Barclays 2012 Annual Report Download - page 172

Leverage ratio calculation
To provide an indication of the potential impact on Barclays, we have estimated our pro forma CRD IV leverage ratio as at 31 December 2012. The
CRD IV requirements, when implemented, will be based upon a three month average.
CRD IV leverage ratio calculation
As at 31 December 2012
Adjusted
gross
leverage
£m
Proforma
CRD IV
leverage
£m
Cash and balances at central banks 86,175 86,175
Trading portfolio assets 145,030 145,030
Financial assets designated at fair value 46,061 46,061
Derivative financial instruments 469,146 469,146
Loans and advances to banks and customers 466,218 466,218
Reverse repurchase agreements and other similar secured lending 176,956 176,956
Available for sale investments 75,109 75,109
Goodwill and intangible assets 7,915 7,915
Other assets 17,711 17,711
Total assets 1,490,321 1,490,321
Netting adjustments for derivatives and SFTs (387,672) (394,908)
Collateral on derivatives (46,855) na
Net settlement balances and cash collateral (71,718) na
Regulatory deductions and other adjustments (9,409) (21,665)
Adjusted total tangible assets 974,667 na
Potential future exposure on derivatives 160,550
Undrawn commitments 179,134
End point CRD IV leverage exposure measure 1,413,433
Transitional adjustments to assets deducted from regulatory Tier 1 Capital 490
Transitional CRD IV leverage exposure measure 1,413,923
Leverage ratio
As at 31 December Tier 1 capital
£m
Leverage Leverage
£m
CRD IV transitional measure 50,282 28x 3.6%
CRD IV adjusted full end point measure 49,578 29x 3.5%
CRD IV full end point measure 39,983 35x 2.8%
Adjusted gross leverage 51,634 19x 5.3%
CRD IV transitional measure is based on Tier 1 capital, allowing for both transitional treatment of deductions from CET1 and transitional relief for
grandfathered ineligible Tier 1 instruments. This is the measure of Tier 1 capital that will apply for capital ratio requirements. Leverage ratio
requirements will not be mandatory until 2018.
CRD IV adjusted full end point measure is based on Tier 1 capital, not allowing for transitional treatment of deductions from CET1 but adding back
ineligible Tier 1 instruments.
CRD IV full end point measure is based on the fully loaded definition of Tier 1 capital, not allowing for either transitional treatment of deductions
from CET1 or transitional relief for grandfathered ineligible Tier 1 instruments. In practice, our expectation is that ineligible Additional Tier 1
capital, which qualifies for grandfathering under the transitional relief, will be replaced with eligible capital over time.
In the event that the July 2011 CRD IV rules relating to maturity restrictions on hedging remain unchanged, the fully loaded Tier 1 capital position
would reduce by approximately £4.8bn to £35.2bn, increasing CRD IV leverage to 32x on an adjusted full end point basis and to 40x on a full end
point basis. 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 reduction would be required.
barclays.com/annualreport170 I Barclays PLC Annual Report 2012
Risk review
Funding risk – Capital continued