Securitization Details

The amounts reported in the following tables provide details of our securitization exposures separately for the regulatory banking and trading book. The presentation of the banking and trading book exposures is in line with last year’s disclosure. The details of our trading book securitization positions subject to the MRSA are included in this chapter, while details of the trading book securitization positions covered under the Comprehensive Risk Measure (“CRM”) are described in chapter “Trading Market Risk”.

Outstanding Exposures Securitized

We are only exposed to credit or market risks related to the exposures securitized, as shown below, to the extent that we have retained or purchased any of the related securitization positions. The risk of the retained or purchased positions depends on the relative position in the payment waterfall structure of the securitization transaction. For disclosure purposes, we are deemed to be originator and additionally sponsor in case of multi-seller securitizations, which is reflected in the disclosure of the total outstanding exposures securitized in the sponsor column and our share of those exposures in the originator column.

The following table details the total banking book outstanding exposure, i.e., the overall pool size, we have securitized in our capacity as either originator or sponsor through traditional or synthetic securitization transactions split by exposure type. Within the originator columns the table provides information of the underlying securitized asset pool which was either originated from our balance sheet or acquired from third parties. The amounts reported are either the carrying values as reported in our consolidated financial statements for on-balance sheet exposures in synthetic securitizations or the principal notional amount for traditional securitizations and off-balance sheet exposures in synthetic transactions. Of the € 46.5 billion total outstanding securitized exposure reported as of December 31, 2014 in the table below as originator, the amount retained was € 27.0 billion reflecting an increase in both outstanding securitized as well as retained exposure which for December 31, 2013 were € 42.3 billion and € 22.7 billion respectively.

For sponsor relationships, the total outstanding exposure securitized reported in the table below represents the principal notional amount of outstanding exposures of the entities issuing the securities and other receivables. As of December 31, 2014, our retained or repurchased exposure of the € 29.3 billion total outstanding exposure securitized shown in the sponsor columns including multi-seller transactions was € 9.2 billion. The remaining exposure is held by third parties. As of December 31, 2013, our exposure with regard to the € 77.2 billion total outstanding exposure securitized resulted from sponsoring activities including multi-seller transactions amounted to € 13.0 billion. The decrease in our exposure resulted primarily from a management decision to reduce the securitization book funded through ABCP conduits. The total reported outstanding exposure securitized is derived using information received from servicer reports of the third parties with whom the conduits have relationships.

Outstanding Exposures Securitized by Exposure Type (Overall Pool Size) within the Banking Book

 

Dec 31, 2014

Dec 31, 2013

 

Originator

Sponsor1

Originator

Sponsor1

in € m.

Traditional

Synthetic

Traditional

Synthetic

Traditional

Synthetic

Traditional

Synthetic

1

As of December 31, 2014 included under sponsor is the amount € 8.8 billion of multi-seller related securitized exposures, of which we have originated € 4.8 billion, and therefore have also included this amount under originator. For December 31, 2013 the amounts were € 11.0 billion and € 5.8 billion respectively.

2

SMEs are small- or medium-sized entities.

3

2013 amount consists mainly of securitizations supporting rental car and dealer floorplan activities.

