Adjusted gross leverage

 

Adjusted gross leverage as at 31 December

2011
£m

2010
£m

Notes

a

Includes Liquidity Pool of £152bn (2010: £154bn).

b

Comprising counterparty netting of £440,592m (2010: £340,467m) and collateral held of £51,124m (2010: £37,289m) as disclosed in section Derivatives.

c

Comprising financial assets designated at fair value and associated cash balances.

Total assetsa

1,563,527

1,489,645

Counterparty net/collateralised derivativesb

(491,716)

(377,756)

Assets held in respect of linked liabilities to customers under investment contractsc

(1,681)

(1,947)

Net settlement balances and cash collateral

(61,913)

(48,108)

Goodwill and intangible assets

(7,846)

(8,697)

Adjusted total tangible assets

1,000,371

1,053,137

Total qualifying Tier 1 capital

50,473

53,546

Adjusted gross leverage

20

20

Adjusted gross leverage (excluding liquidity pool)

17

17

Ratio of total assets to shareholders equity

24

24

Ratio of total assets to shareholders equity (excluding liquidity pool)

22

21

Barclays continues to manage its balance sheet within limits and targets for balance sheet usage. The adjusted gross leverage was 20x as at 31 December 2011 (2010: 20x) principally as a result of a reduction in qualifying Tier 1 capital to £50.5bn (2010: £53.5bn), offset by a reduction in adjusted total tangible assets by 5% to £1,000bn. At month ends during 2011 the ratio moved in a range from 20x to 23x, with fluctuations arising primarily within collateralised reverse repurchase lending and high quality trading portfolio assets. Significant monthly fluctuations comprised:

  • an increase from 20x at December 2010 to 22x at February 2011 driven by an increase in reverse repurchase agreements and holdings of trading portfolio assets and a decrease in Tier 1 capital;
  • a fall in June 2011 from 22x to 20x driven by an increase in Tier 1 capital, and decreases in holdings of trading portfolio assets, cash balances and reverse repurchase agreements;
  • a steady increase to 23x in August 2011, driven by a decrease in Tier 1 capital, and an increase in reverse repurchase agreements as well as an increase in cash balances; and
  • a decrease to 20x in December 2011 resulting from decreases in reverse repurchase agreements and holdings of trading portfolio assets.

Adjusted total tangible assets include cash and balances at central banks of £106.9bn (2010: £97.6bn). Excluding these balances, the balance sheet leverage would be 18x (2010: 18x). Excluding the liquidity pool, leverage would be 17x (2010: 17x).

The ratio of total assets to total shareholders’ equity was 24x as at 31 December 2011 (2010: 24x). The ratio moved within a month end range of 24x to 28x, driven by trading activity fluctuations noted above and changes in gross interest rate derivatives and settlement balances. Significant drivers of fluctuations other than those noted above comprised:

  • the increase from 24x at December 2010 to 26x at April 2011 was affected by increases in settlement balances, offset by decreases in gross derivative balances;
  • a further step up in April 2011 from 26x to 28x in October 2011 arose from an increase in gross derivatives balances; and
  • a decrease from 28x to 24x in December 2011 as a result of decreases in settlement balances in addition to those movements noted above.

Group Treasury agrees adjusted tangible asset targets at a segment level to manage the Barclays balance sheet and leverage ratio. Barclays Capital’s adjusted tangible assets are managed and reviewed monthly by the Corporate and Investment Banking Treasury Committee which includes members of Treasury, Finance and the businesses. The Committee agrees limits with each business across Barclays Capital and monitors balance sheet usage against those limits. Businesses were required to manage the balance sheet to defined limits and were not permitted to exceed them without prior approval by nominated Committee members. Barclays continues to operate within limits and targets for balance sheet usage as part of its balance sheet management activities.

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