ING Direct 2011 Annual Report Download - page 263

Risk management continued
ING Insurance Eurasia
Risk Profile
ING Insurance Eurasia’s goal is to maintain a low-risk, well diversified investment grade portfolio while avoiding large risk concentrations.
Tolimit and diversify spread risk, ING Insurance Eurasia manages the credit portfolio’s distribution over rating classes and industries. Both
profiles also include the non-traded fixed income and money market products whose risks are risk measured with the Credit Default model.
The specific risks are contained through the combined issuer and lending concentration limit framework and the separate money market
and reinsurance limit frameworks. Please note that for all of the following tables, the figures exclude all ING intercompany exposures.
Risk Classes: ING Insurance Eurasia portfolio, as % of total outstandings (1)
2011 2010
1(AAA) 29.9% 26.5%
2–4 (AA) 16.3% 15.3%
5–7 (A) 28.0% 31.3%
8–10 (BBB) 8.7% 9.2%
11–13 (BB) 3.9% 4.6%
14–16 (B) 2.3% 2.4%
17–22 (CCC & Problem Grade) 10.9% 10.7%
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 and are based on ultimate parent.
ING Insurance Eurasia rating class distribution remained fairly stable during 2011. The increase in the AAA class is mainly due to an increase
in AAA government bonds. The CCC, Unrated and Problem Grade class which mainly contains bonds from unrated counterparties, private
equity and real estate investments.
Risk Concentration: ING Insurance Eurasia portfolio, by economic sector (1) (2)
2011 2010
Non-Bank Financial Institutions 17.2% 17.4%
Central Governments 43.6% 41.3%
Commercial Banks 10.7% 12.9%
Private Individuals 7.5% 7.9%
Real Estate 2.6% 2.8%
Utilities 2.8% 2.5%
Natural Resources 1.6% 1.5%
Food, Beverages & Personal Care 1.0% 1.0%
Other 13.0% 12.7%
100.0% 100.0%
(1) Based on credit risk measurement contained in lending, pre-settlement, money market and investment activities.
(2) Economic sectors below 2% are not shown separately but grouped in ‘Other’.
Main shift in 2011 is an increase in central governments due to an increased exposure to European Central Governments,
mainly Dutch, Japanese and German.
Largest economic exposures: ING Insurance Eurasia portfolio, by geographic area (1)
2011 2010
Netherlands 21.7% 21.3%
Belgium 3.8% 3.6%
Rest of Europe 42.7% 4 6.1%
Americas 5.9% 6.2%
Asia/Pacific 25.0% 21.7%
Rest of World 0.9% 1.1%
Total 100.0% 100.00%
(1) Country is based on the country of residence of the ultimate parent.
The decrease in Rest of Europe is mainly due to decreased exposure to Central Governments of Southern European countries.
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
261ING Group Annual Report 2011