14.3 CRR Leverage Ratio
Contents Foreword Management report 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(11) of 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)
9,379
29,466
30,080
113,542
(77,394)
36,148
37,079
679,264
Transitional
376 Rabobank Annual Report 2016