Strategic Shareholder Climate and Risk Financial Financial Barclays PLC 364 report information sustainability report Governance review review statements Annual Report 2022 Risk performance - Treasury and Capital risk (continued) Interest rate risk in the banking Summary of performance in the book period All disclosures in this section are unaudited • NII sensitivity to a -25bp rates shock has unless otherwise stated. decreased year on year due to the timing impact of customer rate changes Overview following the rate shock, combined with The treasury and capital risk framework changes in balance sheet composition. covers interest rate sensitive exposures Net interest income sensitivity held in the banking book, mostly relating to accrual accounted and FVOCI The table below shows a sensitivity instruments. The potential volatility of net analysis on pre-tax net interest income for interest income is measured by an Annual non-traded financial assets and liabilities, Earnings at Risk (AEaR) metric which is including the effect of any hedging. This monitored regularly and reported to senior analysis is not a forward guidance on NII management and the Barclays PLC Board and is intended as a quantification of risk Risk Committee as part of the limit exposure utilising the Net Interest Income monitoring framework. (NII) metric as described on page 162 of the Barclays PLC Pillar 3 Report 2022 For further detail on the interest rate risk in (unaudited), which includes the banking book governance and documentation of the main model framework refer to pages 160 to 162 of assumptions. the Barclays PLC Pillar 3 Report 2022 (unaudited). Key metrics AEaR -73m AEaR across the Group from a -25bps shock to forward interest rate curves. Net interest income sensitivity (AEaR) by business unit (audited) Barclays Barclays UK International Head Office Total As at 31 December £m £m £m £m 2022 15 25 (15) 25 +25bps -25bps (59) (29) 15 (73) 2021 +25bps (2) 68 5 71 -25bps (54) (99) (5) (158) Notes The Group’s customer banking book hedging activity is risk reducing from an NII sensitivity perspective. The hedges in place remove interest rate risk and smooth income over the medium term. The NII sensitivity for the Group at 31 December 2022 without hedging in place for +/-25bp rate shocks would be £233m/£(281)m respectively. NII sensitivity asymmetry is due to the timing impact of customer rate changes following the rate shock and also due to changes in the balance sheet composition. Reduction in overall NII sensitivity in both shock scenarios is due to the current rate levels removing the impact of embedded floors on product margins.