Securitization Details

The amounts reported in the following tables provide details of our securitization exposures separately for the regulatory banking and trading book. The presentation of the banking and trading book exposures is in line with last year’s disclosure. The details of our trading book securitization positions subject to the MRSA are included in this chapter, while details of the trading book securitization positions covered under the Comprehensive Risk Measure (“CRM”) are described in Chapter “Trading Market Risk”.

Outstanding Exposures Securitized

We are only exposed to credit or market risks related to the exposures securitized, as shown below, to the extent that we have retained or purchased any of the related securitization positions. The risk of the retained or purchased positions depends on the relative position in the payment waterfall structure of the securitization transaction. For disclosure purposes, we are deemed to be originator and additionally sponsor in case of multi-seller securitizations, which is reflected in the disclosure of the total outstanding exposures securitized in the sponsor column and our share of those exposures in the originator column.

The following table details the total banking book outstanding exposure, i.e., the overall pool size, we have securitized in our capacity as either originator or sponsor through traditional or synthetic securitization transactions split by exposure type. Within the originator columns the table provides information of the underlying securitized asset pool which was either originated from our balance sheet or acquired from third parties. The amounts reported are either the carrying values as reported in our consolidated financial statements for on-balance sheet exposures in synthetic securitizations or the principal notional amount for traditional securitizations and off-balance sheet exposures in synthetic transactions. Of the € 42.3 billion total outstanding securitized exposure reported as of December 31, 2013 in the table below as originator, the amount retained was € 22.7 billion reflecting a decrease in both outstanding securitized as well as retained exposure which for December 31, 2012 were € 53.2 billion and € 30.9 billion respectively.

For sponsor relationships, the total outstanding exposure securitized reported in the table below represents the principal notional amount of outstanding exposures of the entities issuing the securities and other receivables. As of December 31, 2013, our retained or repurchased exposure of the € 77.2 billion total outstanding exposure securitized shown in the sponsor columns including multi-seller transactions was € 13.0 billion. The remaining exposure is held by third parties. As of December 31, 2012, our exposure with regard to the € 116.6 billion total outstanding exposure securitized resulted from sponsoring activities including multi-seller transactions amounted to € 17.0 billion. The decrease in our exposure resulted primarily from a management decision to reduce the securitization book. The total reported outstanding exposure securitized is derived using information received from servicer reports of the third parties with whom the conduits have relationships.

Outstanding Exposures Securitized by Exposure Type (Overall Pool Size) within the Banking Book

 

Dec 31, 2013

Dec 31, 2012

 

Originator

Sponsor1

Originator

Sponsor1

in € m.

Traditional

Synthetic

Traditional

Synthetic

Traditional

Synthetic

Traditional

Synthetic

1

As of December 31, 2013 included under sponsor is the amount € 11.0 billion of multi-seller related securitized exposures, of which we have originated € 5.8 billion, and therefore have also included this amount under originator. For December 31, 2012 the amounts were € 17.2 billion and € 8.1 billion respectively.

2

SMEs are small- or medium-sized entities.

3

Consists mainly of securitizations supporting rental car and dealer floorplan activities in 2013.

4

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

8,277

2,945

2,312

0

10,954

3,516

4,276

0

Commercial mortgages

9,265

0

7,980

0

13,682

0

7,991

0

Credit card receivables

0

0

4,118

0

0

0

1,742

0

Leasing

0

0

8,324

0

0

0

5,967

0

Loans to corporates or SMEs (treated as corporates)2

2,215

18,522

12,950

0

2,772

20,014

21,256

781

Consumer loans

0

0

15,185

0

0

0

17,932

0

Trade receivables

0

0

193

0

0

0

0

0

Securitizations (re-securitizations)

1,101

0

2,531

0

1,642

590

3,467

0

Other assets3

0

0

23,638

0

0

0

53,166

0

Total outstanding exposures securitized4

20,858

21,467

77,232

0

29,050

24,120

115,797

781

The table below provides the total outstanding exposure securitized in relation to securitization positions held in our regulatory trading book separately for originator and sponsor activities and further broken down into traditional and synthetic transactions. Short synthetic single tranche CDOs have been reflected as originator positions for which the synthetic pool size was determined as the maximum pool size of the position sets referencing a given synthetic pool. The total outstanding exposure securitized as shown in the table below does not reflect our risk as it includes exposures not retained by us, does not consider the different positioning in the waterfall of related positions and – most notably – does not reflect hedging other than that in identical tranches. Compared with last year, the pool of outstanding exposures securitized reduced significantly for synthetic securitizations.

