPIe

2.3

(17.2)

(0.7)

0.6

1.3

US federal funds rate

0.5

0.3

Upside 2 average macroeconomic variables used in the calculation of ECL

2021

2022

2023

2024

2025

As at 31 December 2021

UK GDPa

6.2

7.2

4.0

2.7

2.1

UK unemploymentb

4.8

4.5

4.1

4.0

UK HPIc

4.7

8.5

9.0

5.2

4.2

UK bank rate

0.1

0.2

0.5

0.3

US GDPa

5.5

5.3

4.1

3.5

3.4

US unemploymentd

5.5

3.9

3.4

3.3

US HPIe

11.8

10.6

8.5

7.2

6.6

US federal funds rate

0.2

0.3

0.4

0.7

1.0

2020

2021

2022

2023

2024

As at 31 December 2020

UK GDPa

(10.1)

12.2

5.3

3.9

2.9

UK unemploymentb

4.5

6.2

5.5

4.8

4.4

UK HPIc

6.1

6.6

10.4

10.8

7.3

UK bank rate

0.2

0.1

0.3

0.5

US GDPa

(4.4)

7.1

4.6

4.0

3.5

US unemploymentd

8.4

5.5

4.3

4.1

US HPIe

2.3

8.8

9.1

8.9

7.5

US federal funds rate

0.5

0.3

0.4

0.6

0.9

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Upside 1 average macroeconomic variables used in the calculation of ECL

2021

2022

2023

2024

2025

As at 31 December 2021

UK GDPa

6.2

6.0

3.1

2.3

1.9

UK unemploymentb

4.8

4.6

4.3

4.2

4.1

UK HPIc

4.7

5.0

3.9

3.3

UK bank rate

0.1

0.6

0.8

0.5

US GDPa

5.5

4.6

3.4

2.9

US unemploymentd

5.5

4.0

3.5

US HPIe

11.8

8.3

7.0

6.0

5.7

US federal funds rate

0.2

0.3

0.6

1.0

1.1

2020

2021

2022

2023

2024

As at 31 December 2020

UK GDPa

(10.1)

9.3

3.9

3.4

2.5

UK unemploymentb

4.5

6.4

6.0

5.2

4.7

UK HPIc

6.1

4.6

6.1

4.7

UK bank rate

0.2

0.1

0.3

US GDPa

(4.4)

5.5

4.0

3.7

3.3

US unemploymentd

8.4

6.0

4.8

4.6

US HPIe

2.3

6.8

6.7

6.3

5.6

US federal funds rate

0.5

0.3

0.5

0.8

Notes

aAverage Real GDP seasonally adjusted change in year.

bAverage UK unemployment rate 16-year+.

cChange in year end UK HPI = Halifax All Houses, All Buyers index, relative to prior year end.

dAverage US civilian unemployment rate 16-year+.

eChange in year end US HPI = FHFA house price index, relative to prior year end.

Scenario probability weighting (audited)

Upside 2

Upside 1

Baseline

Downside 1

Downside 2

As at 31 December 2021

Scenario probability weighting

20.9

27.2

30.1

14.8

7.0

As at 31 December 2020

Scenario probability weighting

20.2

24.2

24.7

15.5

15.4

Specific bases show the most extreme position of each variable in the context of the scenario, for example, the highest unemployment for downside

scenarios, average unemployment for baseline scenarios and lowest unemployment for upside scenarios. GDP and HPI downside and upside scenario

data represents the lowest and highest points relative to the start point in the 20 quarter period.

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Macroeconomic variables used in the calculation of ECL (specific bases) (audited)a

Upside 2

Upside 1

Baseline

Downside 1

Downside 2

As at 31 December 2021

UK GDPb

21.4

18.3

3.4

(1.6)

UK unemploymentc

4.0

4.1

4.5

7.0

9.2

UK HPId

35.7

23.8

2.4

(12.7)

(29.9)

UK bank ratec

0.1

0.7

2.8

4.0

US GDPb

22.8

19.6

3.4

1.5

(1.3)

US unemploymentc

3.3

3.5

4.1

6.8

9.5

US HPId

53.3

45.2

6.2

2.2

(5.0)

US federal funds ratec

0.1

0.8

2.3

3.5

As at 31 December 2020

UK GDPb

14.2

8.8

0.7

(22.1)

UK unemploymentc

4.0

5.7

8.4

10.1

UK HPId

48.2

30.8

3.6

(4.5)

(18.3)

UK bank ratec

0.1

—

0.6

US GDPb

15.7

12.8

1.6

(10.6)

US unemploymentc

3.8

6.4

13.0

13.7

US HPId

42.2

30.9

3.8

(3.7)

(15.9)

US federal funds ratec

0.1

0.3

1.3

Average basis represents the average quarterly value of variables in the 20 quarter period with GDP and HPI based on yearly average and quarterly

CAGRs respectively.

Macroeconomic variables used in the calculation of ECL (5 year averages) (audited)a

Upside 2

Upside 1

Baseline

Downside 1

Downside 2

As at 31 December 2021

UK GDPe

4.4

3.9

3.4

2.7

1.8

UK unemploymentf

4.3

4.4

4.5

5.8

7.0

UK HPIg

6.3

4.4

2.4

0.3

(2.0)

UK bank ratef

0.3

0.5

0.7

1.7

2.3

US GDPe

4.4

3.9

3.4

2.4

1.3

US unemploymentf

3.9

4.0

4.1

5.7

7.1

US HPIg

8.9

7.7

6.2

3.6

1.4

US federal funds ratef

0.5

0.6

0.8

1.5

2.1

As at 31 December 2020

UK GDPe

2.5

1.6

0.7

0.1

(0.9)

UK unemploymentf

5.0

5.3

5.7

6.5

7.2

UK HPIg

8.2

5.5

3.6

(0.2)

(3.6)

UK bank ratef

0.3

0.2

—

(0.1)

US GDPe

2.9

2.4

1.6

0.8

0.1

US unemploymentf

5.3

5.7

6.4

8.3

10.4

US HPIg

7.3

5.5

3.8

0.8

(3.0)

US federal funds ratef

0.5

0.3

Notes

aUK GDP = Real GDP growth seasonally adjusted; UK unemployment = UK unemployment rate 16-year+; UK HPI = Halifax All Houses, All Buyers Index; US GDP = Real GDP

growth seasonally adjusted; US unemployment = US civilian unemployment rate 16-year+; US HPI = FHFA house price index. 20 quarter period starts from Q121 (2020:

Q120).

bMaximum growth relative to Q420 (2020: Q419), based on 20 quarter period in Upside scenarios; 5-year yearly average CAGR in Baseline; minimum growth relative to

Q420 (2020: Q419), based on 20 quarter period in Downside scenarios.

cLowest quarter in Upside scenarios; 5-year average in Baseline; highest quarter in Downside scenarios. Period based on 20 quarters from Q121 (2020: Q120).

dMaximum growth relative to Q420 (2020: Q419), based on 20 quarter period in Upside scenarios; 5-year quarter end CAGR in Baseline; minimum growth relative to Q420

(2020: Q419), based on 20 quarter period in Downside scenarios.

e5-year yearly average CAGR, starting 2020 (2020: 2019)

f5-year average. Period based on 20 quarters from Q121 (2020: Q120)

g5-year quarter end CAGR, starting Q420 (2020: Q419)

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The graphs below plot the historical data for GDP growth rate and unemployment rate in the UK and US as well as the forecasted data under each of the

five scenarios.

UK GDP

UK unemployment

US GDP

US unemployment

GDP growth based on year on year growth each quarter (Q/(Q-4))

ECL under 100% weighted scenarios for modelled portfolios (audited)

The table below shows the Expected Credit Loss (ECL) assuming scenarios have been 100% weighted. Model exposures are allocated to a stage based

on the individual scenario rather than through a probability-weighted approach as required for Barclays Bank Group reported impairment allowances.

As a result, it is not possible to back solve to the final reported weighted ECL from the individual scenarios as a balance may be assigned to a different

stage dependent on the scenario. Model exposure uses Exposure At Default (EAD) values and is not directly comparable to gross exposure used in prior

disclosures. For credit cards, unsecured loans and other retail lending, an average EAD measure is used (12 month or lifetime depending on stage

allocation in each scenario). Therefore, the model exposure movement into Stage 2 is higher than the corresponding Stage 1 reduction.

