ING Direct 2015 Annual Report Download - page 247

Contents
Report of the
Executive Board
Corporate
Governance
Consolidated
annual accounts
Parent company
annual accounts
Other
information
Additional
information
Additional Pillar III information - continued
2015
CRR/CRD IV
phased in
2015
CRR/CRD IV
fully loaded
CRR
leverage
ratio
exposures
CRR
leverage
ratio
exposures
On-balance sheet exposures (excluding derivatives and SFTs)
1
On-balance sheet items (excluding derivatives, SFTs and fiduciary assets, but including collateral)
895,069
895,069
2
(Asset amounts deducted in determining Tier 1 capital)
–5,757
–4,364
3
Total on-balance sheet exposures (excluding derivatives, SFTs and fiduciary assets) (sum of lines 1 and 2)
889,312
890,705
Derivative exposures
4
Replacement cost associated with all derivatives transactions (i.e. net of eligible cash variation margin)
13,439
13,439
5
Add-on amounts for PFE associated with all derivatives transactions (mark-to-market method)
25,590
25,590
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)
–11,800
–11,800
8
(Exempted CCP leg of client-cleared trade exposures)
–156
–156
9
Adjusted effective notional amount of written credit derivatives
15,606
15,606
10
(Adjusted effective notional offsets and add-on deductions for written credit derivatives)
–12,245
–12,245
11
Total derivative exposures (sum of lines 4 to 10)
30,433
30,433
Securities financing transaction exposures
12
Gross SFT assets (with no recognition of netting), after adjusting for sales accounting transactions
88,067
88,067
13
(Netted amounts of cash payables and cash receivables of gross SFT assets)
–22,569
–22,569
14
Counterparty credit risk exposure for SFT assets
15,786
15,786
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)
81,283
81,283
Other off-balance sheet exposures
17
Off-balance sheet exposures at gross notional amount
210,420
210,420
18
(Adjustments for conversion to credit equivalent amounts)
–141,762
–141,762
19
Other off-balance sheet exposures (sum of lines 17 to 18)
68,657
68,657
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 capital2
42,721
44,083
21
Total leverage ratio exposures (sum of lines 3, 11, 16, 19, EU-19a and EU-19b)
1,069,686
1,071,079
Leverage ratio
22
Leverage ratio
4.0%
4.1%
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
EU-24
Amount of derecognised fiduciary items in accordance with Article 429(11) of Regulation (EU) NO 575/2013
2 Please note that Tier 1 Capital includes grandfathered hybrids to an amount of EUR 3,718 million
1
Description of the processes used to manage the risk of excessive leverage
ING follows the leverage ratio on a monthly basis and takes
it into account when taking
certain securitisation and/or Tier
1 issuance decisions.
2
Description of the factors that had an impact on the leverage ratio during the
period to which the disclosed leverage ratio refers
The leverage ratio improved as ING Bank’s fully-loaded Tier
1 capital increased 12%
(15% on a phased-in basis), while
the Leverage exposure measure decreased slightly.
Bank leverage ratio common disclosure
Disclosure on qualitative items
ING Bank Annual Report 2015 245