4

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

8,485

2,171

635

64

9,379

2,945

3,867

0

Commercial mortgages

9,978

0

7,525

0

9,265

0

7,980

0

Credit card receivables

0

0

1,560

0

0

0

4,118

0

Leasing

89

0

3,691

0

0

0

8,439

0

Loans to corporates or SMEs (treated as corporates)2

1,320

24,420

6,814

0

2,215

18,522

13,342

0

Consumer loans

0

0

6,506

0

0

0

15,185

0

Trade receivables

0

0

547

0

0

0

193

0

Covered bonds

0

0

0

0

0

0

0

0

Other liabilities

0

0

0

0

0

0

0

0

Other assets3

0

0

1,974

0

0

0

24,107

0

Total outstanding exposures securitized4

19,873

26,592

29,252

64

20,858

21,467

77,232

0

The table below provides the total outstanding exposure securitized in relation to securitization positions held in our regulatory trading book separately for originator and sponsor activities and further broken down into traditional and synthetic transactions. Short synthetic single tranche CDOs have been reflected as originator positions for which the synthetic pool size was determined as the maximum pool size of the position sets referencing a given synthetic pool. The total outstanding exposure securitized as shown in the table below does not reflect our risk as it includes exposures not retained by us, does not consider the different positioning in the waterfall of related positions and – most notably – does not reflect hedging other than that in identical tranches. Compared with last year, the pool of outstanding exposures securitized increased for synthetic securitizations following the consideration of certain CTP positions within the MRSA due to their ineligibility for CRM.

Outstanding Exposures Securitized by Exposure Type (Overall Pool Size) within the Trading Book

 

Dec 31, 2014

Dec 31, 2013

 

Originator

Sponsor1

Originator

Sponsor1

in € m.

Traditional

Synthetic

Traditional

Synthetic

Traditional

Synthetic

Traditional

Synthetic

1

As of December 31, 2014 included under sponsor is the amount € 73.4 billion of multi-seller related securitized exposures, of which we have originated € 28.3 billion, and therefore have also included this amount under originator. For December 31, 2013 the amounts were € 56.5 billion and € 22.5 billion respectively.

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”. The table includes securitized exposure as originator amounting to € 12.4 billion and as sponsor amounting to € 9.2 billion already reflected in table “Outstanding Exposures Securitized by Exposure Type (Overall Pool Size) within the Banking Book”.

Residential mortgages

9,227

0

9,362

0

11,026

0

5,200

0

Commercial mortgages

41,404

14,588

72,439

0

29,714

0

52,633

0

Credit card receivables

0

0

0

0

0

0

0

0

Leasing

0

0

0

0

494

0

0

0

Loans to corporates or SMEs (treated as corporates)2

768

104,513

1,402

0

1,998

91,965

3,720

0

Consumer loans

0

147

0

0

0

0

0

0

Trade receivables

0

0

0

0

0

0

0

0

Covered bonds

0

0

0

0

0

0

0

0

Other liabilities

0

0

0

0

0

0

0

0

Other assets

1,451

0

0

0

0

0

0

0

Total outstanding exposures securitized3

52,850

119,247

83,204

0

43,232

91,965

61,553

0

The following table provides details of the quality of the underlying asset pool of outstanding exposures securitized for which we are an originator and hold positions in the regulatory banking book. An exposure is reported as past due when it has the status past due for 30 days or more and has not already been included as impaired. For our originated synthetic securitizations, impaired and past due exposure amounts are determined through our internal administration, while for our originated traditional securitizations, impaired and past due exposure amounts are primarily derived from investor reports of underlying exposures.

Separately, the table details losses we recognized in 2014 and 2013 for retained or purchased securitization positions as originator by exposure type. The losses are those reported in the consolidated statement of income. The amounts are the actual losses in the underlying asset pool to the extent that these losses are allocated to the retained or purchased securitization positions held by us after considering any eligible credit protection. This applies to both traditional and synthetic transactions.

Impaired and Past Due Exposures Securitized and Losses Recognized by Exposure Type (Overall Pool Size) as Originator

 

Dec 31, 2014

2014

Dec 31, 2013

2013

in € m.

Impaired/
past due1

Losses

Impaired/
past due1

Losses

1

Includes the impaired and past due exposures in relation to the overall pool of multi-seller securitizations which could reflect more than our own originated portion.

