21 – Transfers of Financial Assets


The Group enters into transactions in which it transfers financial assets held on the balance sheet and as a result may either be eligible to derecognize the transferred asset in its entirety or must continue to recognize the transferred asset to the extent of any continuing involvement, depending on certain criteria. These criteria are discussed in Note 01 “Significant Accounting Policies”.

Where financial assets are not eligible to be derecognized, the transfers are viewed as secured financing transactions, with any consideration received resulting in a corresponding liability. The Group is not entitled to use these financial assets for any other purposes. The most common transactions of this nature entered into by the Group are repurchase agreements, securities lending agreements and total return swaps, in which the Group retains substantially all of the associated credit, equity price, interest rate and foreign exchange risks and rewards associated with the assets as well as the associated income streams.

The Group could retain some exposure to the future performance of a transferred asset either through new or existing contractual rights and obligations, however, and still be eligible to derecognize the asset. This on-going involvement will be recognized as a new instrument which may be different from the original financial asset that was transferred. Typical transactions include retaining senior notes of non-consolidated securitizations to which originated loans have been transferred; financing arrangements with SPE’s to which the Group has sold a portfolio of assets; or sales of assets with credit-contingent swaps. The Group’s exposure to such transactions is not considered to be significant as any substantial retention of risks associated with the transferred asset will commonly result in an initial failure to derecognize. Transactions not considered to result in an ongoing involvement include normal warranties on fraudulent activities that could invalidate a transfer in the event of legal action, qualifying pass-through arrangements and standard trustee or administrative fees that are not linked to performance.

Information on asset types and associated transactions that did not qualify for derecognition1

in € m.

Dec 31, 2012

Dec 31, 2011

1

The amendments to IFRS7 introduced an extended transfer definition, therefore widened the scope of the disclosure. See Note 03 “Recently Adopted and New Accounting Pronouncements”.

Carrying amount of transferred assets

 

 

Trading securities not derecognized due to the following transactions:

 

 

Repurchase agreements

51,020

49,401

Securities lending agreements

36,109

31,245

Total return swaps

10,056

9,857

Consolidated Group Sponsored Securitizations

1,889

2,044

Total trading securities

99,074

92,547

Other trading assets

1,579

2,035

Financial assets available for sale

992

10,225

Loans

2,723

4,461

Total

104,368

109,268

Carrying amount of associated liabilities

92,372

89,927

As of December 31, 2012 the fair value of transferred assets that did not qualify for derecognition and where the associated liability is recourse only to those assets was € 3.4 billion. They included Trading securities, Financial assets available for sale and Loans with a fair value of € 1.9 billion, € 344 million and € 1.1 billion respectively. The fair value of associated liabilities that have recourse only to such transferred assets was € 3.4 billion.

Carrying value of assets transferred in which the Group still accounts for the asset to the extent of its continuing involvement:

in € m.

Dec 31, 2012

Dec 31, 2011

Carrying amount of the original assets transferred:

 

 

Trading securities

839

1,383

Other trading assets

2,013

7,302

Carrying amount of the assets continued to be recognized:

 

 

Trading securities

805

1,367

Other trading assets

300

2,078

Carrying amount of associated liabilities

1,037

3,467

The impact on the Group’s Balance Sheet of on-going involvement associated with transferred assets derecognized in full:

 

Dec 31, 2012

in € m.

Carrying value

Fair value

Maximum Exposure to Loss

Loans:

 

 

 

Securitization notes

1,888

1,798

2,012

Total Loans

1,888

1,798

2,012

Financial assets held at Fair Value through the P&L:

 

 

 

Securitization notes

1,143

1,143

1,143

Non-standard Interest Rate, cross-currency or inflation-linked swap

32

32

32

Total Financial assets held at Fair Value through the P&L

1,175

1,175

1,175

Financial assets available for sale:

 

 

 

Securitization notes

29

29

29

Loans

Total Financial assets available for sale

29

29

29

Total financial assets representing on-going involvement

3,092

3,002

3,216

Financial liabilities held at Fair Value through the P&L:

 

 

 

Non-standard Interest Rate, cross-currency or inflation-linked swap

(36)

(36)

Total financial liabilities representing on-going involvement

(36)

(36)

The impact on the Group’s Statement of Income of on-going involvement associated with transferred assets derecognized in full:

 

Dec 31, 2012

in € m.

Year-to-date P&L

Cumulative P&L

Gain/(loss) on disposal

1

Typically, sales of assets into securitization vehicles were of assets that were classified as Fair Value through P&L, therefore any gain or loss on disposal is immaterial.

2

On-going involvement in sold equity positions in the form of a deeply out-of-the-money option, contingent on several unlikely events and therefore not expected to be exercised. As a result, the carrying and fair value of this option is considered to be nil.

Securitization notes

190

(139)

1

Non-standard IRS, CCS, inflation-linked swap

(8)

407

5

Other2

21

34

Net gains/(losses) recognized from on-going involvement in derecognized assets

182

289

39

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