Barclays 2012 Annual Report Download - page 177

The strategic report Governance Risk review Financial review Financial statements Risk management Shareholder information
Liquidity pool (audited)
The Group liquidity pool is held unencumbered against contractual and contingent stress outflows in the LRA stress tests and is not used to
support payment or clearing requirements. As at 31 December 2012, the Group liquidity pool was £150bn (2011: £152bn). During 2012 the
month-end liquidity pool ranged from £150bn to £173bn and the month-end average balance was £162bn (2011: £156bn).
Barclays does not include any own-name securities in its liquidity pool.
Composition of the Group liquidity pool as at 31 December 2012 (audited)
Liquidity pool
£bn
Liquidity pool
of which FSA
eligible
£bn
Liquidity pool of which
Basel 3 LCR eligible
Level 1
£bn
Level 2Aa
£bn
Cash and deposits with central banksb 85 82 82 –
Government bondsc
AAA rated 40 39 40 –
AA+ to AA- rated 5 4 5 –
A+ to A- rated 1 – – 1
Total government bonds 46 43 45 1
Other
Supranational bonds and multilateral development banks 4 4 4 –
Agencies and agency mortgage-backed securities 7 – 5 2
Covered bonds (rated AA- and above) 5 – – 5
Other 3 – – –
Total Other 19 4 9 7
Total 150 129 136 8
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 26 66 25 33 150
Management of the Group liquidity pool (audited)
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 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.
As at 31 December 2012 the portion of the Group liquidity pool comprised of cash and deposits with central banks reduced to £85bn
(2011: £105bn) as a result of a reallocation to government bonds and other highly liquid assets.
Barclays manages the liquidity pool on a centralised basis. As at 31 December 2012, 90% of the liquidity pool was located in Barclays Bank PLC
(2011: 94%) 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.
For more information on the governance framework for investing the Group liquidity pool see page 337.
Notes
a 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 a result.
b Of which over 95% (2011: over 95%) was placed with the Bank of England, US Federal Reserve, European Central Bank, Bank of Japan and Swiss National Bank.
c Of which over 80% (2011: over 80%) of securities are comprised of UK, US, Japan, France, Germany, Denmark and the Netherlands.
barclays.com/annualreport Barclays PLC Annual Report 2012 I 175