ING Direct 2013 Annual Report Download - page 408

Securitisations - credit risk disclosure
2013 2012 Delta %
Securitisations Geography
America 4,285 5,521 –22.4%
Asia 112 172 –35.2%
Australia 85 228 –62.7%
Europe 5,376 6,179 –13.0%
9,858 12,101 –18.5%
Europe
Spain 2,176 2,530 –14.0%
United Kingdom 1,294 1,428 –9.4%
Italy 827 815 55.5%
Netherlands 553 532 –32.2%
Rest of Europe 525 873 –39.8%
5,376 6,179 –13.0%
Securitisations Product Type
Residential Mortgage Backed
Securities 5,273 5,874 –10.2%
Asset Backed Securities 2,088 2,399 –13.0%
Securitisation Liquidity (1) 1,618 1,345 20.3%
Revolvers 378 0 –
Interest Rate Derivatives 177 262 –32.6%
Synthetic Investment Bonds (2) 01,439 –100.0%
Other 325 782 –58.4%
9,858 12,101 –18.5%
Securitisations Exposure Class (3)
Securitisation Investor 7,544 10,078 –25.1%
Securitisation Sponsor 2,314 2,022 14.4%
Total 9,858 12,101 –18.5%
Excludes equities and ONCOA.
(1) These are structured financing transactions by ING for clients by assisting them in obtaining sources of liquidity by selling the clients’ receivables or other
financial assets to an SPV.
(2) This represents the guarantee granted by ING for the sold ALT-A bonds under the Alignment Transaction with the Dutch State.
(3) Securitisation benefits are excluded. Own originated securitisations are explained in a separate section.
Unwinding the IABF also resulted in eliminating a counter-guarantee that ING extended to the Dutch state in connection with the
divestment of ING Direct USA in 2012. This was reflected in the EUR 1.4 billion decline in READ for Synthetic Investment Bonds which
released EUR 1.8 billion in RWA.ING’s exposure to securitisations has declined compared to last year, targeted efforts to reduce
securitisation exposures have been executed and will continue so in 2014 in order to decrease impairment risk, credit migration and
concentration risk on ING’s non-trading books. More details can be found in the following specific securitisation sections.
Investor securitisations
The following table provides the breakdown of current exposures by risk weight bands. The amount of securitisation positions is based on
the regulatory exposure values calculated according to the CRD after consideration of credit conversion factors (CCFs) where applicable as
used for the purpose of Pillar 1, but prior to the application of credit risk mitigants on securitisation positions.
ING has a strict policy on securitisations and no new investments in securitisations are allowed for ING’s Investment portfolio. ING’s goal is
to maintain a portfolio of high quality liquid assets that meets the regulatory requirements of Basel III liquidity framework. In line with
ING’s internal rating policy, securitisation exposures are rated using the worst external rating (Fitch, Moody’s and S&P). ING keeps close
track of the securitisation investment positions via monthly monitoring reports.
Additional Pillar 3 information continued
406 ING Group Annual Report 2013