ING Direct 2008 Annual Report Download - page 270

Exposures secured by third party guarantees received
2008
Central
governments
and central
banks Institutions Corporate
Residential
mortgages Other retail Total
Standardised Approach 481 2483
AIRB Approach 8,689 7,922 120,253 574 6,006 143,444
Total 8,689 7,922 120,734 574 6,008 143,927
Includes both AIRB and SA portfolios; Excludes securitisations, equities and ONCOA.
Excludes revaluations made directly through the equity account.
From time to time, ING extends loans for which it receives a specific financial guarantee from a non-related counterparty or obligor. The
figures in this table represent the EAD that has been guaranteed by these non-related parties. It does not include non-guaranteed amounts.
For example, if a given credit risk is only partially guaranteed by a third party then only the portion of the amount which is guaranteed is
included in the figures above. These figures exclude any guarantees which are received from a party related to the obligor, such as a
parent or sister company. The figures also exclude any guarantees that may be implied as a result of credit default swap activities.
Additionally, amounts that have been guaranteed as part of a government-sponsored mortgage program are also excluded. The figures
above do include amounts that are guaranteed through an unfunded risk participation construction.
Counterparty credit risk (EAD) from derivatives (SA and AIRB)
2008
Central
governments
and central
banks Institutions Corporate
Residential
mortgages Other retail Total
Credit Derivatives 22 2,681 1,540 4,243
Derivatives 355 664
Equity Derivatives 757 812 28 1,597
Foreign Exchange Derivatives 529 5,282 4,814 69 10,694
Interest Rate Derivatives 2,239 13,586 7,412 52 23,289
Total 2,790 22,309 14,633 155 39,887
Includes both AIRB and SA portfolios; Excludes securitisations, equities and ONCOA.
Excludes revaluations made directly through the equity account.
The figures in above table are calculated using the mark-to-market plus (regulatory) add-on methodology used for calculating Basel II
RWA and are shown after adjustments for compensation and legal netting. This methodology allows ING to classify virtually all of its
derivatives exposures under the AIRB approach.
Counterparty credit risk (EAD) from derivatives (SA and AIRB)
2008
Central
governments
and central
banks Institutions Corporate
Residential
mortgages Other retail Total
Gross MTM plus regulatory add-on 2,861 96,664 30,086 156 129,767
Amount after compensation 2,790 25,750 15,174 155 43,869
Amount after compensation, netting and collateral 2,790 22,309 14,633 155 39,887
Includes both AIRB and SA portfolios; Excludes securitisations, equities and ONCOA.
Excludes revaluations made directly through the equity account.
As part of its normal securities financing and derivatives trading activities, ING enters into master agreements such as ISDAs, GMRAs,
etc. Under the terms contained in sections related to Minimum Threshold Amounts and Minimum Transfer Amounts of Collateral Support
Annexes (CSAa) or other similar clauses, both ING and it counterparties may agree to pledge additional collateral to each other in the
event that either party is downgraded by one of the established rating agencies. ING Bank has determined that under prevailing market
conditions, a one notch downgrade would only have a limited (marginal) effect on the amount of additional collateral that ING would
be required to pledge under these agreements. However, the actual amount that ING may be required to pledge in the future may vary
based on ING’s portfolio composition of both derivatives and securities pledged in securities financing transactions, market circumstances,
the number of downgrade notches as well as the terms and conditions of future CSAs or other similar agreements entered into.
2.4 Additional information
Additional Pillar 3 information for ING Bank only (continued)
ING Group Annual Report 2008
268