ING Direct 2011 Annual Report Download - page 186

Notes to the consolidated annual accounts of ING Group continued
Asset backed security portfolio
Fair value hierarchy of pressurised ABS bonds
2011 Level 1 Level 2 Level 3 Total
US Subprime RMBS 763 11 774
US Alt-A RMBS 495 7502
CDO/CLOs 643 420 469
CMBS 24,404 64,412
Total pressurised ABS 8 5,705 444 6,157
Transactions with ING Bank N.V. and ING Verzekeringen N.V.
2010 Level 1 Level 2 Level 3 Total
US Subprime RMBS 17 1,630 1,647
US Alt-A RMBS 2,209 638 2,847
CDO/CLOs 965 557 631
CMBS 15,040 95,050
Total pressurised ABS 10 7,331 2,834 10,175
Greece, Italy, Ireland, Portugal and Spain
Of the Government and Unsecured Financial institutions’ bonds exposure in Greece, Italy, Ireland, Portugal and Spain as disclosed in Note
4 ‘Investments’, EUR 5.3 billion is classified as available-for-sale and is measured at fair value (with the revaluation recognised in equity,
taking into account impairments that are recognised in the profit and loss account). The table below provide the fair value hierarchy per
year-end 2011 for the Greek, Italian, Irish, Portuguese and Spanish Government and Unsecured Financial institutions’ bond exposure
measured at fair value.
Fair value hierarchy of Greek, Italian, Irish, Portuguese and Spanish bonds at fair value
2011 Level 1 Level 2 Level 3 Total
Greece
Government bonds 219 36 255
Italy
Government bonds 1,705 86 242 2,033
Financial institutions 311 373 684
Ireland
Government bonds 43 43
Financial institutions 44 44
Portugal
Government bonds 533 533
Financial institutions 60 65 125
Spain
Government bonds 1,178 12 1,190
Financial institutions 277 277
Total 4,151 755 278 5,184
Classification of bonds in Levels 2 and 3 is mainly a result of decreased trading liquidity in the relevant markets.
184 ING Group Annual Report 2011