Barclays 2012 Annual Report Download - page 158

100
0
20
40
60
80
December
2011
December
2010
December
2012
Investment Bank management DVaR
>100m
£80m to £100m
£60m to £80m
£40m to £60m
£20m to £40m
£0m to <£20m
(£20m) < £0m
<(£20m)
Investment Bank daily trading revenue
14
17
7
11
8
24
61
53
67
52
64
40
26
31
5
20
2012
2011
Management DVaR fell sharply early in 2012 from levels seen in 2011. For the remainder of the year, DVaR remained relatively stable but at
lower levels than seen in recent years. VaR based tail measures such as Expected Shortfall and 3W also saw sharp falls from 2011.
Analysis of trading revenue (audited)
The histogram above shows the distribution of daily trading revenue for the Investment Bank in 2012 and 2011. Trading revenue excludes
income from Private Equity and Principal Investments.
The average daily revenue at the Investment Bank in 2012 was £46m, up 11% from 2011. There were more positive trading revenue days in
2012 than in 2011, with 88% of days generating positive trading revenue compared to 80% in 2011. The second half of 2012 was much stronger
than in 2011.
Analysis of stress testing
Stress tests and scenario analysis also indicate a fall in market risk levels from 2011, in line with the trend in DVaR. Combined stress scenarios
show that a sharp and rapid slowdown in global economic activity is the largest threat to the trading exposures. The scenario assumes an extreme
and instant sell off across all risky assets coupled with a contraction in credit, and limited gains in safe havens. The calculation assumes an instant
shock to positions, without any opportunity to hedge immediately, and assumes an appropriate holding period where the firm may be unable to
unwind its trading positions.
Non-traded market risk exposures (audited)
Analysis of net interest income sensitivity
The table below shows sensitivity analysis on the pre-tax net interest income for the non-trading financial assets and financial liabilities held at
31 December 2012 and 31 December 2011. The sensitivity has been measured using AEaR methodology as described on page 336 (using a 100 bps
movement). The benchmark interest rate for each currency is set as at 31 December 2012. The figures include the effect of hedging instruments
but exclude banking book exposures held or issued by the Investment Bank as these are measured and managed using DVaR.
Net interest income sensitivity (AEaR) by currency (audited)
As at 31 December 2012 2011
+100 bps
£m
-100 bps
£m
+100 bps
£m
-100 bps
£m
GBP 96 (273) 68 (321)
USD 30 (23) (9) (11)
EUR 20 (49) (41) (5)
ZAR 27 (25) 31 (29)
Others 9 (4) 14 (5)
Total 182 (374) 63 (371)
As percentage of net interest income 1.56% (3.21%) 0.52% (3.04%)
Non-traded interest rate risk, as measured by AEaR, was £374m as at 31 December 2012, an increase of £3m compared to 31 December 2011.
The increase in risk reflects an increase in the Group equity balances and associated hedges, partly offset by reduction in the margin compression
in the retail bank. AEaR is measured for a reduction in rates for the purposes of this analysis.
barclays.com/annualreport156 I Barclays PLC Annual Report 2012
Risk review
Market risk continued