Barclays 2015 Annual Report Download - page 178

176 I Barclays PLC Annual Report 2015 home.barclays/annualreport
Risk review
Non-traded market risk
Overview
The non-traded market risk framework covers exposures in the banking book, mostly consisting of exposures relating to accrual accounted and
available for sale instruments. The potential volatility of the net interest income of the bank is measured by an Annual Earnings at Risk (AEaR) metric
that is monitored regularly and reported to senior management and the Board Risk Committee as part of the limit monitoring framework.
Net interest income sensitivity
The table below shows a sensitivity analysis on pre-tax net interest income for the non-trading financial assets and financial liabilities including the
effect of any hedging. The sensitivity has been measured using the Annual Earnings at Risk (AEaR) methodology as described on page 136 in
Barclays PLC 2015 Pillar 3 Report. Note that this metric is simplistic in that it assumes a large parallel shock occurs instantaneously across all major
currencies and ignores the impact of any management actions on customer products.
Net interest income sensitivity (AEaR) by business unit
Personal &
Corporate
Banking
£m
Barclaycard
£m
Africa
£m
Non-Corea
£m
Treasuryb
£m
Total
£m
As at 31 December 2015
+200bps 305 (31) 28 27 (131) 198
+100bps 152 (14) 14 14 (63) 103
-100bps (385) 10 (11) – (26) (412)
-200bps (433) 14 (14) – (36) (469)
As at 31 December 2014c
+200bps 464 (59) 26 6 14 451
+100bps 239 (27) 13 3 10 238
-100bps (426) 26 (9) (1) (29) (439)
-200bps (430) 29 (17) (1) (39) (458)
Overall the NII sensitivity of the Group to sudden changes in interest rates has decreased. The main drivers of the change in NII sensitivities are:
 PCB: The reduction in NII sensitivity was due to increased hedging of certain deposit products exposure to interest rate changes
 Barclaycard: The reduction in NII is due to a decrease in the period of time that the book can be repriced post a change in interest rates
 Non-Core: The increase is predominantly due to a change in the hedge profile following the announced disposals in Europe
 Treasury: The increase in NII sensitivity is primarily driven by an increased exposure in the short dated available for sale bond portfolio. This results
in a higher duration mismatch between assets and liabilities which an up-shock scenario creates a negative impact. In a down shock scenario the
full benefit of this is not realised due to the rates being floored at zero, resulting in a net negative NII impact from Treasury under these simple
modelling assumptions.
Net interest income sensitivity (AEaR) by currency (audited)
2015 2014
As at 31 December
+100 basis
points
£m
-100 basis
points
£m
+100 basis
points
£m
-100 basis
points
£m
GBP 94 (368) 184 (406)
USD (15) (30) (11) (11)
EUR (6) (8) 21 3
ZAR 6 (5) 10 (8)
Other currencies 24 (1) 34 (17)
Total 103 (412) 238 (439)
As percentage of net interest income 0.82% (3.28)% 1.97% (3.63)%
Risk performance
Market risk
Notes
a Only retail exposures within Non-Core are included in the calculation.
b Treasury includes both accrual and fair value accounted positions modelled with an appropriate holding period. It excludes hedge accounting ineffectiveness. Although hedge
accounting ineffectiveness is recorded within net interest income, it is excluded in this analysis as it is driven by fair value movements rather than interest accruals.
c 2014 comparatives have been revised to reflect the inclusion of all Treasury banking books and the exclusion of hedge ineffectiveness.