Barclays 2014 Annual Report Download - page 196

194 I Barclays PLC Annual Report 2014 barclays.com/annualreport
Risk performance
Funding risk – Liquidity
Risk review
Comparing internal and regulatory liquidity stress tests
The LRA stress scenarios, the PRA ILG and the CRD IV LCR are all broadly comparable short term stress scenarios in which the adequacy of
defined liquidity resources is assessed against contractual and contingent stress outflows. The PRA ILG and the CRD IV LCR stress tests provide an
independent assessment of the Group’s liquidity risk profile.
Stress Test Barclays LRA PRA ILG CRD IV LCR Basel III NSFR
Time Horizon 30 – 90 days 3 months 30 days 6+ months
Calculation Liquid assets to net cash
outflows
Liquid assets to net cash
outflows
Liquid assets to net cash
outflows
Stable funding resources
to stable funding
requirements
As at 31 December 2014, the Group held eligible liquid assets in excess of 100% of stress requirements for all three LRA scenarios and the CRD IV
LCR requirement.
Compliance with internal and regulatory stress tests
As at 31 December 2014
Barclays’ LRA
(one-month
Barclays-
specific
requirement)a
£bn
Estimated
CRD IV LCR
£bn
Total eligible liquidity pool 149 153
Asset inflows 7 20
Stress outflows
Retail and commercial deposit outflows (49) (71)
Wholesale funding (26) (17)
Net secured funding (12) (6)
Derivatives (7) (10)
Contractual credit rating downgrade exposure (13) (13)
Drawdowns of loan commitments (8) (26)
Intraday (12) –
Total stress net cash flows (120) (123)
Surplus 29 30
Liquidity pool as a percentage of anticipated net cash flows 124% 124%
As at 31 December 2013 104% 96%
During 2014, the Group strengthened its liquidity position, building a larger surplus to its internal and regulatory requirements. This positions the
Group well for potential rating changes as credit rating agencies assess sovereign support in Barclays Bank PLC credit ratings. The Group plans to
maintain its surplus to the internal and regulatory stress requirements at an efficient level, while considering risks to market funding conditions
and its liquidity position. The continuous reassessment of these risks may lead to appropriate actions being taken with respect to sizing of the
liquidity pool.
Note
a Of the three stress scenarios monitored as part of the LRA, the 30-day Barclays-specific scenario results in the lowest ratio at 124% (2013: 104%). This compares to 135%
(2013: 127%) under the 90-day market-wide scenario, and 127% (2013: 112%) under the 30-day combined scenario.