Table disclosure of the leverage ratio
(Million euros)
|
|
31/12/2015 Phase-in |
31/12/2015 Fully-loaded |
31/12/2014 Phase-in |
31/12/2014 Fully-loaded |
|
|---|---|---|---|---|---|
| On-balance sheet exposures (excluding derivatives and SFTs) |
|
|
|
|
|
| 1 | On-balance sheet items (excluding derivatives, SFTs and fiduciary assets, but including collateral) | 669,866 | 669,866 | 569,268 | 569,268 |
| 2 | (Asset amounts deducted in determining Tier 1 capital) | (12,159) | (12,746) | (9,656) | (10,668) |
| 3 | Total on-balance sheet exposures (excluding derivatives, SFTs and fiduciary assets) (sum of lines 1 and 2) | 657,707 | 657,120 | 559,612 | 558,600 |
| Derivative exposures |
|
|
|
|
|
| 4 | Replacement cost associated with all derivatives transactions (ie net of eligible cash variation margin) | 11,030 | 11,030 | 13,556 | 13,556 |
| 5 | Add-on amounts for PFE associated with all derivatives transactions (mark-to-market method) | 14,523 | 14,523 | 12,667 | 12,667 |
| 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) | (6,097) | (6,097) | - | - |
| 8 | (Exempted CCP leg of client-cleared trade exposures) | - | - | - | - |
| 9 | Adjusted effective notional amount of written credit derivatives | 17,362 | 17,362 | - | - |
| 10 | (Adjusted effective notional offsets and add-on deductions for written credit derivatives) | (13,199) | (13,199) | - | - |
| 11 | Total derivative exposures (sum of lines 4 to 10) | 23,619 | 23,619 | 26,223 | 26,223 |
| Securities financing transaction exposures |
|
|
|
|
|
| 12 | Gross SFT assets (with no recognition of netting), after adjusting for sales accounting transactions | 16,616 | 16,616 | 9,854 | 9,854 |
| 13 | (Netted amounts of cash payables and cash receivables of gross SFT assets) | - | - | - | - |
| 14 | Counterparty credit risk exposure for SFT assets | 37 | 37 | - | - |
| 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) | 16,654 | 16,654 | 9,854 | 9,854 |
| Other off-balance sheet exposures |
|
|
|
|
|
| 17 | Off-balance sheet exposures at gross notional amount | 185,864 | 185,864 | 147.510(1) | 147.510(1) |
| 18 | (Adjustments for conversion to credit equivalent amounts) | (117,255) | (117,255) | (93.107)(2) | (93.107)(2) |
| 19 | Other off-balance sheet exposures (sum of lines 17 to 18) | 68,609 | 68,609 | 54,403 | 54,403 |
| 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)) | - | - | 20,991 | 20,991 |
| Capital and total exposures |
|
|
|
|
|
| 20 | Tier 1 capital | 48,554 | 45,796 | 41,832 | 39,037 |
| 21 | Total leverage ratio exposures (sum of lines 3, 11, 16, 19, EU-19a and EU-19b) | 766,589 | 766,001 | 671,083 | 670,071 |
| Leverage ratio |
|
|
|
|
|
| 22 | Leverage ratio | 6.33% | 5.98% | 6.20% | 5.80% |
| Choice on transitional arrangements and amount of derecognised fiduciary items |
|
|
|
|
|
| EU-23 | Choice on transitional arrangements for the definition of the capital measure | Transitional | Fully phased in | Transitional | Fully phased in |
| EU-24 | Amount of derecognised fiduciary items in accordance with Article 429(11) of Regulation (EU) NO 575/2013 | - | - | - | - |
Table LRSpl: Split-up of on balance sheet exposures (excluding derivatives, SFTs and exempted exposures)
(Million euros)
|
|
|
31/12/2015 Phase-in |
31/12/2015 Fully-loaded |
31/12/2014 Phase-in |
31/12/2014 Fully-loaded |
|---|---|---|---|---|---|
| EU-1 | Total on-balance sheet exposures (excluding derivatives, SFTs, and exempted exposures), of which: | 669,866 | 669,866 | 569,268 | 569,268 |
| EU-2 | Trading book exposures | 61,886 | 61,886 | 57,972 | 57,972 |
| EU-3 | Banking book exposures, of which: | 607,980 | 607,980 | 511,296 | 511,296 |
| EU-4 | Covered bonds | 839 | 839 | 605 | 605 |
| EU-5 | Exposures treated as sovereigns | 143,049 | 143,049 | 101,139 | 101,139 |
| EU-6 | Exposures to regional governments, MDB, international organisations and PSE NOT treated as sovereigns | 2,501 | 2,501 | 4,653 | 4,653 |
| EU-7 | Institutions | 44,368 | 44,368 | 40,940 | 40,940 |
| EU-8 | Secured by mortgages of immovable properties | 138,222 | 138,222 | 120,074 | 120,074 |
| EU-9 | Retail exposures | 63,514 | 63,514 | 56,169 | 56,169 |
| EU-10 | Corporate | 151,965 | 151,965 | 122,580 | 122,580 |
| EU-11 | Exposures in default | 19,574 | 19,574 | 24,401 | 24,401 |
| EU-12 | Other exposures (eg equity, securitisations, and other non-credit obligation assets) | 43,948 | 43,948 | 40,735 | 40,735 |