ING Direct 2015 Annual Report Download - page 262

Contents
Report of the
Executive Board
Corporate
Governance
Consolidated
annual accounts
Parent company
annual accounts
Other
information
Additional
information
Additional Pillar III information - continued
Internal rating
grade
PD range for each grade
READ in
each grade
Average
RPD
Average
RLGD
Average
maturity (in
months)
RWAs in
each grade
(or band)
Risk
Weight EL
External
Rating
Equivalent
Performing
1
0.00 - 0.01%
53,867
0.01
31.02
31.786
407
0.01
1
AAA
2
0.01 - 0.03%
28,117
0.02
27.73
40.57
570
0.02
1
AA+
3
0.03 - 0.04%
34,326
0.03
28.29
33.77
983
0.03
1
AA
4
0.04 - 0.05%
22,038
0.04
25.75
37.63
2,343
0.11
2
AA-
5
0.05 - 0.06%
37,457
0.05
31.03
36.31
3,326
0.09
6
A+
6
0.06 - 0.08%
45,407
0.06
24.90
35.33
5,281
0.12
7
A
7
0.08 - 0.11%
42,815
0.09
28.43
39.62
6,990
0.16
11
A-
8
0.11 - 0.17%
62,962
0.14
21.21
44.19
8,959
0.14
19
BBB+
9
0.17 - 0.26%
85,903
0.21
23.29
42.21
15,135
0.18
41
BBB
10
0.26 - 0.37%
90,839
0.32
21.53
45.54
19,764
0.22
62
BBB-
11
0.37 - 0.58%
99,388
0.45
20.22
47.88
24,781
0.25
90
BB+
12
0.58 - 1.00%
78,616
0.74
22.11
46.90
25,326
0.32
129
BB
13
1.00 - 1.77%
43,874
1.30
26.31
43.74
22,572
0.51
151
BB-
14
1.77 - 3.23%
21,737
2.47
28.35
39.21
15,433
0.71
152
B+
15
3.23 - 6.05%
14,120
4.29
24.69
44.71
10,092
0.71
150
B
16
6.05 - 11.67%
6,191
8.33
28.80
40.24
5,844
0.94
146
B-
17
11.67 - 20.20%
5,704
16.22
28.09
41.31
7,168
1.26
263
CCC
18
20.20 - 29.58%
3,774
24.86
25.53
35.36
5,375
1.42
239
CC
19
>29.58%-100%
2,392
41.98
26.81
43.92
2,778
1.16
257
C
Non-performing
20
100%
8,297
100.00
31.34
36.42
12,933
1.56
2,202
Default
21
100%
3,353
100.00
22.64
52.61
3,909
1.17
484
Default
22
100%
2,971
100.00
37.84
28.01
1,998
0.67
1,745
Default
Total
794,148
2.70
24.69
41.78
201,967
0.25
6,159
Includes the AIRB portfolio only and non-performing loans; excludes securitisations, CVA RWA, equities and ONCOA.
ING Bank’s Probability of Default (PD) rating models are based on a 1-22 scale, which corresponds to the same rating grades that are
assigned by external rating agencies. Risk Ratings (PD) for performing loans (1-19) are calculated in ING Bank with regulatory approved
models. Risk Ratings for non-performing loans (20-22) are set on the basis of an approved discretionary methodology by the Global or
Regional Restructuring unit. Overall the risk weights of the ING portfolio are a mixture of low risk weights for Sovereigns and Residential
Mortgages combined with higher risk weights for Corporates. Many central governments exposure receive a zero risk weight due to the
high quality rating (permanent partial use of the SA rules). Mortgages generally benefit from large levels of (over) collateralisation.
As of October 2015, PD values of the ING Bank Master scale as stated above are adjusted using both internal and external default data,
covering the period 1981 until 2013. External data from Standard & Poor’s is used. Internal default experience is reflected for a better
fit of ING Bank’s portfolios compared to the predominantly US based Standard & Poor´s data.
Disclosures of model outcomes
The table next, shows the PD, LGD, READ, RWA and RWA density per exposure class. This should be read in conjunction with the table
in the following paragraph ‘changes in risk parameters since last reporting date’.
2015
2014
Sovereigns Institutions Corporate
Secured by
Res. Mortgage Other retail Total Total
Average PD
0.09%
0.56%
4.31%
2.43%
7.40%
2.70%
3.26%
Average LGD
30.33%
27.42%
26.16%
16.73%
48.84%
24.69%
25.17%
READ
114,884
102,861
260,429
278,538
37,436
794,148
754,125
RWA
5,958
19,314
116,970
42,776
16,949
201,967
198,620
RWA density (RWA/READ)
5.19%
18.78%
44.91%
15.36%
45.28%
25.43%
26.34%
Includes the AIRB portfolio only and non-performing loans; excludes securitisations, CVA RWA, equities and ONCOA.
Exposures (READ) per internal rating grade and corresponding PD, LGD and RWA 2015
Model approaches per exposure class for the AIRB portfolio
ING Bank Annual Report 2015 260