ING Direct 2015 Annual Report Download - page 198

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
Year-on-year variance analysis
NPV-at-Risk for –100 bps shock changed by EUR 819 million during 2015. The sensitivity for a –100 bps shock has mainly changed as a
result of lower rates and is additionally impacted by the regulatory requirement that interest rates have to be floored at zero. NPV-at-
Risk for a +100 bps shock changed during 2015 showing a decrease of EUR 59 million. The NPV-at-risk for the +100 bps shock of the
Corporate Line decreased due to a decreased duration of the long-term investments of own funds. Besides the change of the overall
NPV-at-Risk exposure, there is change in the exposure per accounting category. The dynamics amongst the different accounting
categories can be attributed to increased volumes of both savings and mortgages. As a result the exposure at amortised cost showed
a downward move for the +100 bps shock. The impact of this move was mitigated by cash flow hedges, which revaluate through
equity, and a decreased duration of investments. The convexity risk of the commercial business increased mainly due to lower interest
rates.
Basis Point Value (BPV)
BPV measures the impact of a one basis point increase in interest rates on value. To a large extent the BPV and NPV-at-Risk reflect the
same risk - the difference being that BPV does not reflect convexity risk, given the small shift in interest rates.
in EUR
thousand
2015
2014
By currency
Euro
–16,563
–15,890
US Dollar
424
261
Other
357
–21
Total
–15,782
–15,650
in EUR thousand
2015
2014
By business
Wholesale Banking
277
–1,773
Retail Banking Benelux
–448
–55
Retail Challengers & Growth Markets
–2,417
981
Corporate Line
–13,194
–14,803
Total
–15,782
–15,650
in EUR thousand
2015
2014
By accounting category
Amortised Cost
4,691
16,311
Fair value through equity
–22,798
–30,205
Fair value through profit and loss
2,325
–1,756
Total
–15,782
–15,650
In line with NPV-at-Risk, the bank’s overall BPV position is dominated by the long-term investment of own funds, as the present value of
this position is significantly impacted if interest rates move up by one basis point.
Year-on-year variance analysis
The overall BPV decreased in 2015 with EUR 0.1 million. This mainly results from a change in the strategic position. The changes in BPV
in Retail Banking Benelux and Retail Challengers and Growth Markets reflect volume and duration changes of originating assets and
liabilities. Cash flow hedges were executed at the Bank Treasury function to mitigate these changes. The Bank Treasury function for
Retail Challengers and Growth Markets is reported under Wholesale Banking business. Besides the change of the overall BPV exposure
there is a change in the exposure per accounting category. This is mainly the result of increased volume of both savings and
mortgages. As a result the BPV exposure at amortised cost showed a downward move. This move was mitigated by cash flow hedges,
which revaluate through equity, and a decreased duration of investments.
Foreign exchange (FX) risk in banking books
FX exposures in banking books result from core banking business activities (business units doing business in other currencies than their
base currency), foreign currency investments in subsidiaries (including realised net profit and loss) and strategic equity stakes in
foreign currencies. The policy regarding these exposures is briefly explained below.
BPV banking books per currency
BPV banking books per business
BPV banking books per accounting category
ING Bank Annual Report 2015 196