Banking Book Securitization Exposure

Banking Book Securitization Positions Retained or Purchased by Risk Weight Band

 

Dec 31, 2013

Dec 31, 2012

in € m.

Exposure amount

Capital requirements IRBA1

Capital requirements standardized approach

Exposure amount

Capital requirements IRBA1

Capital requirements standardized approach

1

After considering value adjustments according to Sections 253 (3) and 268 (2) SolvV. Including capital requirements for maturity mismatch of synthetic securitizations by risk weight band defined as notional weighted average risk weight of the underlying pool. Amounts for December 31, 2012 have been adjusted accordingly.

≤ 10 %

36,301

192

0

40,929

201

0

> 10 ≤ 20 %

5,759

50

12

5,900

43

14

> 20 ≤ 50 %

4,895

171

9

9,816

420

20

> 50 ≤ 100 %

2,385

77

74

3,666

108

75

> 100 ≤ 350 %

283

29

1

1,167

90

8

> 350 ≤ 650 %

247

75

0

364

118

0

> 650 < 1,250 %

91

33

0

337

86

0

1,250 %/Deduction

1,789

349

58

3,289

1,174

94

Total securitization positions retained or purchased

51,751

976

154

65,468

2,240

211

The amounts shown in the table above are prior to application of credit risk mitigation. Exposure reductions are observable in most risk weight bands following the de-risking strategy of the bank. Exposures subject to capital deduction declined by 46 % as positions were either terminated, sold, restructured or externally rated BB- or better. Overall, the capital requirements for banking book securitizations were reduced by 54 %.

The largest portion for IRBA eligible banking book securitization exposures are treated according to the Supervisory Formula Approach (“SFA”). For the remaining IRBA eligible banking book exposures we use the Internal Assessment Approach (“IAA”) predominantly for our ABCP sponsor activity or the Ratings Based Approach (“RBA”).

Banking Book Securitization Positions Retained or Purchased by Risk Weight Bands subject to the IRBA-Rating Based Approach (RBA)

 

Dec 31, 2013

Dec 31, 2012

 

Exposure amount

Capital requirements,
IRBA-RBA1

Exposure amount

Capital requirements,
IRBA-RBA1

in € m.

Securitization

Re-Securitization

Securitization2

Re-Securitization

Securitization

Re-Securitization

Securitization2

Re-Securitization

1

After considering value adjustments according to Sections 253 (3) and 268 (2) SolvV.

2

Including capital requirements for maturity mismatch of synthetic securitizations by risk weight band defined as notional weighted average risk weight of the underlying pool. Amounts for December 31, 2012 have been adjusted accordingly.

≤ 10 %

6,449

0

35

0

10,558

0

47

0

> 10 ≤ 20 %

1,463

0

14

0

2,939

0

21

0

> 20 ≤ 50 %

1,378

1,564

85

44

2,163

3,545

237

96

> 50 ≤ 100 %

1,020

0

63

0

1,481

610

58

26

> 100 ≤ 350 %

59

108

2

11

694

159

43

20

> 350 ≤ 650 %

235

0

71

0

266

79

84

27

> 650 < 1,250 %

13

64

7

12

278

58

53

33

1,250 %/Deduction

662

152

253

22

2,748

294

925

127

Total securitization positions retained or purchased

11,279

1,889

531

89

21,127

4,745

1,468

329

Banking Book Securitization Positions Retained or Purchased by Risk Weight Band subject to the IRBA-Internal Assessment Approach (IAA)

 

Dec 31, 2013

Dec 31, 2012

 

Exposure amount

Capital requirements,
IRBA-IAA1

Exposure amount

Capital requirements,
IRBA-IAA1

in € m.

Securitization

Re-Securitization

Securitization

Re-Securitization

Securitization

Re-Securitization

Securitization

Re-Securitization

1

After considering value adjustments according to Sections 253 (3) and 268 (2) SolvV.

≤ 10 %

4,670

0

29

0

4,948

0

31

0

> 10 ≤ 20 %

3,319

0

33

0

1,783

0

18

0

> 20 ≤ 50 %

1,283

351

28

11

2,291

1,093

52

32

> 50 ≤ 100 %

210

5

12

0

191

119

12

5

> 100 ≤ 350 %

0

33

0

4

17

80

1

10

> 350 ≤ 650 %

0

0

0

0

0

4

0

2

> 650 < 1,250 %

0

0

0

0

0

0

0

0

1,250 %/Deduction

0

0

0

0

20

0

20

0

Total securitization positions retained or purchased

9,482

389

102

16

9,250

1,296

134

49

Banking Book Securitization Positions Retained or Purchased by Risk Weight Band subject to the IRBA-Supervisory Formula Approach (SFA)

 

Dec 31, 2013

Dec 31, 2012

 

Exposure amount

Capital requirements,
IRBA-SFA1

Exposure amount

Capital requirements,
IRBA-SFA1

in € m.

Securitization

Re-Securitization

Securitization

Re-Securitization

Securitization

Re-Securitization

Securitization

Re-Securitization

1

After considering value adjustments according to Sections 253 (3) and 268 (2) SolvV.

≤ 10 %

25,182

0

128

0

25,423

0

123

0

> 10 ≤ 20 %

172

0

2

0

340

0

4

0

> 20 ≤ 50 %

81

0

2

0

165

0

4

0

> 50 ≤ 100 %

32

0

2

0

130

0

7

0

> 100 ≤ 350 %

74

0

12

0

127

0

15

0

> 350 ≤ 650 %

13

0

4

0

13

0

5

0

> 650 < 1,250 %

14

0

14

0

1

0

1

0

1,250 %/Deduction

917

0

74

0

70

62

40

62

Total securitization positions retained or purchased

26,485

0

239

0

26,269

62

199

62

The Credit Risk Standardized Approach (“CRSA”) is used for securitization positions where the underlying portfolio predominantly concerns credit risk exposures, which would qualify for application of the CRSA if these exposures would be directly held by us.

Banking Book Securitization Positions Retained or Purchased by Risk Weight Band subject to the Credit Risk Standardized Approach (CRSA)

 

Dec 31, 2013

Dec 31, 2012

 

Exposure amount

Capital requirements, SA

Exposure amount

Capital requirements, SA

in € m.

Securitization

Re-Securitization

Securitization

Re-Securitization

Securitization

Re-Securitization

Securitization

Re-Securitization

≤ 10 %

0

0

0

0

0

0

0

0

> 10 ≤ 20 %

802

3

12

0

839

0

13

0

> 20 ≤ 50 %

238

0

9

0

295

263

12

8

> 50 ≤ 100 %

1,119

0

74

0

1,137

0

75

0

> 100 ≤ 350 %

9

0

1

0

91

0

8

0

> 350 ≤ 650 %

0

0

0

0

1

0

0

0

> 650 < 1,250 %

0

0

0

0

0

0

0

0

1,250 %/Deduction

16

41

16

41

25

69

25

69

Total securitization positions retained or purchased

2,184

44

113

41

2,388

332

133

77