Banking Book Securitization Positions Retained or Purchased by Risk Weight Band |
||||||||||
|
Dec 31, 2014 |
Dec 31, 2013 |
||||||||
in € m. |
Exposure amount |
Capital requirements IRBA1 |
Capital requirements standardized approach |
Exposure amount |
Capital requirements IRBA1 |
Capital requirements standardized approach |
||||
|
||||||||||
≤ 10 % |
44,968 |
246 |
0 |
36,301 |
192 |
0 |
||||
> 10 ≤ 20 % |
4,170 |
37 |
9 |
5,759 |
50 |
12 |
||||
> 20 ≤ 50 % |
2,427 |
97 |
1 |
4,895 |
171 |
9 |
||||
> 50 ≤ 100 % |
2,313 |
124 |
53 |
2,385 |
77 |
74 |
||||
> 100 ≤ 350 % |
313 |
40 |
3 |
283 |
29 |
1 |
||||
> 350 ≤ 650 % |
160 |
51 |
0 |
247 |
75 |
0 |
||||
> 650 < 1,250 % |
299 |
202 |
0 |
91 |
33 |
0 |
||||
1,250 %/Deduction2 |
424 |
266 |
29 |
1,789 |
349 |
58 |
||||
Total securitization positions retained or purchased |
55,074 |
1,064 |
95 |
51,751 |
976 |
154 |
||||
Exposure subject to the ≤ 10 % bucket increased to € 45.0 billion mainly driven by new originator activities whereas exposure subject to the 1,250 % bucket decreased to € 424 million following the new exposure definition according to Article 246 (1) CRR. Although the overall banking book exposure increased by 6 % to € 55.1 billion, the capital requirements only increased by 3 % to € 1.2 billion.
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, 2014 |
Dec 31, 2013 |
||||||||||||
|
Exposure amount |
Capital requirements, |
Exposure amount |
Capital requirements, |
||||||||||
in € m. |
Securitization |
Re- |
Securitization2 |
Re- |
Securitization |
Re- |
Securitization2 |
Re- |
||||||
|
||||||||||||||
≤ 10 % |
5,295 |
0 |
33 |
0 |
6,449 |
0 |
35 |
0 |
||||||
> 10 ≤ 20 % |
2,056 |
0 |
21 |
0 |
1,463 |
0 |
14 |
0 |
||||||
> 20 ≤ 50 % |
854 |
1,064 |
50 |
34 |
1,378 |
1,564 |
85 |
44 |
||||||
> 50 ≤ 100 % |
1,487 |
29 |
120 |
1 |
1,020 |
0 |
63 |
0 |
||||||
> 100 ≤ 350 % |
78 |
7 |
7 |
1 |
59 |
108 |
2 |
11 |
||||||
> 350 ≤ 650 % |
58 |
0 |
19 |
0 |
235 |
0 |
71 |
0 |
||||||
> 650 < 1,250 % |
154 |
16 |
85 |
9 |
13 |
64 |
7 |
12 |
||||||
1,250 %/Deduction3 |
342 |
46 |
244 |
19 |
662 |
152 |
253 |
22 |
||||||
Total securitization positions retained or purchased |
10,324 |
1,162 |
579 |
64 |
11,279 |
1,889 |
531 |
89 |
||||||
Exposures subject to the IRBA-RBA decreased for securitization by € 1.0 billion mainly driven by exposure reduction of synthetic Postbank securitizations. Re-securitizations exposure instead was decreased by € 0.7 billion following a commitment reduction for one significant transaction.
