Barclays 2015 Annual Report Download - page 193

home.barclays/annualreport Barclays PLC Annual Report 2015 I 191
Liquidity pool
The Group liquidity pool as at 31 December 2015 was £145bn (2014: £149bn). During 2015, the month-end liquidity pool ranged from £142bn to
£168bn (2014: £134bn to £156bn), and the month-end average balance was £155bn (2014: £145bn). The liquidity pool is held unencumbered and
is not used to support payment or clearing requirements. Such requirements are treated as part of our regular business funding. The liquidity pool
is intended to offset stress outflows, and comprises the following cash and unencumbered assets.
Composition of the Group liquidity pool as at 31 December 2015
Liquidity
pool
£bn
Liquidity pool of which CRD IV LCR eligible 2 014
Liquidity
pool
Cash
£bn
Level 1
£bn
Level 2A
£bn
Cash and deposits with central banksa48 45 1 – 37
Government bondsb
AAA rated 63 – 63 – 73
AA+ to AA- rated 11 – 7 4 12
Other government bonds 1 – 1 – –
Total government bonds 75 – 71 4 85
Other
Supranational bonds and multilateral development banks 7 – 7 – 9
Agencies and agency mortgage-backed securities 8 – 6 2 11
Covered bonds (rated AA- and above) 4 – 2 2 3
Other 3 – – – 4
Total Other 22 – 15 4 27
Total as at 31 December 2015 145 45 87 8
Total as at 31 December 2014 149 37 99 7
The Group liquidity pool is well diversified by major currency and the Group monitors LRA stress scenarios for major currencies.
Liquidity pool by currency
USD
£bn
EUR
£bn
GBP
£bn
Other
£bn
Total
£bn
Liquidity pool as at 31 December 2015 41 33 46 25 145
Liquidity pool as at 31 December 2014 46 27 54 22 149
Management of the Group liquidity pool
The composition of the Group liquidity pool is efficiently managed. The maintenance of the liquidity pool increases the Group’s costs as the interest
expense paid on the liabilities used to fund the liquidity pool is greater than the interest income received on liquidity pool assets. This cost can be
reduced by investing a greater portion of the Group liquidity pool in highly liquid assets other than cash and deposits with central banks while
maintaining a minimum level of cash in the liquidity pool to meet cash outflows on the first day of a Barclays-specific stress and enough cash and
same day settlement securities to meet all outflows in the first three days of the stress. These assets in the liquidity pool primarily comprise highly
rated government bonds, and their inclusion in the liquidity pool does not compromise the liquidity position of the Group.
The composition of the liquidity pool is subject to limits set by the Board, Treasury Committee and the independent Credit risk and Market risk
functions. In addition, the investment of the liquidity pool is monitored for concentration risk by issuer, currency and asset type. Given the
incremental returns generated by these highly liquid assets, the risk and reward profile is continuously managed.
The Group manages the liquidity pool on a centralised basis. As at 31 December 2015, 94% of the liquidity pool was located in Barclays Bank PLC
(2014: 92%) and was available to meet liquidity needs across the Group. The residual liquidity pool is held predominantly within Barclays Capital Inc.
(BCI). The portion of the liquidity pool outside of Barclays Bank PLC is held against entity-specific stressed outflows and regulatory requirements.
To the extent the use of this portion of the liquidity pool is restricted due to regulatory requirements, it is assumed to be unavailable to the rest of
the Group.
Notes
a Of which over 97% (2014: over 95%) was placed with the BoE, US Federal Reserve, European Central Bank, Bank of Japan and Swiss National Bank.
b Of which over 92% (2014: over 95%) are UK, US, Japanese, French, German, Danish, Swiss and Dutch securities.
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