ING Direct 2009 Annual Report Download - page 200

Risk Management in 2009Risk Management in 2009
Of the EUR 16.2 billion exposure on US Subprime RMBS, US Alt-A RMBS, CDOs/CLOs and CMBS EUR 12.6 billion is measured at fair value
(with the revaluation recognised in equity, except impairments on these trades going through P&L). At 31 December 2009 the fair value
of US Subprime RMBS, US Alt-A RMBS, CDOs/CLOs and CMBS was as provided in the tables below, where the following split is made:
Level 1 – Quoted prices in active markets;
Level 2 – Valuation technique supported by observable inputs;
Level 3 – Valuation technique supported by unobservable inputs.
An analysis of the method applied in determining the fair values of financial assets and liabilities is provided in Note 34 ‘Fair value
of financial assets and liabilities’.
Fair value of US Subprime RMBS, US Alt-A RMBS, CDOs/CLOs and CMBS
2009 Level 1 Level 2 Level 3 Total
US Subprime RMBS 16 1,412 1,428
US Alt-A RMBS 2,308 656 2,964
CDOs/CLOs 2,509 454 54 3,017
CMBS 123 5,074 18 5,215
Total 2,632 7,852 2,140 12,624
Fair value of US Subprime RMBS, US Alt-A RMBS, CDOs/CLOs and CMBS
2008 Level 1 Level 2 Level 3 Total
US Subprime RMBS 20 26 1,732 1,778
US Alt-A RMBS 244 18,244 18,488
CDOs/CLOs 3,273 162 34 3,469
CMBS 5,020 2,050 42 7,112
Total 8,313 2,482 20,052 30,847
Risk management (continued)
2.1 Consolidated annual accounts
ING Group Annual Report 2009
198