Barclays 2007 Annual Report Download - page 104

Risk management
Market risk management
102 Barclays PLC Annual Report 2007
Market risk management
Market risk is the risk that Barclays earnings or capital,
or its ability to meet business objectives, will be adversely
affected by changes in the level or volatility of market rates
or prices such as interest rates, credit spreads, commodity
prices, equity prices and foreign exchange rates. The main
market risk arises from trading activities. Barclays is also
exposed to interest rate risk in the banking book and the
pension fund.
Barclays market risk objectives are to:
– Understand and control market risk by robust
measurement and the setting of position limits.
– Facilitate business growth within a controlled
and transparent risk management framework.
– Ensure traded market risk resides primarily
in Barclays Capital.
– Minimise non-traded market risk.
Organisation and structure
The Board approves market risk appetite for trading and non-trading
activities. The Market Risk Director is responsible for the market risk
control framework and, under delegated authority from the Risk Director,
sets a limit framework within the context of the approved market risk
appetite. A daily market risk report summarises Barclays market risk
exposures against agreed limits. This daily report is sent to the Risk
Director, the Market Risk Director, the Finance Director and the
appropriate Business Risk Directors.
The Head of each business, assisted by the business risk management
team, is accountable for all market risks associated with its activities. Each
business is responsible for the identification, measurement, management,
control and reporting of market risk as outlined in the Barclays Market Risk
Control Framework. Oversight and support is provided to the business by
the Market Risk Director, assisted by the central market risk team. The
Market Risk Committee reviews, approves, and makes recommendations
concerning the market risk profile across Barclays including risk appetite,
limits and utilisation. The Committee is held monthly and is chaired by
the Market Risk Director. Attendees include the Risk Director, respective
business risk managers and senior managers from the central market
risk team.
In Barclays Capital, the Head of Market Risk is responsible for
implementing the market risk control framework. Day to day responsibility
for market risk lies with the senior management of Barclays Capital,
supported by the Market Risk Management team that operates
independently of the trading areas. Daily market risk reports are produced
for the main Barclays Capital business areas covering the different risk
categories including interest rate, credit spread, commodity, equity and
foreign exchange. A more detailed trading market risk presentation is
produced fortnightly and discussed at the Barclays Capital Traded
Products Risk Review meeting. The attendees at this meeting include
senior managers from Barclays Capital and the central market risk team.
Outside Barclays Capital, Global Retail and Commercial Banking is
responsible for the non-structural interest rate risk in the banking book
and Group Treasury is responsible for structural risk (interest rate and FX).
The chart below right gives an overview of the business control structure.