ING Direct 2015 Annual Report Download - page 261

Contents
Report of the
Executive Board
Corporate
Governance
Consolidated
annual accounts
Parent company
annual accounts
Other
information
Additional
information
Additional Pillar III information - continued
AIRB credit exposures by exposure class
The table below gives an overview of the relevant parameters for determining the capital requirements for AIRB models. The Bank of
International Settlements (BIS) requires an exposure class breakdown in this table which differs from the ING Bank exposure classes
shown in previous tables.
Sovereigns
Institutions
Corporates
(excl.
specialised
lending)
Specialised
Lending
Secured by
Res.
Mortgage
Retail –
SME
Retail other
Total 2015
Total 2014
On balance sheet pre CCF
103,297
48,268
109,700
71,843
270,907
16,260
11,618
631,893
600,937
Off balance sheet pre CCF
77,674
71,656
122,905
50,008
11,139
4,622
11,576
349,580
308,886
Counterparties1
2,820
46,816
8,276
2,884
24
15
60,835
61,631
Average CCF2
13.6%
23.0%
40.7%
40.3%
77.1%
84.2%
64.4%
34.9%
29.4%
READ
114,884
102,861
167,671
92,758
278,538
19,649
17,787
794,148
754,125
PD
0.1%
0.6%
4.5%
3.9%
2.4%
10.1%
4.5%
2.7%
3.3%
No. obligors3
1,485
9,638
134,205
7,368
1,676,070
350,281
6,088,278
8,190,554
8,133,472
LGD
30.3%
27.4%
29.0%
20.9%
16.7%
32.3%
67.1%
24.7%
25.2%
Maturity4
30
30
36
37
57
43
29
42
35
CVA RWA
73
4,899
13
4,985
6,369
RWA5
5,958
19,314
83,871
33,099
42,776
7,980
8,969
201,967
198,620
RWA density
5.2%
18.8%
50.0%
35.7%
15.4%
40.6%
50.4%
25.4%
26.3%
RECAP
477
1,545
6,710
2,648
3,421
638
718
16,157
15,890
EL
29
65
2,770
1,186
1,002
630
477
6,159
6,359
Provisions
8
21
2,344
997
759
521
389
5,039
5,487
1 Counterparties consists of Securities Financing and Derivative exposures
2 CCF – Credit Conversion Factor
3 No. of obligors are in absolute numbers, borrowers can be present in multiple exposure classes
4 Maturity in number of months
5 RWA excludes CVA RWA. CVA RWA is reported separately
The READ increase in the AIRB portfolio comes mainly from increased volume in the Corporates and Sovereigns portfolio. The overall
improving risk profile of the portfolio, especially noticed in the reported PD values, resulted in a limited RWA increase, decreasing the
RWA density.
AIRB credit exposures by internal rating grade
The table below shows the AIRB portfolio per internal rating grade. Under CRR/CRD IV rules, the nominal exposures are weighted to
determine the RWA (and regulatory capital) of a portfolio, under a ‘risk-based approach’. This approach dictates that less capital is
required for credit exposures which are well-rated, while progressively more capital is required as an obligor’s risk (rating) deteriorates.
This effect can cause RWA to increase or decrease together with risk rating migration without a significant change in the size of the
underlying financial assets, in terms of financial accounting. As such, rating migrations are closely monitored within ING Bank.
AIRB credit exposures by exposure class
ING Bank Annual Report 2015 259