Barclays 2013 Annual Report Download - page 192

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Risk review
Market risk
Market risk is the risk of a reduction to earnings or capital due to volatility of trading book positions or an
inability to hedge the banking book balance sheet.
All disclosures in this section (pages 190 to 198) are unaudited unless otherwise stated
Introduction
This section contains key statistics describing the market risk profile of the bank. It includes both regulatory and management measures. This
includes risk weighted assets by major business line, as well as Value at Risk (VaR) measures. Throughout the section, measures on a regulatory
and a management basis are shown. The market risk management section on pages 405 to 414 provides full descriptions of these metrics.
The Group has seen a significant decrease in market risk, from lower business activities and disposals (notably Exit Quadrant assets). These
movements are reflected in a wide range of risk measures within this section.
The relationship between the Group’s market risk measures and balance sheet is presented on page 191.
Measures of traded market risk, such as value at risk, decreased in the year due to lower levels of client activity and improved market conditions.
More details are provided on pages 191 to 193.
This translated into lower volatility in daily trading revenue in the Investment Bank, although with lower average daily revenue from 2012 levels.
Market risk RWAs fell from 2012 levels as a result of improving market conditions and general reduction in exposures across the main books.
The section also covers non-traded market risks that mainly occur as a consequence of banking activities other than trading activities; for
instance, interest rate risk that arises in the banking book (IRRBB).
Annual Earnings at Risk (AEaR) to interest rate shocks, a key measure of IRRBB, reduced in 2013. This reduction was predominately driven by
changes in the equity structural hedge durations and a change in the hedge ineffectiveness sensitivity.
Other market risks, such as pension risk, are disclosed from page 197 onwards.
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190 Barclays PLC Annual Report 2013