Barclays 2015 Annual Report Download - page 174

172 I Barclays PLC Annual Report 2015 home.barclays/annualreport
Risk review
Risk performance
Market risk
Overview of market risk
This section contains key statistics describing the market risk profile of
the Group. This includes risk weighted assets by major business line, as
well as Value at Risk (VaR) measures. A distinction is made between
regulatory and management measures within the section. The market
risk management section on pages 96 to 154 in Barclays PLC 2015
Pillar 3 Report provides descriptions of these metrics:
 page 73 provides a view of market risk in the context of the Group’s
balance sheet
 pages 131 to 136 cover the management of traded market risk.
Management measures are shown from page 131 and regulatory
equivalent measures are shown from page 133
 non-traded market risk, arising from our banking books, is reviewed
from page 136.
Measures of market risk in the Group and
accounting measures
Traded market risk measures such as VaR and balance sheet exposure
measures have fundamental differences:
 balance sheet measures show accruals-based balances or marked to
market values as at the reporting date
 VaR measures also take account of current marked to market values
but in addition hedging effects between positions are considered
 market risk measures are expressed in terms of changes in value or
volatilities as opposed to static values.
For these reasons, it is not possible to present direct reconciliations of
traded market risk and accounting measures. The table ‘Balance sheet
view of trading and banking books’, on page 173, helps the reader
understand the main categories of assets and liabilities subject to
regulatory market risk measures.
Summary of performance in the period
The Group has seen a decrease in market risk from reduced risk
positions, notably in equities and interest rates, in addition to risk
reduction in Non-Core businesses:
 measures of traded market risk, such as VaR, decreased in the year
mainly due to the removal of certain banking book assets from the
measure (now reported as non-traded market risks), reduced client
activity, and risk reduction in Non-Core businesses
 average trading revenue, in contrast, increased 10% compared with
the previous year
 market risk RWAs fell from 2014 levels due to the implementation of
diversification of the general and specific market risk VaR charges,
partially offset by the inclusion of cost of funding RNIV into VaR
 Annual Earnings at Risk (AEaR), a key measure of interest rate risk
volatility in the banking book (IRRBB), decreased in 2015, primarily
driven by PCB due to increased hedging; and in Treasury driven by
increased exposure in the short dated available for sale bond portfolio,
partially offset by reduced mismatch between assets and liabilities in
the wholesale funding portfolio
 other market risks, such as pension risk and insurance risk, are
disclosed from page 179 onwards.
Market risk is the risk of a reduction in
earnings or capital due to volatility of trading
book positions or as a consequence of
running a banking book balance sheet and
liquidity pool.
All disclosures in this section (pages 172 to 180) are unaudited unless otherwise stated.