ING Direct 2008 Annual Report Download - page 258

REGULATORY CAPITAL REQUIREMENTS
Regulatory capital requirements
2008
Credit risk
Portfolios subject to standardised approach 3,083
Portfolios subject to advanced IRB approach
– Central governments and central banks 309
– Institutions 1,680
– Corporate 9,366
– Residential mortgages 3,062
– Other retail 885
Total portfolios subject to advanced IRB approach 15,302
Securitisation exposures 2,321
Equity portfolios in the banking book under the simple risk
weight approach 194
Other Non-Credit Obligation Assets (ONCOA) 2,166
Total credit risk 23,066
Market risk
Standardised approach 449
Internal models approach – trading book 587
Total market risk 1,036
Operational risk
Advanced measurement approach 3,368
Total Basel II required Regulatory Capital 27, 470
Basel II floor* 34,369
Additional capital requirement 6,899
* 90% of Basel I required Regulatory Capital.
In order to prevent large short term effects on capital requirements, the regulators introduced transition rules (the ‘capital floor’) for
institutions implementing the new capital adequacy reporting. For 2008 and 2009 the capital requirements should be no less than 90%
and 80% respectively of the capital requirements calculated under Basel I regulations. The additional capital requirements according to
the transition rules are EUR 6,899 million.
The required regulatory capital shown in this section should be compared to the available regulatory capital for which details can be
found in the Capital Management section under the heading ‘Regulatory Capital’.
CREDIT RISK
BASIS OF PRESENTATION FOR CREDIT RISK
The following paragraphs address the risk information for Pillar 3 reporting.
For credit risk, data included in these tables is related to ING Bank’s core credit risk activities in the areas of: Securities Financing,
Derivatives (collectively Pre-Settlement Risk); Money Market activities (including reserve deposits at Central Banks); Lending (both on and
off balance sheet); and Investment risks.
The amounts presented in this section relate to amounts used for credit risk management purposes, which follow ING’s interpretation of
the definitions as prescribed under the Basel II accords. Therefore, the numbers are different than the accounting numbers as reported in
the annual accounts under IFRS-EU. Figures for Derivatives and Securities Financing are based on ‘risk weighted amounts’, which generally
is equal to the mark-to-market value of the underlying trades plus a (regulatory defined) ‘add-on’ which represents estimated potential
future exposure. The amounts are then further modified by an adjustment that is related to the underlying collateral (market) values (after
a haircut is applied) and any legal netting or compensation that may be permitted under various master agreement arrangements, such
as ISDAs, CSAs, GMLAs, etc.
2.4 Additional information
Additional Pillar 3 information for ING Bank only (continued)
ING Group Annual Report 2008
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