Barclays 2012 Annual Report Download - page 185

The strategic report Governance Risk review Financial review Financial statements Risk management Shareholder information
Contractual credit rating downgrade exposure (cumulative cash flow)
Cumulative cash outflow
As at 31 December 2012
One-notch
downgrade
£bn
Two-notch
downgrade
£bn
Securitisation derivatives 5 7
Contingent liabilities 7 7
Derivatives margining – 1
Liquidity facilities 1 2
Total contractual funding or margin requirements 13 17
Liquidity Management at Absa Group (audited)
Liquidity risk is managed separately at Absa Group due to local currency, funding and regulatory requirements.
In addition to the Group liquidity pool, as at 31 December 2012, Absa Group held £4.6bn of liquidity pool assets against Absa-specific anticipated
stressed outflows. The liquidity pool consists of South African government bonds and Treasury bills.
The Absa loan to deposit ratio as at 31 December 2012 was 112% (2011: 115%). The improvement in the loan to deposit ratio was driven by a
reduction in loans and advances as a result of exchange rate movements combined with lower demand for credit across the South African
economy in general, as well as a continued focus on ensuring that high credit standards continue to be applied. Absa has also seen an increase in
the term of customer deposits over the period.
As at 31 December 2012, Absa had £12bn of wholesale funding outstanding (2011: £15bn), of which £6bn matures in less than 12 months (2011:
£9bn). Issuance of term debt during 2012 included £0.5bn of senior unsecured debt and £0.4bn of subordinated debt, further extending the term
and diversity of the funding base.
Contractual maturity of financial assets and liabilities (audited)
Details of contractual maturities for assets and liabilities form an important source of information for the management of liquidity risk. Such
information is used (among other things) as the basis for modelling a behavioural balance sheet, for input into the liquidity framework, as
discussed above.
The table below provides detail on the contractual maturity of all financial instruments and other assets and liabilities. Derivatives (other than
those designated in a hedging relationship) and trading portfolio assets and liabilities are included in the on demand column at their fair value.
Liquidity risk on these items is not managed on the basis of contractual maturity since they are not held for settlement according to such maturity
and will frequently be settled before contractual maturity at fair value. Derivatives designated in a hedging relationship are included according to
their contractual maturity.
Financial assets designated at fair value in respect of linked liabilities to customers under investment contracts have been included in other assets
and other liabilities as the Group is not exposed to liquidity risk arising from them; any request for funds from creditors would be met by
simultaneously liquidating or transferring the related investment.
barclays.com/annualreport Barclays PLC Annual Report 2012 I 183