Barclays 2008 Annual Report Download - page 121

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Business review
Barclays PLC Annual Report 2008 119
Market Risk Director
Risk type ...managed by
and reviewed by Group
Market Risk and...
Barclays Capital
Global Retail and
Commercial Banking
Barclays Wealth
– Traded Products Risk
Review Meeting
–Asset and Liability Committees
– New product process team
– Supervisory visits from the
Central Market Risk Team
– Asset and Liability Committee
Non-traded
– Banking book interest rate risk
– Foreign exchange risk
BGI
Barclays Wealth
GRCB – Absa
Group Treasury
Pension Fund Trustees and
Barclays Central Functions
– BGI Investment Committee
– BGI Risk and Compliance Committee
– Absa Market Risk Committee
– Barclays Wealth ALCO
– Treasury Committee
– Treasury Hedge Committee
– Investment Committee
– Pension Management Group
– Pension Executive Board
– Pension risk
– Investment risk
– Asset management risk
Traded
Overview of the business control structure
Risk management
Market risk management
Organisation and structure
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. Market risk
mainly arises from trading activities. Barclays is also exposed to market
risk through non-traded interest rate risk 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.
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 Group 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 Group Risk
Director, the Market Risk Director, the Group 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 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 meets monthly and is chaired by the Market Risk
Director. Attendees include the Group 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 Barclays Capital as a whole as well as for the main business
areas. The risks covered include 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 Positions Risk Review meeting. The attendees at this meeting
include the Group Risk Director and senior managers from Barclays
Capital and the central market risk team.
In Global Retail and Commercial Banking, each of the six main business
areas (UK Retail Banking, Barclays Commercial Bank, Barclaycard, Western
Europe, Emerging Markets and Absa) has its own market risk department.
The head of each department is responsible for implementing the Market
Risk Control Framework, with oversight provided by the central market risk
team. A combination of daily and monthly risk reports are sent to the
central market risk team. A risk summary is presented at Market Risk
Committee and the respective Asset and Liability Committees.
Global Retail and Commercial Banking is responsible for non-structural
non-trading interest rate risk and Group Treasury is responsible for
structural risk (interest rate and foreign exchange). The chart below gives
an overview of the business control structure.