ING Direct 2008 Annual Report Download - page 269

Average LGD by PD Grade under the AIRB approach
2008
Central
governments
and central
banks Institutions Corporate
Residential
mortgages Other retail Total
11 (AAA) 20% 16% 34% 10% 53% 23%
12 (AA+) 20% 22% 34% 10% 46% 20%
13 (AA) 20% 21% 37% 10% 42% 23%
14 (AA-) 20% 22% 41% 10% 37% 23%
15 (A+) 20% 24% 35% 12% 55% 27%
16 (A) 21% 24% 28% 10% 52% 25%
17 (A-) 24% 27% 31% 21% 40% 26%
18 (BBB+) 55% 27% 34% 18% 22% 27%
19 (BBB) 18% 37% 29% 16% 33% 23%
10 (BBB-) 41% 29% 25% 14% 26% 19%
11 (BB+) 22% 38% 20% 13% 37% 17%
12 (BB) 37% 42% 22% 16% 38% 20%
13 (BB-) 49% 43% 18% 16% 40% 20%
14 (B+) 8% 36% 23% 15% 39% 23%
15 (B) 8% 43% 26% 13% 45% 21%
16 (B-) 52% 74% 20% 14% 33% 25%
17 (CCC-C) 17% 33% 30% 12% 37% 24%
18 (Special Mention) 20% 24% 16% 19% 19% 17%
19 (Substandard) 33% 48% 18% 14% 35% 18%
20 (Doubtful) 28% 30% 25% 24% 44% 27%
21 (Liquidation – no loss) 1% 15% 14% 57% 16%
22 (Liquidation – with loss) 15% 27% 14% 73% 36%
Total 21% 24% 26% 15% 36% 22%
Includes both AIRB portfolios; Excludes securitisations, equities and ONCOA.
Excludes revaluations made directly through the equity account.
The table above represents the weighted average LGD for each of the represented combination of PD Grade and Exposure Class. For
example, the weighted average LGD for an AAA rated corporate is 34%, while the weighted average LGD for a BBB rated corporate is
29%. LGD percentages are influenced by the transactional structure of the financial obligation, the related collateral or covers provided,
and the country in which the collateral (if any) would have to be recovered.
In certain cases, the portfolio size is relatively small, which can also have an effect on the weighted average LGD in a given PD Grade and
Exposure Class. Therefore, this table should be read in conjunction with the previous table (Exposures (EAD) by PD grade).
Undrawn Commitments
2008
Central
governments
and central
banks Institutions Corporate
Residential
mortgages Other retail Total
Standardised Approach 4228 2,625 454 7,208 10,519
AIRB Approach 208 2,403 55,310 10,439 7,818 76,178
Total 212 2,631 57,935 10,893 15,026 86,697
Includes both AIRB and SA portfolios; Excludes securitisations, equities and ONCOA.
Excludes revaluations made directly through the equity account.
These figures represent the potential exposure that may be drawn by ING’s obligors under committed facilities. In most cases, the
obligors have the right to make use of these facilities unless an event of default has occurred, or another defined event within the
associated credit risk agreement has occurred. In most cases, the obligor pays a commitment fee to ING on the unused portion of
these facilities. Pre-Settlement, Money Market and Investment limits are generally not committed.
If all of the unused commitments were called upon at the same time, ING’s credit risks (in terms of outstandings) would increase by 12%.
As part of its Exposure at Default (EAD) models, ING makes an estimate of how much of these unused commitments would be drawn
under normal circumstances. The effect is included in the calculation of RWA, together with a similar effect applied to uncommitted
facilities, albeit at a lower rate.
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ING Group Annual Report 2008