Barclays 2014 Annual Report Download - page 180

178 I Barclays PLC Annual Report 2014 barclays.com/annualreport
Risk performance
Market risk
Risk review
The table below provides an overview of the assets and liabilities of the major trading portfolios and associated standalone management VaR.
While the table on page 176 shows the total balance sheet breakdown for the Group, split by trading and banking books, the table below shows
the assets and liabilities for the major trading portfolios in the Investment Bank that are most sensitive to market risk. These comprise available for
sale investments, debt securities in issue, derivative financial instruments, and positions with other financial institutions at fair value, repurchase
agreements, and trading portfolio assets/liabilities.
The restructuring of the business into Core and Non-Core in 2014 changed the portfolio structure. Management VaR is presented for the fourth
quarter, the first full period since the restructure.
Principal asset and liability balances subject to market risk in the Investment Bank, BNC and Head Office
As at 31 December 2014
Portfolio
Description of
business activity
Assets
£m
Liabilities
£m
Average over
Q4 2014
Management
VaR
£m
Principal balance
sheet line items
Principal market
risk exposure
Client Capital Management The function primarily
manages counterparty
risk exposures arising
from derivative contracts.
102,610 99,821 11 Derivative financial
instruments and
repurchase agreements.
Hedging the firm's credit
risk including
counterparty risk
exposure on derivatives.
Equities Provides equity market
making and risk
management services for
clients.
66,395 55,274 10 Trading portfolio asset/
liabilities and derivative
financial instruments and
repurchase agreements.
Provides derivative
solutions to clients. The
business also supports
cash equity trading,
primary market issuance
and block trades.
Credit Provides specific credit
market exposures.
38,993 23,222 10 Derivative financial
instruments and trading
portfolio asset/liabilities
and repurchase
agreements.
Risk exposure is primarily
to credit markets.
TreasuryaProvides funding and
liquidity services
31,715 34,219 9 Available for sale financial
investments and debt
securities in issue.
The principal service is
the execution of liquidity
and funding operations.
Macro Market maker in foreign
exchange, rates,
commodities and local
markets.
118,791 119,302 8 Derivative financial
instruments and trading
portfolio asset/liabilities
and repurchase
agreements.
Market risk exposure
arises from credit trading
including bond
syndication, and interest
rate, currency and
commodity market
making and trading. The
business is well–
diversified leading to low
risk.
BNC Manages assets from
non-core operations.
351,247 328,859 4 Derivative financial
instruments and
repurchase agreements
and trading portfolio
asset/liabilities.
Exposures which the
business has been
managing down.
Other subject to
management VaR
Primarily provides
financing solution
for clients
551 11,256 n/a Debt securities in issue/
Issued debts.
Risk exposure is primarily
to debt capital markets.
Other, including
diversification effects
–––(30) ––
Total subject to
management VaR
–710,302 671,953 22 ––
Other Investment Bank,
Non-Core and Head Office
–265,866 237,213 n/a ––
Total Investment Bank,
Non-Core and Head Office
–976,168 909,166 22 ––
Note
a Treasury contains banking book positions that will be treated under the non-traded market risk framework in 2015.