Barclays 2014 Annual Report Download - page 191

barclays.com/annualreport Barclays PLC Annual Report 2014 I 189
Leverage ratio requirements
The leverage exposure below has been prepared in line with the PRA’s revised Supervisory Statement SS3/13, which requires the exposure
measure to be calculated on a BCBS 270 basis and Barclays to meet a 3% end point Tier 1 leverage ratio.
In January 2014, the Basel Committee finalised its revised standards (BCBS 270) for calculating the Basel III leverage ratio. The European
Commission is implementing the amendments into the CRR via a delegated act which came into force from January 2015. Barclays does not
believe that there is a material difference between the BCBS 270 leverage ratio and a leverage ratio calculated in accordance with the delegated
act.
At 31 December 2014, Barclays’ BCBS 270 leverage ratio was 3.7%, which is in line with the expected minimum end state requirement outlined by
the Financial Policy Committee (FPC).
BCBS 270 leverage ratio
Leverage exposure
As at
31.12.14
£bn
As at
30.09.14
£bn
As at
30.06.14
£bn
Accounting assets
Derivative financial instruments 440 383 333
Cash collateral 73 60 60
Reverse repurchase agreements (SFTs) 132 158 172
Loans and advances and other assets 713 765 750
Total IFRS assets 1,358 1,366 1,315
Regulatory consolidation adjustments (8) (8) (8)
Derivatives adjustments
Derivatives netting (395) (345) (298)
Adjustments to cash collateral (53) (42) (31)
Net written credit protection 27 28 29
Potential future exposure on derivatives 179 195 195
Total derivatives adjustments (242) (164) (105)
Securities financing transactions (SFTs) adjustments 25 34 56
Regulatory deductions and other adjustments (15) (14) (10)
Weighted off balance sheet commitments 115 110 105
Total fully loaded leverage exposure 1,233 1,324 1,353
Fully loaded CET1 capital 41.5 42.0 40.8
Fully loaded AT1 capital 4.6 4.6 4.6
Fully loaded Tier 1 capital 46.0 46.6 45.4
Fully loaded leverage ratio 3.7% 3.5% 3.4%
During Q414 leverage exposures decreased by £91bn to £1,233bn:
Q Loans and advances and other assets decreased by £52bn to £713bn primarily due to a seasonal reduction in settlement balances of £28bn, and
a £13bn reduction in cash balances.
Q SFTs decreased £35bn to £157bn driven by a £26bn reduction in IFRS reverse repurchase agreements and £9bn in SFT adjustments reflecting
deleveraging in BNC and a seasonal reduction in trading volumes.
Q Total derivative exposuresa decreased £8bn due to a £16bn reduction in the potential future exposure (PFE), partially offset by an increase in
IFRS derivatives and cash collateral.
– PFE on derivatives decreased £16bn to £179bn mainly due to reductions in business activity and optimisations, including trade compressions
and tear ups. This was partially offset by an increase relating to sold options driven by a change to the basis of calculation.
– Other derivatives exposures increased £8bn to £92bn driven by an increase in IFRS derivatives of £57bn to £440bn and cash collateral £13bn
to £73bn. This was broadly offset by increases in allowable derivatives netting.
Note
a Total derivative exposures include IFRS derivative financial instruments, cash collateral and total derivatives adjustments.
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