Your search term: italy
3 of 9
Relevance of hit: 14%

Credit Exposure Classification


We also classify our credit exposure under two broad headings: consumer credit exposure and corporate credit exposure.

  • Our consumer credit exposure consists of our smaller-balance standardized homogeneous loans, primarily in Germany, Italy and Spain, which include personal loans, residential and nonresidential mortgage loans, overdrafts and loans to self-employed and small business customers of our private and retail business.
  • Our corporate credit exposure consists of all exposures not defined as consumer credit exposure.

Corporate Credit Exposure

The following table breaks down several of our main corporate credit exposure categories according to the creditworthiness categories of our counterparties.

 

Dec 31, 2011

in € m.

Loans1

Irrevocable lending commit-
ments2

Contingent liabilities

OTC derivatives3

Debt securities available for sale

Total

1

Includes impaired loans mainly in category CCC and below amounting to € 6.0 billion as of December 31, 2011.

2

Includes irrevocable lending commitments related to consumer credit exposure of € 9.2 billion as of December 31, 2011.

3

Includes the effect of netting agreements and cash collateral received where applicable.

AAA-AA

51,321

21,152

6,535

37,569

22,753

139,330

A

45,085

37,894

24,410

17,039

8,581

133,009

BBB

59,496

36,659

21,002

12,899

5,109

135,165

BB

50,236

21,067

13,986

7,478

2,303

95,070

B

17,650

9,152

6,051

3,007

263

36,123

CCC and below

18,148

2,071

1,669

1,632

371

23,891

Total

241,936

127,995

73,653

79,624

39,380

562,588

 

Dec 31, 2010

in € m.

Loans1

Irrevocable lending commit-
ments2

Contingent liabilities

OTC derivatives3

Debt securities available for sale

Total

1

Includes impaired loans mainly in category CCC and below amounting to € 3.6 billion as of December 31, 2010.

2

Includes irrevocable lending commitments related to consumer credit exposure of € 4.5 billion as of December 31, 2010.

3

Includes the effect of netting agreements and cash collateral received where applicable.

AAA-AA

62,603

23,068

7,334

23,967

28,881

145,853

A

48,467

31,945

21,318

16,724

7,789

126,243

BBB

56,096

36,542

20,391

8,408

5,128

126,565

BB

44,809

22,084

11,546

7,905

2,390

88,734

B

12,594

7,775

5,454

2,960

632

29,415

CCC and below

17,425

2,467

2,012

2,341

1,394

25,639

Total

241,994

123,881

68,055

62,305

46,214

542,449

The size of the corporate loan book and level of irrevocable lending commitments and contingent liabilities remained materially consistent with December 31, 2010. The portion of our corporate credit exposure carrying an investment-grade rating decreased from 73 % as of December 31, 2010 to 72 % as of December 31, 2011, remaining stable despite challenging macroeconomic environment. The loan exposure shown in the table above does not take into account any collateral, other credit enhancement or credit risk mitigating transactions. After consideration of such credit mitigants, we believe that our loan book is well-diversified. The increase in our OTC derivatives exposure, primarily took place in relation to investment grade counterparties. The OTC derivatives exposure does not include credit risk mitigants (other than master agreement netting) or collateral (other than cash). Taking these mitigants into account, we believe that the remaining current credit exposure was significantly lower, adequately structured, enhanced or well-diversified and geared towards investment grade counterparties. Our debt securities available for sale decreased in relation to December 31, 2010, reflecting risk reduction in particular with respect to sovereign exposures.

Risk Mitigation for the Corporate Credit Exposure

Our Loan Exposure Management Group (“LEMG”) helps mitigate the risk of our corporate credit exposures. The notional amount of LEMG’s risk reduction activities increased by 1 % from € 54.9 billion as of December 31, 2010, to € 55.3 billion as of December 31, 2011.

As of year-end 2011, LEMG held credit derivatives with an underlying notional amount of € 37.6 billion. The position totaled € 34.6 billion as of December 31, 2010. The credit derivatives used for our portfolio management activities are accounted for at fair value.

LEMG also mitigated the credit risk of € 17.7 billion of loans and lending-related commitments as of December 31, 2011, through synthetic collateralized loan obligations supported predominantly by financial guarantees and, to a lesser extent, credit derivatives for which the first loss piece has been sold. This position totaled € 20.3 billion as of December 31, 2010.

LEMG has elected to use the fair value option under IAS 39 to report loans and commitments at fair value, provided the criteria for this option are met. The notional amount of LEMG loans and commitments reported at fair value decreased during the year to € 48.3 billion as of December 31, 2011, from € 53.4 billion as of December 31, 2010. By reporting loans and commitments at fair value, LEMG has significantly reduced profit and loss volatility that resulted from the accounting mismatch that existed when all loans and commitments were reported at historical cost while derivative hedges were reported at fair value.

Consumer Credit Exposure

The following table presents our total consumer credit exposure, consumer loan delinquencies in terms of loans that are 90 days or more past due, and net credit costs, which are the net provisions charged during the period, after recoveries. Loans 90 days or more past due and net credit costs are both expressed as a percentage of total exposure. Regardless of the past due status of the individual loans, in terms of credit quality the mortgage lending and loans to small business customers within the consumer credit exposure are allocated to our lower risk bucket while the consumer finance business is allocated to the moderate risk bucket. This credit risk quality aspect is also reflected by our net credit costs expressed as a percentage of the total exposure supporting them, which is the main credit risk management instrument for these exposures.

