ING Direct 2009 Annual Report Download - page 284

Regulatory capital requirements
2009 2008
Credit risk
Portfolios subject to standardised approach 2,540 3,083
Portfolios subject to advanced IRB approach
– Central governments and central banks 245 309
– Institutions 1,235 1,680
– Corporate 9,629 9,366
– Residential mortgages 4,360 3,062
– Other retail 1,129 885
Total portfolios subject to advanced IRB approach 16,598 15,302
Securitisation exposures 1,156 2,321
Equity portfolios in the banking book under
the simple risk weight approach 364 194
Other Non-Credit Obligation Assets (ONCOA) 2,132 2,166
Total credit risk 22,790 23,066
Market risk
Standardised approach 150 449
Internal models approach – trading book 341 587
Total market risk 491 1,036
Operational risk
Advanced measurement approach 3,309 3,368
Total Basel II required Regulatory Capital 26,590 27,470
Basel II floor* 28,709 34,369
Additional capital requirement (due to floor) 2,119 6,899
* In 2008 the floor was 90% of Basel I required Regulatory Capital, while in 2009 the floor is 80%.
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 2,119 million for 2009 (EUR 6,899 million in 2008).
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.
ING Group Annual Report 2009
282
Additional Pillar 3 information for ING Bank only (continued)
2.4 Additional information