Strategic Shareholder Climate and Risk Financial Financial Barclays PLC 365 report information sustainability report Governance review review statements Annual Report 2022 Risk performance - Treasury and Capital risk (continued) Net interest income sensitivity (AEaR) by currency (audited) 2022 2021 +25 basis points -25 basis points +25 basis points -25 basis points As at 31 December £m £m £m £m GBP (6) (40) 14 (85) USD 43 (45) 58 (62) EUR 3 (4) 5 (15) Other currencies (15) 16 (6) 4 Total 25 (73) 71 (158) Analysis of equity sensitivity Equity sensitivity measures the overall impact of a +/-25bps movement in interest rates on retained earnings, FVOCI, cash flow hedge reserves and pensions. For non-NII items a DV01 metric is used, which is an indicator of the shift in value for a 1bp movement in the yield curve. Analysis of equity sensitivity (audited) As at 31 December 2022 2021 +25 basis -25 basis +25 basis -25 basis points points points points £m £m £m £m Net interest income 25 (73) 71 (158) Taxation effects on the above (5) 15 (15) 33 Effect on profit for the year 20 (58) 56 (125) As percentage of net profit after tax 0.3% (1.0%) 0.8% (1.7%) Effect on profit for the year (per above) 20 (58) 56 (125) Fair value through other comprehensive income reserve (291) 302 (479) 408 Cash flow hedge reserve (774) 774 (859) 859 Taxation effects on the above 288 (291) 361 (342) Effect on equity (757) 727 (921) 800 As percentage of equity (1.1%) 1.0% (1.3%) 1.2% Movements in the FVOCI reserve impact CET1 capital. However, movements in the cash flow hedge reserve and pensions remeasurement reserve recognised in FVOCI do not affect CET1 capital. Volatility of the FVOCI portfolio in the liquidity pool Changes in value of FVOCI exposures flow directly through capital via the FVOCI reserve. The volatility of the value of the FVOCI investments in the liquidity pool is captured and managed through a value measure rather than an earning measure, i.e. non-traded market risk VaR. Although the underlying methodology to calculate the non-traded VaR is identical to the one used in traded management VaR, the two measures are not directly comparable. The non-traded VaR represents the volatility to capital driven by the FVOCI exposures. These exposures are in the banking book and do not meet the criteria for trading book treatment. Analysis of volatility of the FVOCI portfolio in the liquidity pool 2022 2021 Average High Low Average High Low For the year ended 31 December £m £m £m £m £m £m 48 62 35 51 62 34 Non-traded market value at risk (daily, 95%) Value at risk decreased in the first half of the year driven by a reduction in interest rate risk positioning. This was partially offset by an increase in H2 due to elevated market volatility.