ING Direct 2013 Annual Report Download - page 126

Debt securities by type and balance sheet lines - Available-for-sale investments and Assets at amortised cost (total)
Available-for-sale
investments
Held-to-maturity
investments
Loans and
advances to
customers
Amounts due
from banks
Total Banking
and Insurance
operations
2013 2012 2013 2012 2013 2012 2013 2012 2013 2012
Government bonds 95,936 97,427 50 330 3,654 7,641 99,640 105,398
Covered bonds 8,937 8,359 2,563 5,558 4,559 5,408 3,059 3,249 19,118 22,574
Corporate bonds 8,012 43,972 805 438 8,817 44,410
Financial institutions’ bonds 16,158 23,131 130 301 81 91 137 16,369 23,660
Bond portfolio (excluding ABS) 129,043 172,889 2,743 6,189 9,099 13,578 3,059 3,386 143,944 196,042
US agency RMBS 477 4,642 477 4,642
US prime RMBS 13 1,037 13 1,037
US Alt-A RMBS 89 440 89 440
US subprime RMBS 13 756 13 756
Non-US RMBS 395 501 7,903 8,715 8,298 9,216
CDO/CLO 59 291 197 290 256 581
Other ABS 514 1,548 355 356 4,270 3,786 5,139 5,690
CMBS 29 3,773 445 576 474 4,349
ABS portfolio 1,589 12,988 355 356 12,815 13,367 14,759 26,711
130,632 185,877 3,098 6,545 21,914 26,945 3,059 3,386 158,703 222,753
Approximately 90% of the exposure in the ABS portfolio is externally rated AAA, AA or A.
In connection with the divestment of ING Direct USA, ING completed in 2012 the restructuring of the agreement with the Dutch State
concerning the Illiquid Assets Back-Up Facility (IABF). As a result of the restructuring, EUR 7.3 billion (USD 9.5 billion) of the loan due from
the Dutch State was converted into Dutch Government Debt Securities. These debt securities are classified as Loans and advances to
customers; the balance as at 31 December 2013 amounts to EUR 2.5 billion (USD 3.4 billion). Reference is made to Note 55 ‘Companies
and businesses acquired and divested’ and Note 58 ‘Related parties’.
Debt securities - Exposure to certain Asset backed securities
The table below shows certain ABS (US Subprime RMBS, Alt-A RMBS, CMBS and CDO/CLOs). It includes exposures in all relevant balance
sheet lines, including not only loans and advances and available-for-sale investments as disclosed above, but also financial assets
designated as at fair value through profit and loss.
Exposures, revaluations and losses on certain ABS bonds
31 December 2013 Change in 2013 31 December 2012
Balance sheet
value (1)
Before tax
revaluation
reserve
Changes through
equity
(before tax)
Changes through
profit andloss
(before tax) Other changes
Balance sheet
value (1)
Before tax
revaluation
reserve
US subprime RMBS 13 35 –778 756 –35
US Alt-A RMBS 96 –59 –303 457 59
CDO/CLO 376 –8 –29 –399 804 21
CMBS 475 –1 –39 –3,923 4,437 38
Total 960 –9 –92 –5,403 6,454 83
(1) For assets classified as loans and advances to customers: amortised cost; otherwise: fair value.
Reference is made to Note 46 ‘Fair value of assets and liabilities’ for disclosure by fair value hierarchy and Note 25 ‘Investment income’ for
impairments on available-for-sale debt securities.
Debt securities - Exposure to Government bonds and Unsecured Financial institutions’ bonds on Greece, Italy, Ireland,
Portugal, Spain and Cyprus
2013
Since 2010 concerns arose regarding the creditworthiness of certain European countries. As a result of these concerns the value of
sovereign debt decreased and exposures in those countries are being monitored closely. With regard to the sovereign debt crisis, ING
Group’s main focus is on Greece, Italy, Ireland, Portugal, Spain and Cyprus as these countries have either applied for support from the
European Financial Stability Facility (‘EFSF’) or receive support from the European Central Bank (‘ECB’) via government bond purchases in
the secondary market. For these countries, ING Group’s main focus is on exposure to Government bonds and Unsecured Financial
institutions’ bonds.
Notes to the consolidated annual accounts of ING Group continued
124 ING Group Annual Report 2013