Outstanding Exposures Securitized by Exposure Type (Overall Pool Size) within the Trading Book

 

Dec 31, 2013

Dec 31, 2012

 

Originator

Sponsor

Originator

Sponsor1

in € m.

Traditional

Synthetic

Traditional

Synthetic

Traditional

Synthetic

Traditional

Synthetic

1

As of December 31, 2013 included under sponsor is the amount € 56.5 billion of multi-seller related securitized exposures, of which we have originated € 22.5 billion, and therefore have also included this amount under originator. For December 31, 2012 the amounts were € 56.9 billion and € 23.0 billion respectively.

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”. The table includes securitized exposure as originator amounting to € 15.7 billion and as sponsor amounting to € 11.2 billion already reflected in table “Outstanding Exposures Securitized by Exposure Type (Overall Pool Size) within the Banking Book”.

Residential mortgages

10,347

0

5,088

0

7,545

0

7,105

0

Commercial mortgages

28,295

0

52,633

0

29,185

0

50,308

0

Credit card receivables

0

0

0

0

0

0

0

0

Leasing

494

0

0

0

0

0

0

0

Loans to corporates or SMEs (treated as corporates)2

1,978

91,965

3,720

0

1,902

234,619

3,805

0

Consumer loans

0

0

0

0

0

0

0

0

Trade receivables

0

0

0

0

0

0

0

0

Securitizations (re-securitizations)

2,118

0

112

0

3,543

0

117

0

Other assets

0

0

0

0

1,189

0

0

0

Total outstanding exposures securitized3

43,232

91,965

61,553

0

43,364

234,619

61,335

0

The following table provides details of the quality of the underlying asset pool of outstanding exposures securitized for which we are an originator and hold positions in the regulatory banking book. An exposure is reported as past due when it has the status past due for 30 days or more and has not already been included as impaired. For our originated synthetic securitizations, impaired and past due exposure amounts are determined through our internal administration, while for our originated traditional securitizations, impaired and past due exposure amounts are primarily derived from investor reports of underlying exposures.

Separately, the table details losses we recognized in 2013 and 2012 for retained or purchased securitization positions as originator by exposure type. The losses are those reported in the consolidated statement of income. The amounts are the actual losses in the underlying asset pool to the extent that these losses are allocated to the retained or purchased securitization positions held by us after considering any eligible credit protection. This applies to both traditional and synthetic transactions.

Impaired and Past Due Exposures Securitized and Losses Recognized by Exposure Type (Overall Pool Size) as Originator

 

Dec 31, 2013

2013

Dec 31, 2012

2012

in € m.

Impaired/
past due1

Losses

Impaired/
past due1

Losses

1

Includes the impaired and past due exposures in relation to the overall pool of multi-seller securitizations which could reflect more than our own originated portion.

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

2,853

21

3,639

14

Commercial mortgages

0

17

79

0

Credit card receivables

0

0

0

0

Leasing

0

0

0

0

Loans to corporates or SMEs (treated as corporates)2

32

17

256

11

Consumer loans

0

0

0

0

Trade receivables

0

0

 

0

Securitizations (re-securitizations)

265

19

368

5

Other assets

0

0

0

0

Total impaired and past due exposures securitized and losses recognized3

3,150

74

4,342

30

The total impaired or past due exposure securitized decreased by € 1.2 billion in 2013. The reduction was mainly attributed to the exposure types “Residential mortgages” and “Loans to corporates or SMEs”. Losses recorded by us in 2013 increased to € 74 million compared to € 30 million in 2012.

The following table provides details of existing banking and trading book outstanding exposures split by exposure type for which there is a management intention to securitize them in either an existing or new securitization transaction in the near future. Outstanding exposures awaiting securitization do not include assets due for securitization without risk transfer i.e., those securitizations where we will keep all tranches.

Outstanding Exposures Awaiting Securitization

 

Dec 31, 2013

Dec 31, 2012

in € m.

Banking Book

Trading Book

Banking Book

Trading Book

1

SMEs are small- or medium-sized entities.

Residential mortgages

0

0

0

0

Commercial mortgages

0

2,295

0

1,783

Credit card receivables

0

0

0

0

Leasing

0

0

0

0

Loans to corporates or SMEs (treated as corporates)1

0

0

6,358

0

Consumer loans

0

0

0

0

Trade receivables

0

0

0

0

Securitizations (re-securitizations)

0

741

0

372

Other assets

0

0

0

0

Outstanding exposures awaiting securitization

0

3,036

6,358

2,155

The majority of the outstanding exposures awaiting securitization were “Commercial mortgages”, which are subject to securitization by our US CB&S business.

