Barclays 2014 Annual Report Download - page 197

barclays.com/annualreport Barclays PLC Annual Report 2014 I 195
Liquidity pool
The Group liquidity pool as at 31 December 2014 was £149bn (2013: £127bn). During 2014, the month end liquidity pool ranged from £134bn to
£156bn (2013: £127bn to £157bn), and the month end average balance was £145bn (2013: £144bn). The liquidity pool is held unencumbered and
is not used to support payment or clearing requirements. Such requirements are treated as part of our regular business funding. The liquidity pool
is intended to offset stress outflows, and comprises the following cash and unencumbered assets.
Composition of the Group liquidity pool as at 31 December 2014
Liquidity pool of which CRD
IV LCR eligibleb
Liquidity pool
£bn
Liquidity pool
of which PRA
eligiblea
£bn
Level 1
£bn
Level 2A
£bn
2013
Liquidity
pool
Cash and deposits with central banksc 37 36 34 2 43
Government bondsd
AAA rated 73 72 73 – 52
AA+ to AA- rated 12 11 12 – 9
Other government bonds –––– 1
Total government bonds 85 83 85 – 62
Other
Supranational bonds and multilateral development banks 9 3 9 – 3
Agencies and agency mortgage-backed securities 11 – 5 5 10
Covered bonds (rated AA- and above) 3 – 3 – 6
Other 4 – – – 3
Total Other 27 3 17 5 22
Total as at 31 December 2014 149 122 136 7
Total as at 31 December 2013 127 104 109 11
The Group liquidity pool is well diversified by major currency and the Group monitors LRA stress scenarios for major currencies.
Liquidity pool by currency
USD
£bn
EUR
£bn
GBP
£bn
Other
£bn
Total
£bn
Liquidity pool as at 31 December 2014 46 27 54 22 149
Liquidity pool as at 31 December 2013 31 32 38 26 127
Management of the Group liquidity pool
The composition of the Group liquidity pool is efficiently managed. The maintenance of the liquidity pool increases the Group’s costs as the
interest expense paid on the liabilities used to fund the liquidity pool is greater than the interest income received on liquidity pool assets. This cost
can be reduced by investing a greater portion of the Group liquidity pool in highly liquid assets other than cash and deposits with central banks.
These assets primarily comprise highly rated government bonds, and their inclusion in the liquidity pool does not compromise the liquidity
position of the Group.
The composition of the liquidity pool is subject to limits set by the Board, Treasury Committee and the independent credit risk and market risk
functions. In addition, the investment of the liquidity pool is monitored for concentration risk by issuer, currency, asset type and country. Given the
incremental returns generated by these highly liquid assets, the risk and reward profile is continuously managed.
The Group manages the liquidity pool on a centralised basis. As at 31 December 2014, 92% of the liquidity pool was located in Barclays Bank PLC
(2013: 90%) and was available to meet liquidity needs across the Group. The residual liquidity pool is held predominantly within Barclays Capital
Inc. (BCI). The portion of the liquidity pool outside of Barclays Bank PLC is held against entity-specific stressed outflows and regulatory
requirements. To the extent the use of this portion of the liquidity pool is restricted due to regulatory requirements, it is assumed to be unavailable
to the rest of the Group.
Notes
a £122bn of the liquidity pool is PRA eligible as per BIPRU 12.7. In addition, there are £12bn of Level 2 assets available, as per PRA’s announcement in August 2013 that certain
assets specified by PRA as Level 2 assets can be used on a transitional basis.
b The LCR-eligible assets presented in this table represent only those assets which are also eligible for the Group liquidity pool and do not include any Level 2B assets as defined by
CRD IV.
c Of which over 95% (2013: over 95%) was placed with the Bank of England, US Federal Reserve, European Central Bank, Bank of Japan and Swiss National Bank.
d Of which over 95% (2013: over 85%) are comprised of UK, US, Japanese, French, German, Danish, Swiss and Dutch securities.
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