Company: BCS
Filing Date: 2025-02-13
Form Type: 6-K
Source: 0001654954-25-001446
Chunk: 36

Company: BARCLAYS PLC
Filing Date: 2025-02-13
Form: 6-K
Chunk 36
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1 |
| Commodity risk          |                   — |    1 |   — |     |                   — |    1 |   — |
| Inflation risk          |                   4 |    5 |   2 |     |                   6 |   11 |   2 |
| Diversification effect1 |                 -34 |  n/a | n/a |     |                 -51 |  n/a | n/a |
| Total management VaR    |                  26 |   36 |  15 |     |                  42 |   60 |  24 |

| 1 | Diversification effects recognise that forecast losses from         
 different assets or businesses are unlikely to occur concurrently,  
 hence the expected aggregate loss is lower than the sum of the      
 expected losses from each area. Historical correlations between     
 losses are taken into account in making these assessments. The high 
 and low VaR figures reported for each category did not necessarily  
 occur on the same day as the high and low total management VaR.     
 Consequently, a diversification effect balance for the high and low 
 VaR figures would not be meaningful and is therefore omitted from   
 the above table.                                                    |

Average Management VaR decreased 38% to £26m (2023: £42m). The decrease was mainly driven by lower market volatility and credit spread levels in 2024, as geopolitical tensions eased (relative to 2023), inflation continued to decline and central banks started to cut rates.

#### Treasury and Capital Risk
The Group has established a comprehensive set of policies, standards and controls for managing its liquidity risk; together these set out the requirements for Barclays’ liquidity risk framework. The liquidity risk framework meets the PRA standards and enables Barclays to maintain liquidity resources that are sufficient in amount and quality, and a funding profile that is appropriate to meet the Group’s Liquidity Risk Appetite. The liquidity risk framework is delivered via a combination of policy formation, review and challenge, governance, analysis, stress testing, limit setting and monitoring.

#### Liquidity risk stress testing
The Internal Liquidity Stress Tests (ILST) measure the potential contractual and contingent stress outflows under a range of scenarios, which are then used to determine the size of the liquidity pool that is immediately available to meet anticipated outflows if a stress occurs. The short-term scenarios include a 30 day Barclays-specific stress event, a 90 day market-wide stress event and a 30 day combined scenario consisting of both a Barclays specific and