Barclays 2013 Annual Report Download - page 195

Investment Bank balance sheet and Management VaR
The table below provides an overview of the assets and liabilities of the major trading portfolios in Investment Bank and associated standalone
Management VaR. Whilst the table on page 191 shows the total balance sheet breakdown for the Group, split by traded and non-traded net
balance sheet, the table below shows the assets and liabilities for the major trading portfolios in Investment Bank that are most sensitive to market
risk. These comprise available for sale investments, debt securities in issue, derivative financial instruments, positions with other financial
institutions at fair value, repurchase agreements, and trading portfolio assets/liabilities. The corresponding Management VaR shown is on a
standalone business perspective; refer to the table on page 192 for the total Investment Bank Management VaR by risk factor.
For the year ended 31 December 2013
Portfolio
Description of
business activity
Assets
£m
Liabilities
£m
Average
Standalone
Management
VaR
£m
Principal balance
sheet line items
Principal market
risk exposure
Fixed Income,
Currencies and
Commodities
Market maker in fixed
income, currencies
and commodity
markets.
518,647 505,356 19 Derivative financial
instruments and
repurchase agreements
and trading portfolio
assets/liabilities.
Market risk exposure arises
from credit trading including
bond syndication, and
interest rate, currency and
commodity market making
and trading. The business is
well–diversified leading to
lower risk.
Client Capital
Management
This function primarily
manages counterparty
risk exposures arising
from derivative
contracts.
3,221 4,996 15 Trading portfolio assets/
liabilities and derivative
financial instruments
and available for sale
financial instruments.
Hedging the firm’s credit
including counterparty risk
exposure on derivatives.
Other Credit Provides specific credit
market exposures.
1,237 370 9 Trading portfolio assets/
liabilities.
Risk exposure is primarily
to credit markets.
Equities Provides equity market
making and risk
management services
for clients.
16,265 16,954 8 Trading portfolio assets/
liabilities and derivative
financial instruments.
Provides derivative solutions
to clients. The business also
supports cash equity
trading, primary market
issuance and block trades.
Portfolio Asset Book Manages assets from
non–core operations,
including Exit
Quadrant assets.
14,754 6,036 2 Trading portfolio assets/
liabilities and derivative
financial instruments and
repurchase agreements.
Credit exposures which
the business has been
managing down.
Investment Bank
Treasury
Provides funding and
liquidity services.
27,780 22,128 11 Available for sale
financial investments
and debt securities in
issue.
The principal service is the
execution of liquidity and
funding operations.
Other Investment
Bank assets and
liabilities
– 281,888 238,588 – Loans and advances and
cash at central banks.
–
Other Investment
Bank VaR and VaR
diversification
– – – (36) – –
Total Investment
Bank
– 863,792 794,428 29 – –
In order to provide an estimation of the scale of the balance sheet instruments that generate market risk, as defined by Barclays for purposes of
risk management, assets and liabilities of the significant Investment Bank business lines have been aggregated. Due to differences in data sets for
market risk and IFRS reporting, whilst assets and liabilities exclude balance sheet line items that would clearly not generate market risk (e.g. fixed
assets), some line items included (e.g. Financial assets designated at fair value) could contain assets that do not generate market risk. Therefore
other Investment Bank assets and liabilities contains (i) business lines that are primarily defined as banking book, and (ii) line items that should
not generate market risk.
Management VaR is shown at 95th percentile. Market risks arising from the individual portfolios listed above diversify to provide total Investment
Bank management VaR shown on page 192. Some functions such as Treasury and Client Capital Management shows exposure as a result of the
service it provides to the client facing franchise, such as managing the firm’s exposure to counterparty default or providing funding to execute
business. Some client activities are not within the scope of Management VaR, resulting in the potential diversification not being captured. On the
other hand, Management VaR associated with Fixed Income, Currencies and Commodities reflects diversification within that business line.
The primary client facing businesses such as FICC and Equities contribute to the majority of the total balance sheet assets. The Portfolio Asset
Book manages credit exposures, which have been reduced over the year in line with the Exit Quadrant strategy.
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