Barclays 2015 Annual Report Download - page 188

186 I Barclays PLC Annual Report 2015 home.barclays/annualreport
Risk review
Risk performance
Funding risk – Capital
Leverage ratio and exposures
The leverage ratio applicable to the Group has been calculated in accordance with the requirements of the CRR which was amended effective from
January 2015. The leverage calculation below uses the end point CRR definition of Tier 1 capital for the numerator and the CRR definition of leverage
exposure.
At 31 December 2015, Barclays’ leverage ratio was 4.5%, which exceeds the expected end point minimum requirement of 3.7% as outlined by
the PRA Supervisory Statement SS45/15 and the updated PRA rulebook, comprising of the 3% minimum requirement, and the fully phased in
G-SII buffer.
Leverage exposure
As at
31.12.15
£bn
As at
31.12.14a
£bn
Accounting assets
Derivative financial instruments 328 440
Cash collateral 62 73
Reverse repurchase agreements and other similar secured lending 28 132
Financial assets designated at fair valueb 77 38
Loans and advances and other assets 625 675
Total IFRS assets 1,120 1,358
Regulatory consolidation adjustments (10) (8)
Derivatives adjustments
Derivatives netting (293) (395)
Adjustments to cash collateral (46) (53)
Net written credit protection 15 27
Potential Future Exposure (PFE) on derivatives 129 179
Total derivatives adjustments (195) (242)
Securities financing transactions (SFTs) adjustments 16 25
Regulatory deductions and other adjustments (14) (15)
Weighted off-balance sheet commitments 111 115
Total fully loaded leverage exposure 1,028 1,233
Fully loaded CET1 capital 40.7 41.5
Fully loaded AT1 capital 5.4 4.6
Fully loaded Tier 1 capital 46.2 46.0
Fully loaded leverage ratio 4.5% 3.7%
 During 2015 the leverage ratio increased significantly to 4.5% (2014: 3.7%) driven by a reduction in the leverage exposure of £205bn to £1,028bn.
 Total derivative exposuresc decreased £76bn to £195bn:
− PFE decreased £50bn to £129bn, mainly as a result of continued Non-Core rundown and optimisations including trade compressions and
tear-ups
− other derivative assets decreased £14bn to £51bn, driven by a net decrease in IFRS derivatives. The decrease was mainly within interest rate and
foreign exchange derivatives due to net trade reduction and an increase in major interest forward curves
− net written credit protection decreased £12bn to £15bn due to a reduction in business activity and improved portfolio netting.
 Taken together, reverse repurchase agreements and other similar secured lending and financial assets designated at fair value decreased £65bn to
£105bn, reflecting a reduction in matched book trading and general firm financing due to balance sheet deleveraging.
 Loans and advances and other assets decreased £50bn to £625bn driven by £37bn reduction in trading portfolio assets primarily due to Non-Core
rundown, a reduction in trading activities in the Investment Bank, as well as a £10bn decrease in settlement balances and a £5bn decrease in
Africa reflecting the depreciation of ZAR against GBP. This was partially offset by lending growth of £3bn in Barclaycard.
 SFT adjustments decreased by £9bn to £16bn due to maturity of trades and a reduction in trading volumes.
Notes
a 2014 comparatives have been prepared on a BCBS 270 basis. Barclays does not believe that there is a material difference between the BCBS 270 leverage exposure and a leverage
exposure calculated in accordance with the EU delegated act.
b Included within financial assets designated at fair value are reverse repurchase agreements designated at fair value of £50bn (2014: £5bn).
c Total derivative exposures includes IFRS derivative financial instruments, cash collateral and total derivative adjustments.