All ECL using a model is included, with the exception of Treasury assets (£3.0m of ECL), Non-modelled exposures and management adjustments are

excluded. Management adjustments can be found on page 74.

Model exposures allocated to Stage 3 do not change in any of the scenarios as the transition criteria relies only on observable evidence of default as at

31 December 2021 and not on macroeconomic scenarios.

The Downside 2 scenario represents a severe global recession with substantial falls in UK GDP. Unemployment rises towards 9.2% in UK markets and

9.5% in US markets and there are substantial falls in asset prices including housing.

Under the Downside 2 scenario, model exposure moves between stages as the economic environment weakens. This can be seen in the movement of

£12.4bn of model exposure into Stage 2 between the Weighted and Downside 2 scenarios. ECL increases in Stage 2 predominantly due to unsecured

portfolios as economic conditions deteriorate.

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Scenarios

As at 31 December 2021

Weighted

Upside 2

Upside 1

Baseline

Downside 1

Downside 2

Stage 1 Model exposure (£m)

Home loans

3,905

3,915

3,911

3,906

3,885

3,868

Credit cards, unsecured loans and other retail lending

19,001

19,357

19,284

19,201

17,445

13,785

Wholesale loans

142,804

145,097

144,688

143,967

140,402

135,764

Stage 1 Model ECL (£m)

Home loans

Credit cards, unsecured loans and other retail lending

221

157

164

173

254

332

Wholesale loans

219

189

200

216

250

282

Stage 1 Coverage (%)

Home loans

0.1

Credit cards, unsecured loans and other retail lending

1.2

0.8

0.9

1.5

2.4

Wholesale loans

0.2

0.1

0.2

Stage 2 Model exposure (£m)

Home loans

228

219

222

227

249

266

Credit cards, unsecured loans and other retail lending

1,991

1,584

1,683

1,793

3,605

7,331

Wholesale loans

29,124

26,831

27,240

27,961

31,525

36,163

Stage 2 Model ECL (£m)

Home loans

Credit cards, unsecured loans and other retail lending

365

264

295

333

599

2,278

Wholesale loans

506

395

420

462

712

1,229

Stage 2 Coverage (%)

Home loans

5.3

4.6

4.5

4.8

7.2

9.0

Credit cards, unsecured loans and other retail lending

18.3

16.7

17.5

18.6

16.6

31.1

Wholesale loans

1.7

1.5

1.7

2.3

3.4

Stage 3 Model exposure (£m)

Home loans

610

Credit cards, unsecured loans and other retail lending

1,028

Wholesale loansa

—

Stage 3 Model ECL (£m)

Home loans

297

290

292

296

310

320

Credit cards, unsecured loans and other retail lending

696

685

690

696

710

722

Wholesale loansa

—

Stage 3 Coverage (%)

Home loans

48.7

47.5

47.9

48.5

50.8

52.5

Credit cards, unsecured loans and other retail lending

67.7

66.6

67.1

67.7

69.1

70.2

Wholesale loansa

—

Total Model ECL (£m)

Home loans

311

302

304

309

331

347

Credit cards, unsecured loans and other retail lending

1,282

1,106

1,149

1,202

1,563

3,332

Wholesale loansa

725

584

620

678

962

1,511

Total ECL

2,318

1,992

2,073

2,189

2,856

5,190

Note

aMaterial wholesale loan defaults are individually assessed across different recovery strategies. As a result, ECL of £463m is reported as individually assessed impairments in

the table below.

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Reconciliation to total ECL

£m

Total model ECL

2,318

ECL from individually assessed impairments

463

ECL from non-modelled and other management adjustmentsa

1,217

Total ECL

3,998

Note

aIncludes £1.1bn of post model adjustments of which £0.1bn is included as part of the total model ECL and £0.2bn ECL from non-modelled exposures.

The dispersion of results around the Baseline is an indication of uncertainty around the future projections. The disclosure highlights the results of the

alternative scenarios enabling the reader to understand the extent of the impact on exposure and ECL from the upside/downside scenarios.

Consequently, the use of five scenarios with associated weightings results in a total weighted ECL uplift from the Baseline ECL of 5.9%, largely driven by

credit card losses which have more linear loss profiles than wholesale loan positions.

Home loans: Total weighted ECL of £311m represents a 0.6% increase over the Baseline ECL (£309m) reflecting the nature of the Italy portfolio.

Credit cards, unsecured loans and other retail lending: Total weighted ECL of £1,282m represents a 6.7% increase over the Baseline ECL (£1,202m)

reflecting the range of economic scenarios used, mainly impacted by unemployment and key retail variables. Total ECL increases to £3,332m under the

Downside 2 scenario, mainly driven by Stage 2, where coverage rates increase to 31.1% from a weighted scenario approach of 18.3% and a £5.3bn

increase in model exposure that meets the Significant Increase in Credit Risk criteria and transitions from Stage 1to Stage 2.

Wholesale loans: Total weighted ECL of £725m represents a 6.9% increase over the Baseline ECL (£678m) reflecting the range of economic scenarios

used, with exposures in the Investment Bank particularly sensitive to the Downside 2 scenario.

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Scenarios

As at 31 December 2020

Weighted

Upside 2

Upside 1

Baseline

Downside 1

Downside 2

Stage 1 Model exposure (£m)

Home loans

4,404

4,422

4,416

4,407

4,387

4,365

Credit cards, unsecured loans and other retail lending

24,980

24,929

25,097

24,820

24,411

24,247

Wholesale loans

115,949

121,769

120,741

118,930

113,027

101,759

Stage 1 Model ECL (£m)

Home loans

Credit cards, unsecured loans and other retail lending

236

187

204

230

258

263

Wholesale loans

219

239

231

205

218

221

Stage 1 Coverage (%)

Home loans

0.1

Credit cards, unsecured loans and other retail lending

0.9

0.8

0.9

1.1

Wholesale loans

0.2

Stage 2 Model exposure (£m)

Home loans

557

539

545

554

575

597

Credit cards, unsecured loans and other retail lending

3,171

2,111

2,462

3,215

4,721

5,796

Wholesale loans

29,834

24,015

25,043

26,853

32,757

44,024

Stage 2 Model ECL (£m)

Home loans

Credit cards, unsecured loans and other retail lending

512

327

382

481

796

1,045

Wholesale loans

1,358

922

1,010

1,174

1,683

2,751

Stage 2 Coverage (%)

Home loans

5.9

5.8

5.7

5.8

6.3

6.7

Credit cards, unsecured loans and other retail lending

16.1

15.5

15.0

16.9

18.0

Wholesale loans

4.6

3.8

4.0

4.4

5.1

6.2

Stage 3 Model exposure (£m)

Home loans

728

Credit cards, unsecured loans and other retail lending

1,279

Wholesale loansa

863

Stage 3 Model ECL (£m)

Home loans

298

278

281

284

306

363

Credit cards, unsecured loans and other retail lending

1,190

1,170

1,180

1,191

1,211

1,210

Wholesale loansa

Stage 3 Coverage (%)

Home loans

40.9

38.2

38.6

39.0

42.0

49.9

Credit cards, unsecured loans and other retail lending

93.0

91.5

92.3

93.1

94.7

94.6

Wholesale loansa

2.9

2.3

2.4

2.7

3.4

4.6

Total Model ECL (£m)

Home loans

335

313

316

320

347

408

Credit cards, unsecured loans and other retail lending

1,938

1,684

1,766

1,902

2,265

2,518

Wholesale loansa

1,602

1,181

1,262

1,402

1,930

3,012

Total ECL

3,875

3,178

3,344

3,624

4,542

5,938

Note

aMaterial wholesale loan defaults are individually assessed across different recovery strategies. As a result, ECL of £835m is reported as individually assessed impairments in

the table below.

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Reconciliation to total ECLa

£m

Total model ECL

3,875

ECL from individually assessed impairments

835

ECL from non-modelled and other management adjustments

1,125

Total ECL

5,835

Note

aIncludes £0.9bn of post model adjustment and £0.2bn ECL from non-model exposures.

