21 – Transfers of Financial Assets

The Group enters into transactions in which it transfers financial assets held on the balance sheet and as a result may either be eligible to derecognize the transferred asset in its entirety or must continue to recognize the transferred asset to the extent of any continuing involvement, depending on certain criteria. These criteria are discussed in Note 1 “Significant Accounting Policies and Critical Accounting Estimates”.

Where financial assets are not eligible to be derecognized, the transfers are viewed as secured financing transactions, with any consideration received resulting in a corresponding liability. The Group is not entitled to use these financial assets for any other purposes. The most common transactions of this nature entered into by the Group are repurchase agreements, securities lending agreements and total return swaps, in which the Group retains substantially all of the associated credit, equity price, interest rate and foreign exchange risks and rewards associated with the assets as well as the associated income streams.

Information on asset types and associated transactions that did not qualify for derecognition

in € m.

Dec 31, 2013

Dec 31, 20121

1

Prior year numbers have been restated (increase of € 1,628 million to trading securities not derecognized because of securities lending agreements, decrease of € 80 million to trading securities not derecognized because of Consolidated Group Sponsored Securitizations, increases of € 225 million to other trading assets, € 463 million to financial assets available for sale, € 2,440 million to loans, € 4,779 million to carrying amount of associated liability).

Carrying amount of transferred assets

 

 

Trading securities not derecognized due to the following transactions:

 

 

Repurchase agreements

32,714

51,020

Securities lending agreements

42,884

37,721

Total return swaps

7,960

10,056

Consolidated Group Sponsored Securitizations

168

131

Total trading securities

83,726

98,928

Other trading assets

866

1,808

Financial assets available for sale

507

1,455

Loans

2,085

5,158

Total

87,183

107,348

Carrying amount of associated liabilities

68,435

95,473

Information on assets transferred that did not qualify for derecognition where associated liability is recourse only to the transferred assets1

 

Dec 31, 2013

Dec 31, 2012

in € m.

Carrying value

Fair value

Carrying value2

Fair value

1

Associated liabilities are notes issued by Consolidated Group Sponsored Securitizations.

2

Prior year numbers have been restated (decrease of € 80 million to trading securities, increases of € 225 million to other trading assets, € 463 million to financial assets available for sale, € 2,440 million to loans, € 2,843 million to carrying amount of associated liability).

Trading securities

168

168

131

131

Other trading assets

333

333

298

298

Financial assets available for sale

252

252

807

807

Loans

1,902

1,928

3,540

3,439

Total

2,654

2,680

4,776

4,675

Associated liability

2,663

2,663

4,571

4,571

Net position

(9)

17

205

104

Carrying value of assets transferred in which the Group still accounts for the asset to the extent of its continuing involvement

in € m.

Dec 31, 2013

Dec 31, 2012

Carrying amount of the original assets transferred:

 

 

Trading securities

210

67

Other trading assets

1

1,903

Carrying amount of the assets continued to be recognized:

 

 

Trading securities

57

78

Other trading assets

1

221

Carrying amount of associated liabilities

58

299

The Group could retain some exposure to the future performance of a transferred asset either through new or existing contractual rights and obligations and still be eligible to derecognize the asset. This on-going involvement will be recognized as a new instrument which may be different from the original financial asset that was transferred. Typical transactions include retaining senior notes of non-consolidated securitizations to which originated loans have been transferred; financing arrangements with structured entities to which the Group has sold a portfolio of assets; or sales of assets with credit-contingent swaps. The Group’s exposure to such transactions is not considered to be significant as any substantial retention of risks associated with the transferred asset will commonly result in an initial failure to derecognize. Transactions not considered to result in an on-going involvement include normal warranties on fraudulent activities that could invalidate a transfer in the event of legal action, qualifying pass-through arrangements and standard trustee or administrative fees that are not linked to performance.

The impact on the Group’s Balance Sheet of on-going involvement associated with transferred assets derecog-nized in full:

 

Dec 31, 2013

Dec 31, 2012

in € m.

Carrying value

Fair value

Maximum Exposure to Loss

Carrying value

Fair value

Maximum Exposure to Loss

Loans:

 

 

 

 

 

 

Securitization notes

289

198

365

1,888

1,798

2,012

Total Loans

289

198

365

1,888

1,798

2,012

Financial assets held at Fair Value through the P&L:

 

 

 

 

 

 

Securitization notes

1,153

1,153

1,153

1,143

1,143

1,143

Non-standard Interest Rate, cross-currency or inflation-linked swap

178

178

178

32

32

32

Total Financial assets held at Fair Value through the P&L

1,332

1,332

1,332

1,175

1,175

1,175

Financial assets available for sale:

 

 

 

 

 

 

Securitization notes

12

12

12

29

29

29

Total Financial assets available for sale

12

12

12

29

29

29

Total financial assets representing on-going involvement

1,633

1,542

1,708

3,092

3,002

3,216

Financial liabilities held at Fair Value through the P&L:

 

 

 

 

 

 

Non-standard Interest Rate, cross-currency or inflation-linked swap

40

40

0

36

36

0

Total financial liabilities representing on-going involvement

40

40

0

36

36

0

The impact on the Group’s Statement of Income of on-going involvement associated with transferred assets derecognized in full:

 

Dec 31, 2013

Dec 31, 2012

in € m.

Year-to-date P&L

Cumulative P&L

Gain/(loss) on disposal

Year-to-date P&L

Cumulative P&L

Gain/(loss) on disposal

1

Typically, sales of assets into securitization vehicles were of assets that were classified as Fair Value through P&L, therefore any gain or loss on disposal is immaterial.

2

On-going involvement in sold equity positions in the form of a deeply out-of-the-money option, contingent on several unlikely events and therefore not expected to be exercised. As a result, the carrying and fair value of this option is considered to be nil.

Securitization notes

323

282

01

190

(139)

0

Non-standard Interest Rate, cross-currency or inflation-linked swap

267

729

3

(8)

407

5

Other2

0

0

0

0

21

34

Net gains/(losses) recognized from on-going involvement in derecognized assets

590

1,011

3

182

289

39


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