Barclays 2012 Annual Report Download - page 184

Net matched book activitya
Negative number represents net repurchase agreement (net liability)
Less than
one month
£bn
One month
to three
months
£bn
Over three
months
£bn
Highly liquidb(14.1) 6.6 7.5
Less liquidb5.7 (1.7) (4.0)
Total (8.4) 4.9 3.5
The residual repurchase agreement activity is the firm-financing component and reflects Barclays funding of a portion of its trading portfolio
assets. The primary risk related to firm-financing activity is the inability to roll-over transactions as they mature. However, 74% of firm-financing
activity was secured against highly liquid assets and the weighted average maturity of firm-financing activity secured against less liquid assets was
98 days.
Firm financing repurchase agreements
Less than
one month
£bn
One month
to three
months
£bn
Over three
months
£bn
Total
£bn
Highly liquidb66.8 6.5 2.9 76.2
Less liquidb16.0 4.3 6.0 26.3
Total 82.8 10.8 8.9 102.5
Credit Ratings
In addition to monitoring and managing key metrics related to the financial strength of Barclays, we also subscribe to independent credit rating
agency reviews by Standard & Poor’s, Moody’s, Fitch and DBRS. These ratings assess the credit worthiness of Barclays and are based on reviews of
a broad range of business and financial attributes including risk management processes and procedures, capital strength, earnings, funding,
liquidity, accounting and governance.
A credit rating downgrade could result in contractual outflows to meet collateral requirements on existing contracts. Outflows related to a
multiple-notch credit rating downgrade are included in the LRA stress scenarios and a portion of the liquidity pool is held against this risk. Credit
ratings downgrades could also result in increased costs or reduced capacity to raise funding.
Credit Ratings
As at 31 December 2012 Standard & Poor’s Moody’s Fitch DBRS
Barclays PLC
Long Term A (Negative) A3 (Negative) A (Stable) n/a
Short Term A -1 P-2 F1 n/a
Barclays Bank PLC
Long Term A+ (Negative) A2 (Negative) A (Stable) AA (Negative)
Short Term A -1 P-1 F1 R-1 (High)
During 2012, Barclays Bank PLC rating was downgraded by Moody’s, from Aa3/P-1 to A2/P-1, as a result of the agency’s rating repositioning of
banks and securities firms with global capital market operations, and by DBRS, from AA High/ R-1 High to AA/R-1 High, as the result of the
resignation of senior management during the summer. Barclays was fully reserving for maximum contractual outflows as a result of the ratings
actions in the liquidity pool. There has been no significant change in deposit funding or wholesale funding in relation to the rating actions.
Further credit rating downgrades could result in contractual outflows to meet collateral requirements on existing contracts. The below table
shows contractual collateral requirements following one and two notch long term and associated short term simultaneous downgrades across all
credit rating agencies, which are fully reserved for in the liquidity pool. These numbers do not assume any management or restructuring actions
that could be taken to reduce posting requirements. These outflows do not include the potential liquidity impact from loss of unsecured funding,
such as from money market funds, or loss of secured funding capacity. However, unsecured and secured funding stresses are included in the LRA
stress scenarios and a portion of the liquidity pool is held against these risks.
Notes
a Includes collateral swaps.
b Highly liquid assets include government bonds, agency securities and mortgage-backed securities. Less liquid assets include asset-backed securities, corporate
bonds, equities and other.
barclays.com/annualreport182 I Barclays PLC Annual Report 2012
Risk review
Funding risk – Liquidity continued