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Analysis of the concentration of credit risk

A concentration of credit risk exists when a number of counterparties are located in a common geographical region or are engaged in similar activities

and have similar economic characteristics that would cause their ability to meet contractual obligations to be similarly affected by changes in economic

or other conditions. Barclays Bank Group implements limits on concentrations in order to mitigate the risk. The analyses of credit risk concentrations

presented below are based on the location of the counterparty or customer or the industry in which they are engaged.

Geographic concentrations

Exposure is concentrated in the Americas 44% (2020: 41%), in the UK 25% (2020: 25%) and Europe 24% (2020: 26%).

Credit risk concentrations by geography (audited)

Barclays Bank Group

United

Kingdom

Americas

Europe

Asia

Africa and

Middle East

Total

As at 31 December 2021

£m

On-balance sheet:

Cash and balances at central banks

45,470

38,735

76,846

7,789

245

169,085

Cash collateral and settlement balances

30,107

28,272

21,754

7,210

742

88,085

Loans and advances at amortised cost

62,269

50,718

23,576

4,775

3,921

145,259

Reverse repurchase agreements and other similar secured lending

123

351

2,508

186

3,177

Trading portfolio assets

12,852

29,478

15,062

4,943

890

63,225

Financial assets at fair value through the income statement

26,096

95,456

30,080

21,798

9,998

183,428

Derivative financial instruments

78,449

91,992

75,245

14,709

1,896

262,291

Financial assets at fair value through other comprehensive income

4,525

20,750

15,603

4,666

363

45,907

Other assets

747

224

—

994

Total on-balance sheet

260,524

355,748

258,534

68,404

18,241

961,451

Off-balance sheet:

Contingent liabilities

7,926

10,329

3,957

1,131

403

23,746

Loan commitments

46,616

192,270

38,567

5,079

1,919

284,451

Total off-balance sheet

54,542

202,599

42,524

6,210

2,322

308,197

Total

315,066

558,347

301,058

74,614

20,563

1,269,648

As at 31 December 2020

On-balance sheet:

Cash and balances at central banks

31,235

36,063

69,962

17,987

655

155,902

Cash collateral and settlement balances

30,261

27,255

30,105

9,487

508

97,616

Loans and advances at amortised cost

61,754

40,403

23,931

4,859

3,320

134,267

Reverse repurchase agreements and other similar secured lending

152

323

8,285

211

8,981

Trading portfolio assets

9,787

31,003

16,861

5,947

946

64,544

Financial assets at fair value through the income statement

31,745

88,302

25,706

14,742

7,524

168,019

Derivative financial instruments

93,685

90,796

101,099

14,532

2,581

302,693

Financial assets at fair value through other comprehensive income

6,921

19,451

22,138

3,276

115

51,901

Other assets

392

185

—

614

Total on-balance sheet

265,790

333,610

290,162

79,115

15,860

984,537

Off-balance sheet:

Contingent liabilities

5,200

10,121

3,809

1,222

580

20,932

Loan commitments

46,746

175,893

36,713

4,132

1,538

265,022

Total off-balance sheet

51,946

186,014

40,522

5,354

2,118

285,954

Total

317,736

519,624

330,684

84,469

17,978

1,270,491

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Credit risk concentrations by geography (audited)

Barclays Bank PLC

United

Kingdom

Americas

Europe

Asia

Africa and

Middle East

Total

As at 31 December 2021

£m

On-balance sheet:

Cash and balances at central banks

45,470

35,829

56,056

7,364

245

144,964

Cash collateral and settlement balances

40,278

20,257

10,270

4,121

645

75,571

Loans and advances at amortised cost

144,342

30,232

16,760

5,653

2,795

199,782

Reverse repurchase agreements and other similar secured lending

491

922

3,372

186

4,982

Trading portfolio assets

12,672

20,092

9,010

2,879

853

45,506

Financial assets at fair value through the income statement

83,822

79,636

34,951

28,245

9,785

236,439

Derivative financial instruments

88,631

72,823

56,779

14,283

1,893

234,409

Financial assets at fair value through other comprehensive income

4,524

20,524

14,123

4,629

363

44,163

Other assets

970

1,018

Total on-balance sheet

420,720

279,909

198,883

70,556

16,766

986,834

Off-balance sheet:

Contingent liabilities

32,496

12,491

9,310

1,085

392

55,774

Loan commitments

44,850

126,170

17,558

5,001

1,524

195,103

Total off-balance sheet

77,346

138,661

26,868

6,086

1,916

250,877

Total

498,066

418,570

225,751

76,642

18,682

1,237,711

As at 31 December 2020

On-balance sheet:

Cash and balances at central banks

31,235

32,376

51,306

17,815

654

133,386

Cash collateral and settlement balances

34,134

28,329

18,323

6,475

462

87,723

Loans and advances at amortised cost

141,961

23,611

15,574

7,764

2,628

191,538

Reverse repurchase agreements and other similar secured lending

1,756

9,556

211

11,535

Trading portfolio assets

9,530

17,812

11,241

4,214

886

43,683

Financial assets at fair value through the income statement

75,052

73,769

30,176

16,487

7,464

202,948

Derivative financial instruments

101,898

79,020

99,398

14,236

2,577

297,129

Financial assets at fair value through other comprehensive income

6,570

19,450

20,936

3,237

115

50,308

Other assets

703

741

Total on-balance sheet

401,093

274,389

248,720

79,791

14,998

1,018,991

Off-balance sheet:

Contingent Liabilitiesa

26,827

12,290

1,574

1,173

553

42,417

Loan Commitments

43,908

117,490

17,168

4,042

1,154

183,762

Total off-balance sheet

70,735

129,780

18,742

5,215

1,707

226,179

Total

471,828

404,169

267,462

85,006

16,705

1,245,170

Note

a.Barclays Bank PLC has issued £14.5bn (2020: £13.9bn) of guarantees to its subsidiaries and other subsidiaries of Barclays PLC. These guarantees were not reported in prior

periods and the comparatives have been restated. Barclays Bank Group has issued £1.7bn (2020: £2.6bn) of guarantees that have been provided to subsidiaries of Barclays

PLC outside the Barclays Bank Group. These guarantees have not been reported in the prior periods and the comparatives have not been restated.

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Industry concentrations

Total exposures concentrated in banks and other financial institutions is 48% (2020: 51%), predominantly within derivative financial instruments and

financial assets. The proportion of the overall exposure concentrated in governments and central banks is 22% (2020: 21%). Further details on material

and emerging risks can be found on pages 36 to 48.

Credit risk concentrations by industry (audited)

Barclays Bank Group

Banks

Other

financial

insti-

tutions

Manu-

facturing

Const-

ruction

and

property

Govern-

ment and

central

bank

Energy

and

water

Wholesale

and retail

distribution

and leisure

Business

and other

services

Home

loans

Cards,

unsecured

loans and

other

personal

lending

Other

Total

As at 31 December 2021

£m

On-balance sheet:

Cash and balances at

central banks

—

169,057

—

169,085

Cash collateral and

settlement balances

14,605

61,252

320

10,684

390

354

—

341

88,085

Loans and advances at

amortised cost

7,955

33,563

5,821

13,714

15,462

4,244

7,266

13,881

10,985

26,477

5,891

145,259

Reverse repurchase

agreements and other

similar secured lending

595

2,049

—

533

—

3,177

Trading portfolio assets

2,560

8,818

4,881

1,048

32,483

4,043

1,734

4,716

—

2,942

63,225

Financial assets at fair value

through the income

statement

26,239

131,232

763

5,444

13,935

181

3,547

1,595

—

416

183,428

Derivative financial

instruments

120,607

117,050

4,168

1,898

7,233

3,544

1,172

2,825

—

3,794

262,291

Financial assets at fair value

through other

comprehensive income

9,942

2,972

—

514

31,975

—

444

—

45,907

Other assets

401

474

—

105

—

994

Total on-balance sheet

182,932

357,410

15,954

22,697

281,370

12,297

10,413

25,872

12,580

26,477

13,449

961,451

Off-balance sheet:

