ING Direct 2011 Annual Report Download - page 239

Risk management continued
ING Bank
Most important foreign exchange positions (year-end 2011)
2011 2010
Foreign exchange Foreign exchange
Chinese yuan 356 US dollar –457
US dollar –283 Taiwan dollar 155
Czech koruna –154 Chinese yuan 83
Taiwan dollar –44 South Korean won 68
Bulgarian lev –43 Bulgarian lev –57
Most important interest rate and credit spread sensitivities (year-end 2011)
amounts in thousands of euros 2011 2010
Interest Rate (BPV (1))Interest Rate (BPV (1))
United States 331 Eurozone –377
UK –163 United States 167
Mexico –120 Mexico –147
Russia –96 Japan 141
Japan –86 Russia –73
Credit Spread (BPV (1))Credit Spread (BPV (1))
Eurozone –287 Eurozone –596
UK –50 Sweden –67
United States –31 Hong Kong –47
Mexico –31 UK –47
Norway –25 United States –42
(1) Basis Point Value (BPV) measures the impact on value of a 1 basis point increase in interest rates or credit spreads.
Credit spread sensitivities per risk class and sector (year-end 2011)
amounts in thousands of euros
Credit Spread (BPV (1))
2011 2010
Corporate
Financial
Institutions Corporate
Financial
Institutions
Risk classes
1(AAA) –5 –16 –8 –211
2–4 (AA) –12 –49 –25 –212
5–7 (A) 15 –256 –32 –257
8–10 (BBB) –49 –42 –77 –102
11–13 (BB) –14 –24 –11 –47
14–16 (B) –18 –8 –30 –8
17–22 (CCC and Problem Grade) 2–21 –24 –33
Not rated –1 0
Total –82 –416 –207 –870
(1) Basis Point Value (BPV) measures the impact on value of a 1 basis point increase in interest rates or credit spreads.
ING Bank Market risk in Banking Books
ING Bank makes a distinction between trading and banking (non-trading) books. Positions in trading books can change swiftly, whereas
positions in banking books are intended to be held until maturity, or at least for the long-term. Books that contain positions to hedge
exposures resulting from commercial activities are also classified as banking books.
Interest Rate Risk in Banking Book
Interest rate risk in the banking books is defined as the potential negative impact that changing interest rates may have on earnings
or market value.
Governance: ALM framework
The management of interest rate risk follows the Asset & Liability Management (ALM) framework as approved by ALCO Bank. Main
goal of this framework is to transfer interest rate risks out of commercial books in order to manage it centrally. This allows for a clear
demarcation between commercial business results and results on unhedged interest rate positions.
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
237ING Group Annual Report 2011