Barclays 2005 Annual Report Download - page 231

60 2004 Financial instruments (FRS 13) (continued)
Non-trading currency risk
Non-trading currency risk exposure arises principally from the Group’s investments in overseas branches and subsidiary and associates, principally in
the United States, Japan and Europe. The Group’s structural currency exposures at 31st December 2004 were as follows:
2004
Net Borrowings Remaining
investments which hedge structural
in overseas the net currency
operations investments exposures
Functional currency of the operation involved £m £m £m
US Dollar 2,050 2,038 12
Yen 2,594 2,589 5
Euro 3,148 3,102 46
Other non-Sterling 753 332 421
Total 8,545 8,061 484
In accordance with Group policy, as at 31st December 2004, there were no material net currency exposures in the non-trading book relating to
transactional (or non-structural) positions that would give rise to net currency gains and losses recognised in the profit and loss account.
Daily Value at Risk
The Daily Value at Risk (DVaR) methodology of estimating potential losses arising from the Group’s exposure to market risk is explained in Note 54
under the heading ‘Market Risk Management’. The models used in estimating potential losses are based on past movements and may not be
indicative of future market conditions. The following table shows an analysis of DVaR for the market risk exposures in Barclays Capital as an average
for the year and the high and low during the year.
Year to 31st December 2004
Average High(a) Low(a)
£m £m £m
Interest rate risk 25.0 53.6 15.1
Credit spread risk 22.6 32.9 16.0
Foreign exchange risk 2.4 7.4 0.9
Equities risk 4.2 7.9 2.2
Commodities risk 6.0 14.4 2.2
Diversification effect (25.9) – –
Total DVaR(b) 34.3 46.8 24.0
Notes
(a) The high (and low) DVaR figures reported for each category did not necessarily occur on the same day as the high (and low) DVaR reported as a whole.
A corresponding diversification effect cannot be calculated and is therefore omitted from the above table.
(b) The year-end total DVaR for 2004 was £31.9m.
Barclays PLC
Annual Report 2005 229
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