Barclays Q1 2021 Fixed Income Investor Presentation
STRATEGY, TARGETS
& GUIDANCE
CAPITAL
PERFORMANCE
ASSET QUALITY
& LEVERAGE
MREL, FUNDING
& LIQUIDITY
DIVISIONS
CREDIT RATINGS
ESG
APPENDIX
& LEGAL ENTITIES
Structural hedge and interest rate sensitivity
Structural hedge program update
•
The Group's combined gross equity and product structural hedge contribution was £0.3bn in Q121
•
The combined structural hedge notional as at Mar-21 was £192bn with an average duration of 2.5 to 3 years
Expect gross structural hedge income across the group to be £300-400m lower in FY21 relative to FY20 (£1.7bn), despite the recent steepening of the
yield curve
Impact of parallel shifts
Illustrative sensitivity of Group NII to a parallel shift in interest rate curves¹
Year 1
Year 2
Year 3
in interest rate curves (£m)
25bps upward
c.150
c.300
c.450
10bps upward
c.50
c.100
c.150
10bps downward
c.(200)
c.(250)
c.(300)
25bps downward
c.(500)
c.(600)
c.(700)
This analysis assumes an instantaneous parallel shift in interest rate curves
The upwards scenarios assume an illustrative 50% pass-through of rate
rises to deposit pricing
Pass-through is limited on the downward scenarios, as customer rates are
floored at 0% for GBP and USD deposits², including when the downward
scenarios reflect negative base rates
It does not apply floors to shocked market rates, thus reflecting, for
illustrative purposes, the impact of negative base rates on Group NII in the
downward scenarios
The scenarios do not reflect pricing decisions that would be made in the
event of rate rises or falls
The NII sensitivity is also calculated using a constant balance sheet - i.e.
maturing business is reinvested at a consistent tenor and margin
This sensitivity is not a forecast of interest rate expectations, and Barclays'
pricing decisions in the event of an interest rate change may differ from
the assumptions underlying this sensitivity. Accordingly, in the event of an
interest rate change the actual impact on Group NII may differ from that
presented in this analysis
1 This sensitivity is based on the modelled performance of the consumer and corporate banking book, and includes the impact of both the product and equity structural hedges. It provides the annual impact on Group NII over the next three years, for illustrative
purposes only, and is based on a number of assumptions regarding variables which are subject to change. Such assumptions might also differ from those underlying the AEaR calculation in the Annual Report | 2 With regards to the relatively modest balance of
EUR deposits that are currently subject to charging, no incremental pass-through of further rates reductions are assumed in the illustrative scenario |
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