ING Direct 2009 Annual Report Download - page 300

Exposures securitised
2008 Cut off Date Initial Pool Outstandings Credit Events Past due Assets Losses
Residential Mortgages
Memphis 2005 31 Oct 2008 3,000 2,351 362 < 1
Memphis 2006 31 Oct 2008 4,000 3,750 11 207 2
7,000 6,101
SME
Mars 2004 31 Oct 2008 2,000 1,995 325 < 1
Mars 2006 31 Dec 2008 4,500 4,202 12 32 2
BEL SME 2006 30 Nov 2008 2,500 2,406 11 5 1
Total 9,000 8,603
Notes: Cut-Off Date Most recent date in respect of which determination and allocation of losses have been made pursuant to the legal documentation
of the transaction. Information on the performance of ING’s securitised exposures is published regularly.
Outstandings EAD on 31 December of assets that were performing on the Cut-off date.
Credit Events Aggregate outstandings of assets subject to a credit event reported in the twelve months period ending on the Cut-off date.
Past Due Assets Outstandings on the Cut-off date of assets that are past due, but not in credit event on that date, as more fully detailed in the
quarterly reports. Past due for residential mortgage transactions means ‘more than 1 monthly payment in arrears’. Past due for
SME deals means ‘reference entities that are rated 20-22’ .
Losses Aggregate losses recognised on securitised assets and reported in the twelve months period ending on the Cut-off date.
Retained Securitisation Exposures
Retained exposures on securitisation of ING’s own assets include the most senior tranches and the equity piece (first loss) of Memphis 2005.
Economically, on a total of about EUR 13 billion underlying exposures in the four transactions mentioned above, ING has retained
approximately EUR 6 million of first loss exposure and has transferred approximately EUR 1.1 billion of mezzanine and equity tranches (first
and second loss) to third parties.
Securitisations originated by a company may only be considered for balance sheet derecognition when the requirements for significant credit
risk transfer have been fulfilled. However, for a securitisation transaction to be recognized as for RWA reduction, risk transfer alone may be
insufficient due to the increasing impact of the maturity mismatch formula. As a consequence, The RWA of the retained tranches for one of
the transactions in the table above would be higher than the total RWA of the underlying pool before securitisation, and therefore that
transaction is are treated for RWA purposes as if it was not securitised.
ING as Sponsor
In the normal course of business, ING Bank 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 SPV. The transactions are funded by the ING administered multi
seller Asset Backed Commercial Paper (ABCP) conduit Mont Blanc Capital Corp. (rated A-1/P-1). Despite the conditions in the international
money markets Mont Blanc Capital Corp. continues to fund itself externally in the ABCP markets.
In its role as administrative agent, ING facilitates these transactions by providing structuring, accounting, funding and operations services.
ING Bank also provides support facilities (liquidity and program wide enhancement) backing the transactions funded by the conduit.
The types of asset currently in the Mont Blanc Conduit include trade receivables, consumer finance receivables, credit card receivables,
auto loans, RMBS and CDOs/CLOs.
Exposures Securitised as Sponsor
The total liquidity facilities, including programme wide enhancements, provided to the Mont Blanc conduit are EUR 3,240 million. The total
drawn liquidity amount as of 31 December 2009 is EUR 584 million.
Securitisation in the trading book
The exposures involved are mainly synthetic Collateralized Debt Obligations (CDO’s) in which the underlying credit exposures are taken on
using a credit default swap rather than a vehicle buy physical assets.
The CDO’s are a form of securitisation where payments from a portfolio of fixed-income assets are pooled together and passed on to
different classes of owners in various tranches. The assets/loans are divided in different tranches according to their seniority: senior
tranches (rated AAA), mezzanine tranches (AA to BB) and equity tranches (unrated). Losses are applied in reverse order of seniority. The
CDO’s in trading books are valued mark-to-market. The underlying assets are a pool of mostly Corporate Investment Grade names.
The Net Collaterised Debt Obligations position in the Trading portfolio as of 31 December 2009 is EUR –28 million (2008: EUR –83 million).
ING Group Annual Report 2009
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Additional Pillar 3 information for ING Bank only (continued)
2.4 Additional information