ING Direct 2015 Annual Report Download - page 205

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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
amounts in millions of euros
2015
2014
SVaR
VaR
Total
Total
Interest rate/Credit spread
154
102
256
193
Equity
58
30
88
93
Commodity1
6
4
10
0
Foreign exchange
17
8
25
33
Incremental Risk Charge
286
426
Total Internal Model Approach
235
144
665
745
Standardised model2
106
113
Total Regulatory Capital
771
858
Market Risk Weighted Assets, in EUR billions
10
11
1 As of 2015 the capital allocated to the equity portfolio was split into equity and commodity risk classes. Previously it was reported under equity risk class.
2 Standardised model is applied to FX positions in banking books.
The decrease in market risk Regulatory Capital for Trading as of 2015 is mainly due to decrease in exposures to sovereign issuers and
as a result in IRC, partially offset by increases in VaR and SVaR that resulted from higher market volatility and position changes.
Sensitivities
As part of the risk monitoring framework, Credit & Trading Risk actively monitors the daily changes of sensitivities of our trading
portfolios. The following tables show the five largest trading foreign exchange positions and interest rate and credit spread
sensitivities. The credit spread sensitivities are furthermore split in different risk classes and sectors. Due to the nature of the trading
portfolios, positions change from day to day.
amounts in millions of euros
2015
2014
Foreign exchange
Foreign exchange
US Dollar
160
Chinese Yuan
282
Romanian New Leu
57
US Dollar
–257
Chinese Yuan
–42
Swiss Franc
–65
South Korean Won
–46
Australian Dollar
40
Swiss Franc
18
South Korean Won
21
amounts in thousands of euros
2015
2014
Interest Rate (BPV1)
Interest Rate (BPV1)
Euro
–414
Euro
231
South Korean Won
–52
Taiwan Dollar
75
British Pound
45
Chinese Yuan
–47
US Dollar
43
Polish Zloty
43
Japanese Yen
18
Japanese Yen
34
Credit Spread (CSO12)
Credit Spread (CSO12)
Netherlands
–289
Netherlands
–702
Germany
–154
Germany
552
Norway
–110
United States
115
United States
99
Russia
97
Spain
–89
Italy
–94
1 Basis Point Value (BPV) measures the impact on value of a 1 basis point increase in interest rates.
2 Credit Spread Sensitivity (CS01) measures the impact on value of a 1 basis point increase in credit spreads.
Regulatory Capital
Most important foreign exchange year-end trading positions
Most important interest rate and credit spread sensitivities at year-end
ING Bank Annual Report 2015 203