ING Direct 2015 Annual Report Download - page 276

Contents
Report of the
Executive Board
Corporate
Governance
Consolidated
annual accounts
Parent company
annual accounts
Other
information
Additional
information
Additional Pillar III information - continued
Regulatory capital method used and Rating Agencies
ING Bank has implemented the AIRB approach for credit risk. As a consequence, ING Bank uses the Rating Based Approach (RBA) for
investments in tranches of asset-backed securities (ABS) and mortgage-backed securities (MBS) which have been rated by external
rating agencies. Rating agencies which are used by ING Bank under the RBA include Standard & Poor’s, Fitch, Moody’s. The
securitisation exposure for which each rating agency is used is given in the following table.
2015
2014
S&P
Fitch
Moody’s
IAA approach
Other
Total
Total
Residential Mortgage Backed Securities
1,148
1,813
359
11
3,331
4,025
Asset Backed Securities
1,011
1,860
145
40
3,056
2,218
Securitisation Liquidity
846
846
947
Interest Rate Derivatives
423
423
106
Other
35
9
10
420
474
519
Total
2,194
3,682
514
1,700
40
8,130
7,815
Under the RBA, the risk-weighted assets (RWA) are determined by multiplying the amount of the exposure by the appropriate
regulatory risk weights, which depend on: the external rating or an available inferred rating, the seniority of the position and the
granularity of the position.
ING Bank uses the Internal Assessment Approach (IAA) for the support facilities it provides to Asset Backed Commercial Paper (ABCP)
conduit Mont Blanc Capital Corp., based on externally published rating agency methodologies. Under the IAA approach, the unrated
position is assigned by the institution to an internal rating grade, which is estimated using an ING developed model. The position is
then attributed a derived rating by mapping the internal rating grade to an externally published credit assessments corresponding to
that rating grade.
2015
2014
Delta %
Securitisations
Geography
8,130
7,815
4.0%
America
3,388
3,483
–2.7%
Asia
38
53
–28.2%
Australia
13
32
–60.2%
Europe
4,692
4,247
10.5%
Europe
4,692
4,247
10.5%
Spain
1,452
1,692
–14.2%
United Kingdom
919
862
6.6%
Germany
888
34
2,528.2%
Netherlands
768
758
1.4%
Rest of Europe
664
901
–26.3%
Securitisations
Product Type
8,130
7,815
4.0%
Residential Mortgage Backed Securities
3,286
4,025
–18.3%
Asset Backed Securities
2,897
2,218
30.6%
Securitisation Liquidity1
846
947
–10.7%
Interest Rate Derivatives
423
106
298.0%
Other
678
519
30.6%
Securitisations
Exposure Class2
8,130
7,815
4.0%
Securitisation Investor
6,442
6,357
1.3%
Securitisation Sponsor
1,688
1,458
15.8%
Excludes equities and ONCOA.
1 These are structured financing transactions by ING for clients by assisting them in obtaining sources of liquidity by selling the clients’ receivables or other financial
assets to an SPV.
2 Securitisation benefits are excluded. Own originated securitisations are explained in a separate section.
Securitisation exposure per rating agency (READ)
Securitisations – credit risk disclosure
ING Bank Annual Report 2015 274