Barclays 2013 Annual Report Download - page 208

Risk review
Funding risk – Capital continued
Estimated impact of CRD IV – leverage
Fully loaded Leverage exposure
IFRS Balance
Sheet
As at
31.12.13
£bn
Leverage
exposure
As at
31.12.13
£bn
Leverage
exposure
As at
30.06.13
£bn
Derivatives
IFRS derivative financial instruments 324 324 403
Additional netting adjustments for derivatives (260) (324)
Potential future exposure on derivatives 256 308
Total derivatives 320 387
Securities Financing Transaction (SFTs)
Reverse repurchase agreements and other similar secured lending 187 187 223
Remove IFRS reverse repurchase agreements and other similar secured lending (187) (223)
Add leverage exposure measure for SFTs 92 93
Total securities financing transactions 92 93
Other assets and adjustments
Loans and advances and other assets 801 801 907
Undrawn commitments 179 190
Regulatory deductions and other adjustments (15) (18)
Total other assets and adjustments 965 1,079
Total exposure 1,312 1,377 1,559
PRA adjustment to CRD IV leverage exposure (14) –
PRA adjusted leverage exposure 1,363 1,559
Leverage ratio
Leverage
ratio
As at
31.12.13
Leverage
ratio
As at
30.06.13
CET1 capital 40.4 38.1
Additional Tier 1 capital 2.3 0.2
Tier 1 capital 42.7 38.3
PRA deductions to CET1 capitala(2.2) (4.1)
PRA adjusted Tier 1 capital 40.5 34.2
CRD IV fully loaded leverage ratio 3.1% 2.5%
PRA fully loaded leverage ratio 3.0% 2.2%
The estimated PRA leverage exposure decreased to £1,363bn (June 2013: £1,559bn). Excluding the impact of movements in foreign currency,
leverage exposure reduced approximately £140bn driven by reductions in loans and advances, trading portfolio assets and potential future
exposure on derivatives.
Applying the Basel 3 2010 text for the calculation of leverage would result in an estimated leverage exposure of £1,521bn (June 2013: £1,665bn),
reflecting an increase of £144bn in the SFT exposure calculation from the CRD IV exposure. The estimated fully loaded leverage ratio would be
2.8% (June 2013: 2.3%) on this basis.
Note
a The PRA adjustment to CET1 capital as at 30 June 2013 included incremental expected loss charges on specific portfolios deemed vulnerable by the PRA and a deduction relating
to the calculation of PVA. No adjustment for PVA was applied as at 31 December 2013 as the underlying calculation of CET1 capital has been updated to reflect the agreed change
in methodology.
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206 Barclays PLC Annual Report 2013