ING Direct 2015 Annual Report Download - page 278

Contents
Report of the
Executive Board
Corporate
Governance
Consolidated
annual accounts
Parent company
annual accounts
Other
information
Additional
information
Additional Pillar III information - continued
Traditional securitisation
Total
exposure
2015
Total
exposure
2014
Total
traditional
Of which
retail
underlying
Of which
non-retail
underlying
Exposure values (by RW bands)
<= 20% RW
5,835
5,639
196
5,835
5,605
>20% to 50% RW
237
223
14
237
72
>50% to 100% RW
288
236
52
288
604
>100% to <1250% RW
10
10
10
29
1250% RW
72
72
0
72
47
Total
6,442
6,180
262
6,442
6,357
Exposure values (by regulatory approach)
IRB RBA (incl. IAA)
6,370
6,108
262
6,370
6,310
12.50
72
72
0
72
47
Total
6,442
6,180
262
6,442
6,357
RWA (by regulatory approach)
IRB RBA (incl. IAA)
772
712
60
772
1,259
12.50 Risk Weight
902
901
1
902
593
Total
1,674
1,613
61
1,674
1,853
Capital charge after cap
IRB RBA (incl. IAA)
62
57
5
62
101
12.50 Risk Weight
72
72
0
72
47
Total
134
129
5
134
148
In the table above an overview of Investor Securitization exposures and their respective capital requirements are shown. In line with
ING’s policy and Risk Appetite the vast majority of positions are rated AA- and above, and almost the entire portfolio remains within
the investment grade. Positions that have deteriorated in credit quality have been adequately provisioned and have been reduced
significantly. The RWA increase in the 12.50 risk weight bucket is related to an AAA rated investment for which a rating was
unavailable on 31st of December 2015.
Sponsor securitisations
In the normal course of business, ING Bank structures financing transactions for its clients by assisting them in obtaining sources of
liquidity by selling the clients’ receivables or other financial assets to an ING originated Special Purpose Vehicle (SPV). The transactions
are funded by the ING administered multi seller Asset Backed Commercial Paper (ABCP) conduit Mont Blanc Capital Corp. (rated A-1/P-
1). Mont Blanc Capital Corp. funds itself externally in the ABCP markets.
In its role as administrative agent, ING Bank facilitates these transactions by acting as administrative agent, swap counterparty and
liquidity provider to Mont Blanc. ING Bank also provides support facilities (liquidity and program wide enhancement) backing the
transactions funded by the conduit. The types of asset currently in the Mont Blanc conduit include trade receivables, consumer
finance receivables, car leases and residential mortgages..
ING Bank supports the commercial paper programmes by providing the Special Purpose Entity (SPE) with short-term liquidity facilities.
These liquidity facilities primarily cover temporary disruptions in the commercial paper market. Once drawn these facilities bear
normal credit risk. A number of programmes are supported by granting structured liquidity facilities to the SPE, in which ING Bank
covers at least some of the credit risk incorporated in these programmes itself (in addition to normal liquidity facilities), and might
suffer credit losses as a consequence. Furthermore, under a Programme Wide Credit Enhancement ING Bank guarantees to a limited
amount all remaining losses incorporated in the SPE to the commercial paper investors.
The liquidity facilities, provided to Mont Blanc are EUR 796.3 million. There was no drawn liquidity amount at 31 December 2015. Mont
Blanc has no investments in securitisation positions that ING Bank has securitised. Nor are there entities either managed or advised by
ING Bank that invest in Mont Blanc.
The normal non-structured standby liquidity facilities and the structured facilities are reported under irrevocable facilities. All facilities,
which vary in risk profile, are granted to the SPE subject to normal ING Bank credit and liquidity risk analysis procedures. The fees
received for services provided and for facilities are charged subject to market conditions. Mont Blanc is consolidated by ING Bank.
These transactions are therefore on-balance sheet arrangements.
Capital requirements for investment positions in securitisations
ING Bank Annual Report 2015 276