Barclays 2012 Annual Report Download - page 169

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Estimated impact of CRD IV
Pro forma
CET1
Transitional
Pro forma
CET1
Fully-loaded
As at
31 December
2012
£bn
As at
1 January
2013
£bn
As at
1 January
2013
£bn
Core Tier 1 capital (FSA 2009 definition) 42.1 42.1 42.1
IFRS 10 impact (introduced on 1 Jan 2013) – (0.4) (0.4)
Core Tier 1 capital post-IFRS 10 (FSA 2009 definition) 42.1 41.7 41.7
Risk Weighted Assets (RWA) (current Basel 2.5 rules) 387 387 387
Core Tier 1 ratio (Basel 2.5) 10.9% 10.8% 10.8%
CRD IV impact on Core Tier 1 capital:
Adjustments not impacted by transitional provisions
Conversion from securitisation deductions to RWAs 1.0 1.0
Prudential Valuation Adjustment (PVA) (1.2) (1.2)
Other (0.2) (0.2)
Adjustments impacted by transitional provisions
Goodwill and intangibles 7.6 –
Expected losses over impairment 0.6 (1.1)
Deferred tax assets deduction (0.1) (1.3)
Excess minority interest – (0.9)
Debit Valuation Adjustment (DVA) – (0.3)
Pensions – (0.1)
Gains on available for sale equity and debt – 0.7
CET1 capital 49.5 38.4
RWAs (post CRD IV) 468 468
CET1 ratio 10.6% 8.2%
Basis of calculation of the impact of CRD IV
CRD IV, models and waivers
 The proforma ratios, capital computations and RWAs are based on our interpretation of the draft July 2011 CRD IV rules and best expectation
of how these draft rules will be updated for subsequent Basel announcements and EU discussions. They assume that all items in the Internal
Model Method application to the FSA are approved, and existing FSA waivers, where such discretion is available under CRD IV, will continue.
Capital resources
 Proforma capital numbers at 1 January 2013 are based on 31 December 2012 actuals with an adjustment for IFRS 10 impact (as a result of
consolidating some entities that were not previously consolidated and deconsolidating some entities that were previously consolidated);
 Transitional CET1 capital is based on application of the CRD IV transitional provisions and FSA guidance dated 26 October 2012 setting out the
minimum pace of transitions with certain exceptions set out in the guidance. In line with this guidance, deferred tax assets deduction is
assumed to transition in at 10% in 2013. Other deductions (including goodwill and intangibles, expected losses over impairment and DVA)
transition in at 0% in 2013, 20% in 2014, 40% in 2015 and so on;
 PVA was previously assumed to be subject to transitional treatment. Following FSA guidance, the impact of PVA is now factored into CET1 on
inception in full. PVA is subject to final rules to be agreed by the EBA and the impact is currently based on methodology agreed with the FSA;
 The draft July 2011 CRD IV rules include the implementation of a capital deduction for financial holdings greater than 10% of CET1 capital,
which under Basel 2.5 are subject to equity market risk capital requirements. Under current regulatory rules, the Group’s financial holdings net
down to £3.3bn exposure after allowing for permitted economic hedging. The current draft of the CRD IV rules applies a further restriction,
where the maturity of the hedging instrument is less than one year, which would result in a higher net position of approximately £10.1bn. This
would be in excess of 10% of our CET1 and would result in a capital deduction on a fully loaded basis of approximately £4.6bn at CET1 level and
a further deduction of approximately £1.4bn at total capital level. However, we have identified management actions that would be taken in the
event that the CRD IV draft requirements remain unchanged, and as a result we are highly confident that no capital deduction would be
required; and
 Excess minority interest has been calculated on a CRD IV basis and included in our full impact capital base on the assumption that supervisory
regimes outside the EU that are implementing Basel 3, and are currently considered equivalent supervisory and regulatory regimes, will continue
to be considered equivalent regimes under CRD IV.
barclays.com/annualreport Barclays PLC Annual Report 2012 I 167