Barclays 2015 Annual Report Download - page 191

home.barclays/annualreport Barclays PLC Annual Report 2015 I 189
Key LRA assumptions include:
For the year ended 31 December 2015
Liquidity risk driver Barclays-specific stress
Wholesale secured
and unsecured
funding
 Zero rollover of wholesale unsecured liabilities maturing, senior unsecured debt and conduit commercial paper.
 No benefit assumed from reverse repos covering firm short positions.
 Rollover of trades secured on extremely liquid collateral.
 Varying rollover of trades secured on liquid collateral, subject to haircut widening.
 Zero rollover of trades secured on less-liquid collateral.
 100% of contractual buybacks will occur.
 Haircuts applied to the market value of marketable assets held in the liquidity buffer.
Deposit outflow  Substantial deposit outflows in PCB and Barclaycard as the Group is seen as greater credit risk than competitors.
Funding
concentration
 Additional outflows recognised against concentration of providers of wholesale financing (largest unsecured
counterparty unwilling to roll).
Intra-day liquidity  Anticipated liquidity required to support additional intra-day requirements at cash payment and securities settlement
venues based on historical peak usage and triparty settlement based on forward maturities of trades.
Intra-group  Anticipated liquidity required to support material subsidiaries, based on stand-alone stress tests. Surplus liquidity
held within certain subsidiaries is not taken as a benefit to the wider Group.
Off-balance sheet  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 based on Monte Carlo simulation and historical stress outflows.
 Increase in the Group’s initial margin requirement across all major exchanges.
 Outflows as a result of a multi-notch downgrade in credit rating.
Franchise viability  Liquidity required in order to meet outflows that are non-contractual in nature but necessary in order to support
the Group’s ongoing franchise (for example, market-making activities and non contractual debt buyback).
Cross currency risk  Net settlement cash flows at contractual maturity for physically settled FX forwards and cross currency swaps
are reflected.
 No benefit assumed from surplus net inflows in non-G10 currencies.
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).
Internalisation Risk  Loss of internal sources of funding within the Prime Brokerage Synthetic Business.
 Acceleration of term profile associated with Prime Brokerage Clients deleveraging their portfolios asymmetrically
by closing short positions.
Liquidity regulation
Since October 2015, the Group manages its liquidity profile against the new CRD IV liquidity regime implemented by PRA. The CRD IV regime defines
the liquidity risk ratio, liquidity pool asset eligibility and net stress outflow applied against Barclays reported balances.
The Group monitors its position against the CRD IV Interim LCR and the Basel III 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 six months and has been developed to promote a sustainable maturity structure of
assets and liabilities.
The PRA regime requires phased compliance with the LCR standard from 1 October 2015 at a minimum of 80% increasing to 100% by January 2018.
The methodology for the LCR is based off the final published Delegated Act which became EU law in October 2015.
In October 2014, the BCBS published a final standard for the NSFR with the minimum requirement to be introduced in January 2018 at 100% on
an ongoing basis. The methodology for calculating the NSFR is based on an interpretation of the Basel standards published in October 2014 and
includes a number of assumptions which are subject to change prior to adoption by the European Commission through the CRD IV.
Based on the CRD IV and Basel III standards respectively, as at 31 December 2015, the Group had a surplus to both of these metrics with a CRD IV
Interim LCR of 133% (2014: 124%) and a Basel III NSFR of 106% (2014: 102%).
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