Barclays 2012 Annual Report Download - page 176

In January 2013, the Basel Committee on Banking Supervision published a revised standard for the LCR. Compared to the previous version of the
standard (published by the Basel Committee in December 2010), these revisions result in significantly lower stress requirements and allow for the
inclusion in the liquidity pool of an additional category of high-quality liquid assets (referred to as Level 2B assets). Furthermore, the Basel
Committee announced that the LCR requirement will be subject to a phase-in period between January 2015 (60% minimum requirement) and
January 2019 (100% minimum requirement). The minimum NSFR requirement is to be introduced in January 2018 at 100%.
Based on the revised Basel standards, as at 31 December 2012, Barclays had a surplus to both of these requirements with an estimated Basel 3
LCR of 126% and an estimated Basel 3 NSFR of 104% (2011: 97%)a.
Comparing internal and regulatory liquidity stress tests
The LRA stress scenarios, the FSA ILG and Basel 3 LCR are all broadly comparable short term stress scenarios in which the adequacy of defined
liquidity resources is assessed against contractual and contingent stress outflows. The FSA ILG and the Basel 3 LCR stress tests provide an
independent assessment of the Group’s liquidity risk profile.
Stress Test Barclays LRA FSA ILG Basel 3 LCR Basel 3 NSFR
Time Horizon 1 – 3 months 3 months 30 days 1 year
Calculation Liquid assets to net cash
outflows
Liquid assets to net cash
outflows
Liquid assets to net cash
outflows
Stable funding resources to
stable funding requirements
As at 31 December 2012, the Group held eligible liquid assets significantly in excess of 100% of stress requirements for each of the one month
Barclays-specific LRA scenario and the Basel 3 LCR requirement:
Compliance with internal and regulatory stress tests
As at 31 December 2012
Barclays LRA
(one month
Barclays specific
requirement)b
£bn
Estimated
Basel 3 LCR
(revised text
January 2013)
£bn
Total eligible liquidity pool 150 155
Asset inflows – 18
Stress outflows
Retail and commercial deposit outflows (29) (36)
Wholesale funding (45) (47)
Net secured funding (11) (12)
Derivatives (10) (10)
Contractual credit rating downgrade exposure (13) (14)
Drawdowns of loan commitments (6) (22)
Other (2) –
Total stress net cash flows (116) (123)
Surplus 34 32
Liquidity pool as a percentage of anticipated net cash flows 129% 126%
Barclays plans to maintain its surplus to the internal and regulatory stress requirements at an efficient level. Barclays will continue to monitor the
money markets closely, in particular for early indications of the tightening of available funding. In these conditions, the nature and severity of the
stress scenarios are reassessed and appropriate action taken with respect to the liquidity pool. This may include further increasing the size of pool
or monetising the pool to meet stress outflows.
Notes
a Under the previous version of the Basel standards published in December 2010, the Group LCR estimate as at 31 December 2012 was 103% (2011: 82%). Banks
employ a wide range of interpretations and assumptions to calculate the Basel liquidity ratios. These interpretations and assumptions are subject to change prior to
implementation in January 2015 (LCR) and January 2018 (NSFR). The LCR and NSFR estimates are calculated for the Group on a consolidated basis (including Absa
Group), in line with the latest guidance from the Basel Committee. The inclusion of Absa Group in the calculation does not have a significant impact on the
estimated ratios.
b Of the three stress scenarios monitored as part of the LRA, the one month Barclays specific scenario results in the lowest ratio at 129% (2011: 107%). This compares
to 141% (2011: 127%) under the three month market-wide scenario and 145% (2011: 118%) under the one month combined scenario.
barclays.com/annualreport174 I Barclays PLC Annual Report 2012
Risk review
Funding risk – Liquidity continued