ING Direct 2009 Annual Report Download - page 220

ING Bank
Credit spread sensitivities per risk class and sector trading books (year end 2009)
2009 2008
in EUR thousands
Credit Spread (BPV (1))Corporate
Financial
Institutions Corporate
Financial
Institutions
Risk classes
1 (AAA) –18 –145 –20 –40
2-4 (AA) –18 –34 –19 –115
5-7 (A) 83 –100 4–88
8-10 (BBB) 16 14 –75 –103
11-13 (BB) –12 –20 –37 –54
14-16 (B) –21 20 –6 –18
17-22 (CCC and Problem Grade) –47 –11 –21 –2
No rating 15 –16 –19 –28
Total –2 –292 –193 –448
(1) BPV (or basis point value) refers to profit and loss account sensitivity per 1bp increase in the credit spread.
Market risk in banking books
Organisation
Within ING Bank, positions are either labelled as trading or non-trading (banking book) positions. The most important aspect in
segregating the banking from the trading books is the intent of the positions held in these books. The banking book positions are
intended to be held for the long-term (or until maturity) or for the purpose of hedging other banking positions emerging from commercial
business, as for instance in the mortgage book.
Interest rate risk in banking books
The interest rate risk of the banking books is the risk that ING Bank’s earnings or market value resulting from the non-trading positions is
negatively impacted by movements in interest rates. To assign clear responsibilities for risk and return within the banking book structure an
Asset and Liability Management (ALM) framework has been implemented by ALCO Bank. This framework enables a clear separation of
three types of activities: the investment of own capital, the commercial business and the management of the bank’s strategic interest rate
risk position in the designated ALM books. The figure below presents the ALM framework of ING Bank within which the interest rate risk
is measured and monitored:
ING Bank
Commercial BankingRetail Banking
ING Direct
Risk transfer to market
Model risk
(replication,
prepayments)
Risk transfer to
FM ALM
Model risk
(replication,
prepayments)
Commercial Bank
Financial Markets
ALM
Financial Markets
Trading
Proprietary
risk taking
Risk transfer to
FM ALM
Capital
Management
Risk management (continued)
2.1 Consolidated annual accounts
ING Group Annual Report 2009
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