ING Direct 2009 Annual Report Download - page 297

Counterparty credit risk outstandings from securities financing (SA and AIRB)
Central
Governments
and Central
Banks Institutions Corporate
Residential
mortgages Other retail Total 2009 Total 2008
Bond Financing Given 330 2,997 3,062 6,389 2,080
Equity Financing Given 555 2,187 42 2,784 11,76 4
Bond Financing Taken 2,143 1,289 3,432 1,230
Equity Financing Taken 541 607 33 1,181 2,292
Total 330 6,236 7,145 75 13,786 17,366
* Includes both AIRB and SA portfolios; Excludes securitisations, equities and ONCOA.
* Excludes revaluations made directly through the equity account.
Counterparty credit risk outstandings from securities financing (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 339 10,045 10,797 75 21,256 29,472
Mark to market (MTM) after netting 330 9,493 9,489 75 19,387 22,543
MTM after netting and collateral 330 6,236 7,145 75 13,786 17,366
* Includes both AIRB and SA portfolios; Excludes securitisations, equities and ONCOA.
* Excludes revaluations made directly through the equity account.
The previous four tables are calculated using the mark-to-market plus (Regulatory) add-on methodology used for calculating Basel II RWA
for determining the gross exposures. In order to determine the amount of credit risk applicable, ING first matches the trades with similar
characteristics to determine their eligibility for offsetting. This offsetting effect is called ‘compensation’. Subsequently, ING reduces the
amount by any legal netting that may be permitted under various types of Master Agreements, such as ISDAs, GMRAs, GMSLAs, etc.
Lastly, the amount is further reduced by any collateral that is held by ING under CSAs or other similar agreements.
CREDIT RISK MITIGATION
Credit risks from credit derivatives (notional amounts)
2009 2008
Credit derivatives used for hedging purposes
– credit protection bought 982 2,019
Credit derivatives used for trading activities
– credit protection bought 35,235 50,092
– credit protection sold 30,276 45,395
* Includes both AIRB and SA portfolios; Excludes securitisations, equities and ONCOA.
* Excludes revaluations made directly through the equity account.
ING actively participates in the credit risk derivative (CDS) trading market, as a net purchaser of credit risk protection from other
counterparties. ING has purchased a small amount of credit risk protection for hedging purposes, usually in order to reduce concentration
on certain ‘legal one obligor groups’ without having to reduce ING’s relationship banking activities. ING does not actively sell credit default
swaps for hedging or investment purposes. Although Basel II rules permit a reduction of credit risk capital under certain circumstances
where ING has purchased CDS protection, ING does not currently make use of this provision in determining its Basel II capital base.
The figures above represent the notional amount of credit risk default swaps that ING has entered into for the represented purpose. The
credit risk on the counterparties associated with credit default swap protection bought is included in the pre-settlement risk calculations
for the given counterparty, and not in the figures above. For credit default protection sold, ING incurs synthetic issuer risk, on which capital
is calculated, depending on its purpose, either hedging or trading.
ING Group Annual Report 2009 295
Additional Pillar 3 information for ING Bank only (continued)
2.4 Additional information