ING Direct 2009 Annual Report Download - page 219

ING Bank
During 2009 the overnight VaR for the ING Commercial Banking trading portfolio ranged from EUR 25 million to EUR 60 million. One
minor limit excess was observed in 2009. On 16 January 2009, the EUR 60 million VaR limit was exceeded by EUR 50,000.
The average VaR over 2009 was substantially lower than 2008 (average VaR 2009: EUR 39 million and average VaR 2008: EUR 53 million).
After the extreme market volatility in Q4 2008 following the failure of several financial institutions and the gloomy economic outlook, the
VaR decreased to EUR 27 million in Q4 2009. This decrease is to a large extent related to the de-risking strategy of ING and the decrease
of volatility in the different financial markets.
More details on the VaR of the ING Commercial Banking trading portfolio for 2009 and 2008 are provided in the table below.
Consolidated VAR trading books: ING Commercial Bank
Minimum Maximum Average Year-end
2009 2008 2009 2008 2009 2008 2009 2008
Foreign exchange 1411 95537
Equities 4511 13 7857
Interest rate / Credit spread 20 33 54 58 33 45 24 43
Diversification (1) –6 –5 –5 –3
Total VaR 24 42 60 72 39 53 27 54
(1) The total VaR for the columns Minimum and Maximum can not be calculated by taking the sum of the individual components since the observations for both the
individual markets as well as total VaR may occur on different dates.
Note: the above categories are consistent with those used for internal risk management purposes and do not relate to financial statement captions.
In general, the level of the trading VaR was lower in 2009, and also showed a decreasing trend after February 2009. The interest rate
market, which includes both the general interest rate and credit spread exposures, provided the largest contribution to the trading VaR.
The following tables show the largest trading foreign exchange positions and interest rate and corporate credit spread sensitivities. The
corporate credit spread sensitivities are furthermore split in different risk classes and sectors.
Most important foreign exchange positions trading books (year end 2009)
2009 2008
Foreign exchange Foreign exchange
US dollar –266 Singapore dollar –91
Chinese yuan 208 Mexican peso 69
Bulgarian lev 37 South Korean won –68
Polish zloty 31 US dollar 55
South Korean won 20 Chinese yuan 46
Most important interest rate and credit spread sensitivities trading books (year end 2009)
in EUR thousands 2009 2008
Interest Rate (BPV (1))Interest Rate (BPV (1))
Eurozone –1,175 Eurozone –1,272
United States –359 Mexico –289
Mexico –153 United States 241
UK –109 South Korea –111
Japan 107 Taiwan 60
Credit Spread (BPV (1))Credit Spread (BPV (1))
United States –115 Eurozone –247
Eurozone –86 United States –187
Mexico –57 Mexico –97
Japan –17 Japan –56
Russia –13 United Kingdom –32
(1) Bpv (or basis point value) refers to profit and loss account sensitivity per 1bp increase in the interest rate or credit spread.
2.1 Consolidated annual accounts
Risk management (continued)
ING Group Annual Report 2009 217