Barclays 2013 Annual Report Download - page 193

Balance sheet view of trading and banking books
As defined by the regulatory rules, a trading book consists of positions held for trading intent or to hedge elements of the trading book. Trading
intent must be evidenced in the basis of the strategies, policies and procedures set up by the firm to manage the position or portfolio. The below
table provides a group wide overview of where assets on the Group’s regulatory balance sheet are managed within regulatory traded and
non-traded books. A reconciliation between the IFRS and regulatory balance sheet is provided in the Pillar 3 report.
Balance sheet split by trading and banking books
As at 31 December 2013 Banking
booka
Traded
book
£m
Total
£m
Cash, balances at central banks and items in the course of collection 47,072 – 47,072
Trading portfolio assets – 132,984 132,984
Financial assets designated a fair value 20,455 16,881 37,336
Derivative financial instruments – 324,330 324,330
Available for sale investments 89,521 – 89,521
Loans and advances to banks 20,148 17,570 37,718
Loans and advances to customers 357,565 70,627 428,192
Reverse repurchase agreements and other similar secured lending 1,648 185,110 186,758
Other assets 19,878 312 20,190
Total assets 556,287 747,814 1,304,101
Deposits and items in the course of collection due to banks 47,787 9,605 57,392
Customer accounts 376,256 51,674 427,930
Repurchase agreements and other similar secured borrowings 6,511 190,212 196,723
Trading portfolio liabilities – 53,464 53,464
Financial liabilities designated at fair value 9,471 54,756 64,227
Derivative financial instruments – 320,634 320,634
Debt securities in issue 69,191 12,654 81,845
Subordinated liabilities 21,695 – 21,695
Other liabilities 15,322 1,046 16,368
Total liabilities 546,233 694,045 1,240,278
Included within the trading book are assets and liabilities which are included in the market risk regulatory measures. For more information on
these measures (VaR, SVaR, IRC and APR) see the risk management section on pages 405 to 414.
Traded market risk review
Review of management measures
The following disclosures provide details on management measures of market risk. See page 407 for more detail on management measures and
the differences when compared to regulatory measures.
The table below shows the total Investment Bank Management VaR on a diversified basis by risk factor (see page 407 for risk factor definitions).
Limits are applied against each risk factor VaR as well as total Management VaR, which are then cascaded further by risk managers to
each business.
The Management VaR numbers in the table below include add-ons, to better represent the market risk where the VaR model may not fully
represent some risk factors. See page 408 for a description of risks not in VaR (RNIVs).
Average Management VaR reduced in 2013 due to a combination of lower client activity and improved market conditions, notably, tightening of
credit spreads. Market volatility, which was mainly driven by Eurozone in the previous year, improved in 2013 along with general market sentiment,
supported by improving macroeconomic trends in developed markets resulting in the review of quantitative easing programmes.
Note
a The primary risk factors for banking book assets and liabilities are interest rates and to a lesser extent, foreign exchange rates. Credit spreads and equity prices will also be a factor
where the Group holds debt and equity securities respectively, either as Financial Assets Designated at Fair Value (see note 14) or as Available for Sale (see note 16).
barclays.com/annualreport Barclays PLC Annual Report 2013 191
The Strategic Report Governance Risk review Financial review Financial statements Shareholder informationRisk management