ING Direct 2015 Annual Report Download - page 191

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
Investment and Money Market portfolio
Investment and Money Market exposure per region
2015
Cover type
2014
Cover type
Investment and Money
Market
Out-
stan-
dings
Mort-
gages
Eligible
Financial
Colla-
teral
Other
CRR/CRD
IV eligible
Guaran-
tees
Non
CRR/CRD
IV eligible
Out-
stan-
dings
Mort-
gages
Eligible
Financial
Colla-
teral
Other
CRR/CRD
IV eligible
Guaran-
tees
Non
CRR/CRD
IV eligible
Africa
0
0
America
8,860
6
23
35
7,261
10
30
16
Asia
6,079
6,946
Australia
3,865
5,576
Europe
Belgium
9,677
8,252
Germany
20,914
25,730
0
0
614
0
Netherlands
11,295
10,723
6
0
0
Rest of Europe
53,427
3,090
53,710
298
2,810
Total Investment and
Money Market
114,116
0
6
0
3,113
35
118,198
16
298
3,454
16
of which Non-performing
171
0
0
0
0
0
104
6
1 Including loans to ING Group (and NN Group in 2014).
2 Excluding intercompany positions.
A key characteristic of the Investment and Money Market business is that typically little cover is given to support these exposures.
100.0% of Money Market and 97.2% of Investment exposure receives no covers. During 2015 the percentages for Investment
increased slightly, while Money Market increased one percentage point. The majority of ING’s investment positions are of high quality
rated between AAA to A-, based on external ratings. The guarantees listed under Rest of Europe are comprised of the Cedulas and
were booked in Spain.
Pre-settlement portfolio
ING Bank uses various market pricing and measurement techniques to determine the amount of credit risk on pre-settlement
activities. These techniques estimate ING Bank’s potential future exposure on individual and portfolios of trades. Master agreements
and collateral agreements are frequently entered into to reduce these credit risks.
ING Bank matches trades with similar characteristics to determine their eligibility for offsetting. This offsetting effect is called
‘compensation’. Subsequently, ING Bank reduces the amount by any legal netting that may be permitted under various types of
Master Agreements, such as ISDA Master Agreements, Global Master Repurchase Agreements (GMRA), Global Master Securities
Lending Agreements (GMSLA), etc. Lastly, the amount is further reduced by any collateral that is held by ING Bank under Credit
Support Annexes (CSAs) or other similar agreements.
The use of Central Clearing Parties (CCPs) is becoming more important for the derivatives business and as a consequence the credit risk
is shifting from Counterparties to CCPs. In 2015, the notional Pre-Settlement exposure that was cleared via CCPs formed 51.2% of the
total notional (49.1% in 2014). For more information on ING Bank’s exposure to CCPs, please refer to the ‘Counterparty Credit Risk’
section in the Pillar III section.
As part of its securities financing business, ING Bank entities actively enter into agreements to sell and buy back marketable securities.
These transactions can take many legal forms. Repurchase and reverse repurchase agreements, buy/sell-back and sell/buyback
agreements, and securities borrowing and lending agreements are the most common. As a general rule, the marketable securities
that have been received under these transactions are eligible to be resold or re-pledged in other (similar) transactions. ING Bank is
obliged to return equivalent securities in such cases.
Cover values including guarantees received – Investment and Money Market Portfolio1,2
ING Bank Annual Report 2015 189