Contingent liabilities

1,005

7,772

3,080

1,342

1,092

3,284

1,182

3,118

—

1,798

23,746

Loan commitments

1,340

53,212

42,434

15,752

1,360

26,447

15,811

25,201

341

76,759

25,794

284,451

Total off-balance sheet

2,345

60,984

45,514

17,094

2,452

29,731

16,993

28,319

341

76,832

27,592

308,197

Total

185,277

418,394

61,468

39,791

283,822

42,028

27,406

54,191

12,921

103,309

41,041

1,269,648

As at 31 December 2020

On-balance sheet:

Cash and balances at

central banks

—

155,899

—

155,902

Cash collateral and

settlement balances

17,961

66,696

375

10,828

871

576

—

244

97,616

Loans and advances at

amortised cost

8,649

24,766

7,122

12,889

13,759

4,554

7,814

13,528

11,193

23,955

6,038

134,267

Reverse repurchase

agreements and other

similar secured lending

656

7,964

—

361

—

8,981

Trading portfolio assets

2,752

11,464

4,104

516

35,607

3,052

1,883

2,625

—

2,541

64,544

Financial assets at fair value

through the income

statement

22,766

131,929

603

2,481

5,519

3,479

971

—

194

168,019

Derivative financial

instruments

155,986

116,421

4,126

2,725

11,649

3,288

1,235

2,496

—

4,767

302,693

Financial assets at fair value

through other

comprehensive income

13,003

4,258

333

33,774

—

527

—

51,901

Other assets

303

193

—

614

Total on-balance sheet

222,079

363,691

16,336

18,982

267,397

11,788

11,027

23,326

12,164

23,955

13,792

984,537

Off-balance sheet:

Contingent liabilities

1,150

5,501

3,187

1,260

1,028

3,223

978

2,283

—

155

2,167

20,932

Loan commitments

1,773

51,900

39,447

12,843

1,398

25,766

16,626

24,001

134

69,646

21,488

265,022

Total off-balance sheet

2,923

57,401

42,634

14,103

2,426

28,989

17,604

26,284

134

69,801

23,655

285,954

Total

225,002

421,092

58,970

33,085

269,823

40,777

28,631

49,610

12,298

93,756

37,447

1,270,491

Risk review

Risk performance

Credit risk

home.barclays/annualreport

Barclays Bank PLC Annual Report

Credit risk concentrations by industry (audited)

Barclays Bank PLC

Banks

Other

financial

insti-

tutions

Manu-

facturing

Const-

ruction

and

property

Govern-

ment and

central

bank

Energy

and

water

Wholesale

and retail

distribution

and leisure

Business

and other

services

Home

loans

Cards,

unsecured

loans and

other

personal

lending

Other

Total

As at 31 December 2021

£m

On-balance sheet:

Cash and balances at

central banks

—

144,962

—

144,964

Cash collateral and

settlement balances

11,687

53,084

273

9,873

183

135

—

216

75,571

Loans and advances at

amortised cost

13,186

114,520

5,410

12,284

15,090

3,419

6,781

12,438

5,979

5,345

5,330

199,782

Reverse repurchase

agreements and other

similar secured lending

1,073

3,376

—

533

—

4,982

Trading portfolio assets

1,691

4,081

4,344

941

22,429

3,968

1,625

4,010

—

2,417

45,506

Financial assets at fair value

through the income

statement

29,023

184,547

610

5,433

12,300

149

2,691

1,303

—

367

236,439

Derivative financial

instruments

115,445

99,649

3,616

1,759

4,232

2,581

1,106

2,700

—

3,321

234,409

Financial assets at fair value

through other

comprehensive income

8,499

2,972

—

514

31,674

—

443

—

44,163

Other assets

412

547

—

1,018

Total on-balance sheet

181,018

462,776

14,253

21,005

241,093

10,167

9,707

22,476

7,282

5,345

11,712

986,834

Off-balance sheet:

Contingent Liabilities

9,282

33,733

2,096

1,076

1,092

2,960

1,043

2,892

—

1,553

55,774

Loan commitments

1,216

56,124

36,469

14,708

1,360

22,303

14,806

23,477

1,592

22,986

195,103

Total off-balance sheet

10,498

89,857

38,565

15,784

2,452

25,263

15,849

26,369

1,639

24,539

250,877

Total

191,516

552,633

52,818

36,789

243,545

35,430

25,556

48,845

7,344

6,984

36,251

1,237,711

As at 31 December 2020

On-balance sheet:

Cash and balances at

central banks

—

133,386

—

133,386

Cash collateral and

settlement balances

19,530

57,176

312

9,626

347

506

—

164

87,723

Loans and advances at

amortised cost

13,321

106,865

6,606

12,271

13,411

4,031

7,488

11,763

5,287

4,688

5,807

191,538

Reverse repurchase

agreements and other

similar secured lending

1,939

9,235

—

361

—

11,535

Trading portfolio assets

1,544

5,399

3,823

438

23,337

2,914

1,743

2,298

—

2,187

43,683

Financial assets at fair value

through the income

statement

24,164

167,811

472

2,160

5,084

—

2,501

637

—

202,948

Derivative financial

instruments

170,453

104,384

3,777

2,481

6,197

2,255

1,154

2,296

—

4,132

297,129

Financial assets at fair value

through other

comprehensive income

11,824

4,258

333

33,360

—

527

—

50,308

Other assets

561

127

—

741

Total on-balance sheet

243,336

455,255

14,991

17,717

224,762

9,547

10,476

19,944

5,924

4,688

12,351

1,018,991

Off-balance sheet:

Contingent Liabilitiesa

5,729

24,078

2,081

918

1,028

2,871

912

2,054

—

2,685

42,417

Loan commitments

1,537

54,469

35,222

11,783

1,398

21,258

15,327

22,755

1,567

18,417

183,762

Total off-balance sheet

7,266

78,547

37,303

12,701

2,426

24,129

16,239

24,809

1,628

21,102

226,179

Total

250,602

533,802

52,294

30,418

227,188

33,676

26,715

44,753

5,953

6,316

33,453

1,245,170

Note

a.Barclays Bank PLC has issued £14.5bn (2020: £13.9bn) of guarantees to its subsidiaries and other subsidiaries of Barclays PLC. These guarantees were not reported in prior

periods and the comparatives have been restated. Barclays Bank Group has issued £1.7bn (2020: £2.6bn) of guarantees that have been provided to subsidiaries of Barclays

PLC outside the Barclays Bank Group. These guarantees have not been reported in the prior periods and the comparatives have not been restated

Risk review

Risk performance

Credit risk

home.barclays/annualreport

Barclays Bank PLC Annual Report

Approach to management and representation of credit quality

Asset credit quality

The credit quality distribution is based on the IFRS 9 12 month probability of default (PD) at the reporting date to ensure comparability with other ECL

disclosures in Expected Credit Losses section on pages 64 to 74.

The Barclays Bank Group uses the following internal measures to determine credit quality for loans:

Default Grade

Retail and Wholesale

lending

Probability of default

Credit Quality Description

1-3

0.0 to < 0.05%

Strong

4-5

0.05 to < 0.15%

6-8

0.15 to < 0.30%

9-11

0.30 to < 0.60%

12-14

0.60 to < 2.15%

Satisfactory

15-19

2.15 to < 10%

10 to < 11.35%

20-21

11.35% to < 100%

Higher Risk

100%

Credit Impaired

For retail clients, a range of analytical tools is used to derive the probability of default of clients at inception and on an ongoing basis.

These credit quality descriptions can be summarised as follows:

Strong: there is a very high likelihood of the asset being recovered in full.

Satisfactory: while there is a high likelihood that the asset will be recovered and therefore, of no cause for concern to the Barclays Bank Group, the asset

may not be collateralised, or may relate to unsecured retail facilities. At the lower end of this grade there are customers that are being more carefully

monitored, for example, corporate customers which are indicating some evidence of deterioration, mortgages with a high loan to value, and unsecured

retail loans operating outside normal product guidelines.

Higher risk: there is concern over the obligor’s ability to make payments when due. However, these have not yet converted to actual delinquency. There

may also be doubts over the value of collateral or security provided. However, the borrower or counterparty is continuing to make payments when due

and is expected to settle all outstanding amounts of principal and interest.

Debt securities

For assets held at fair value, the carrying value on the balance sheet will include, among other things, the credit risk of the issuer. Most listed and some

unlisted securities are rated by external rating agencies. The Barclays Bank Group mainly uses external credit ratings provided by Standard & Poor’s,

Fitch or Moody’s. Where such ratings are not available or are not current, the Barclays Bank Group will use its own internal ratings for the securities.

