ING Direct 2011 Annual Report Download - page 123

Debt securities by type and balance sheet line (total)
Available-for-sale
investments
Held-to-maturity
investments
Loans and
advances to
customers Due from banks
Total Banking
and Insurance
operations
2011 2010 2011 2010 2011 2010 2011 2010 2011 2010
Government bonds 101,988 98,428 881 950 1,081 1,037 103,950 100,415
Covered bonds 7,655 6,301 7,209 9,212 7,468 7,818 6,591 6,943 28,923 30,274
Corporate bonds 46,348 39,308 425 162 46,773 39,470
Financial institution bonds 26,892 37,0 62 421 425 134 244 736 1,179 28,183 38,910
Bond portfolio (excluding ABS) 182,883 181,099 8,511 10,587 9,108 9,261 7,327 8,122 207,829 209,069
US agency RMBS 5,630 15,720 9 5,630 15,729
US prime RMBS 1,398 2,331 1,398 2,331
US Alt-A RMBS 451 2,789 451 2,789
US subprime RMBS 774 1,647 774 1,647
Non-US RMBS 1,640 1,952 50 14,066 17, 8 4 8 –6 15,700 19,850
CDO/CLO 238 406 921 899 1,159 1,305
Other ABS 1,900 1,910 357 358 3,536 4,652 5,793 6,920
CMBS 4,320 4,939 689 1,486 1,591 5,806 7,219
ABS portfolio 16,351 31,694 357 1,106 20,009 24,990 –6 36,711 57,79 0
199,234 212,793 8,868 11,693 29,117 34,251 7,321 8,122 244,540 266,859
Asset backed security portfolio
The table below shows certain ABS (US Subprime RMBS, Alt-A RMBS, CMBS and CDO/CLOs) that were considered pressurised asset
classes. It includes exposures in all relevant balance sheet lines, including not only loans and advances and investments available-for-sale as
disclosed above, but also financial assets designated as at fair value through profit and loss.
Exposures, revaluations and losses on pressurised ABS bonds
31 December 2011 Change in 2011 31 December 2010
Balance sheet
value (1)
Pre-tax
revaluation
reserve
Changes through
equity
(pre-tax)
Changes through
profit andloss
(pre-tax) Other changes Balance sheet value (1)
Pre-tax
revaluation
reserve
US Subprime RMBS 774 –190 37 –75 –835 1,647 –227
US Alt-A RMBS 501 –15 –252 –93 –2,001 2,847 237
CDO/CLOs 1,390 –59 –51 –22 –67 1,530 –9
CMBS 5,901 –464 69 –13 –1,485 7,330 –533
Total pressurised ABS 8,566 –729 –197 –203 –4,388 13,354 –532
(1) For assets classified as loans and receivables: amortised cost; otherwise: fair value.
Other changes includes mainly redemptions/prepayments and the classification of ING Direct USA as a disposal group held for sale.
Reference is made to Note 11 ‘Assets and liabilities held for sale’.
Reference is made to Note 34 ‘Fair value of financial assets and liabilities’ for disclosure by fair value hierarchy and Note 37 ‘Investment
income’ for impairments on available-for-sale debt securities.
Greece, Italy, Ireland, Portugal and Spain
In the first half of 2010 concerns arose regarding the creditworthiness of several southern European countries, which later spread to a few
other European countries. As a result of these concerns the value of sovereign debt decreased and exposures in those countries are being
monitored closely. With regard to troubled European countries, ING Group’s main focus is on Greece, Italy, Ireland, Portugal and Spain as
these countries have either applied for support from the European Financial Stability Facility (‘EFSF’) or receive support from the ECB via
government bond purchases in the secondary market. Within these countries, ING Group’s main focus is on exposure to Government
bonds and Unsecured Financial institutions’ bonds. The following disclosure focuses in particular on ING Group’s balance sheet exposure
with regard to Government bonds and Unsecured Financial institutions’ bonds in Greece, Italy, Ireland, Portugal and Spain. At 31 December
2011, ING Group’s balance sheet value of ‘Government bonds’ and Unsecured Financial institutions’ bonds to Greece, Italy, Ireland, Portugal
and Spain and the related pre-tax revaluation reserve in equity was as follows:
Notes to the consolidated annual accounts of ING Group continued
1 Who we are 2 Report of the Executive Board 3 Corporate governance 4 Consolidated annual accounts 5 Parent company annual accounts 6 Other information 7 Additional information
121ING Group Annual Report 2011