Securitization Positions Retained or Purchased

The table below shows the amount of the securitization positions retained or purchased in the banking book. The reported amounts are based on the regulatory exposure values prior to the application of credit risk mitigation. The securitization positions in the regulatory trading book were reported based on the exposure definition in Section 299 SolvV which states that identical or closely matched securities and derivatives are offset to a net position. From January 1, 2014, such securitization positions will be reported based on the exposure definition in Articles 327-331 CRR. The capital requirements for securitization positions both – regulatory banking and regulatory trading book – are additionally reported by the underlying exposure type.

Securitization Positions Retained or Purchased by Exposure Type

 

Dec 31, 2013

 

Banking Book

Trading Book

in € m.

On-balance securitization positions

Off-balance, derivative and SFT securitization positions

Regulatory exposure value

Capital requirements

On-balance securitization positions

Off-balance, derivative and SFT securitization positions

Regulatory exposure value

Capital requirements

1

SMEs are small- or medium-sized entities.

2

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

Residential mortgages

4,705

3,160

7,865

227

2,358

44

2,402

544

Commercial mortgages

806

558

1,363

187

1,957

3,090

5,047

544

Credit card receivables

0

1,520

1,520

12

91

0

91

5

Leasing

1,749

690

2,439

27

17

0

17

1

Loans to corporates or SMEs (treated as corporates)1

19,275

3,409

22,683

270

796

4,078

4,874

254

Consumer loans

2,142

2,713

4,854

107

370

0

370

55

Trade receivables

0

158

158

1

1

0

1

0

Securitizations (re-securitizations)

562

1,655

2,216

130

950

26

976

324

Other assets

4,880

3,773

8,652

168

917

118

1,035

231

Total securitization positions retained or purchased2

34,117

17,634

51,751

1,130

7,458

7,356

14,814

1,958

 

Dec 31, 2012

 

Banking Book

Trading Book

in € m.

On-balance securitization positions

Off-balance, derivative and SFT securitization positions

Regulatory exposure value

Capital requirements

On-balance securitization positions

Off-balance, derivative and SFT securitization positions

Regulatory exposure value

Capital requirements

1

SMEs are small- or medium-sized entities.

2

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

Residential mortgages

5,484

3,331

8,815

385

1,553

92

1,645

220

Commercial mortgages

2,712

934

3,646

391

2,263

3,319

5,582

291

Credit card receivables

0

920

920

7

46

0

46

1

Leasing

2,227

1,291

3,518

98

0

0

0

0

Loans to corporates or SMEs (treated as corporates)1

25,568

4,791

30,359

494

272

4,526

4,798

133

Consumer loans

2,818

2,470

5,288

398

109

0

109

6

Trade receivables

0

0

0

0

0

0

0

0

Securitizations (re-securitizations)

1,593

2,398

3,991

466

729

56

785

260

Other assets

5,044

3,887

8,931

212

1,099

33

1,132

155

Total securitization positions retained or purchased2

45,446

20,022

65,468

2,451

6,071

8,026

14,097

1,066

Retained or purchased securitization positions are reduced across most exposure types throughout the year 2013 due to the continued de-risking strategy as in the last years. Specifically the large decrease for the exposure type “Loans to corporates or SMEs” results from de-recognition of synthetic transactions and further de-risking activities. Within the trading book, the securitization exposure increased by € 718 million or 5 % mainly for the exposure type “Residential mortgages” and “Consumer loans” partially offset by a decrease from the exposure type “Commercial mortgages”.

Securitization Positions Retained or Purchased by Region

 

Dec 31, 2013

Dec 31, 2012

in € m.

Banking Book

Trading Book

Banking Book

Trading Book

1

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

Europe

22,017

3,371

28,601

3,699

Americas

26,837

9,680

33,158

9,198

Asia/Pacific

2,849

1,355

3,616

979

Other

49

408

93

221

Total securitization positions retained or purchased1

51,751

14,814

65,468

14,097

The amounts shown in the table above are based on the country of domicile of the obligors of the exposures securitized. Decreases in exposures by € 13.7 billion in the banking book resulted from the management decision to reduce the overall size of securitization positions. This reduction was uniform at about 20 % across all major regions.


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