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We consider a ferromagnetic/antiferromagnetic bilayer on a triangular lattice in the framework of the classical XY model. The impact of the geometrical frustration in this system on the magnetization curves and the exchange bias phenomenon is studied. The magnetization curves and the phase diagram for such systems are obtained. We observe horizontal plateaus and a split of the hysteresis loop on the magnetization curves. It is shown that the shift of the hysteresis loop (exchange bias) occurs for the systems with a magnetically hard antiferromagnet.