ING Direct 2015 Annual Report Download - page 265

Contents
Report of the
Executive Board
Corporate
Governance
Consolidated
annual accounts
Parent company
annual accounts
Other
information
Additional
information
Additional Pillar III information - continued
Exposures before and after risk mitigation for the SA portfolio
The table below shows how credit risk mitigation (CRM) in the SA portfolio is distributed over the exposure classes. ING Bank’s exposure
value is shown before and after credit risk mitigation. There are two principal methods for reducing or mitigating Credit Risk: i) by
reduction of Credit Risk through the acceptance of pledged financial assets as collateral or ii) mitigation or shifting of credit risks to a
lower risk weighting group by accepting guarantees from unrelated third parties. ING Bank uses both methods to take CRM effects into
account. For financial markets collateral, ING Bank uses the Financial Collateral Comprehensive Method to allow for mitigation effects.
Exposures before CCF and CRM
Exposures aftter
CCF and CRM
RWA and RWA density
On balance
sheet
amount
Off balance
sheet amount
Counter-
parties
Exposure value
(a)
RWA (b)
RWA
density
(b/a)
Sovereigns and their central banks
2,866
946
39
2,905
2,340
80.5%
Non-central government public sector entities
121
107
121
60
49.3%
Banks
3,631
1,286
648
4,419
1,318
29.8%
Corporates
5,688
7,781
20
6,480
6,310
97.4%
Regulatory retail portfolios
7,668
6,954
10
9,564
6,809
71.2%
Secured by residential property
6,905
146
6,965
3,157
45.3%
Secured by commercial real estate
3,445
1,185
3,587
2,339
65.2%
Past due loans
787
28
407
419
102.8%
Total 2015
31,111
18,433
717
34,448
22,752
66.1%
Total 2014
25,400
17,755
307
28,408
19,522
68.7%
Note that 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.
Risk weights per exposure class
The table below gives more insight in how the SA portfolio per exposure class is broken down into the regulatory risk weight buckets.
0%
10%
20%
35%
50%
75%
100%
150%
Others
Total
Sovereigns and their
central banks
81
969
1,855
2,905
Non-central
government public
sector entities
3
118
121
Banks
3,292
936
192
4,420
Corporates
6,430
51
6,481
Regulatory retail
portfolios
9,562
9,562
Secured by residential
property
5,855
1,110
6,965
Secured by commercial
real estate
2,155
1,432
3,587
Past due loans
19
347
41
407
Total 2015
81
3,295
5,855
4,197
9,562
11,366
92
34,448
Total 2014
1
1,069
4,832
3,805
9,184
9,424
93
28,408
Note that 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.
The SA portfolio increased by 21.3% to EUR 34.4 billion in terms of READ, resulting in an RWA increase of EUR 3.2 billion. The majority
of the increase is witnessed in Poland and in Turkey. In Poland the Residential Mortgage portfolio grew by EUR 0.8 billion READ while in
Turkey the portfolio growth is mainly attributable to the Corporates portfolio which increased by EUR 1.3 billion ( The FX impact is
limited as the portfolio is denominated in both Turkish Lira’s and US dollar for which the FX impacts offset each other). The remaining
increase in the SA portfolio is mainly related to Nostro exposures which have a short term nature and fluctuate throughout the year.
Exposures and RWA before and after risk mitigation and conversion factors 2015
Exposure per risk weight bucket per exposure class
ING Bank Annual Report 2015 263