Balance sheet credit quality

The following tables present the credit quality of Barclays Bank Group assets exposed to credit risk.

Overview

As at 31 December 2021, the ratio of the Barclays Bank Group’s on-balance sheet assets classified as strong (0.0 < 0.60%) remained stable at 86%

(2020: 86%) of total assets exposed to credit risk.

Risk review

Risk performance

Credit risk

home.barclays/annualreport

Barclays Bank PLC Annual Report

Balance sheet credit quality (audited)

Barclays Bank Group

PD Range

0.0 to

<0.60%

0.60 to

<11.35%

11.35% to

100%

Total

0.0 to

<0.60%

0.60 to

<11.35%

11.35% to

100%

Total

As at 31 December 2021

£m

Cash and balances at central banks

169,085

—

169,085

100

—

100

Cash collateral and settlement balances

78,881

9,194

88,085

—

100

Loans and advances at amortised cost

Home loans

9,519

809

657

10,985

100

Credit cards, unsecured loans and other retail lending

18,460

6,178

1,322

25,960

100

Wholesale loans

78,239

26,992

3,083

108,314

100

Total loans and advances at amortised cost

106,218

33,979

5,062

145,259

100

Reverse repurchase agreements and other similar

secured lending

3,091

—

3,177

—

100

Trading portfolio assets:

Debt securities

44,488

5,735

477

50,700

100

Traded loans

2,172

10,144

209

12,525

100

Total trading portfolio assets

46,660

15,879

686

63,225

100

Financial assets at fair value through the income

statement:

Loans and advances

16,977

18,896

35,901

—

100

Debt securities

1346

858

2,256

100

Reverse repurchase agreements

108,609

36,047

530

145,186

—

100

Other financial assets

—

100

Total financial assets at fair value through the

income statement

126,999

55,819

610

183,428

—

100

Derivative financial instruments

246,347

15,678

266

262,291

—

100

Financial assets at fair value through other

comprehensive income

45,901

—

45,907

100

—

100

Other assets

948

—

994

—

100

Total on-balance sheet

824,130

130,687

6,634

961,451

100

As at 31 December 2020

Cash and balances at central banks

155,902

—

155,902

100

—

100

Cash collateral and settlement balances

86,882

10,725

97,616

—

100

Loans and advances at amortised cost

Home loans

7,582

2,840

771

11,193

100

Credit cards, unsecured loans and other retail lending

10,742

11,259

1,367

23,368

100

Wholesale loans

75,672

20,828

3,206

99,706

100

Total loans and advances at amortised cost

93,996

34,927

5,344

134,267

100

Reverse repurchase agreements and other similar

secured lending

8,969

—

8,981

100

—

100

Trading portfolio assets:

Debt securities

51,109

4,871

216

56,196

—

100

Traded loans

704

5,107

2,537

8,348

100

Total trading portfolio assets

51,813

9,978

2,753

64,544

100

Financial assets at fair value through the income

statement:

Loans and advances

13,174

14,232

27,449

—

100

Debt securities

1,136

515

1,697

100

Reverse repurchase agreements

96,318

41,566

674

138,558

—

100

Other financial assets

302

—

315

—

100

Total financial assets at fair value through the

income statement

110,930

56,326

763

168,019

—

100

Derivative financial instruments

282,864

19,352

477

302,693

—

100

Financial assets at fair value through other

comprehensive income

51,893

—

51,901

100

—

100

Other assets

572

—

614

—

100

Total on-balance sheet

843,821

131,370

9,346

984,537

100

Risk review

Risk performance

Credit risk

home.barclays/annualreport

Barclays Bank PLC Annual Report

Balance sheet credit quality (audited)

Barclays Bank PLC

PD Range

0.0 to

<0.60%

0.60 to

<11.35%

11.35% to

100%

Total

0.0 to

<0.60%

0.60 to

<11.35%

11.35% to

100%

Total

As at 31 December 2021

£m

Cash and balances at central banks

144,964

—

144,964

100

—

100

Cash collateral and settlement balances

70,264

5,301

75,571

—

100

Loans and advances at amortised cost

Home loans

5,343

219

420

5,982

100

Credit cards, unsecured loans and other retail lending

3,997

756

155

4,908

100

Wholesale loans

160,262

25,717

2,913

188,892

100

Total loans and advances at amortised cost

169,602

26,692

3,488

199,782

100

Reverse repurchase agreements and other similar

secured lending

4,896

—

4,982

—

100

Trading portfolio assets:

Debt securities

28,100

4,952

465

33,517

100

Traded loans

2,058

9,728

203

11,989

100

Total trading portfolio assets

30,158

14,680

668

45,506

100

Financial assets at fair value through the income

statement:

Loans and advances

36,709

8,600

45,311

—

100

Debt securities

2,443

574

3,053

100

Reverse repurchase agreements

155,374

32,158

521

188,053

—

100

Other financial assets

—

100

—

100

Total financial assets at fair value through the

income statement

194,548

41,332

559

236,439

—

100

Derivative financial instruments

220,905

13,239

265

234,409

—

100

Financial assets at fair value through other

comprehensive income

44,157

—

44,163

100

—

100

Other assets

978

—

1,018

—

100

Total on-balance sheet

880,472

101,376

4,986

986,834

100

As at 31 December 2020

Cash and balances at central banks

133,386

—

133,386

100

—

100

Cash collateral and settlement balances

81,327

6,392

87,723

—

100

Loans and advances at amortised cost

Home loans

4,630

140

528

5,298

100

Credit cards, unsecured loans and other retail lending

3,228

811

149

4,188

100

Wholesale loans

159,177

19,973

2,902

182,052

100

Total loans and advances at amortised cost

167,035

20,924

3,579

191,538

100

Reverse repurchase agreements and other similar

secured lending

11,523

—

11,535

100

—

100

Trading portfolio assets:

Debt securities

30,750

4,496

196

35,442

100

Traded loans

597

5,107

2,537

8,241

100

Total trading portfolio assets

31,347

9,603

2,733

43,683

100

Financial assets at fair value through the income

statement:

Loans and advances

29,272

6,833

36,117

—

100

Debt securities

1,836

257

2,139

100

Reverse repurchase agreements

126,667

37,384

619

164,670

—

100

Other financial assets

—

100

—

100

Total financial assets at fair value through the

income statement

157,797

44,474

677

202,948

—

100

Derivative financial instruments

278,882

17,775

472

297,129

—

100

Financial assets at fair value through other

comprehensive income

50,300

—

50,308

100

—

100

Other assets

720

—

741

—

100

Total on-balance sheet

912,317

99,209

7,465

1,018,991

100

Risk review

Risk performance

Credit risk

home.barclays/annualreport

Barclays Bank PLC Annual Report

Credit exposures by internal PD grade

The below tables represents credit risk profile by PD grade for loans and advances at amortised cost, contingent liabilities and loan commitments.

Stage 1 higher risk assets, presented gross of associated collateral held, are of weaker credit quality but have not significantly deteriorated since

origination.

IFRS 9 Stage 1 and Stage 2 classification is not dependent solely on the absolute probability of default but on elements that determine a Significant

Increase in Credit Risk (see Note 7 to the financial statements on page 167), including relative movement in probability of default since initial

recognition. There is therefore no direct relationship between credit quality and IFRS 9 stage classification.

