ING Direct 2015 Annual Report Download - page 173

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
Rating Models for retail counterparties are predominantly statistically driven and automated, such that they can be updated on a
monthly or bi-monthly basis. Models for SME companies, and larger corporates, institutions and banks are manually updated, and are
individually monitored on at least an annual basis.
Exposure classes
BCBS (Basel Committee) and the European law (CRR/CRDIV) have developed the concept of ‘Exposure Classes’. These are essentially
groupings of credit risks associated with a common counterparty type or product type. For the AIRB Approach, most of the exposure
classes have subcategories. ING Bank has applied the following definitions to determine Exposure Classes:
• Sovereigns include Sovereign Government entities, Central Banks and recognised Local / Regional Authorities as well as
Supranational Organisations;
• Institutions include all Commercial Banks, non-Bank Financial Institutions, such as Funds and Fund Managers, and Insurance
Companies, as well as local and regional government entities not classified as governments;
• Corporates includes all legal entities, that are not considered to be Governments, Institutions or Retail Other;
• Residential Mortgages include all mortgage loans for residential properties; and
• Other Retail includes all other credit obligations related to Retail SMEs, such as partnerships, one-man businesses and private
individuals, such as consumer loans, car loans and credit cards.
• Securitisations include securitisation programs for which ING Bank acts as an investor, sponsor or originator.
Under these exposure class definitions, it is possible for a private individual to be included under both residential mortgages and retail
other.
The Pillar III disclosure provides detail of the ING portfolio classified by these Exposure Classes. This should be helpful for comparison
with other AIRB banks. However, ING Bank does not manage its portfolio according to these exposure classes but based more on
geography, customer segment, industry, and product. Therefore, additional portfolio breakdowns are also provided in Pillar III that
reflect these management classifications of the portfolio.
The portfolio breakdown of ING Bank per exposure class and per risk category, based on Exposure at Default is shown below. The
figures shown in the Credit Risk section are including loans to Group (and also Insurance for 2014) being ‘intercompany loans’, unless
stated otherwise:
Lending
Investment
Money Market
Pre-Settlement
Total
Total (ALL)
2015
AIRB
SA
AIRB
SA
AIRB
SA
AIRB
SA
AIRB
SA
AIRB + SA
Sovereigns
3.5%
0.0%
8.3%
0.1%
1.6%
0.2%
0.3%
0.0%
13.7%
0.3%
14.1%
Institutions
4.1%
0.4%
2.2%
0.0%
0.3%
0.0%
5.6%
0.1%
12.3%
0.5%
12.8%
Corporate
29.5%
1.1%
0.2%
0.0%
0.1%
0.0%
1.3%
0.0%
31.1%
1.1%
32.2%
Residential mortgages
33.3%
0.8%
0.0%
0.0%
0.0%
0.0%
0.0%
0.0%
33.3%
0.8%
34.1%
Other retail
4.5%
1.3%
0.0%
0.0%
0.0%
0.0%
0.0%
0.0%
4.5%
1.3%
5.8%
Securitisation
0.2%
0.0%
0.8%
0.0%
0.0%
0.0%
0.1%
0.0%
1.0%
0.0%
1.0%
Total (ALL)
75.1%
3.6%
11.5%
0.1%
2.0%
0.3%
7.3%
0.1%
95.9%
4.1%
100.0%
Lending
Investment
Money Market
Pre-Settlement
Total
Total (ALL)
2014
AIRB
SA
AIRB
SA
AIRB
SA
AIRB
SA
AIRB
SA
AIRB + SA
Sovereigns
2.2%
0.0%
9.1%
0.1%
1.0%
0.2%
0.5%
0.0%
12.8%
0.3%
13.1%
Institutions
4.3%
0.2%
2.6%
0.0%
1.1%
0.1%
6.0%
0.0%
14.0%
0.3%
14.3%
Corporate
27.2%
1.0%
0.2%
0.0%
0.1%
0.0%
1.3%
0.0%
28.7%
1.0%
29.7%
Residential mortgages
34.9%
0.7%
0.0%
0.0%
0.0%
0.0%
0.0%
0.0%
34.9%
0.7%
35.6%
Other retail
5.0%
1.3%
0.0%
0.0%
0.0%
0.0%
0.0%
0.0%
5.0%
1.3%
6.3%
Securitisation
0.2%
0.0%
0.8%
0.0%
0.0%
0.0%
0.0%
0.0%
1.0%
0.0%
1.0%
Total (ALL)
73.8%
3.2%
12.7%
0.1%
2.1%
0.2%
7.8%
0.0%
96.4%
3.6%
100.0%
The figures above display that compared to 2014 the proportion of residential mortgages in the bank’s portfolio has reduced. This
decrease was driven by the continued transfer of mortgages from WestlandUtrecht (WU) Bank to NN Bank and the run-off of the WU
mortgage book. Excluding these transfers, residential mortgage witnessed a growth in DiBa Germany, Belgium and a slight growth in
Australia after the sale of mortgages under Mortgage Management Funding.
Exposure classes ING Bank portfolio per risk category, as % of total EAD
Exposure classes ING Bank portfolio per risk category, as % of total EAD
ING Bank Annual Report 2015 171