Barclays 2014 Annual Report Download - page 178

176 I Barclays PLC Annual Report 2014 barclays.com/annualreport
Risk performance
Market risk
Risk review
Balance sheet view of trading and banking books
As defined by the regulatory rules, a trading book consists of positions held for trading intent or to hedge elements of the trading book. Trading
intent must be evidenced in the basis of the strategies, policies and procedures set up by the firm to manage the position or portfolio. The below
table provides a Group-wide overview of where assets and liabilities on the Group’s balance sheet are managed within regulatory traded and
non-traded books.
The balance sheet split by trading book and banking books is shown on an IFRS scope of consolidation. The reconciliation between the
accounting and regulatory scope of consolidation is shown in Barclays PLC Pillar 3 Report, table 1. The reconciling items are all part of the banking
book.
Balance sheet split by trading and banking books
As at 31 December 2014
Banking
book
£m
Trading
book
£m
Total
£m
Cash and balances at central banks 39,695 – 39,695
Items in course of collection from other banks 1,210 – 1,210
Trading portfolio assets 2,045 112,672 114,717
Financial assets designated at fair value 27,615 10,685 38,300
Derivative financial instruments 441 439,468 439,909
Available for sale financial investments 86,066 – 86,066
Loans and advances to banks 40,420 1,691 42,111
Loans and advances to customers 397,919 29,848 427,767
Reverse repurchase agreements and other similar secured lending 131,161 592 131,753
Prepayments, accrued income and other assets 3,607 – 3,607
Investments in associates and joint ventures 711 – 711
Property, plant and equipment 3,786 – 3,786
Goodwill and intangible assets 8,180 – 8,180
Current tax assets 334 – 334
Deferred tax assets 4,130 – 4,130
Retirement benefit assets 56 – 56
Non current assets classified as held for disposal 15,574 – 15,574
Total assets 762,950 594,956 1,357,906
Deposits from banks 57,451 939 58,390
Items in course of collection due to other banks 1,177 – 1,177
Customer accounts 418,522 9,182 427,704
Repurchase agreements and other similar secured borrowing 121,311 3,168 124,479
Trading portfolio liabilities 46 45,078 45,124
Financial liabilities designated at fair value 16,427 40,545 56,972
Derivative financial instruments 1,888 437,432 439,320
Debt securities in issue 86,099 – 86,099
Subordinated liabilities 21,153 – 21,153
Accruals, deferred income and other liabilities 11,423 – 11,423
Provisions 4,135 – 4,135
Current tax liabilities 1,021 – 1,021
Deferred tax liabilities 262 – 262
Retirement benefit liabilities 1,574 – 1,574
Liabilities included in disposal groups classified as held for sale 13,115 – 13,115
Total liabilities 755,604 536,344 1,291,948
Included within the trading book are assets and liabilities which are included in the market risk regulatory measures. For more information on
these measures (VaR, SVaR, IRC and APR) see the risk management section on page 136 in Barclays PLC Pillar 3 Report.
Traded market risk review
Review of management measures
The following disclosures provide details on management measures of market risk. See pages 139 to 144 in Barclays PLC Pillar 3 Report for more
detail on management measures and the differences when compared to regulatory measures.
The table below shows the total Group management VaR by asset class, as well as the impact of diversification. The majority of VaR arises out of
the Investment Bank. Additional limited trading activity is undertaken in Africa Banking on behalf of clients. VaR also arises in Treasury in relation
to certain products (mainly for hedging and liquidity purposes). Finally, certain legacy positions in BNC attract VaR.
Limits are applied against each asset class VaR as well as total management VaR, which are then cascaded further by risk managers to each
business.
The management VaR numbers in the table below include add-ons, to better represent the market risk where the VaR model may not fully
represent some risk factors. See page 144 in Barclays PLC Pillar 3 Report for a description of risks not in VaR (RNIVs).
Note
a The primary risk factors for banking book assets and liabilities are interest rates and to a lesser extent, foreign exchange rates. Credit spreads and equity prices will also be a factor
where the Group holds debt and equity securities respectively, either as financial assets designated at fair value (see Note 14) or as available for sale (see Note 16).