Barclays Bank Group

As at 31 December 2021

Credit risk profile by internal PD grade for loans and advances at amortised cost (audited)

Gross carrying amount

Allowance for ECL

Net

exposure

Coverage

ratio

PD range

Credit quality

description

Stage 1

Stage 2

Stage 3

Total

Stage 1

Stage 2

Stage 3

Total

Grading

£m

1-3

0.0 to < 0.05%

Strong

52,756

855

—

53,611

280

—

286

53,325

0.5

4-5

0.05 to < 0.15%

Strong

17,797

211

—

18,008

—

18,000

—

6-8

0.15 to < 0.30%

Strong

10,764

1,220

—

11,984

—

11,962

0.2

9-11

0.30 to < 0.60%

Strong

21,865

1,136

—

23,001

—

22,931

0.3

12-14

0.60 to < 2.15%

Satisfactory

16,429

3,508

—

19,937

160

116

—

276

19,661

1.4

15-19

2.15 to < 10%

Satisfactory

6,653

4,995

—

11,648

169

302

—

471

11,177

4.0

10 to < 11.35%

Satisfactory

2,156

1,276

—

3,432

252

—

291

3,141

8.5

20-21

11.35 to < 100%

Higher Risk

593

3,196

—

3,789

319

—

391

3,398

10.3

100%

Credit Impaired

—

3,348

—

1,684

1,664

50.3

Total

129,013

16,397

3,348

148,758

796

1,019

1,684

3,499

145,259

2.4

As at 31 December 2020

Credit risk profile by internal PD grade for loans and advances at amortised cost (audited)

Gross carrying amount

Allowance for ECL

Net

exposure

Coverage

ratio

PD range

Credit quality

description

Stage 1

Stage 2

Stage 3

Total

Stage 1

Stage 2

Stage 3

Total

Grading

£m

1-3

0.0 to < 0.05%

Strong

36,388

689

—

37,077

—

37,072

—

4-5

0.05 to < 0.15%

Strong

17,008

627

—

17,635

—

17,614

0.1

6-8

0.15 to < 0.30%

Strong

13,667

2,463

—

16,130

—

16,044

0.5

9-11

0.30 to < 0.60%

Strong

21,049

2,432

—

23,481

127

—

215

23,266

0.9

12-14

0.60 to < 2.15%

Satisfactory

16,951

4,913

—

21,864

293

351

—

644

21,220

2.9

15-19

2.15 to < 10%

Satisfactory

5,264

6,661

—

11,925

183

651

—

834

11,091

7.0

10 to < 11.35%

Satisfactory

1,042

1,698

—

2,740

—

124

2,616

4.5

20-21

11.35 to < 100%

Higher Risk

435

2,927

—

3,362

625

—

668

2,694

19.9

100%

Credit Impaired

—

5,119

—

2,469

2,650

48.2

Total

111,804

22,410

5,119

139,333

685

1,912

2,469

5,066

134,267

3.6

As at 31 December 2021

Credit risk profile by internal PD grade for contingent liabilitiesa (audited)

Gross carrying amount

Allowance for ECL

Net

exposure

Coverage

ratio

PD range

Credit quality

description

Stage 1

Stage 2

Stage 3

Total

Stage 1

Stage 2

Stage 3

Total

Grading

£m

1-3

0.0 to < 0.05%

Strong

8,240

172

—

8,412

—

8,409

—

4-5

0.05 to < 0.15%

Strong

3,479

503

—

3,982

—

3,978

0.1

6-8

0.15 to < 0.30%

Strong

1,996

199

—

2,195

—

2,191

0.2

9-11

0.30 to < 0.60%

Strong

2,794

216

—

3,010

—

3,005

0.2

12-14

0.60 to < 2.15%

Satisfactory

1,990

286

—

2,276

—

2,249

1.2

15-19

2.15 to < 10%

Satisfactory

817

479

—

1,296

—

1,281

1.2

10 to < 11.35%

Satisfactory

607

254

—

861

—

798

7.3

20-21

11.35 to < 100%

Higher Risk

141

1,162

—

1,303

—

1,223

6.1

100%

Credit Impaired

—

180

—

179

0.6

Total

20,064

3,271

180

23,515

143

202

23,313

0.9

Risk review

Risk performance

Credit risk

home.barclays/annualreport

Barclays Bank PLC Annual Report

As at 31 December 2020

Credit risk profile by internal PD grade for contingent liabilitiesa (audited)

Gross carrying amount

Allowance for ECL

Net

exposure

Coverage

ratio

PD range

Credit quality

description

Stage 1

Stage 2

Stage 3

Total

Stage 1

Stage 2

Stage 3

Total

Grading

£m

1-3

0.0 to < 0.05%

Strong

5,502

188

—

5,690

—

5,689

—

4-5

0.05 to < 0.15%

Strong

2,765

428

—

3,193

—

3,188

0.2

6-8

0.15 to < 0.30%

Strong

1,468

165

—

1,633

—

1,626

0.4

9-11

0.30 to < 0.60%

Strong

3,524

552

—

4,076

—

4,038

0.9

12-14

0.60 to < 2.15%

Satisfactory

2,712

546

—

3,258

—

3,225

1.0

15-19

2.15 to < 10%

Satisfactory

305

398

—

703

—

675

4.0

10 to < 11.35%

Satisfactory

264

423

—

687

—

100

587

14.6

20-21

11.35 to < 100%

Higher Risk

769

—

809

—

748

7.5

100%

Credit Impaired

—

654

—

644

1.5

Total

16,580

3,469

654

20,703

229

283

20,420

1.4

As at 31 December 2021

Credit risk profile by internal PD grade for loan commitmentsa (audited)

Gross carrying amount

Allowance for ECL

Net

exposure

Coverage

ratio

PD range

Credit quality

description

Stage 1

Stage 2

Stage 3

Total

Stage 1

Stage 2

Stage 3

Total

Grading

£m

1-3

0.0 to < 0.05%

Strong

92,864

3,002

—

95,866

—

95,858

—

4-5

0.05 to < 0.15%

Strong

55,979

5,345

—

61,324

—

61,309

—

6-8

0.15 to < 0.30%

Strong

22,345

2,079

—

24,424

—

24,411

0.1

9-11

0.30 to < 0.60%

Strong

23,445

2,312

—

25,757

—

25,747

—

12-14

0.60 to < 2.15%

Satisfactory

23,189

3,240

—

26,429

—

102

26,327

0.4

15-19

2.15 to < 10%

Satisfactory

6,362

2,749

—

9,111

—

9,070

0.5

10 to < 11.35%

Satisfactory

10,270

2,964

—

13,234

—

13,213

0.2

20-21

11.35 to < 100%

Higher Risk

2,196

6,669

—

8,865

—

8,799

0.7

100%

Credit Impaired

—

870

—

849

2.4

Total

236,650

28,360

870

265,880

145

131

297

265,583

0.1

As at 31 December 2020

Credit risk profile by internal PD grade for loan commitmentsa (audited)

Gross carrying amount

Allowance for ECL

Net

exposure

Coverage

ratio

PD range

Credit quality

description

Stage 1

Stage 2

Stage 3

Total

Stage 1

Stage 2

Stage 3

Total

Grading

£m

1-3

0.0 to < 0.05%

Strong

52,522

5,311

—

57,833

—

57,829

—

4-5

0.05 to < 0.15%

Strong

62,677

5,730

—

68,407

—

68,388

—

6-8

0.15 to < 0.30%

Strong

41,621

6,260

—

47,881

—

47,846

0.1

9-11

0.30 to < 0.60%

Strong

25,461

6,187

—

31,648

—

31,615

0.1

12-14

0.60 to < 2.15%

Satisfactory

20,730

6,978

—

27,708

113

—

131

27,577

0.5

15-19

2.15 to < 10%

Satisfactory

3,621

2,991

—

6,612

—

6,545

1.0

10 to < 11.35%

Satisfactory

4,778

4,971

—

9,749

—

9,713

0.4

20-21

11.35 to < 100%

Higher Risk

750

3,775

—

4,525

115

—

120

4,405

2.7

100%

Credit Impaired

—

1,411

—

1,370

2.9

Total

212,160

42,203

1,411

255,774

195

250

486

255,288

0.2

Notes

aExcludes loan commitments and financial guarantees carried at fair value of £18.8bn (2020: £9.5bn) for Barclays Bank Group.

bBarclays Bank Group has issued £1.7bn (2020: £2.6bn) of guarantees that have been provided to subsidiaries of Barclays PLC outside the Barclays Bank Group. These

guarantees have not been reported in the prior periods and the comparatives have not been restated.

