ING Direct 2015 Annual Report Download - page 250

Contents
Report of the
Executive Board
Corporate
Governance
Consolidated
annual accounts
Parent company
annual accounts
Other
information
Additional
information
Additional Pillar III information - continued
Advanced IRB and Standardised Approach
ING uses two methods to calculate Regulatory Capital for Credit Risk within its portfolio: the Advanced Internal Rating Based (AIRB)
approach and the Standardised Approach (SA). The AIRB approach is permitted by the Regulator if there are regulatory approved
rating models (PD, EAD and LGD) in place and if the (local) management understands and uses these rating models (Basel Use Test) in
their credit decision making processes. ING Bank does not use the Basel Foundation IRB Approach (FIRB) for any of its portfolios. This
section is to be read in conjunction with the Risk Management paragraph of the Annual Report.
Exposure classes
The Basel Accord has developed the concept of ‘Exposure Classes’. These are essentially groupings of credit risks associated with a
common obligor type or product type. For the AIRB and Standardised Approach, most of the exposure classes have subcategories.
• Central Governments & Central Banks (hereafter Sovereigns) include Sovereign Government entities, Central Banks, CRR/CRD IV
recognized Local / Regional Authorities and Public Sector entities as well as Supranational Organisations;
• Institutions include all Commercial Banks and non-Bank Financial Institutions;
• Corporates include all legal entities, that are not considered to be Governments, Institutions or Retail;
• Retail includes the following classes:
• Retail – Secured by immovable property non-SME (hereafter Secured by Res. Mortgage) includes all retail loans which are
covered by residential properties
• Retail - Secured by immovable property SME (included in most tables with Other Retail) includes all retail loans which are
covered by commercial properties.
• Retail Other includes all other retail credit obligations related to Retail SMEs (such as partnerships and one-man businesses)
and private individuals (such as consumer loans, car loans and credit cards). Under these exposure class definitions, it is
possible for a private individual to be included under both Secured by Res. Mortgage and Retail Other.
In the table below, the CRD categories for the AIRB and SA approach are given and are mapped to the ING Bank exposure classes.
AIRB
Central governments and central banks
Sovereigns
Institutions
Institutions
Corporates – Specialised lending
Corporates
Corporates – SME
Corporates
Corporates – Other
Corporates
Retail – Secured by immovable property SME
Other Retail
Retail – Secured by immovable property non-SME
Secured by Res. Mortgage
Retail – Qualifying revolving
Not applicable
Retail – Other SME
Other Retail
Retail – Other non-SME
Other Retail
Securitisations
Securitisations
SA
Central governments or central banks
Sovereigns
Regional governments or local authorities
Sovereigns
Public sector entities
Sovereigns
Multilateral development banks
Sovereigns
International organisations
Sovereigns
Institutions
Institutions
Corporates
Corporates
Retail
Other Retail
Exposures secured by mortgages on commercial immovable property
Secured by commercial real estate
Exposures secured by mortgages on residential property
Secured by residential property
Exposures in default
All
High risk items
Not applicable
Covered bonds
Not applicable
Claims to institutions and corporates with a short-term credit assessment
Not applicable
Claims in collective investment undertaking
Not applicable
Equity exposures
Not applicable
Other items
Not applicable
The SA exposure class ‘Exposures in default’ is mapped to the ING exposure class in which the exposure would have been if it was performing.
Basel AIRB and SA exposure classes ING Bank exposure class
ING Bank Annual Report 2015 248