Barclays 2015 Annual Report Download - page 177

home.barclays/annualreport Barclays PLC Annual Report 2015 I 175
The average daily net revenue increased by 10% to £10.1m; there were more positive trading revenue days in 2015 than in 2014, with 85% (2014:
82%) of days generating positive trading revenue.
The daily VaR chart illustrates an average declining trend in 2015. Intermittent VaR increases were due to increased client flow in periods of
heightened volatility in specific markets and subsequent risk management of the position.
Business scenario stresses
As part of the Group’s 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 and a sovereign peripheral crisis.
Throughout 2015 the scenario analyses showed the biggest market risk related impact would be due to a severe deterioration in market liquidity and
a sovereign peripheral crisis.
Review of regulatory measures
The following disclosures provide details on regulatory measures of market risk. See pages 133 and 134 of the Barclays PLC 2015 Pillar 3 Report for
more detail on regulatory measures and the differences when compared to management measures.
The Group’s market risk capital requirement comprises of two elements:
 trading book positions booked to legal entities within the scope of the Group’s 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
 trading book positions that do not meet the conditions for inclusion within the approved internal models approach. The capital requirement for
these positions is calculated using standardised rules.
The table below summarises the regulatory market risk measures under the internal models approach. See table ‘Minimum capital requirement for
market risk’ on page 76 of the Barclays PLC 2015 Pillar 3 Report for a breakdown of capital requirements by approach.
Analysis of Regulatory VaR, SVaR, IRC and APR
Year end
£m
Average
£m
Max
£m
Min
£m
As at 31 December 2015
Regulatory VaR 26 28 46 20
SVaR 44 54 68 38
IRC 129 142 254 59
APR 12 15 27 11
As at 31 December 2014
Regulatory VaR 29 39 66 29
SVaR 72 74 105 53
IRC 80 118 287 58
APR 24 28 39 24
Overall, there was a lower risk profile during 2015:
 Regulatory VaR/SVaR: reduction in a Regulatory VaR/SVaR is driven by application of diversification to the general and specific market risk VaR
charges which resulted in an overall RWA reduction
 IRC: the IRC increase was mainly driven by the implementation of an updated IRC model in Q4 15 which features a more refined correlation
structure, adoption of a continuous transition matrix and a local currency adjustment for sovereign issuance
 APR: reduced as a result of further reductions in a specific legacy portfolio.
Breakdown of the major regulatory risk measures by portfolio
As at 31 December 2015 Macro
£m
Equities
£m
Credit
£m
Client Capital
Management
£m
Treasury
£m
Africa
£m
Non-Core
£m
Regulatory VaR 10 8 5 12 4 4 3
SVaR 25 33 15 18 11 6 12
IRC 197 5 79 99 13 – 62
APR – – – – – – 12
The table above shows the primary portfolios which are driving the trading businesses’ modelled capital requirement as at 2015 year end. The
standalone portfolio results diversify at the total level and are not necessarily additive. Regulatory VaR, SVaR, IRC and APR in the prior table show the
diversified results at a group level.
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