Risk review

Risk performance

Credit risk

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Barclays Bank PLC Annual Report

Barclays Bank PLC

As at 31 December 2021

Credit risk profile by internal PD grade for loans and advances at amortised cost (audited)

Gross carrying amount

Allowance for ECL

Net

exposure

Coverage

ratio

PD range

Credit quality

description

Stage 1

Stage 2

Stage 3

Total

Stage 1

Stage 2

Stage 3

Total

Grading

£m

1-3

0.0 to < 0.05%

Strong

113,131

533

—

113,664

—

113,658

—

4-5

0.05 to < 0.15%

Strong

14,859

176

—

15,035

—

15,034

—

6-8

0.15 to < 0.30%

Strong

8,541

949

—

9,490

—

9,474

0.2

9-11

0.30 to < 0.60%

Strong

30,377

1,106

—

31,483

—

31,436

0.1

12-14

0.60 to < 2.15%

Satisfactory

12,785

2,942

—

15,727

102

—

132

15,595

0.8

15-19

2.15 to < 10%

Satisfactory

4,464

3,938

—

8,402

—

8,311

1.1

10 to < 11.35%

Satisfactory

2,058

773

—

2,831

—

2,786

1.6

20-21

11.35 to < 100%

Higher Risk

203

2,403

—

2,606

—

2,526

3.1

100%

Credit Impaired

—

1,731

—

769

962

44.4

Total

186,418

12,820

1,731

200,969

221

197

769

1,187

199,782

0.6

As at 31 December 2020

Credit risk profile by internal PD grade for loans and advances at amortised cost (audited)

Gross carrying amount

Allowance for ECL

Net

exposure

Coverage

ratio

PD range

Credit quality

description

Stage 1

Stage 2

Stage 3

Total

Stage 1

Stage 2

Stage 3

Total

Grading

£m

1-3

0.0 to < 0.05%

Strong

121,776

482

—

122,258

—

122,254

—

4-5

0.05 to < 0.15%

Strong

13,138

598

—

13,736

—

13,726

0.1

6-8

0.15 to < 0.30%

Strong

10,575

2,292

—

12,867

—

12,837

0.2

9-11

0.30 to < 0.60%

Strong

16,456

1,861

—

18,317

—

18,218

0.5

12-14

0.60 to < 2.15%

Satisfactory

9,540

2,978

—

12,518

185

—

204

12,314

1.6

15-19

2.15 to < 10%

Satisfactory

2,198

4,170

—

6,368

171

—

217

6,151

3.4

10 to < 11.35%

Satisfactory

935

1,620

—

2,555

—

2,459

3.8

20-21

11.35 to < 100%

Higher Risk

109

1,794

—

1,903

217

—

219

1,684

11.5

100%

Credit Impaired

—

3,088

—

1,193

1,895

38.6

Total

174,727

15,795

3,088

193,610

336

543

1,193

2,072

191,538

1.1

As at 31 December 2021

Credit risk profile by internal PD grade for contingent liabilitiesa (audited)

Gross carrying amount

Allowance for ECL

Net

exposure

Coverage

ratio

PD range

Credit quality

description

Stage 1

Stage 2

Stage 3

Total

Stage 1

Stage 2

Stage 3

Total

Grading

£m

1-3

0.0 to < 0.05%

Strong

42,632

162

—

42,794

—

42,785

—

4-5

0.05 to < 0.15%

Strong

3,024

413

—

3,437

—

3,434

0.1

6-8

0.15 to < 0.30%

Strong

1,407

168

—

1,575

—

1,572

0.2

9-11

0.30 to < 0.60%

Strong

2,346

124

—

2,470

—

2,466

0.2

12-14

0.60 to < 2.15%

Satisfactory

1,663

242

—

1,905

—

1,878

1.4

15-19

2.15 to < 10%

Satisfactory

742

346

—

1,088

—

1,075

1.2

10 to < 11.35%

Satisfactory

607

253

—

860

—

797

7.3

20-21

11.35 to < 100%

Higher Risk

139

1,144

—

1,283

—

1,204

6.2

100%

Credit Impaired

—

131

—

130

0.8

Total

52,560

2,852

131

55,543

140

202

55,341

0.4

Risk review

Risk performance

Credit risk

home.barclays/annualreport

Barclays Bank PLC Annual Report

As at 31 December 2020

Credit risk profile by internal PD grade for contingent liabilitiesa (audited)

Gross carrying amount

Allowance for ECL

Net

exposure

Coverage

ratio

PD range

Credit quality

description

Stage 1

Stage 2

Stage 3

Total

Stage 1

Stage 2

Stage 3

Total

Grading

£m

1-3

0.0 to < 0.05%

Strong

28,850

188

—

29,038

—

29,037

—

4-5

0.05 to < 0.15%

Strong

2,962

378

—

3,340

—

3,336

0.1

6-8

0.15 to < 0.30%

Strong

1,203

117

—

1,320

—

1,316

0.3

9-11

0.30 to < 0.60%

Strong

2,694

294

—

2,988

—

2,973

0.5

12-14

0.60 to < 2.15%

Satisfactory

2,443

484

—

2,927

—

2,894

1.1

15-19

2.15 to < 10%

Satisfactory

204

288

—

492

—

471

4.3

10 to < 11.35%

Satisfactory

264

423

—

687

—

100

587

14.6

20-21

11.35 to < 100%

Higher Risk

733

—

773

—

717

7.2

100%

Credit Impaired

—

623

—

613

1.6

Total

38,660

2,905

623

42,188

196

244

41,944

0.6

As at 31 December 2021

Credit risk profile by internal PD grade for loan commitmentsa (audited)

Gross carrying amount

Allowance for ECL

Net

exposure

Coverage

ratio

PD range

Credit quality

description

Stage 1

Stage 2

Stage 3

Total

Stage 1

Stage 2

Stage 3

Total

Grading

£m

1-3

0.0 to < 0.05%

Strong

48,591

1,836

—

50,427

—

50,425

—

4-5

0.05 to < 0.15%

Strong

43,714

3,706

—

47,420

—

47,414

—

6-8

0.15 to < 0.30%

Strong

15,777

1,697

—

17,474

—

17,469

—

9-11

0.30 to < 0.60%

Strong

14,440

1,602

—

16,042

—

16,039

—

12-14

0.60 to < 2.15%

Satisfactory

15,731

2,541

—

18,272

—

18,203

0.4

15-19

2.15 to < 10%

Satisfactory

4,855

1,914

—

6,769

—

6,738

0.5

10 to < 11.35%

Satisfactory

10,249

2,790

—

13,039

—

13,020

0.1

20-21

11.35 to < 100%

Higher Risk

2,118

5,503

—

7,621

—

7,559

0.8

100%

Credit Impaired

—

747

—

726

2.8

Total

155,475

21,589

747

177,811

102

218

177,593

0.1

As at 31 December 2020

Credit risk profile by internal PD grade for loan commitmentsa (audited)

Gross carrying amount

Allowance for ECL

Net

exposure

Coverage

ratio

PD range

Credit quality

description

Stage 1

Stage 2

Stage 3

Total

Stage 1

Stage 2

Stage 3

Total

Grading

£m

1-3

0.0 to < 0.05%

Strong

51,130

4,419

—

55,549

—

55,546

—

4-5

0.05 to < 0.15%

Strong

39,752

4,158

—

43,910

—

43,900

—

6-8

0.15 to < 0.30%

Strong

14,155

4,716

—

18,871

—

18,851

0.1

9-11

0.30 to < 0.60%

Strong

14,240

4,303

—

18,543

—

18,522

0.1

12-14

0.60 to < 2.15%

Satisfactory

13,520

5,081

—

18,601

104

—

114

18,487

0.6

15-19

2.15 to < 10%

Satisfactory

2,395

1,949

—

4,344

—

4,297

1.1

10 to < 11.35%

Satisfactory

4,764

4,953

—

9,717

—

9,681

0.4

20-21

11.35 to < 100%

Higher Risk

698

3,464

—

4,162

115

—

118

4,044

2.8

100%

Credit Impaired

—

1,332

—

1,291

3.1

Total

140,654

33,043

1,332

175,029

160

209

410

174,619

0.2

Notes

aExcludes loan commitments and financial guarantees carried at fair value of £17.5bn (2020: £9.0bn) for Barclays Bank PLC.

bBarclays Bank PLC has issued £14.5bn (2020: £13.9bn) of guarantees to its subsidiaries and other subsidiaries of Barclays PLC. These guarantees were not reported in prior

periods and the comparatives have been restated.

