Strategic Shareholder Climate and Risk Financial Financial Barclays PLC 344 report information sustainability report Governance review review statements Annual Report 2022 Risk performance - Treasury and Capital risk (continued) Page Interest rate risk in the banking book performance A description of the non-traded market risk framework is provided. Net interest income sensitivity 364 – by business unit 364 The Group discloses a sensitivity analysis on pre-tax net interest income for non- trading financial assets and liabilities. The analysis is carried out by business unit and – by currency 365 currency. Analysis of equity sensitivity 365 The Group measures some non-traded market risks, in particular prepayment, Volatility of the FVOCI portfolio in the liquidity pool 365 recruitment, and residual risk using an economic capital methodology. The Group discloses the overall impact of a parallel shift in interest rates on other comprehensive income and cash flow hedges. The Group measures the volatility of the value of the FVOCI instruments in the liquidity pool through non-traded market risk VaR. Liquidity risk Summary of performance Liquidity Liquidity risk stress testing All disclosures in this section are The liquidity pool at £318bn (December unaudited unless otherwise stated. 2021: £291bn) reflects the Group’s Barclays’ Liquidity Risk is managed within prudent approach to liquidity the Principal Risk: Treasury and Capital Overview management. The Liquidity Coverage Risk Framework. Under this framework, The Group Liquidity Risk is managed within Ratio (LCR) remained well above the 100% the Group has established a liquidity risk Treasury and Capital Risk framework that regulatory requirement at 165% appetite together with the appropriate meets the PRA standards and is designed (December 2021: 168%), equivalent to a limits for the management of the liquidity to maintain liquidity resources that are surplus of £117bn (December 2021: risk. This is the level of liquidity risk the sufficient in amount and quality, and a £116bn). Group chooses to take in pursuit of its funding profile that is appropriate to meet the Group’s Liquidity Risk Appetite. The business objectives and in meeting its The increase in the liquidity pool over the liquidity risk framework is delivered via a regulatory obligations. The Group sets its year was driven by continued deposit combination of policy formation, review internal liquidity risk appetite based on growth and an increase in wholesale and governance, analysis, stress testing, internal liquidity risk stress tests and, funding, partly offset by an increase in limit setting and monitoring. external regulatory requirements namely business funding consumption. An This section provides an analysis of the the Liquidity Coverage Ratio (LCR) and increase in net stress outflows and Group’s: (i) summary of performance, (ii) Net Stable Funding Ratio (NSFR). trapped liquidity within Barclays’ liquidity risk stress testing, iii) liquidity subsidiaries led to a modest reduction in Liquidity risk appetite (LRA) regulation, iv) liquidity pool, (v) funding the LCR ratio. The Net Stable Funding The internal liquidity risk stress test structure and funding relationships, (vi) Ratio (average of last four quarter ends) measures the potential contractual and credit ratings, and (vii) contractual was 137%, which represents £155bn contingent stress outflows under a range maturity of financial assets and liabilities. surplus above 100% regulatory of internally defined stress scenarios, For further detail on liquidity risk requirement. which are then used to determine the size governance and framework, refer to During the year, the Group issued £15bn of the liquidity pool that is immediately pages 156 to 163 of the Barclays PLC Pillar of minimum requirement for own funds available to meet anticipated outflows 3 Report 2022 (unaudited). and eligible liabilities (MREL) instruments in should a stress occur. Key metrics a range of tenors and currencies. As part of the LRA, the Group runs four Liquidity Coverage Ratio Barclays Bank PLC continued to issue in liquidity stress scenarios, aligned to the the shorter-term and medium-term PRA’s prescribed stresses: markets and Barclays Bank UK PLC • 90 days market-wide stress event 165% continued to issue in the shorter-term • 30 days Barclays-specific stress event markets and maintain active secured • 30 days combined market-wide and funding programmes. This funding a Net Stable Funding Ratio Barclays-specific stress event capacity enables the respective entities to maintain their stable and diversified • 12 months market wide stress funding bases. 137% The Group’s reliance on short-term a Average represents the last four spot quarter end positions wholesale funding, as measured by the proportion of wholesale funding maturing in less than one year decreased year-on- year to 39% (December 2021: 40%).