 

Total exposure in € m.

90 days or more past due as a % of total exposure1

Net credit costs as a % of total exposure2

 

Dec 31, 2011

Dec 31, 2010

Dec 31, 2011

Dec 31, 2010

Dec 31, 2011

Dec 31, 2010

1

As the acquired Postbank loans were initially consolidated at their fair values with a new cash flow expectation, the contractual past due status of acquired loans is not considered for disclosure purposes. Accordingly, the overall 90 days or more past due ratio reduced when calculated for the combined portfolio as disclosed in 2010, compared to past due ratios for Deutsche Bank excluding Postbank. As a result of this disclosure practice, the combine past due ration in 2011 increased compared to 2010, predominantly because Postbank loans becoming 90 days or more past due since acquisition are not offset by acquired past due Postbank loans with an improved past due status. For Deutsche Bank excluding Postbank, the 90 days or more past due ratio for the total consumer credit exposure remained flat.

2

Ratios per December 31, 2010 refer to Deutsche Bank Group excluding immaterial provisions at Postbank since consolidation, while ratios for December 31, 2011 refer to Deutsche Bank Group including Postbank. Increases in the present value of acquired loans, representing releases of allowances for credit losses established prior to their consolidation at the consolidated entities, are not included but recorded through net interest income (for detailed description see next section “IFRS Impaired Loans”. Taking such amounts into account, the net credit costs as a percentage of total exposure would amount to 0.42 % as of December 31, 2011.

3

Includes impaired loans amounting to € 3.4 billion as of December 31, 2011 and € 2.7 billion as of December 31, 2010.

Consumer credit exposure Germany:

135,069

130,317

0.95 %

0.83 %

0.49 %

0.56 %

Consumer and small business financing

19,805

19,055

1.88 %

2.11 %

1.55 %

1.92 %

Mortgage lending

115,264

111,262

0.79 %

0.61 %

0.31 %

0.20 %

Consumer credit exposure outside Germany

39,672

38,713

3.93 %

3.27 %

0.61 %

0.86 %

Consumer and small business financing

13,878

13,361

7.22 %

6.39 %

1.31 %

1.96 %

Mortgage lending

25,794

25,352

2.15 %

1.63 %

0.23 %

0.13 %

Total consumer credit exposure3

174,741

169,030

1.63 %

1.39 %

0.52 %

0.66 %

The volume of our total consumer credit exposure increased by € 5.7 billion, or 3.4 % from year-end 2010 to December 31, 2011. This increase included net exposure increases of € 2.1 billion at Postbank, where increases of € 3.2 billion in Germany were partially offset by reductions of € 1.1 billion outside Germany mainly driven by a portfolio sale. The increase in Germany principally reflected a changed allocation of exposures from corporate to consumer credit exposure within Postbank. The increase of the 90 days or more past due ratio in Germany is driven by the Postbank consolidation. In 2010, the acquired Postbank loans were consolidated with no exposure past due reflecting their status as performing assets at consolidation, which significantly reduced the 90 days or more past due ratio of the combined portfolios that year. This year, the ratio increased compared to 2010 as Postbank loans becoming 90 days or more past due since acquisition are not offset by acquired Postbank loans with an improved past due status. Overall the portfolio quality in Germany improved further, as also evidenced by the improvement in the 90 days or more past due ratio excluding above Postbank effect from 1.77 % in 2010 to 1.58 % this year.

The increase in this ratio in our consumer credit exposure outside Germany is also due to the above consolidation effect, in addition to the effect of changes in charge-off criteria in 2009 which increases the time to full charge-off for certain portfolios. This effect will continue to increase the 90 days or more past due ratio until the portfolio will reach its steady state again, approximately 5 years after the change in charge-off criteria.

The volume of our consumer credit exposure excluding Postbank rose by € 3.6 billion, or 3.9 %, from year-end 2010 to December 31, 2011, mainly driven by our mortgage lending activities. The increase results from volume growth of our portfolio in Germany (up € 1.6 billion) as well as outside Germany (up € 2.0 billion) with strong growth in Italy (up € 981 million), Portugal (up € 491 million) and Poland (up € 420 million). Despite the volume growth, previously initiated measures, e.g. alignments of credit approval parameters and restructuring of collection activities, led to a reduction of net credit costs in all regions, especially in Germany and Poland. In addition Germany was positively impacted by a portfolio sale in the first quarter 2011. This improvement in portfolio quality is reflected in the reduction of the net credit costs as percentage of total exposure excluding Postbank from 0.66 % at year-end 2010 to 0.45 % at December 31, 2011.

Key figures comparison

Compare key figures of the past years. more

Signs and Symbols
  • Save section as pdf file
  • Save table as xls file
  • Print page
  • Add file to file library
  • Glossary
  • Link to a page outside of this report
  • Link to a page within this report
  • Compare to 2009
  • Corresponding page at the PDF version of this report
Help

Explanations to make the best possible use of the information provided and the various service features can be found here.

Deutsche Bank Annual Report 2011

Feedback