Barclays 2013 Annual Report Download - page 196

Risk review
Market risk continued
Combined Scenario Stresses
As part of Barclays risk management framework, on a regular basis the performance of the trading business in hypothetical scenarios
characterised by severe macroeconomic conditions is modelled. Up to six global scenarios are modelled on a regular basis, for example, a sharp
deterioration in liquidity, a slowdown in the global economy, terrorist attacks, global recession and a sovereign peripheral crisis.
Similar to 2012, throughout 2013 the scenarios analysis showed the biggest market risk related impact would be due to a severe deterioration in
liquidity and a rapid slowdown in global economy.
Review of regulatory measures
The following disclosures provide details on regulatory measures of market risk. See page 409 for more detail on regulatory measures and the
differences when compared to management measures.
Barclays’ market risk capital requirements comprise two elements:
 Trading book positions booked to legal entities within the scope of Barclays’ PRA waiver where the market risk is measured under a PRA
approved internal models approach, including Regulatory VaR, Stressed Value at Risk (SVaR), Incremental Risk Charge (IRC) and All Price Risk
(APR) as required; and
 Trading book positions that do not meet the conditions for inclusion within the approved internal models approach. Their capital requirement is
calculated using standardised rules.
The below table summarises the regulatory market risk measures, under the internal models approach.
Analysis of Regulatory VaR, SVaR, IRC and APR measures
As at 31 December 2013 Year-end
£m
Average
£m
Max
£m
Min
£m
Regulatory VaR 42 46 67 31
SVaR 90 85 112 61
IRC 139 238 539 115
APR 29 141 183 29
As at 31 December 2012
Regulatory VaR 44 68 133 42
SVaR 68 111 139 68
IRC 532 574 931 362
APR 176 213 275 176
Average Regulatory VaR fell by 32% to £46m (2012: £68m) and average SVaR fell by 23% to £85m (2012: £111m), both driven by improving
market volatility and portfolio diversification.
Average IRC fell by 59% to £238m (2012: £574m) driven by a reduction in exposure to lower rated sovereign positions and a change in directional
risk in corporate debt.
Average APR reduced by 34% to £141m (2012: £213m) due to an exit of a significant portion of the correlation portfolio.
As at 31 December 2013
(Year end)
Fixed Income,
Currencies
and
Commodities
£m
Client
Capital
Management
£m
Other Credit
£m
Equities
£m
Portfolio
Asset
Book
£m
Treasury
£m
Regulatory VaR 24 25 1 21 2 3
SVaR 53 41 5 82 3 14
IRC 240 60 – 24 79 2
APR 27 – – – 8 –
The table above shows the primary portfolios which are driving Investment Bank’s modelled capital requirement as at 2013 year end. The
standalone portfolio results diversify at the total Investment Bank level and are not necessarily additive. Regulatory VaR in the prior table shows
the total Investment Bank results.
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194 Barclays PLC Annual Report 2013