Banking Book Securitization Positions Retained or Purchased by Risk Weight Band subject to the IRBA-Internal Assessment Approach (IAA) |
||||||||||||
|
Dec 31, 2014 |
Dec 31, 2013 |
||||||||||
|
Exposure amount |
Capital requirements, |
Exposure amount |
Capital requirements, |
||||||||
in € m. |
Securitization |
Re- |
Securitization |
Re- |
Securitization |
Re- |
Securitization |
Re- |
||||
|
||||||||||||
≤ 10 % |
996 |
0 |
7 |
0 |
4,670 |
0 |
29 |
0 |
||||
> 10 ≤ 20 % |
1,160 |
0 |
11 |
0 |
3,319 |
0 |
33 |
0 |
||||
> 20 ≤ 50 % |
245 |
33 |
5 |
1 |
1,283 |
351 |
28 |
11 |
||||
> 50 ≤ 100 % |
47 |
0 |
3 |
0 |
210 |
5 |
12 |
0 |
||||
> 100 ≤ 350 % |
166 |
0 |
28 |
0 |
0 |
33 |
0 |
4 |
||||
> 350 ≤ 650 % |
0 |
0 |
0 |
0 |
0 |
0 |
0 |
0 |
||||
> 650 < 1,250 % |
0 |
0 |
0 |
0 |
0 |
0 |
0 |
0 |
||||
1,250 %/Deduction2 |
0 |
0 |
0 |
0 |
0 |
0 |
0 |
0 |
||||
Total securitization positions retained or purchased |
2,614 |
33 |
53 |
1 |
9,482 |
389 |
102 |
16 |
||||
The exposure reduction subject to the IRBA-Internal Assessment Approach (IAA) resulted primarily from a management decision to reduce the securitization book funded through ABCP conduits. The overall exposure decreased by 73 % to € 2.6 billion in 2014, which for December 31, 2013 was € 9.9 billion.
Banking Book Securitization Positions Retained or Purchased by Risk Weight Band subject to the IRBA-Supervisory Formula Approach (SFA) |
||||||||||||
|
Dec 31, 2014 |
Dec 31, 2013 |
||||||||||
|
Exposure amount |
Capital requirements, |
Exposure amount |
Capital requirements, |
||||||||
in € m. |
Securitization |
Re- |
Securitization |
Re- |
Securitization |
Re- |
Securitization |
Re- |
||||
|
||||||||||||
≤ 10 % |
38,676 |
0 |
206 |
0 |
25,182 |
0 |
128 |
0 |
||||
> 10 ≤ 20 % |
317 |
49 |
3 |
1 |
172 |
0 |
2 |
0 |
||||
> 20 ≤ 50 % |
217 |
0 |
7 |
0 |
81 |
0 |
2 |
0 |
||||
> 50 ≤ 100 % |
5 |
0 |
0 |
0 |
32 |
0 |
2 |
0 |
||||
> 100 ≤ 350 % |
36 |
0 |
5 |
0 |
74 |
0 |
12 |
0 |
||||
> 350 ≤ 650 % |
102 |
0 |
32 |
0 |
13 |
0 |
4 |
0 |
||||
> 650 < 1,250 % |
129 |
0 |
108 |
0 |
14 |
0 |
14 |
0 |
||||
1,250 %/Deduction2 |
7 |
0 |
3 |
0 |
917 |
0 |
74 |
0 |
||||
Total securitization positions retained or purchased |
39,487 |
49 |
365 |
1 |
26,485 |
0 |
239 |
0 |
||||
Banking Book exposure subject to the IRBA-Supervisory Formula Approach (SFA) overall increased to € 39.5 billion in 2014. This increase is mainly driven by Originator activities and securitization positions which funding source changed from ABCP conduits formerly calculated under the IRBA-Internal Assessment Approach (IAA).
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, 2014 |
Dec 31, 2013 |
||||||||
|
Exposure amount |
Capital requirements, SA |
Exposure amount |
Capital requirements, SA |
||||||
in € m. |
Securitization |
Re- |
Securitization |
Re- |
Securitization |
Re- |
Securitization |
Re- |
||
|
||||||||||
≤ 10 % |
0 |
0 |
0 |
0 |
0 |
0 |
0 |
0 |
||
> 10 ≤ 20 % |
588 |
0 |
9 |
0 |
802 |
3 |
12 |
0 |
||
> 20 ≤ 50 % |
14 |
0 |
1 |
0 |
238 |
0 |
9 |
0 |
||
> 50 ≤ 100 % |
745 |
0 |
53 |
0 |
1,119 |
0 |
74 |
0 |
||
> 100 ≤ 350 % |
27 |
0 |
3 |
0 |
9 |
0 |
1 |
0 |
||
> 350 ≤ 650 % |
0 |
0 |
0 |
0 |
0 |
0 |
0 |
0 |
||
> 650 < 1,250 % |
0 |
0 |
0 |
0 |
0 |
0 |
0 |
0 |
||
1,250 %/Deduction1 |
23 |
6 |
23 |
6 |
16 |
41 |
16 |
41 |
||
Total securitization positions retained or purchased |
1,398 |
6 |
89 |
6 |
2,184 |
44 |
113 |
41 |
||
Exposure subject to CRSA decreased by € 824 million, mainly driven by an exposure reduction of Postbank.
