Strategic Shareholder Climate and Risk Financial Financial Barclays PLC 341 report information sustainability report Governance review review statements Annual Report 2022 Risk performance - Market risk Market risk Summary of contents Page Outlines key measures used to summarise the market risk Market risk overview and summary of performance 341 profile of the bank such as value at risk (VaR). The Group discloses details on management measures of Traded market risk 341 market risk. Total management VaR includes all trading positions and is presented on a diversified basis by risk factor. Review of management measures 341 This section also outlines the macroeconomic conditions – The daily average, maximum and minimum values of management 342 modelled as part of the Group’s risk management – Business scenario stresses VaR framework. 342 Summary of performance in the Traded market risk review Market risk period Review of management measures All disclosures in this section are unaudited Average management VaR increased 89% unless otherwise stated. The following disclosures provide details to £36m (2021: £19m) driven by higher on management measures of market risk. Overview market volatility. The conflict in Ukraine Refer to the market risk management This section contains key statistics and elevated inflation increased volatility section of the Barclays PLC Pillar 3 Report describing the market risk profile of the across all asset classes as central banks 2022 (unaudited) for more detail on Group. The market risk management increased base rates, equity markets management measures and the section provides a description of declined, and credit spreads widened differences when compared to regulatory management VaR. during this period. The Global Markets measures. business maintained a generally short and Measures of market risk in the The table below shows the total defensive risk profile (i.e. positioned to gain Group and accounting measures management VaR on a diversified basis by as the market sells off) for most of 2022. risk factor. Total management VaR Traded market risk measures such as VaR VaR increased in Q4 2022 from an includes all trading positions in CIB and and balance sheet exposure measures increase in funded, fair-value leverage loan Treasury and it is calculated with a one-day have fundamental differences: exposure in Investment Banking. Risk holding period, measured to a confidence • balance sheet measures show accruals- taking remained within agreed risk appetite level of 95%. based balances or marked to market limits at all times in 2022. Limits are applied against each risk factor values as at the reporting date; VaR as well as total management VaR, • VaR measures also take account of which are then cascaded further by risk current marked to market values, but in managers to each business. 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.