Strategic Shareholder Climate and Risk Financial Financial Barclays PLC 342 report information sustainability report Governance review review statements Annual Report 2022 Risk performance - Market risk (continued) The daily average, high and low values of management VaR Management VaR (95%, one day) (audited) 2022 2021 a a a a Average High Low Average High Low For the year ended 31 December £m £m £m £m £m £m Credit risk 25 71 8 14 30 7 Interest rate risk 13 23 4 7 15 4 Equity risk 10 29 4 9 29 4 Basis risk 12 24 4 6 10 3 Spread risk 7 11 3 4 6 3 Foreign exchange risk 8 25 2 4 16 1 Commodity risk — 1 — — 1 — Inflation risk 6 17 3 3 5 2 a (45) n/a n/a (28) n/a n/a Diversification effect 36 73 13 19 36 6 Total management VaR Note a Diversification effects recognise that forecast losses from different assets or businesses are unlikely to occur concurrently, hence the expected aggregate loss is lower than the sum of the expected losses from each area. Historical correlations between losses are taken into account in making these assessments. The high and low VaR figures reported for each category did not necessarily occur on the same day as the high and low VaR reported as a whole. Consequently, a diversification effect balance for the high and low VaR figures would not be meaningful and is therefore omitted from the above table. Group Management VaR (£m) 80 60 40 20 0 Jan 2021 Jan 2022 Dec 2022 Business scenario stresses As part of the 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 2022, the scenario analyses showed that the largest market risk related impacts would be due to a severe deterioration in financial liquidity and an associated global recession.