ING Direct 2015 Annual Report Download - page 280

Contents
Report of the
Executive Board
Corporate
Governance
Consolidated
annual accounts
Parent company
annual accounts
Other
information
Additional
information
Additional Pillar III information - continued
Market risk
Introduction
After the turmoil in the financial markets and the consequent need for governments to provide aid to financial institutions, financial
institutions have been under more scrutiny from the public, supervisors and regulators. This has resulted in more stringent regulations
intended to avoid future crises in the financial system and taxpayers’ aid in the future. Reference is made to the section ‘Market and
Regulatory environment’ in the Risk Management Paragraph.
amounts in millions of euros
VaR
Stressed
VaR IRC
Standardi-
sed Model Total RWA
Opening amount
1,178
2,802
5,331
1,412
10,723
Movement in risk levels and market movement
619
129
–1,752
–84
–1,088
Model updates/changes
-
-
-
-
-
Acquisitions and disposals
-
-
-
-
-
Total movement
619
129
–1,752
–84
–1,088
Closing amount
1,797
2,931
3,579
1,328
9,635
Key changes
Over the year, the ING Bank Market Risk Weighted Assets (MRWA) decreased by EUR 1.1 billion to EUR 9.6 billion. The key changes are
the following:
• MRWA decreased by EUR 1.1 billion mainly as a result of a decrease in exposures to sovereign issuers that decreased IRC.
• A model update comprising a change in Stressed VaR period used in Stressed VaR calculations did not result in material impact on
MRWA.
Capital at Risk
Capital at Risk measures the impact of predefined instant shocks of market risk factors such as interest rates, credit spreads, foreign
exchange rates, equity prices and real estate prices on the volatility of IFRS-EU and common equity tier 1.
Main Drivers
The main market risk sensitivities of capital are interest rate and credit spread driven, resulting from cash flow hedges and available
for sale debt securities. Furthermore the sensitivity of the currency translation reserve is an intended open position to stabilise the
common equity tier1 ratio for foreign exchange movements, as the RWA are impacted as well by these market movements.
Market Risk Weighted Assets movement by key driver
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