ING Direct 2008 Annual Report Download - page 268

Non-Rating Model based Ratings:• this pertains to Risk Ratings not calculated by means of an approved Rating Model, but manually
calculated or set on the basis of an approved subjective methodology. These are generally only used for problem loan classifications
(18-22) which are owned by the relevant global or regional credit restructuring unit; and for the securitisation portfolios, whereby the
external ratings of the tranche in which ING has invested are leading.
Exposures (EAD) by PD grade under the AIRB approach
2008
Central
governments
and central
banks Institutions Corporate
Residential
mortgages Other retail Total
11 (AAA) 28,745 1,857 7,698 181 38,481
12 (AA+)126,271 2,185 1,553 1,859 146 32,014
13 (AA) 3,321 19,158 5,142 1,990 100 29,711
14 (AA-) 11,463 43,761 6,352 1,046 84 62,706
15 (A+) 618 23,075 9,156 4,761 2,638 40,248
16 (A) 314 10,589 12 ,181 1,571 311 24,966
17 (A-) 865 9,357 14,793 18,839 1,086 44,940
18 (BBB+) 948 5,441 24,173 19,238 2,481 52,281
19 (BBB) 129 1,950 30,589 40,149 4,067 76,884
10 (BBB-) 848 3,792 39,143 45,809 3,523 93,115
11 (BB+) 116 1,636 35,671 66,961 6,085 110,469
12 (BB) 1,969 1,329 30,210 30,016 2,558 66,082
13 (BB-) 42 1,121 23,890 6,088 2,036 33,177
14 (B+) 151 432 14,343 1,501 1,139 17,566
15 (B) 53 415 4,993 7,396 1,089 13,946
16 (B-) 403 2,289 855 347 3,894
17 (CCC-C) 91,011 3,771 2,776 481 8,048
18 (Special Mention) 52 2,183 311 488 3,034
19 (Substandard) 343 567 1,566 271 2,450
20 (Doubtful) 4181 3,359 1,466 679 5,689
21 (Liquidation – no loss) 182 1,346 79 1,607
22 (Liquidation – with loss) 9407 23 110 549
Total 75,869 127,797 272,645 255,567 29,979 761,857
Includes only AIRB portfolios; Excludes securitisations, equities and ONCOA.
Excludes revaluations made directly through the equity account.
The figures presented above are based on EAD and as such differ from those presented in the annual accounts due to different
measurement methodology.
Over 95% of ING’s credit risks have been rated using one of the in-house developed PD rating models. Within the AIRB Portfolio,
the level of Basel II ratings exceeds 99% coverage by exposure. Bankwide, ING has implemented approximately 90 PD models,
including various submodels that may be applicable. Some of these models are universal in nature, such as models for
Large Corporate, Commercial Banks, Insurance Companies, Central Governments, Local Governments, Funds, Fund Managers,
Project Finance, and Leveraged Companies. While other models are more regional or country specific, such as PD models for
SME companies in Central Europe, the Netherlands, Belgium, Luxembourg, and the United Kingdom, as well as residential mortgage
and consumer loan models in the various retail markets.
Rating Models for retail obligors are predominantly statistically driven and automated, such that they can be updated on a monthly or
bi-monthly basis. Models for SME companies, and larger corporates, institutions and banks are manually updated, and are individually
monitored on at least an annual basis.
Under Basel II rules, the nominal exposures are weighted to determine the RWA (and regulatory capital) of a portfolio, under a ‘risk-based
approach’. This approach dictates that less capital is required for credit risks which are well-rated, while progressively more capital is
required as an obligor’s risk (rating) deteriorates. This effect can cause RWA assets to increase or decrease together with risk rating
migration without a significant change in the size of the underlying financial assets, in terms of financial accounting. As such, rating
migrations are closely monitored within ING.
2.4 Additional information
Additional Pillar 3 information for ING Bank only (continued)
ING Group Annual Report 2008
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