Barclays 2013 Annual Report Download - page 211

Key LRA assumptions include:
Liquidity risk driver Barclays specific stress
Wholesale unsecured
funding
 Zero rollover of wholesale deposits, senior unsecured debt and conduit commercial paper
 Prime brokerage: 100% withdrawal of excess client derivative margin and cash.
Wholesale secured
funding
 Zero rollover of trades secured on less-liquid collateral
 Rollover of trades secured on highly-liquid collateral, subject to haircut widening.
Deposit outflow  Substantial deposit outflows of Retail and Business Banking, Corporate Banking, Wealth and Investment
Management as Barclays is seen as greater credit risk than competitors.
Funding concentration  Additional outflows recognized against concentration of providers of wholesale secured financing
 Largest less-liquid secured funding counterparty refuses to roll trades.
Intra-day liquidity  Anticipated liquidity required to support intra-day requirements at payment and settlement systems.
Intra-group  Anticipated liquidity required to support material subsidiaries, based on stand-alone stress tests.
Off-balance sheet  Significant drawdown on committed facilities based on facility type, counterparty type and counterparty
creditworthiness
 Outflow of all collateral owed to counterparties but not yet called
 Collateral outflows contingent upon a multi-notch credit rating downgrade of Barclays Bank PLC
 Variation margin outflows due to market movements, taking into account the mismatch between collateralised
and uncollateralised positions
 Increase in the firm’s derivative initial margin requirement.
Franchise viability  Liquidity required in order to meet outflows that are non-contractual in nature but necessary in order to support
the firm’s ongoing franchise (for example, market-making activities).
Mitigating actions  Monetisation of unencumbered assets that are of known liquidity value to the firm but held outside the liquidity
pool (subject to haircut/valuation adjustment).
Liquidity regulation
Since June 2010, the Group has reported its liquidity position against Individual Liquidity Guidance (ILG) provided by the PRA. The PRA defines
both eligible liquidity pool assets and stress outflows against reported balances.
The Group also monitors its position against anticipated Basel 3 liquidity metrics – the Liquidity Coverage Ratio (LCR) and the Net Stable Funding
Ratio (NSFR). The LCR is designed to promote short-term resilience of a bank’s liquidity risk profile by ensuring that it has sufficient high quality
liquid resources to survive an acute stress scenario lasting for 30 days. The NSFR has a time horizon of at least 12 months and has been developed
to promote a sustainable maturity structure of assets and liabilities.
In January 2013, the Basel Committee on Banking Supervision published a final standard for the LCR. The European CRR requires phased
compliance with LCR standard from January 2015 at minimum of 60% increasing to 100% by January 2018.
In January 2014, the BCBS published a consultation proposing revision to the NSFR standards. The minimum NSFR requirement is to be introduced
in January 2018 at 100%.
The methodology for estimating the LCR and NSFR is based on an interpretation of the Basel standards and includes a number of assumptions
which are subject to change prior to the implementation of CRD IV.
Based on the revised Basel standards, as at 31 December 2013, Barclays had a surplus to both of these metrics with an estimated Basel 3 LCR of
102% (2012: 126%) and an estimated Basel 3 NSFR of 110% (2012: 112%).
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