Barclays 2011 Annual Report Download - page 123

Overview (audited)
The main sources of risk are traded market risk, non-traded risk and pension risk. Traded risk in the businesses resides primarily in Barclays Capital
while non-traded market risk resides mainly in Retail and Business Banking, Barclays Corporate, Barclays Wealth and Group Treasury. Pensions risk is
monitored centrally with the cost borne across businesses.
Barclays market risk objectives are to:
– Understand and control market risk by robust measurement, limit setting, reporting and oversight;
– Facilitate business growth within a controlled and transparent risk management framework;
– Ensure that traded market risk in the businesses resides primarily in Barclays Capital; and
– Minimise non-traded market risk.
Organisation and structure (audited)
The BRC reviews and approves market risk appetite for the group. The Group Market Risk Director is responsible for the Barclays Market Risk Control
Framework and, under delegated authority from the Chief Risk Officer, sets a limit framework within the context of the approved market risk appetite.
Daily market risk reports summarise Barclays market risk exposures against agreed limits and are distributed to the principal risk owners.
Market risk
Market risk is the risk of the Group suffering financial loss due to the Group being unable to
hedge its balance sheet at prevailing market levels. The Group can be impacted by changes
in both the level and volatility of prices e.g. interest rates, credit spreads, commodity prices,
equity prices and foreign exchange rates.
Risk management
Market risk
Overview of the business control structure
Group Market Risk Director
Non-traded
– Interest rate risk
– Foreign exchange risk
– Asset management risk
Traded
– Interest rate risk
–
Credit spread risk
– Commodity risk
– Equity risk
– Foreign exchange
risk
Risk type
…with oversight and challenge provided by Group including Market Risk Committee and…
…managed by
Pension risk
Barclays
Capital
Barclays
Corporate
Retail and
Business Banking
Barclays Wealth
Absa Retail and
Corporate Banking
Barclays
Wealth
Pension Fund
Trustees and
Barclays Central
Functions
– Traded Products
Risk Review
Meeting
– Investment
Committee
– Asset and Liability Committees
– New Product Process team
– Supervisory visits from business centre team
– Pension
Management
Group
– Pension
Executive
Board
– Barclays Wealth
Asset and Liability
Committee
–
Absa Market
Risk Committee
Group Treasury
– Treasury
Committee
– Treasury Hedge
Committee
All disclosures in this section (pages 121 to 129) are unaudited unless otherwise stated
Barclays PLC Annual Report 2011 www.barclays.com/annualreport 121
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