Banking Book Securitization Exposure

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

1

After considering value adjustments according to Article 266 (1,2) CRR for 2014 and Sections 253 (3) and 268 (2) SolvV for 2013. Including capital requirements for maturity mismatch of synthetic securitizations by risk weight band defined as notional weighted average risk weight of the underlying pool.

2

Deduction from capital no longer applied from 2014 onwards.

≤ 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,
IRBA-RBA1

Exposure amount

Capital requirements,
IRBA-RBA1

in € m.

Securitization

Re-Securitization

Securitization2

Re-Securitization

Securitization

Re-Securitization

Securitization2

Re-Securitization

1

After considering value adjustments according to Article 266 (1,2) CRR for 2014 and Sections 253 (3) and 268 (2) SolvV for 2013.

2

Including capital requirements for maturity mismatch of synthetic securitizations by risk weight band defined as notional weighted average risk weight of the underlying pool.

3

Deduction from capital no longer applied from 2014 onwards.

≤ 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,
IRBA-IAA1

Exposure amount

Capital requirements,
IRBA-IAA1

in € m.

Securitization

Re-Securitization

Securitization

Re-Securitization

Securitization

Re-Securitization

Securitization

Re-Securitization

1

After considering value adjustments according to Article 266 (1,2) CRR for 2014 and Sections 253 (3) and 268 (2) SolvV for 2013.

2

Deduction from capital no longer applied from 2014 onwards.

≤ 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,
IRBA-SFA1

Exposure amount

Capital requirements,
IRBA-SFA1

in € m.

Securitization

Re-Securitization

Securitization

Re-Securitization

Securitization

Re-Securitization

Securitization

Re-Securitization

1

After considering value adjustments according to Article 266 (1,2) CRR for 2014 and Sections 253 (3) and 268 (2) SolvV for 2013.

2

Deduction from capital no longer applied from 2014 onwards.

≤ 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

Securitization

Re-Securitization

Securitization

Re-Securitization

Securitization

Re-Securitization

1

Deduction from capital no longer applied from 2014 onwards.

≤ 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.