ING Direct 2015 Annual Report Download - page 277

Contents
Report of the
Executive Board
Corporate
Governance
Consolidated
annual accounts
Parent company
annual accounts
Other
information
Additional
information
Additional Pillar III information - continued
During 2015 the exposure to securitisations increased from EUR 7.8 billion to EUR 8.1 billion, mainly due to the increased exposure in
German assets. The overall increase is driven by asset backed securities and unsecured bonds while all other product groups
demonstrate a decline.
Investor securitisations
ING Bank’s goal is to maintain a portfolio of high quality liquid assets that meets the regulatory requirements of CRR/CRD IV and the
Delegated Act of October 2014 regarding liquidity. ING invests in high quality Residential Mortgage Backed Securities (RMBS) and Asset
Backed Securities (ABS) keeping close track of the securitisation investment positions via monthly monitoring reports and weekly
update calls.
In the table below, the investor securitisations are given, broken down by underlying exposure.
2015
2014
Traditional
Synthetic
Total
Total
Retail
6,406
6,406
6,312
- Of which residential mortgage
3,272
3,272
4,025
- Of which credit card
- Of which other retail exposures
3,134
3,134
2,287
- Of which re-securitisation
Wholesale Banking
36
36
45
- Of which loans to corporates
- Of which commercial mortgage
36
36
45
- Of which lease and receivables
- Of which re-securitisation
Total
6,442
6,442
6,357
In 2015 the securitisation activities with underlying retail exposure increased by EUR 0.8 billion to EUR 3.1 billion, while the
securitisations with underlying Wholesale Banking exposure declined. During 2015 the liquidity portfolio in ABS grew moderately
mainly in Auto-ABS from Western Europe and UK RMBS Master Trusts, the majority of Auto-ABS is based on German Assets, and thus
there is a notable increase in Germany. ING aims to keep approximately 2% of its liquidity portfolio in LCR eligible Securitisations.
The following table provides the breakdown of current exposures by risk weight bands. The amount of securitisation positions is based
on the regulatory exposure values calculated according to the CRR/CRD IV after consideration of credit conversion factors (CCFs) where
applicable as used for the purpose of Pillar I, but prior to the application of credit risk mitigates on securitisation positions. Given the
focus on high quality securitisations the portfolio composition is shifting to the lowers risk band.
2015
2014
READ
RWA
READ
RWA
Risk weight band 1 ≤ 10%
5,493
421
4,037
325
Risk weight band 2 >10% and ≤ 18%
146
19
625
79
Risk weight band 3 >18% and ≤ 35%
419
116
992
216
Risk weight band 4 >35% and ≤ 75%
289
165
255
157
Risk weight band 5 >75% and <1250%
23
50
400
483
Risk weight 1250%
72
903
47
593
Total
6,442
1,674
6,357
1,853
Excludes equities and ONCOA.
Investor securitisation activities
Purchased exposures per risk weight band
ING Bank Annual Report 2015 275