Trading Book Securitization Exposure

For trading book securitization positions not covered under the CRM, the capital requirement for specific market risk is calculated based on the MRSA. The MRSA risk weight calculation for trading book securitization positions is generally based on the same methodologies which apply to banking book securitization positions. More details on the approaches are provided in Section “Regulatory Securitization Framework” as well as in Section “Trading Market Risk”.

Trading Book Securitization Positions Retained or Purchased by Risk Weight Band subject to the Market Risk Standardized Approach (“MRSA”)

 

Dec 31, 2013

Dec 31, 2012

 

Exposure amount

Capital requirements, MRSA

Exposure amount

Capital requirements, MRSA

in € m.

Securitization

Re-Securitization

Securitization

Re-Securitization

Securitization

Re-Securitization

Securitization

Re-Securitization

≤ 10 %

5,254

0

30

0

5,298

0

30

0

> 10 ≤ 20 %

4,677

0

52

0

4,637

0

53

0

> 20 ≤ 50 %

1,095

338

32

10

1,175

309

28

10

> 50 ≤ 100 %

674

141

42

10

958

170

61

12

> 100 ≤ 350 %

558

132

88

20

494

80

72

12

> 350 ≤ 650 %

237

100

77

44

182

33

68

14

> 650 < 1,250 %

118

6

65

3

102

21

56

12

1,250 %/Deduction

1,177

308

1,177

308

392

245

392

245

Total securitization positions retained or purchased

13,790

1,025

1,563

395

13,239

858

761

305

On a year to year comparison the trading book securitization positions increased mainly in the risk weight category 1,250 % capital deduction.

Re-securitization Positions

Trading book re-securitization exposure is reduced by 68 % as a result of hedging being recognized according to section 299 SolvV. From January 1, 2014, the hedged exposure will be reported based on the definition laid out in Articles 327-331 CRR.

Re-Securitization Positions Retained or Purchased

 

Dec 31, 2013

Dec 31, 2012

 

Banking Book

Trading Book

Banking Book

Trading Book

 

Exposure amount

Exposure amount

Exposure amount

Exposure amount

in € m.

Before hedging/ insurances

After hedging/ insurances

Before hedging/ insurances

After hedging/ insurances

Before hedging/ insurances

After hedging/ insurances

Before hedging/ insurances

After hedging/ insurances

Re-Securitization Positions

2,322

2,320

3,190

1,025

6,435

6,434

2,910

858

Risk mitigation in the form of financial guarantees has not been applied to our re-securitization positions in either the banking or the trading book.