Securitization Activities

The 2014 year-end amounts in the tables below show an increase of our securitization sponsor activity compared with 2013. An increase as of year-end 2014 of our securitization originator activity predominately concerned the exposure type “Loans to corporates or SMEs” dominated by the synthetic transactions executed by the Credit Portfolio Strategies Group (CPSG). The increase in “Commercial mortgages” is driven by new traditional transactions mainly based on assets from the Americas.

Securitization Activity – Total Outstanding Exposures Securitized (i.e., the underlying pools) by Exposure Type within the Banking Book

 

Originator

Sponsor

 

Dec 31, 2014

2014

Dec 31, 2014

in € m.

Traditional

Synthetic

Realized gains (losses) from sales/liquidations

Traditional

Synthetic

1

SMEs are small- or medium-sized entities.

2

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

0

0

0

0

0

Commercial mortgages

1,279

0

23

0

0

Credit card receivables

0

0

0

0

0

Leasing

89

0

0

43

0

Loans to corporates or SMEs (treated as corporates)1

0

7,594

0

689

0

Consumer loans

0

0

0

0

0

Trade receivables

0

0

0

547

0

Covered Bonds

0

0

0

0

0

Other liabilities

0

0

0

0

0

Other assets

0

0

0

0

0

Total Outstanding Exposures Securitized2

1,368

7,594

23

1,279

0

 

Originator

Sponsor1

 

Dec 31, 2013

2013

Dec 31, 2013

in € m.

Traditional

Synthetic

Realized gains (losses) from sales/liquidations

Traditional

Synthetic

1

Included under sponsor is the amount € 2.8 billion exposures securitized, of which we originated € 1.5 billion, also included under originator.

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

0

0

0

1,551

0

Commercial mortgages

2,328

0

52

2,880

0

Credit card receivables

0

0

0

2,455

0

Leasing

0

0

0

4,036

0

Loans to corporates or SMEs (treated as corporates)2

0

10,069

0

2,405

0

Consumer loans

0

0

0

3,532

0

Trade receivables

0

0

0

193

0

Covered Bonds

0

0

0

0

0

Other liabilities

0

0

0

0

0

Other assets

0

0

0

5,211

0

Total Outstanding Exposures Securitized3

2,328

10,069

52

22,263

0

The higher exposure originated via traditional securitizations in 2014 compared to 2013 is mainly driven by increased market activity within CMBS securitizations resulting from a general market recovery in this segment. Following our de-risking strategy, no new synthetic transactions have been entered into within the trading book.

Securitization Activity – Total Outstanding Exposures Securitized by Exposure Type within the Trading Book

 

Originator

Sponsor1

 

Dec 31, 2014

2014

Dec 31, 2014

in € m.

Traditional

Synthetic

Realized gains (losses) from sales/liquidations

Traditional

Synthetic

1

Included under sponsor is the amount € 19.3 billion exposures securitized, of which we originated € 7.4 billion, also included under originator.

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”.

Residential mortgages

725

0

0

3,553

0

Commercial mortgages

12,179

0

174

20,049

0

Credit card receivables

0

0

0

0

0

Leasing

0

0

0

0

0

Loans to corporates or SMEs (treated as corporates)2

0

0

0

0

0

Consumer loans

0

0

0

0

0

Trade receivables

0

0

0

0

0

Covered Bonds

0

0

0

0

0

Other liabilities

0

0

0

0

0

Other assets

1,451

0

0

0

0

Total Outstanding Exposures Securitized3

14,354

0

174

23,601

0

 

Originator

Sponsor1

 

Dec 31, 2013

2013

Dec 31, 2013

in € m.

Traditional

Synthetic

Realized gains (losses) from sales/liquidations

Traditional

Synthetic

1

Included under sponsor is the amount € 12.5 billion exposures securitized, of which we originated € 5.3 billion, also included under originator.

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”.

Residential mortgages

508

0

0

2,989

0

Commercial mortgages

7,162

0

173

12,475

0

Credit card receivables

0

0

0

0

0

Leasing

0

0

0

0

0

Loans to corporates or SMEs (treated as corporates)2

20

584

0

0

0

Consumer loans

0

0

0

0

0

Trade receivables

0

0

0

0

0

Covered Bonds

0

0

0

0

0

Other liabilities

0

0

0

0

0

Other assets

0

0

0

0

0

Total Outstanding Exposures Securitized3

7,690

584

173

15,464

0


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