ING Direct 2011 Annual Report Download - page 229

Risk management continued
ING Bank
Credit quality: ING Bank portfolio, outstandings
2011 2010
Neither past due nor impaired 849,283 822,445
Past due but not impaired
(1–90 days) (1) 6,649 5,638
Impaired (2) 13,382 13,779
Total 869,314 841,862
(1) Based on lending (consumer loans and residential mortgages only).
(2) Based on credit risk measurement contained in lending and investment activities.
Risk classes
Risk classes are defined based upon the quality of the exposures in terms of creditworthiness, varying from investment grade to problem
grade expressed in S&P equivalents.
Risk classes ING Bank portfolio, as % of total outstandings (1)
Commercial Banking Retail Banking Benelux
Retail Banking Direct
& International (2) Total ING Bank
2011 2010 2011 2010 2011 2010 2011 2010
1(AAA) 3.0% 3.0% 0.0% 0.0% 9.6% 14.4% 4.5% 6.3%
2–4 (AA) 19.4% 14.3% 4.2% 4.0% 16.0% 12.1% 13.8% 10.6%
5–7 (A) 20.2% 24.0% 5.1% 5.3% 17.8% 18.8% 15.0% 16.8%
8–10 (BBB) 23.7% 22.9% 42.8% 42.0% 29.3% 28.9% 31.3% 30.4%
11–13 (BB) 21.9% 22.8% 37.3% 37.7% 15.9% 15.5% 24.1% 24.4%
14–16 (B) 8.1% 8.8% 5.4% 6.2% 8.0% 7.2% 7.3% 7.5%
17–22 (CCC & Problem Grade) 3.7% 4.2% 5.2% 4.8% 3.4% 3.1% 4.0% 4.0%
100.0% 100.0% 100.0% 100.0% 100.0% 100.0% 100.0% 100.0%
(1) Based on credit risk measurement contained in lending, pre-settlement, money market and investment activities.
The ratings reflect probabilities of default and do not take collateral into consideration.
(2) Covered bonds are presented on the basis of the external credit rating of the issuer in question. Covered bond issues generally possess a better
external credit rating than the issuer standalone, given structural features of such covered bonds.
Within the Lending portfolio, there was an upward shift from the highest end investment grade in 2011 as a result of increased
outstandings to local German governments. In the Investment portfolio we saw a reversed trend, from AAA to AA, mainly the result
ofdowngraded exposures linked to sovereigns and also driven by the US dollar appreciation. The investment grade counterparty risks
(pre-settlement) did not materially change. Related to these counterparties risks are increasing applications of collateral and netting
agreements with these counterparties. Where such agreements are in place the credit risks are lowered due to the benefit of collateral
andnetting agreements. The increase in the AA bucket for Money Market is directly related to deposits given to central banks.
Risk classes ING Bank portfolio per credit risk type, as % of total outstandings (1)
Lending Investment Money Market Pre-settlement Total ING Bank
2011 2010 2011 2010 2011 2010 2011 2010 2011 2010
1(AAA) 1.6% 0.8% 18.9% 30.8% 1.4% 1.2% 2.9% 3.5% 4.5% 6.3%
2–4 (AA) 5.2% 6.0% 38.3% 25.0% 71.6% 22.0% 17.0% 18.2% 13.8% 10.6%
5–7 (A) 9.4% 9.5% 23.9% 27.1% 19.3% 62.3% 50.9% 50.8% 15.0% 16.8%
8–10 (BBB) 37.8% 36.9% 13.3% 12.5% 2.7% 6.8% 18.5% 17.2% 31.3% 30.4%
11–13 (BB) 31.5% 32.0% 2.2% 2.0% 4.9% 7.4% 8.2% 7.3% 24.1% 24.4%
14–16 (B) 9.7% 9.9% 0.4% 0.6% 0.1% 0.1% 1.7% 1.8% 7.3% 7.5%
17–22 (CCC & Problem Grade) 4.8% 4.9% 3.0% 2.0% 0.0% 0.2% 0.8% 1.2% 4.0% 4.0%
100.0% 100.0% 100.0% 100.0% 100.0% 100.0% 100.0% 100.0% 100.0% 100.0%
(1) Based on credit risk measurement contained in lending, pre-settlement, money market and investment activities.
The ratings reflect probabilities of default and do not take collateral into consideration.
Risk concentration
As part of the focus on core clients, ING Bank further reduced its relative exposure to governments and the financial sector while growing
the private individual and corporate portfolios. The industry Central Banks was above the threshold of 2.0% in 2011, as a result of the
deposits given to various central banks.
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
227ING Group Annual Report 2011