ING Direct 2011 Annual Report Download - page 280

Risk management continued
ING Insurance US
Sensitivities
The table below presents market risk sensitivity figures before diversification between risks. The stress events are described in the
ModelDisclosure section above.
Regulatory Capital Sensitivities (1) (2)
US Excl. CBVA CBVA
2011 2010 2011 2010
Interest Rate Up 2–132 24 –6
Interest Rate Down –50 49 –226 27
Equity –149 –55 –17 –168
Credit – Default –272 –366 –8 –12
Credit – Spread –410 –355 –21 –20
(1) Implied Volatility, FX and Real Estate sensitivities do not have a material impact.
(2) Sensitivities are calculated at business unit level and cover US domiciled insurance entities.
(3) Sensitivities shown are calculated relative to management targets that are a multiple of ‘Company Action Level’ RBC, and those shown in the 2010 annual
report were based on ‘Company Action Level’ RBC.
The changes from 2010 to 2011 are the result of many factors including:
• Reduction in interest rates increasing exposure to further declines in rates due to product guarantees;
• Hedging programs, including various actions taken to reduce the risk of declining rates;
• Hedging activities for Closed Block Variable Annuity related to both interest rates and equity exposure;
• Turnover of the asset portfolio; and
• Refinement of calculation of equity risk arising from hedge funds and limited partnerships was the primary driver of the increase
inequity risk for US excluding CB-VA.
Taking into account diversification between risk factors, Insurance US (excluding CB-VA) is exposed to a EUR 0.9 billion decrease in regulatory
capital and CB-VA is exposed to a EUR 0.3 billion decrease in regulatory capital within the context of the market and non-market sensitivity
analysis.
INSURANCE INVESTMENTS
The Insurance Investments business consists of certain parts of ING Insurance that will not be part of the divestment of the Latin American,
Eurasian and US business. In the course of the divestment process of these businesses the composition of the Insurance Investments
portfolio may change. Furthermore, at some stage parts of the Insurance Investments portfolio itself may be divested or closed down.
Insome cases this can take many years. Currently the most important parts of this portfolio are:
• Financing activities of ING Insurance and some of it’s sub holdings;
• Certain activities related to prior divestments, such as legal claims in Mexico and the ownership of a Mexican mortgage company;
• ING’s stake in the Brazilian SulAmerica joint venture;
• The run-off of former non-life and reinsurance activities.
The largest asset is the Brazilian SulAmerica joint venture with a balance sheet value of EUR 394 million. Insurance Investments is
primarily the responsibility of the ING CFO. Winding down financing activities is delegated to ING Capital Management. Other Insurance
Investments businesses are managed by the newly appointed General Manager Insurance Investments. Insurance Investments is supported
by the Finance and Risk functions of ING Group. From a risk perspective a key element of this structure is support from Group functions
such as Credit Risk, Market Risk, Operational Risk and Legal & Compliance and Internal Audit and from the Functional Controller Insurance.
278 ING Group Annual Report 2011