ING Direct 2009 Annual Report Download - page 296

If all of the unused commitments were called upon at the same time, ING’s credit risks (in terms of outstandings) would increase by 11%.
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.
Exposures secured by third party guarantees received
Central
Governments
and Central
Banks Institutions Corporate
Residential
mortgages Other retail Total 2009 Total 2008
Standardised Approach 852 13 865 483
Advanced IRB Approach 14,022 7,738 42,583 563 5,856 70,762 143,444
Total 14,022 7,738 43,435 563 5,869 71,627 143,927
* 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 outstandings from derivatives (SA and AIRB)
Central
Governments
and Central
Banks Institutions Corporate
Residential
mortgages Other retail Total 2009 Total 2008
Credit Derivatives 91,543 875 2,427 4,243
Derivatives 23 92 4119 64
Equity Derivatives 475 837 11 1,323 1,597
Foreign Exchange Derivatives 203 2,431 2,508 41 5,183 10,694
Interest Rate Derivatives 2,729 11,863 7,616 99 22,307 23,289
Commodity derivative 3 3 0
Total 2,941 16,335 11,931 155 31,362 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 outstandings from derivatives (SA and AIRB)
Central
Governments
and Central
Banks Institutions Corporate
Residential
mortgages Other retail Total 2009 Total 2008
Gross positive MTM before netting
and collateral 3,275 62,566 20,361 156 86,358 129,767
Mark to market (MTM) after netting 2,941 19,254 12,606 155 34,956 43,869
MTM after netting and collateral 2,941 16,335 11,931 155 31,362 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 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.
ING Group Annual Report 2009
294
Additional Pillar 3 information for ING Bank only (continued)
2.4 Additional information