ING Direct 2009 Annual Report Download - page 207

ING Group
Capital at Risk
The level of Capital at Risk (CaR) provides understanding as to whether ING can maintain a sound financial position under a ‘moderate’
(i.e. 1 in 10) stress scenario.
The below two tables show the CaR figures per risk type, split over Bank and Insurance and combined for ING Group. The levels shown
are undiversified levels for ING Bank and ING Insurance, meaning that the diversification between Bank and Insurance is not yet included in
these figures. This diversification benefit is shown separately. The column ‘Inter-risk diversification %’ shows the benefit of combining the
CaR figures for all risk types. For example, the 39% for ING Bank indicates that the total Bank figure for all risk types is 39% lower than
the sum of the individual CaR figures per risk type. Similarly the row ‘Bank-Insurance diversification %’ shows the diversification benefit
derived from combining the Bank and Insurance CaR figures for each risk type into a Group CaR figure for each risk type. This presentation
format differs from the format in the 2008 annual report and as such the figures are different from those shown last year. Since this is only
a different representation, the final figure for ING Group has not changed.
Capital at Risk by risk type
Credit and
Transfer Market Insurance Business Operational
Inter-risk
diversifi-
cation % Total
2009 Interest Rate Equity Real Estate FX
ING Bank 3,396 2,128 930 720 210 1,367 607 39% 5,673
ING Insurance 1,047 3,287 2,209 401 681 736 1,059 260 42% 5,609
Bank-Insurance
diversification % 0% 45% 8% 6% 5% 0% 21% 16% 18%
Total ING Group 4,427 2,970 2,892 1,054 850 736 1,928 730 41% 9,240
Capital at Risk by risk type
Credit and
Transfer Market Insurance Business Operational
Inter-risk
diversifi-
cation % Total
2008 Interest Rate Equity Real Estate FX
ING Bank 2,852 2,169 760 773 416 357 626 36% 5,097
ING Insurance 710 2,146 1,641 473 608 758 801 344 44% 4,226
Bank-Insurance
diversification % 0% 24% 4% 6% 6% 0% 18% 26% 12%
Total ING Group 3,562 3,294 2,306 1,171 960 758 955 714 40% 8,223
The Capital at Risk figure substantially increased over 2009 due to higher credit risk, equity risk and business risk.
The increase in credit risk was mainly caused by rating migration. The higher equity risk is primarily due to the recovery of the markets:
higher values of equity investments mean higher exposures as well. The increase in business risk for the Bank resulted from the
reclassification of client behaviour risk from interest rate risk to business risk. Client behaviour risk is related to retail portfolios; examples
are outflow risk from savings portfolios and prepayment model risk for mortgages. Although the reclassification initially led to lower
interest rate risk for the bank, that decrease was off-set by the inclusion of the interest rate risk for investments of core equity.
2.1 Consolidated annual accounts
Risk management (continued)
ING Group Annual Report 2009 205