Risk review

Risk performance

Credit risk

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Barclays Bank PLC Annual Report

Analysis of specific portfolios and asset types

Credit cards, unsecured loans and other retail lending

The principal portfolios listed below accounted for 76% (2020: 77%) of Barclays Bank Group’s total credit cards, unsecured loans and other retail

lending.

Credit Cards and unsecured loans principal portfolio

Gross Exposure

30 Day Arrears,

excluding

recoveries book

90 Day Arrears,

excluding

recoveries book

Annualised

Gross Write-off

Rates

Annualised Net

Write-off Rates

£m

As at 31 December 2021

US cards

17,779

1.6

0.8

4.3

4.2

Germany consumer lending

3,559

1.5

0.7

0.9

0.8

As at 31 December 2020

US cards

16,845

2.5

1.4

5.6

Germany consumer lending

3,458

1.9

0.8

1.2

1.1

US cards: 30 and 90 day arrears rates improved and remain below pre-pandemic levels due to continued benefit from government support schemes

throughout the pandemic and industry payment deferrals that were made available to consumers.

Germany consumer lending: 30 and 90 day arrears rates reduced in 2021 due to improved payment behaviour of formerly high-risk customers as

unemployment eased, and the benefit from government support in the local market continued.

Government supported loans

Throughout the COVID-19 pandemic Barclays Group has supported its customers and clients by participating in the UK Government's Coronavirus

Business Interruption Loan Scheme (CBILs), Coronavirus Large Business Interruption Loan Scheme (CLBILs) and the Recovery Loan Scheme (RLS).

Government supported loans

Gross exposure

Impairment allowance

Impairment coverage

Government

guaranteed

exposure

Stage 1

Stage 2

Stage 3

Total

Modelled

Impairment

Management

adjustment

Impairment

post

Management

adjustment

Pre

Management

adjustment

Post

Management

adjustment

Total

£m

As at 31 December 2021

Barclays International

CBILs

619

146

771

—

0.6

617

CLBILs

163

221

—

0.4

177

RLSs

—

4.7

Total

783

202

993

—

0.6

795

As at 31 December 2020

Barclays International

CBILs

846

112

959

—

1.2

768

CLBILs

184

215

—

0.8

171

RLSs

—

Total

1,030

135

1,174

—

1.2

939

The CBILs scheme was launched to provide financial support to smaller and medium-sized businesses and CLBILs for larger businesses in the UK who

may experience financial difficulties as a result of the COVID-19 outbreak. The RLS aims to help UK businesses access finance as they recover and grow

following the COVID-19 pandemic. These loans are guaranteed by the Government at 80% for CBILs, CLBILs and RLS as at the balance sheet date.

Risk review

Risk performance

Credit risk

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Barclays Bank PLC Annual Report

Summary of Contents

Page

■Market risk overview

Outlines key measures used to summarise the market risk profile of the

Barclays Bank Group such as VaR.

■Measures of market risk in the Barclays Bank Group and

accounting measures

■Summary of performance in the period

■Traded market risk

The Barclays Bank Group discloses details on management measures of

market risk. Total management VaR includes all trading positions and is

presented on a diversified basis by risk factor.

■Review of management measures

–The daily average, maximum and minimum values of

management VaR

–Business scenario stresses

100

This section also outlines the macroeconomic conditions modelled as

part of the Barclays Bank Group’s risk management framework.

Risk review

Risk performance

Market risk

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Barclays Bank PLC Annual Report

All disclosures in this section pages 99 to 100 are unaudited unless otherwise stated.

Overview

This section contains key statistics describing the market risk profile of the Barclays Bank Group:

•The market risk management section on page 52 provides a description of management VaR. Management measures are shown on page 99.

Measures of market risk in the Barclays Bank Group and accounting measures

Traded market risk measures such as VaR and balance sheet exposure measures have fundamental differences:

•Balance sheet measures show accruals-based balances or marked to market values as at the reporting date.

•VaR measures also take account of current marked to market values but, in addition, hedging effects between positions are considered.

•Market risk measures are expressed in terms of changes in value or volatilities as opposed to static values.

For these reasons, it is not possible to present direct reconciliations of traded market risk and accounting measures.

Summary of performance in the period

Average management VaR decreased by 39% to £19m (2020: £31m), driven by reduced risk taking, lower market volatility and the impact of a

methodology update in March 2021 which changed the historical lookback period of the VaR model from two years to one year. The methodology

change has increased the responsiveness of the model to changes over time in volatility levels in the lookback period.

Traded market risk review

Review of management measures

The following disclosures provide details of management measures of market risk.

The table below shows the total management VaR on a diversified basis by risk factor. Total management VaR includes all trading positions in CIB and

the supporting Barclays Bank Group Treasury desks.

Limits are applied against each risk factor VaR as well as total management VaR, which are then cascaded further by risk managers to each business.

The daily average, maximum and minimum values of management VaR

Management VaR (95%, one day) (audited)

2021

2020

Average

High

Low

Average

High

Low

For the year ended 31 December

£m

Credit risk

Interest rate risk

Equity risk

Basis risk

Spread risk

Foreign exchange risk

Commodity risk

—

Inflation risk

Diversification effecta

(27)

n/a

(33)

n/a

Total management VaR

Note

aDiversification effects recognise that forecast losses from different assets or businesses are unlikely to occur concurrently, hence the expected aggregate loss is lower than

the sum of the expected losses from each area. Historical correlations between losses are taken into account in making these assessments. The high and low VaR figures

reported for each category did not necessarily occur on the same day as the high and low VaR reported as a whole. Consequently, a diversification effect balance for the

high and low VaR figures would not be meaningful and is therefore omitted from the above table.

Risk review

Risk performance

Market risk

home.barclays/annualreport

Barclays Bank PLC Annual Report

Barclays Bank Group Management VaRa (£m)

Business scenario stresses

As part of the Barclays Bank Group’s risk management framework, on a regular basis the performance of the trading business in hypothetical scenarios

characterised by severe macroeconomic conditions is modelled. Up to seven global scenarios are modelled on a regular basis, for example, a sharp

deterioration in liquidity, a slowdown in the global economy, global recession and a sharp increase in economic growth.

In 2021, the scenario analyses showed that the largest market risk related impacts would be due to a severe deterioration in financial liquidity and a

global recession.

Risk review

Risk performance

Market risk

home.barclays/annualreport

Barclays Bank PLC Annual Report

100

Summary of Contents

Page

Liquidity risk performance

■Liquidity risk overview

101

The risk that the firm is unable to meet its contractual or contingent

obligations or that it does not have the appropriate amount, tenor

and composition of funding and liquidity to support its assets.

This section provides an overview of the Barclays Bank Group’s

liquidity risk.

■Liquidity risk stress testing

102

■Contractual maturity of financial assets and liabilities

103

Provides details on the contractual maturity of all financial

instruments and other assets and liabilities.

Capital risk performance

■Capital risk overview

111

Capital risk is the risk that the firm has an insufficient level or

composition of capital to support its normal business activities and

to meet its regulatory capital requirements under normal operating

environments or stressed conditions (both actual and as defined for

internal planning or regulatory testing purposes). This also includes

the risk from the firm’s pension plans.

This section details Barclays Bank Group’s capital and leverage

position.

–Capital Requirements Regulation (CRR) leverage ratio

111

■Foreign exchange risk

–Transactional foreign currency exposure

Barclays Bank Group discloses the two sources of

foreign exchange risk that it is exposed to.

–Translational foreign exchange exposure

–Functional currency of operations

■Interest rate risk in the banking book overview and summary of

■Pension risk review

113

A review focusing on the UK retirement fund, which represents the

majority of Barclays Bank Group’s total retirement benefit obligation.

–Assets

–Liabilities

Interest rate risk in the banking book performance

performance

■Net interest income sensitivity

A description of the non-traded market risk framework is provided.

Barclays Bank Group discloses a sensitivity analysis on pre-tax net

interest income for non-trading financial assets and liabilities. The

analysis is carried out by currency.

Barclays Bank Group discloses the overall impact of a parallel shift in

interest rates on other comprehensive income and cash flow

hedges.

Barclays Bank Group measures the volatility of the value of the

FVOCI instruments in the liquidity pool through non-traded market

risk VaR.

■Analysis of equity sensitivity

■Volatility of the FVOCI portfolio in the liquidity pool