Barclays 2009 Annual Report Download - page 291

www.barclays.com/annualreport09 Barclays PLC Annual Report 2009 289
49 Liquidity risk continued
Global retail and commercial banking, Barclays Wealth and Head Office functions
An important source of structural liquidity is provided by our core retail deposits in the UK, Europe and Africa; mainly current accounts and savings accounts.
Although contractually current accounts are repayable on demand and savings accounts at short notice, the Group’s broad base of customers – numerically
and by depositor type – helps to protect against unexpected fluctuations. Such accounts form a stable funding base for the Group’s operations and liquidity
needs.
Group policy is to ensure that the assets of the retail, wealth and corporate bank, together with Head Office functions, on a global basis, do not exceed
customer deposits and subordinated funding so that these businesses place no reliance on wholesale markets. The exception to this policy is Absa, which
has a large portion of wholesale funding due to the structure of the South African financial sector.
In order to assess liquidity risk, the balance sheet is modelled to reflect behavioural experience in both assets and liabilities and is managed to maintain
a cash surplus. The maturity profile, excluding Absa, resulting from this behavioural modelling is set out below. This shows that there is a funding surplus
of £94.5bn, and that there are expected outflows of £10.2bn within one year from asset repayments being less than liability attrition. For subsequent years
the expected repayments on assets are larger than the roll off of liabilities resulting in cash inflows. Maturities of net liabilities are, therefore, behaviourally
expected to occur after five years.
Behavioural maturity profile of assets and liabilities aCash inflow/(outflow)
Over Over Over Over
1 year 2 years 3 years 4 years
Not but not but not but not but not
Funding more than more than more than more than more than Over
surplus 1 year 2 years 3 years 4 years 5 years 5 years
£bn £bn £bn £bn £bn £bn £bn
As at 31st December 2009 94.5 (10.2) 17.8 21.2 7.8 1.8 (132.9)
Barclays Capital
Barclays Capital manages its liquidity to be primarily funded through wholesale sources, managing access to liquidity to ensure that potential cash outflows
in a stressed environment are covered.
73% of the inventory is funded on a secured basis (31st December 2008: 50%). Additionally, much of the short-term funding is invested in highly liquid
assets and central bank cash and therefore contributes towards the Group liquidity pool.
Barclays Capital undertakes secured funding in the repo markets based on liquidity characteristics. Limits are in place for each security asset class reflecting
liquidity in the cash and financing markets for these assets. The percentage of secured funding using each asset class as collateral is set out below:
Secured funding by asset class Government Agency MBS ABS Corporate Equity Other
%%%%%%%
As at 31st December 2009 59 7 7 6 10 8 3
As at 31st December 2008 49 9 11 9 15 4 3
Unsecured wholesale funding for the Group (excluding Absa) is managed by Barclays Capital within specific term limits. Excluding short-term deposits
that are included within the Group’s liquidity pool, the term of unsecured liabilities has been extended, with average life improving from at least 14 monthsb
at 31st December 2008 to at least 26 months at 31st December 2009.
Contractual maturity of unsecured liabilities aNot more Not more Not more Not more Not more
(Net of assets available from the Group liquidity pool) than than than than than Over
1 month 2 months 3 months 6 months 1 year 1 year
%%%%%%
As at 31st December 2009 – – – – 19 81
The extension of the term of the wholesale financing has meant that, as at 31st December 2009, 81% of net wholesale funding had remaining maturity
of greater than one year and, as at the same date, there was no net wholesale unsecured refinancing required within six months.
Notes
aIn accordance with IFRS 7, prior year figures have not been provided as these measures
have not previously been reported on a comparable basis.
bThe 31st December 2008 average unsecured liability term has been restated to at least
14 months to reflect refinements in the underlying calculation.