Securitization Activities

The 2013 yearend amounts in the tables below show an increase of our securitization sponsor activity compared with 2012. An increase as of yearend 2013 of our securitization originator activity predominately concerned the exposure type “Loans to corporates or SMEs” dominated by the synthetic transactions executed by the Credit Portfolio Strategies Group (CPSG). The increase in “Commercial mortgages” is driven by new traditional transactions mainly based on assets from the Americas and conducted as multi-seller transactions.

Securitization Activity – Total Outstanding Exposures Securitized (i.e., the underlying pools) by Exposure Type within the Banking Book

 

Originator

Sponsor1

 

Dec 31, 2013

2013

Dec 31, 2013

in € m.

Traditional

Synthetic

Realized gains (losses) from sales/ liquidations

Traditional

Synthetic

1

Included under sponsor is the amount € 2.8 billion exposures securitized, of which we originated € 1.5 billion, also included under originator.

2

SMEs are small- or medium-sized entities.

3

For a regulatory assessment of our exposure to credit risk in relation to securitization activity in the banking book see table “Banking Book Securitization Positions Retained or Purchased by Risk Weight Band”.

Residential mortgages

0

0

0

1,551

0

Commercial mortgages

2,328

0

52

2,880

0

Credit card receivables

0

0

0

2,455

0

Leasing

0

0

0

4,036

0

Loans to corporates or SMEs (treated as corporates)2

0

10,069

0

2,291

0

Consumer loans

0

0

0

3,532

0

Trade receivables

0

0

0

193

0

Securitizations (re-securitizations)

0

0

0

114

0

Other assets

0

0

0

5,211

0

Total Outstanding Exposures Securitized3

2,328

10,069

52

22,263

0

 

Originator

Sponsor

 

Dec 31, 2012

2012

Dec 31, 2012

in € m.

Traditional

Synthetic

Realized gains (losses) from sales/ liquidations

Traditional

Synthetic

1

SMEs are small- or medium-sized entities.

2

Excludes a restructuring activity as sponsor where one security was transferred between two of our conduits. Respective Outstanding Exposure Securitized of this security is reported in table “Outstanding Exposures Securitized by Exposure Type (Overall Pool Size) within the Banking Book”.

3

For a regulatory assessment of our exposure to credit risk in relation to securitization activity in the banking book see table “Banking Book Securitization Positions Retained or Purchased by Risk Weight Band”.

Residential mortgages

0

0

0

0

0

Commercial mortgages

260

0

1

1,416

0

Credit card receivables

0

0

0

0

0

Leasing

0

0

0

234

0

Loans to corporates or SMEs (treated as corporates)1

108

3,566

0

1,460

0

Consumer loans

0

0

0

251

0

Trade receivables

0

0

0

0

0

Securitizations (re-securitizations)

0

590

0

2,107

0

Other assets2

0

0

0

702

0

Total Outstanding Exposures Securitized3

368

4,156

1

6,170

0

The higher exposure originated via traditional securitizations in 2013 compared to 2012 is mainly driven by increased market activity within CMBS securitizations resulting from a general market recovery in this segment. The decrease of new synthetic securitizations follows our de-risking strategy in this business segment.

Securitization Activity – Total Outstanding Exposures Securitized by Exposure Type within the Trading Book

 

Originator

Sponsor1

 

Dec 31, 2013

2013

Dec 31, 2013

in € m.

Traditional

Synthetic

Realized gains (losses) from sales/ liquidations

Traditional

Synthetic

1

Included under sponsor is the amount € 12.5 billion exposures securitized, of which we originated € 5.3 billion, also included under originator.

2

SMEs are small- or medium-sized entities.

3

For a regulatory assessment of our exposure to credit risk in relation to securitization activity in the trading book see table “Trading Book Securitization Positions Retained or Purchased by Risk Weight Band subject to the MRSA”.

Residential mortgages

0

0

0

2,989

0

Commercial mortgages

7,162

0

173

12,475

0

Credit card receivables

0

0

0

0

0

Leasing

0

0

0

0

0

Loans to corporates or SMEs (treated as corporates)2

0

584

0

0

0

Consumer loans

0

0

0

0

0

Trade receivables

0

0

0

0

0

Securitizations (re-securitizations)

528

0

0

0

0

Other assets

0

0

0

0

0

Total Outstanding Exposures Securitized3

7,690

584

173

15,464

0

 

Originator

Sponsor1

 

Dec 31, 2012

2012

Dec 31, 2012

in € m.

Traditional

Synthetic

Realized gains (losses) from sales/ liquidations

Traditional

Synthetic

1

Included under sponsor is the amount € 6.8 billion exposures securitized, of which we originated € 2.5 billion, also included under originator.

2

SMEs are small- or medium-sized entities.

3

For a regulatory assessment of our exposure to credit risk in relation to securitization activity in the trading book see table “Trading Book Securitization Positions Retained or Purchased by Risk Weight Band subject to the MRSA”.

Residential mortgages

0

0

0

2,115

0

Commercial mortgages

3,908

0

170

6,823

0

Credit card receivables

0

0

0

0

0

Leasing

0

0

0

0

0

Loans to corporates or SMEs (treated as corporates)2

0

16,284

0

0

0

Consumer loans

0

0

0

0

0

Trade receivables

0

0

0

0

0

Securitizations (re-securitizations)

1,033

0

85

0

0

Other assets

0

0

0

0

0

Total Outstanding Exposures Securitized3

4,941

16,284

255

8,938

0


Key figures comparison

Compare key figures of the past years. more