74.3 CRR Leverage Ratio Inhoudsopgave Voorwoord Bestuursverslag Corporate governance Consolidated Financial Statements Company Financial Statements Pillar 3 Summary reconciliation of accounting assets and leverage ratio exposures in millions of euros 1 Total assets as per published financial statements 2 Adjustment for entities which are consolidated for accounting purposes but are outside the scope of regulatory consolidation 3 (Adjustment for fiduciary assets recognised on the balance sheet pursuant to the applicable accounting framework but excluded from the leverage ratio exposure measure in accordance with Article 429(13) of Regulation (EU) No 575/2013 'CRR') 4 Adjustments for derivative financial instruments 5 Adjustments for securities financing transactions 'SFTs' 6 Adjustment for off-balance sheet items (ie conversion to credit equivalent amounts of off-balance sheet exposures) EU-6a (Adjustment for intragroup exposures excluded from the leverage ratio exposure measure in accordance with Article 429 (7) of Regulation (EU) No 575/2013) EU-6b (Adjustment for exposures excluded from the leverage ratio exposure measure in accordance with Article 429 (14) of Regulation (EU) No 575/2013) 7 Other adjustments 8 Total leverage ratio exposure Leverage ratio common disclosure On-balance sheet exposures (excluding derivatives and SFTs) 1 On-balance sheet items (excluding derivatives, SFTs and fiduciary assets, but including collateral) 2 (Asset amounts deducted in determining Tier 1 capital) 3 Total on-balance sheet exposures (excluding derivatives, SFTs and fiduciary assets) (sum of lines 1 and 2) Derivative exposures 4 Replacement cost associated with all derivatives transactions (ie net of eligible cash variation margin) 5 Add-on amounts for PFE associated with all derivatives transactions (mark-to-market method) EU-5a Exposure determined under Original Exposure Method 6 Gross-up for derivatives collateral provided where deducted from the balance sheet assets pursuant to the applicable accounting framework 7 (Deductions of receivables assets for cash variation margin provided in derivatives transactions) 8 (Exempted CCP leg of client-cleared trade exposures) 9 Adjusted effective notional amount of written credit derivatives 10 (Adjusted effective notional offsets and add-on deductions for written credit derivatives) 11 Total derivative exposures (sum of lines 4 to 10) Securities financing transaction exposures 12 Gross SFT assets (with no recognition of netting), after adjusting for sales accounting transactions 13 (Netted amounts of cash payables and cash receivables of gross SFT assets) 14 Counterparty credit risk exposure for SFT assets EU-14a Derogation for SFTs: Counterparty credit risk exposure in accordance with Article 429b (4) and 222 of Regulation (EU) No 575/2013 15 Agent transaction exposures EU-15a (Exempted CCP leg of client-cleared SFT exposure) 16 Total securities financing transaction exposures (sum of lines 12 to 15a) Other off-balance sheet exposures 17 Off-balance sheet exposures at gross notional amount 18 (Adjustments for conversion to credit equivalent amounts) 19 Other off-balance sheet exposures (sum of lines 17 to 18) Exempted exposures in accordance with CRR Article 429 (7) and (14) (on and off balance sheet) EU-19a (Exemption of intragroup exposures (solo basis) in accordance with Article 429(7) of Regulation (EU) No 575/2013 (on and off balance sheet)) EU-19b (Exposures exempted in accordance with Article 429 (14) of Regulation (EU) No 575/2013 (on and off balance sheet)) Capital and total exposures 20 Tier 1 capital 21 Total leverage ratio exposures (sum of lines 3,11,16,19, EU-19a and EU-19b) Leverage ratio 22 Leverage ratio Choice on transitional arrangements and amount of derecognised fiduciary items EU-23 Choice on transitional arrangements for the definition of the capital measure EU-24 Amount of derecognised fiduciary items in accordance with Article 429(11of Regulation (EU) NO 575/2013 Applicable Amounts 662,593 (32,993) 614 36,148 12,902 679,264 CRR leverage ratio exposures 605,998 (2,341) 603,657 7,246 12,377 (10,308) 64 9,379 29,466 614 30,080 113,542 (77,394) 36,148 37,079 679,264 Transitional 382 Rabobank Jaarverslag 2016

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Jaarverslagen Rabobank | 2016 | | pagina 383