Other IRBA Exposure

As an IRBA institution, we are required to treat equity investments, collective investment undertakings (“CIU”) and other non-credit obligation assets generally within the IRBA. For these exposure types typically regulatory-defined IRBA risk weights are applied.

We use the simple risk-weight approach according to Section 98 SolvV for our investments in equity positions entered into since January 1, 2008. It distinguishes between exposure in equities which are non-exchange traded but sufficiently diversified, exchange-traded and other non-exchange-traded and then uses the regulatory-defined risk weights of 190 %, 290 % or 370 %, respectively.

For certain CIU exposures we apply the “look through”-treatment which constitutes a decomposition of the CIU into its underlying investments. If such decomposition is performed the underlying investment components are assigned to their respective exposure class – either within the IRBA or standardized approaches – as if they were directly held. A sub-portion of our CIU exposures resulting from Postbank is covered within the standardized approach by applying risk weights provided by third parties in line with Section 83 (5) SolvV. More details on Postbank’s CIU exposures covered in the standardized approach are provided in Section “Standardized Approach”. For the remaining collective investment undertakings the simple risk weight of 370 % is applied and assigned to the exposure class “equity investments”.

Exposures which are assigned to the exposure class “other non-credit obligation assets” receive an IRBA risk weight of 0 % in case of cash positions or 100 %.

The following table summarizes on an EAD basis our IRBA exposure for equities, CIUs and other non-credit obligation assets, where regulatory risk weights are applied. Credit risk mitigation techniques have not been applied. The decreases mainly result from a lower cash position as well as asset disposals.

EAD of equity investments, CIUs and other non-credit obligation assets by risk weight

in € m.

Dec 31, 2013

Dec 31, 2012

0 %

883

2,182

100 %

5,739

6,180

190 %

62

109

290 %

184

218

370 %

1,089

1,248

Total EAD of equity investments, CIUs and other non-credit obligation assets

7,957

9,936

The table below summarizes on an EAD basis our IRBA exposure for specialized lending. The exposures comprise commercial loans for residential construction, loans to property developers, operator models, real estate and equipment leasing, real estate located outside Germany, and private mortgage loans financing the construction of properties with more than ten residential units as well as project finance exposures. For the calculation of minimum capital requirements regulatory risk weights are applied where potential risk mitigating factors are already considered in the assignment of a risk weight to a specific structure. Additional credit risk mitigation techniques have not been applied.

The decrease is primarily driven by Postbank exposures resulting from the ongoing de-risking activities.

Other IRBA exposure for specialized lending by risk weight

in € m.

Dec 31, 2013

Dec 31, 2012

Risk weight category 1 (strong)

8,223

14,008

Risk weight category 2 (good)

680

1,443

Risk weight category 3 (satisfactory)

139

477

Risk weight category 4 (weak)

65

177

Risk weight category 5 (defaulted)

1,061

1,568

Total EAD of specialized lending

10,169

17,673


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