Strategic Shareholder Climate and Risk Financial Financial Barclays PLC 463 report information sustainability report Governance review review statements Annual Report 2022 Notes to the financial statements (continued) Assets and liabilities held at fair value Significant unobservable inputs The following table discloses the valuation techniques and significant unobservable inputs for material products recognised at fair value and classified as Level 3 along with the range of values used for those significant unobservable inputs: 2022 Range 2021 Range a b Valuation technique(s) Significant unobservable inputs Min Max Min Max Units Derivative financial c instruments Interest rate derivatives Discounted cash flows Inflation forwards 3 5 0 3 % Credit spread 17 2,159 9 1,848 bps Yield (3) 56 — — % Correlation model Inflation forwards (20) (13) (20) (13) % Option model Inflation volatility 49 315 31 130 bps vol Interest rate volatility 36 430 5 600 bps vol Option volatility 57 60 — — £m FX - IR correlation (20) 78 (20) 78 % IR - IR correlation 12 99 (100) 99 % Credit derivatives Discounted cash flows Credit spread 3 2,943 2 2,925 bps Comparable pricing Price 79 92 — — points Equity derivatives Option model Equity volatility 3 140 2 108 % Equity - equity correlation 40 100 10 100 % Discounted cash flow Discounted margin (205) 634 (129) 93 bps Foreign exchange derivatives Option model Option volatility 0 100 0 100 points Discounted Cash Flows Yield (3) 4 — — % Non-derivative financial instruments Non-asset backed loans Discounted cash flows Loan spread 50 801 31 1,552 bps Credit spread 200 300 200 300 bps Yield 5 34 3 10 % Comparable pricing Price 0 101 0 145 points Private equity investments EBITDA multiple EBITDA multiple 11 15 16 20 Multiple Earnings multiple Earnings multiple 4 23 5 28 Multiple Discounted cash flow Credit spread 496 559 725 1,916 bps Discount margin 8 10 8 10 % Corporate debt Comparable pricing Price 0 232 0 284 points Discounted cash flows Loan spread 229 834 229 854 bps Commercial Real Estate loans Discounted cash flows Credit spread 267 426 68 543 bps Reverse repurchase and repurchase agreements Discounted cash flows Repo spread 321 502 — — bps Issued debt Discounted cash flows Credit spread 73 548 — — bps Option model Equity volatility 3 111 — — % Interest rate volatility 42 261 — — bps vol Notes a A range has not been provided for Net Asset Value as there would be a wide range reflecting the diverse nature of the positions. b The units used to disclose ranges for significant unobservable inputs are percentages, points and basis points. Points are a percentage of par; for example, 100 points equals 100% of par. A basis point equals 1/100th of 1%; for example, 150 basis points equals 1.5%. c Certain derivative instruments are classified as Level 3 due to a significant unobservable credit spread input into the calculation of the Credit Valuation Adjustment for the instruments. The range of significant unobservable credit spreads is between 17-2159bps (2021: 32-1,848bps).
Barclays PLC - Annual Report - 2022 Page 464 Page 466