Barclays 2012 Annual Report Download - page 159

The strategic report Governance Risk review Financial review Financial statements Risk management Shareholder information
Analysis of equity sensitivity
The table below shows the overall impact of a 100bps movement in interest rates on available for sale and cash flow hedge reserves. This data is
captured using PV01 (present value of 1bp), which is an indicator of the overall shift in asset value for a 1bp shift in the yield.
Analysis of equity sensitivity (audited)
31 December 2012 31 December 2011
+100 bps
£m
-100 bps
£m
+100 bps
£m
-100 bps
£m
Net interest income 182 (374) 63 (371)
Taxation effects on the above (51) 105 (21) 122
Effect on profit for the year 131 (269) 42 (249)
As percentage of net profit after tax (55.51%) 113.98% 1.06% (6.30%)
Effect on profit for the year (per above) 131 (269) 42 (249)
Available for sale reserve (674) 674 (1,108) 1,102
Cash flow hedge reserve (2,179) 2,260 (2,248) 2,280
Taxation effects on the above 799 (822) 1,101 (1,109)
Effect on equity (1,923) 1,843 (2,213) 2,024
As percentage of equity (3.05%) 2.93% (3.39%) 3.10%
Margins and Balances
Basis of preparation
Customer assets represents loans and advances to customers and net interest income on customer assets represents interest received from
customers less interest expense for funding those assets at the relevant internal funding rate. Customer liabilities represents customer deposits.
Net interest income on customer liabilities represents the interest income from the funds generated from customer liabilities at the internal rate of
funding less the interest paid to customers. Customer net interest income is the sum of customer asset and customer liability net interest income.
Under this approach, customer net interest income reflects interest related to customer assets and liabilities only and does not include any interest
on securities or other non-customer assets and liabilities.
Non-customer interest income principally reflects the impact of product and equity structural hedges, as well as certain other net interest income
received on government bonds and other debt securities held for the purposes of interest rate hedging and liquidity for local banking activities. All
reverse repurchase and repurchase agreements and related interest are recorded in the Investment Bank and are therefore not included in the
Retail and Business Banking, Corporate Banking and Wealth and Investment Management customer margins data.
The customer asset margin is defined as net interest income earned on customer assets (excluding the impact of the product structural hedge
relating to those assets), divided by total average customer assets. Similarly, the customer liability margin is net interest income earned on
customer liabilities (excluding the impact of the product structural hedge relating to those liabilities), divided by total average customer liabilities.
The customer net interest margin is calculated as net interest income on both customer assets and liabilities (excluding the impact of product
structural hedges) as a percentage of the sum of average customer assets and liabilities, consistent with the presentation of the net interest
margin.
The non-customer generated margin is calculated as non-customer net interest income (principally comprising the impact of both the product
and equity structural hedges) as a percentage of the sum of average customer assets and liabilities, consistent with the presentation of the net
interest margin.
barclays.com/annualreport Barclays PLC Annual Report 2012 I 157