Barclays 2013 Annual Report Download - page 197

Non-traded market risk review
Net interest income sensitivity
The table below shows sensitivity analysis on the pre-tax net interest income for the non-trading financial assets and financial liabilities held at
31 December 2013 and 31 December 2012. The sensitivity has been measured using the Annual Earnings at Risk (AEaR) methodology as
described on page 413. The benchmark interest rate for each currency is set as at 31 December 2013. The effect of structural hedging is taken
into account.
Net interest income sensitivity (AEaR) by business unit
As at 31 December UK RBB
£m
Europe RBB
£m
Africa RBB
£m
Barclaycard
£m
Corporate
Banking
£m
Wealth and
Investment
Management
£m
Othera
£m
Total
£m
2013
+200bps 219 9 19 (84) 101 53 (92) 225
+100bps 118 5 9 (42) 50 27 (57) 110
-100bps (140) (1) (8) 25 (160) (15) 56 (243)
-200bps (160) (1) (15) 26 (170) (22) 49 (293)
2012
+200bps 254 (3) 62 (99) 83 51 22 370
+100bps 135 (2) 29 (49) 41 25 3 182
-100bps (175) 2 (25) 27 (143) (15) (45) (374)
-200bps (214) 2 (50) 18 (147) (16) (26) (433)
Total AEaR to a +200bp shock decreased by 39% to £225m (2012: £370m), and to a -200bp shock, total AEaR decreased by 32% to £(293)m
(2012: £(433)m). The drivers of these differences were predominantly due to large changes in UK RBB, Africa RBB and Other.
The change in UK RBB was due to a reduction in savings margin compression sensitivity due to additional hedges being transacted and a change
in modelling pricing assumptions for Managed Rate Deposits in that they will follow market movements more closely.
The change in Africa RBB was primarily due to exchange rates and a reduction in asset and liability mismatch positions.
The change in Other was a combination of changes in the equity structural hedge durations (across GBP, EUR and USD) and a change in the
hedge ineffectiveness sensitivity driven by increases in hedge positions (partly due to the rights issue in 2013).
Banking book exposures held or issued by the Investment Bank are excluded as these are measured and managed using VaR. AEaR to 100bp
shocks decreased for the same reasons as outlined above and is split by currency in the table below.
Net interest income sensitivity (AEaR) by currency (audited)
As at 31 December 2013 2012
+100 bps
£m
-100 bps
£m
+100 bps
£m
-100 bps
£m
GBP 92 (199) 96 (273)
USD 9 (21) 30 (23)
EUR (18) (7) 20 (49)
ZAR 10 (9) 27 (25)
Other currencies 17 (7) 9 (4)
Total 110 (243) 182 (374)
As percentage of net interest income 0.95% (2.09%) 1.56% (3.21%)
Barclays measure some non-traded market risks using an Economic Capital (EC) methodology. EC is predominantly calculated using a daily VaR
model and then scaled up to a 1 year EC confidence interval (99.98%). For more information on definitions of prepayment, recruitment and
residual risk, and on how EC is used to manage market risk, see the market risk management section on page 413.
Note
a Other consists of Group Treasury and adjustments made for hedge ineffectiveness.
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