ING Direct 2015 Annual Report Download - page 251

Contents
Report of the
Executive Board
Corporate
Governance
Consolidated
annual accounts
Parent company
annual accounts
Other
information
Additional
information
Additional Pillar III information - continued
In the tables below an overall picture is given of the ING Bank portfolio per exposure class, after which a breakdown per exposure class
is given segmented by relevant factors. The segmentation on Securitisations is provided in the Securitisation chapter.
Credit risk per exposure type and exposure class
The table below shows the total READ and RWA for ING Bank by CRD defined exposure types for both the SA and AIRB portfolio per
exposure class. CVA is reported separately.
Sovereigns
Institutions
Corporate
Secured by Res.
Mortgage
Other Retail
Total 2015
Total 2014
READ
RWA
READ
RWA
READ
RWA
READ
RWA
READ
RWA
READ
RWA
READ
RWA
AIRB
approach
On-balance
103,296
5,270
48,430
10,258
181,014
86,398
271,119
42,302
28,207
14,341
632,066
158,568
601,769
157,036
Off-balance
8,768
422
7,614
2,265
68,255
25,726
7,419
474
9,191
2,592
101,247
31,480
90,725
28,078
Securities
Financing
591
3
13,308
1,408
1,842
92
15,741
1,503
15,590
2,085
Derivatives
2,229
262
33,509
5,383
9,317
4,753
39
16
45,094
10,415
46,041
11,421
Total AIRB
114,884
5,957
102,861
19,314
260,429
116,970
278,538
42,776
37,436
16,949
794,148
201,967
754,125
198,620
SA approach
On-balance
2,866
2,302
3,750
1,015
8,123
7,178
6,901
3,125
8,819
6,204
30,460
19,824
24,891
16,833
Off-balance
113
36
986
923
71
50
2,100
1,535
3,270
2,544
3,210
2,528
Securities
Financing
39 38 5 3 45 41 5 5
Derivatives
642
315
20
20
10
8
672
343
302
155
Total SA
2,905
2,340
4,510
1,370
9,130
8,122
6,972
3,175
10,930
7,747
34,448
22,752
28,408
19,522
SEC AIRB
On-balance
6,854
1,780
6,756
1,991
Off balance
1,276
124
1,059
110
Total Sec IRB
8,130
1,904
7,815
2,101
Total Bank
117,789
8,297
107,372
20,683
269,558
125,091
285,510
45,951
48,366
24,696
836,726
226,623
790,348
220,243
CVA (SA
portfolio)
20
20
42
CVA (AIRB
portfolio)
74 4,899 13 4,985 6,369
Total CVA
74
4,919
13
5,005
6,412
Total Bank
including CVA
117,789
8,370
107,372
25,602
269,558
125,104
285,510
45,951
48,366
24,696
836,726
231,628
790,348
226,655
Includes both AIRB and SA portfolios; excludes equities and ONCOA.
Default Fund Contribution to Central Clearing Parties is included under exposure class Institutions.
The ING Bank portfolio falls for 90% under the AIRB approach and for 10% under SA in terms of RWA (excl. CVA RWA). The total
portfolio increased in 2015 by EUR 46.4 billion in READ to EUR 836.7 billion and by EUR 4.9 billion RWA to EUR 231.6 billion. The increase
in READ as well as RWA is mainly a result of growth witnessed in the Wholesale Banking and Challenger & Growth portfolios but also as
a result of the appreciation of the major currencies against the Euro.
The Credit RWA (+2.9%) of the portfolio did not increase as significantly as the READ (+5.9%), driven by an improved book quality of
the portfolio. This is a result of the improving economies in most of the key retail market countries but also driven by the de-risking
efforts especially in the Real Estate portfolio which also contributed to the improved risk profile. This improvement was offset by
deterioration of the credit quality of some specific portfolios due to the international and political turmoil in Eastern Europe and the
Middle-East, ongoing pressure on emerging markets and the direct and indirect negative effects of continued low oil and other
commodity prices. Despite the imbalances in emerging economies and financial markets which continued in 2015, ING’s risk profile
overall improved during the year.
Model approaches per exposure class
ING Bank Annual Report 2015 249