ING Direct 2013 Annual Report Download - page 384

REGULATORY CAPITAL REQUIREMENTS FOR ALL RISK TYPES
Regulatory capital requirements
2013 2012
Credit risk
Portfolios subject to standardised approach 2,023 2,415
Portfolios subject to AIRB approach
– Sovereigns 540 217
– Institutions 1,505 1,121
– Corporate 8,050 7,773
– Residential mortgages 4,102 3,524
– Other retail 1,335 1,286
Total portfolios subject to AIRB approach 15,530 13,920
Securitisation exposures 218 442
Equity portfolios in the banking book under the simple risk weight
approach 69 201
Other Non-Credit Obligation Assets 1,233 1,708
Total Credit Risk 19.074 18,685
Market risk
Standardised approach 37 28
Internal models approach - trading book 667 744
Total Market risk 704 772
Operational risk
Advanced measurement approach 2,823 2,836
Total Basel II required Regulatory Capital 22,600 22,292
Basel I floor* 26,913 28,767
Additional capital requirement 4,312 6,475
This table includes securitisation benefits of the SA, AIRB and securitisation portfolios, amounting to EUR 21 million for 2013.
* The floor is 80% of Basel I required Regulatory Capital.
ONCOA represents assets of non-credit obligation character that are not included in the SA or AIRB calculations. Capital requirement for
ONCOA as of 31 December 2013 is EUR 1,233 million (2012: EUR 1,708 million).
In 2007, in order to prevent large short-term effects on capital requirements, the regulators introduced transition rules (the ‘capital floor’)
for institutions implementing the Basel II capital adequacy reporting. For 2013 and 2012 the capital requirement was not allowed to fall
below 80% of the capital requirements calculated under Basel I regulations. The additional capital requirements according to the transition
rules are EUR 4,312 million for 2013 (EUR 6,475 million in 2012).
The increase in Basel II required regulatory capital can be explained by the continuing deterioration in the economic conditions in many
ING Bank markets leading to both rating migration and downward adjustments to key risk favours reflected in AIRB models. 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 paragraph, section ‘Regulatory Capital’. The table below provides an overview of the changes in the available
regulatory capital.
Additional Pillar 3 information continued
382 ING Group Annual Report 2013