ING Direct 2015 Annual Report Download - page 115
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Contents
Who we are
Report of the
Management
Board
Corporate
Governance
Consolidated
annual accounts
Parent company
annual accounts
Other
information
Additional
information
Notes to the Consolidated annual accounts of ING Bank - continued
2015
Assets Liabilities
Valuation techniques
Significant
unobservable inputs
Lower
range
Upper
range
At fair value through profit and loss
Debt securities
72
Price based
Price (%)
1%
115%
Net asset value
Price (%)
15%
33%
Loans and advances
356
7
Price based
Price (%)
0%
100%
Present value techniques
Credit spread (bps)
130
135
Structured notes
198
Price based
Price (%)
0%
111%
Net asset value
Price (%)
33%
33%
Option pricing model
Equity volatility (%)
10%
109%
Equity/Equity correlation
0.6
0.9
Equity/FX correlation
–0.5
0.3
Dividend yield (%)
1%
5%
Interest rate volatility (%)
n.a
n.a
Present value techniques
Implied correlation
0.7
0.9
Derivatives
– Rates
480
602
Option pricing model
Interest rate volatility (%)
21%
93%
Interest rate correlation
0.9
0.9
IR/INF correlation
0.5
0.5
Present value techniques
Reset spread
3%
3%
Prepayment rate
5%
5%
Inflation rate (%)
2%
4%
– FX
412
359
Present value techniques
Inflation rate (%)
1%
3%
– Credit
42
50
Present value techniques
Credit spread (bps)
3
16,704
Implied correlation
0.6
1.0
Jump rate
12%
12%
– Equity
128
222
Option pricing model
Equity volatility (%)
0%
136%
Equity/Equity correlation
–0.1
1.0
Equity/FX correlation
–1.0
1.0
Dividend yield (%)
0%
13%
– Other
1
Option pricing model
Commodity volatility
17.0
82.0
Com/Com correlation
0.3
1
Com/FX correlation
–0.8
0.6
Available for sale
– Debt
63
Price based
Price (%)
0%
98%
Present value techniques
Credit spread (bps)
204
400
–
Weighted average life (yr)
1.6
3.3
– Equity
630
Discounted cash flow
Financial Statements
n.a
n.a
Multiplier method
Observable market factors
n.a
n.a
Comparable transactions
n.a
n.a
Total
2,184
1,438
Valuation techniques and range of unobservable inputs (Level 3)
ING Bank Annual Report 2015 113