ING Direct 2013 Annual Report Download - page 407

Outstandings by tenor bucket (credit risk outstandings)
Sovereigns Institutions Corporate
Residential
mortgages Other retail Total Total
2013 2012
Current Outstandings 86,561 106,054 184,471 274,181 34,478 685,745 713,582
1 month 76,006 82,960 177,069 273,633 33,882 643,551 668,820
3 month 67,179 76,682 167,708 273,037 33,212 617,819 621,476
6 month 64,859 69,646 155,853 272,206 32,148 594,712 603,879
1 year 58,852 58,777 118,819 269,642 25,384 531,475 541,570
2 years 56,461 49,363 92,213 265,183 21,022 484,241 485,206
3 years 53,437 42,152 71,664 260,291 18,087 445,632 4 47,324
5 years 43,194 23,214 41,242 249,624 12,228 369,501 372,654
7 years 33,969 18,206 28,244 232,781 8,676 321,876 334,049
10 years 17,248 6,560 17,082 204,661 5,661 251,212 273,138
Includes both AIRB and SA portfolios; excludes securitisations, equities and ONCOA.
Non-performing Loans (rating 20-22) are excluded in the figures above.
The large decrease in current outstandings compared to last year is mainly related to the sale of ING Direct UK and part of the
WestlandUtrecht Bank portfolio which is mainly visible in the 10 years tenor bucket.
SECURITISATIONS
The following information is prepared taking into account the ‘Industry Good Practice Guidelines on Pillar 3 disclosure requirements for
securitisations’ (the Guidelines) issued by the European Banking Federation and other industry associations on 31 January 2010 and the
CRD disclosure requirements. It includes qualitative and quantitative disclosures addressing both the exposure securitised as well as
securitisations positions held. While quantitative disclosures are limited to those securitisations that are used for the purpose of calculating
the regulatory capital requirements under the CRD, qualitative information have a broader scope and give a view on ING Bank’s entire
securitisation activity.
Depending on ING Bank’s role as investor, originator, or sponsor the objectives, the involvement and the rules applied may be different.
ING Bank is primarily engaged in securitisation transactions in the role of investor (in securitisations arranged by others). To a lesser extent,
ING Bank is also an originator or sponsor of securitisations that are usually traded in the public markets. ING does not re-securitise its
securitisations exposure and even though ING bank hedges its securitisation positions, such instruments are not recognized as credit risk
mitigants for regulatory capital purposes.
Valuation and accounting policies
ING Bank’s activities regarding securitisations are described in Note 57 ’Structured entities’ in the annual accounts. The applicable
accounting policies are included in the section ‘Accounting policies for the consolidated annual accounts of ING Bank’ in the annual
accounts. The most relevant accounting policies for ING Bank’s own originated securitisation programmes are ‘Derecognition of financial
assets’ and ‘Consolidation’. Where ING Bank acts as investor in securitisation positions, the most relevant accounting policy is
‘Classification of financial instruments’.
Regulatory capital method used and Rating Agencies
ING Bank has implemented the AIRB approach for credit risk. As a consequence, ING Bank uses the Rating Based Approach (RBA) for
investments in tranches of asset-backed securities (ABS) and mortgage-backed securities (MBS) which have been rated by external rating
agencies. Rating agencies which are used by ING Bank under the RBA include Standard & Poor’s, Fitch, Moody’s and DBRS.
Under the RBA, the risk-weighted assets (RWA) are determined by multiplying the amount of the exposure by the appropriate regulatory
risk weights, which depend on: the external rating or an available inferred rating; the seniority of the position; and the granularity of the
position.
ING Bank uses the Internal Assessment Approach (IAA) for the support facilities it provides to Asset Backed Commercial Paper (ABCP)
conduit Mont Blanc Capital Corp., based on externally published rating agency methodologies. Under the IAA approach, the unrated
position is assigned by the institution to an internal rating grade, which is estimated using an ING developed model. The position is then
attributed a derived rating by mapping the internal rating grade to an externally published credit assessments corresponding to that rating
grade.
At ING, the investment policies define eligible product types, minimum ratings, maximum tenors and exposure caps, both at issuer level as
well as for portfolios. Under Basel III most Securitisations no longer qualify as high quality liquid assets for the liquidity buffer and are
hence no longer eligible assets under the investment policies. The ING Direct units no longer invest in Securitisations and have not been
investing in Securitisations during 2013. The dominant product classes in the existing investment portfolio are RMBS and ABS. Prior to
purchase, each investment proposal is analysed by Credit Risk Management and decided upon by authorised mandate holders pursuant to
the signatory approval process in place at ING Bank. In 2013 ING Direct did not purchase any new securitisations.
Additional Pillar 3 information continued
405ING Group Annual Report 2013
1 Who we are 2 Report of the Executive Board 3 Corporate governance 4 Consolidated annual accounts 5 Parent company annual accounts 6 Other information 7 Additional information