ING Direct 2011 Annual Report Download - page 216

Risk management continued
Risk management in 2011
RISK DEVELOPMENTS IN 2011
During 2011, ING continued to actively deleverage and de-risk its balance sheet. The ING Group bond portfolio decreased from EUR 294.5
billion at year-end 2010 to EUR 263.5 billion at year-end of 2011, excluding ING Direct USA. The size of the ING Direct USA bond portfolio
is EUR 23.0 billion. The change is mainly caused by changes in the government, financial institutions and ABS and CMBS bond portfolio.
The debt securities revaluation reserve after tax, excluding ING Direct USA, improved in 2011 to EUR 5,743 million compared to EUR 1,620
million in 2010, due to interest rates developments and the spread widening that took place during 2011 as a result of the debt crisis in
Europe. More details on the Investments can be found in Note 4 ‘Investments’ of the Annual Accounts.
ABS portfolio
The RMBS and ABS portfolio changed from EUR 51.2 billion at year-end 2010 to 31.5 billion, excluding ING Direct USA. The RMBS and
ABS exposure of ING Direct USA is EUR 15.0 billion. ING Group continued to manage its asset-backed securities (ABS) portfolio
downwards in 2011 and reduced the exposure on the ABS portfolio. With the sale of ING Direct USA, the ING Group exposure to ABS is
drastically reduced and going forward we will not report them as pressurised assets in our financial reporting. The revaluation reserve on
the ABS portfolio deteriorated and is still negative. ING Group still recognised further impairments of EUR 203 million, though for a smaller
amount than in the previous year (2010: EUR 541 million). Further details are included in Note 4 ‘Investments’ of the Annual Accounts.
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 fair value of sovereign debt decreased and those exposures were being monitored
more closely. With regard to troubled European countries, ING’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’s main focus is on exposure to Government bonds and Unsecured Financial
institutions’ bonds. Further details are included in Note 4 ‘Investments’.
The table below provides information on ING’s risk exposure with regard to Greece, Italy, Ireland, Portugal and Spain. Unless otherwise
indicated, the amounts represent risk exposure values and exposures are included based on the country of residence. CDS exposures in all
countries are mostly to financial institutions.
Greece, Italy, Ireland, Portugal and Spain – Total exposures 1) 2) 3)
2011 Greece Italy Ireland Portugal Spain Total
Residential mortgages and other consumer lending 14 7,027 4 3 9,176 16,224
Corporate Lending 307 9,156 575 996 7,131 18,165
Financial Institutions Lending 6853 135 139 2,038 3,171
Government Lending 0195 0 0 55 250
Total Lending 327 17,231 714 1,138 18,400 37,810
RMBS 96 1,313 1,603 245 4,131 7,388
CMBS 0 0 310 0 0 310
Other ABS 0400 467 0169 1,036
Corporate Bonds 0495 346 68 475 1,384
Covered Bonds 0236 350 0 16,835 17,421
Financial institutions Bonds (unsecured) 0819 291 336 396 1,842
Government Bonds 254 2,557 54 809 1,508 5,182
Total Debt Securities 350 5,820 3,421 1,458 23,514 34,563
Trading (3) –5 519 40 11 316 881
Real Estate (4) 36 496 0319 632 1,483
Off balance (Undrawn committed facilities) 411 1,229 523 140 2,302 4,605
Credit protection (CDS)
Credit protection bought (notional) 112 640 131 43 479 1,405
Credit protection sold (notional) 107 617 136 43 530 1,433
Net CDS positions 523 –5 0–51 –28
(1) The exposures reported are credit, market and real estate exposures based on source systems and measurement criteria that can differ from those of similar
exposures reported in Note 4 ‘Investments’ of the Annual Accounts.
(2) More information on the risk management definitions and practices can be found in the remainder of this section
(3) rading exposure also includes netted CDS exposure, of which details are provided at the bottom of this table.
(4) Real Estate includes Real Estate Development, Real Estate Investments and Property in Own Use; it does not include (indirect) exposure through Real Estate
Finance, which is reflected in Total Lending and Total Debt Securities.
(5) These are Group risk exposures of which the Insurance component is netted for impairments, as well as Bank Greek Government exposure.
214 ING Group Annual Report 2011