ING Direct 2015 Annual Report Download - page 243

Contents
Report of the
Executive Board
Corporate
Governance
Consolidated
annual accounts
Parent company
annual accounts
Other
information
Additional
information
Additional Pillar III information - continued
Regulatory capital
Capital Adequacy Rules – CRR/CRD IV
The rules for required Regulatory Capital and Capital adequacy are based on the guidelines developed by the Basel Committee on
Banking Supervision (The Basel Committee) and the European Union Regulation and Directives, as implemented by the Dutch Central
Bank for supervisory purposes.
The rules express the regulators’ and legislators’ opinions of how much capital a bank and other regulated credit institutions must
retain in relation to the size and the type of risk taking expressed in the form of risk-weighted assets. The most important part of the
capital base is the shareholders’ equity. In addition to equity, the institution may issue certain liabilities such as hybrid instruments to
be included in the capital base. The legal minimum requirement stipulates that the capital base must correspond to at least 8% of the
Risk-Weighted Assets (RWA).
In 2010, the Basel III Accord was adopted and consequently translated into regulation by the EU in the Capital Requirement Regulation
(CRR) and a Capital Requirement Directive IV (CRD IV). The CRR is binding for all EU member states and became effective per 1 January
2014. For more information, please refer to the chapter ‘Regulatory environment’ in the Risk Management Paragraph.
2015
2014
Regulatory
Capital
Risk-
Weighted
Assets
Regulatory
Capital
Risk-
Weighted
Assets
CRR/CRDIV
phased in –
2015 rules
CRR/CRDIV
phased in -
2015 rules
CRR/CRDIV
phased in –
2014 rules
CRR/CRDIV
phased in -
2014 rules
Credit risk
Portfolios subject to standardised approach
1,820
22,752
1,562
19,522
Portfolios subject to AIRB approach
– Sovereigns
477
5,957
482
6,025
– Institutions
1,545
19,314
1,987
24,835
– Corporate
9,358
116,970
8,135
101,689
– Residential mortgages
3,422
42,776
3,939
49,233
– Other retail
1,356
16,949
1,347
16,838
Total portfolios subject to AIRB approach
16,157
201,967
15,890
198,620
Credit Value Adjustment
400
5,005
513
6,412
Securitisation exposures
152
1,904
168
2,101
Equity portfolios in the banking book under the simple risk weight approach
1,027
12,839
768
9,599
Other Non-Credit Obligation Assets
1,677
20,964
1,248
15,594
Total Credit Risk
21,234
265,430
20,148
251,848
Market risk
Standardised approach
106
1,328
113
1,412
Internal models approach - trading book
665
8,307
745
9,311
Total Market risk
771
9,635
858
10,723
Operational risk
Advanced measurement approach
3,451
43,137
2,700
33,749
Total Regulatory Capital
25,456
318,202
23,706
296,319
Basel I floor1
29,271
365,891
27,501
343,767
1 The floor is 80% of Basel I required Regulatory Capital.
ING Bank Regulatory capital requirements
ING Bank Annual Report 2015 241