ING Direct 2008 Annual Report Download - page 200

2.1 Consolidated annual accounts
The average exposure over 2008 was substantially higher than 2007 (average VaR 2008: EUR 53 million and average VaR 2007:
EUR 34 million). This increase is to a large extent related to the increase of volatility in the different financial markets, as well as the changes
in the correlation between different markets and products. As a result, the consolidated trading VaR exceeded the EUR 60 million limit in
the fourth quarter. ALCO Bank approved a temporary increase of the limit to 66 million to accommodate the changed market circumstances
and a gradual reduction of the exposure. The consolidated trading VaR peaked at a level of EUR 72 million on October 24th. The management
of CMRM and Wholesale Banking/Financial Markets have taken further actions to bring back the exposure within the limit. As the VaR
decreased during the last two months of the year, the limit was reduced to its original level of EUR 60 million per mid December.
More details on the VaR of the ING Wholesale Banking trading portfolio for 2008 and 2007 are provided in the table below.
Consolidated trading VAR: ING Wholesale Bank
Minimum Maximum Average Year-end
2008 2007 2008 2007 2008 2007 2008 2007
Foreign exchange 42975474
Equities 5513 13 8976
Interest rate 33 22 58 43 45 27 43 43
Diversification (1) –5 –6 –3 –5
Total VaR 53 34 54 48
(1) The total VaR for the columns Minimum and Maximum can not be calculated by taking the sum of the individual components since the observations for both
the individual markets as well as total VaR may occur on different dates.
Note: the above captions are consistent with those used for internal risk management purposes and do not relate to financial statement captions.
In general, the level of the trading VaR was not only higher in 2008, but also showed larger movements. The interest rate market,
which includes both the general interest rate and credit spread exposures, provided the largest contribution to the trading VaR.
The following table shows the largest trading positions in foreign exchange, interest rate and corporate credit spread positions.
The corporate credit spread sensitivities are furthermore split in different risk classes and sectors.
Most important foreign exchange, interest rate and credit spread positions (year end 2008)
2008
Foreign exchange
Singapore dollar –91
Mexican peso 69
South Korean won –68
US dollar 55
Chinese yuan 46
Interest Rate (Bpv (1))
Eurozone –1.272
Mexico –0.289
United States 0.241
South Korea – 0.111
Taiwan 0.060
Credit Spread (Bpv (1))
Eurozone –0.247
United States – 0.187
Mexico –0.097
Japan –0.056
United Kingdom –0.032
(1) Bpv (or basis point value) refers to profit and loss account sensitivity per 1bp increase in the interest rate or credit spread.
Risk management (continued)
ING Group Annual Report 2008
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