ING Direct 2009 Annual Report Download - page 156

2.1 Consolidated annual accounts
ING Group Annual Report 2009
154
Additional information to the consolidated balance sheet of ING Group (continued)
Irrevocable facilities mainly constitute unused portions of irrevocable credit facilities granted to corporate clients. Many of these facilities
are for a fixed duration and bear interest at a floating rate. ING Group’s credit risk and interest rate risk in these transactions is limited.
Most of the unused portion of irrevocable credit facilities is secured by customers’ assets or counter-guarantees by the central governments
and exempted bodies under the regulatory requirements. Irrevocable facilities also include commitments made to purchase securities to be
issued by governments and private issuers.
Future rental commitments for operating lease contracts
2010 209
2011 170
2012 180
2013 231
2014 157
Years after 2014 132
28 SPECIAL PURPOSE ENTITIES AND SECURITISATION
Securitisation
ING Group as originator
ING Group enters into synthetic securitisation programmes in order to reduce credit risk on certain assets. In synthetic securitisations, ING
Group enters into a credit default swap with securitisation Special Purpose Entities (SPEs), in relation to which ING Group purchases credit
protection in respect of residential mortgage loans and loans to small and medium-sized enterprises. The SPEs have in turn hedged their
exposure with investors through the issue of credit linked notes or credit linked commercial paper. As a result of these transactions, ING
Group has transferred a substantial part of the credit risk related to these loan portfolios to third-party investors. In general, the third-party
investors in securities issued by the SPE have recourse only to the assets of the SPE and not to ING Group.
After securitisation of these assets ING Group continues to recognise them on its balance sheet under Loans and advances to customers.
These transactions are therefore not off-balance sheet arrangements.
Assets under synthetic securitisation programmes
2009 2008
Loans to small and medium-sized enterprises 6,583 8,603
Mortgages 6,865 6,101
Total 13,448 14,704
ING Group as sponsor of multi-seller conduit
In the normal course of business, ING Group structures financing transactions for its clients by assisting them in obtaining sources of
liquidity by selling the clients’ receivables or other financial assets to an SPE. The SPE issues asset-backed commercial paper to the market
to fund the purchases. ING Group, in its role as administrative agent, facilitates these transactions by providing structuring, accounting,
funding and operations services.
ING Group supports the commercial paper programmes by providing the SPE with short-term standby liquidity facilities. These liquidity
facilities are intended primarily to cover temporarily disruptions in the commercial paper market. Once drawn these facilities bear normal
credit risk. A number of programmes are supported by granting structured liquidity facilities to the SPE, in which ING Group covers at least
some of the credit risk incorporated in these programmes itself (in addition to normal liquidity facilities), and might suffer credit losses as a
consequence. Furthermore, under a Programme Wide Credit Enhancement ING Group guarantees to a limited amount all remaining losses
incorporated in the SPE to the commercial paper investors. All facilities, which vary in risk profile, are granted to the SPE subject to normal
ING Group credit and liquidity risk analysis procedures. The fees received for services provided and for facilities are charged subject to
market conditions. The SPE is included in the consolidation of ING Group. This transaction is therefore not an off-balance sheet
arrangement.
The normal non-structured standby liquidity facilities and the structured facilities are reported under irrevocable facilities.