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

2,406

2

3,118

40

Commercial mortgages

0

0

0

17

Credit card receivables

0

0

0

0

Leasing

0

0

0

0

Loans to corporates or SMEs (treated as corporates)2

14

13

32

17

Consumer loans

0

0

0

0

Trade receivables

0

0

0

0

Covered bonds

0

0

0

0

Other liabilities

0

0

0

0

Other assets

0

0

0

0

Total impaired and past due exposures securitized and losses recognized3

2,420

15

3,150

74

The total impaired or past due exposure securitized decreased by € 2.4 billion in 2014. The reduction was mainly attributed to the exposure types “Residential mortgages” and “Loans to corporates or SMEs”. Losses recorded by us in 2014 decreased to € 15 million compared to € 74 million in 2013.

The following table provides details of existing banking and trading book outstanding exposures split by exposure type for which there is a management intention to securitize them in either an existing or new securitization transaction in the near future. Outstanding exposures awaiting securitization do not include assets due for securitization without risk transfer i.e., those securitizations where we will keep all tranches.

Outstanding Exposures Awaiting Securitization (Exposure Amount)

 

Dec 31, 2014

Dec 31, 2013

in € m.

Banking Book

Trading Book

Banking Book

Trading Book

1

SMEs are small- or medium-sized entities.

Residential mortgages

0

0

0

741

Commercial mortgages

0

1,754

0

2,295

Credit card receivables

0

0

0

0

Leasing

0

0

0

0

Loans to corporates or SMEs (treated as corporates)1

1,645

15

0

0

Consumer loans

0

0

0

0

Trade receivables

0

0

0

0

Covered bonds

0

0

0

0

Other liabilities

0

0

0

0

Other assets

0

0

0

0

Outstanding exposures awaiting securitization

1,645

1,770

0

3,036

The majority of the outstanding exposures awaiting securitization were “Commercial mortgages”, in the trading book and “Loans to corporates or SMEs (treated as corporates)” in the banking book.

Securitization Positions Retained or Purchased

The table below shows the amount of the securitization positions retained or purchased in the banking book. The reported amounts are based on the regulatory exposure values prior to the application of credit risk mitigation. The securitization positions in the regulatory trading book were reported based on the exposure definition in Articles 327 to 332 CRR which states that identical or closely matched securities and derivatives are offset to a net position. The capital requirements for securitization positions both – regulatory banking and regulatory trading book – are additionally reported by the underlying exposure type.

Securitization Positions Retained or Purchased by Exposure Type

 

Dec 31, 2014

 

Banking Book

Trading Book

in € m.

On-balance securitization positions

Off-balance, derivative and SFT securitization positions

Regulatory exposure value

thereof 1,250 % risk weighted

Capital requirements

On-balance securitization positions

Off-balance, derivative and SFT securitization positions

Regulatory exposure value

thereof 1,250 % risk weighted

Capital requirements

1

SMEs are small- or medium-sized entities.

2

For a regulatory assessment of our exposure to credit risk in relation to securitization activities see table “Banking Book Securitization Positions Retained or Purchased by Risk Weight Band” and table “Trading Book Securitization Positions Retained or Purchased by Risk Weight Band subject to MRSA”.

Residential mortgages

3,048

1,532

4,581

113

239

3,020

20

3,040

537

625

Commercial mortgages

1,854

882

2,736

158

169

1,682

2,573

4,256

287

399

Credit card receivables

0

970

970

0

7

63

16

78

6

10

Leasing

2,582

1,439

4,021

5

77

10

0

10

0

1

Loans to corporates or SMEs (treated as corporates)1

27,622

3,269

30,891

42

343

1,443

3,715

5,158

231

359

Consumer loans

6,423

2,031

8,454

7

193

345

0

345

66

70

Trade receivables

0

0

0

0

0

16

0

16

0

0

Covered bonds

0

0

0

0

0

0

0

0

0

0

Other liabilities

0

0

0

0

0

0

0

0

0

0

Other assets

3,083

338

3,421

99

131

665

8

673

182

218

Total securitization positions retained or purchased2

44,612

10,461

55,074

424

1,159

7,243

6,332

13,576

1,309

1,682

 

Dec 31, 2013

 

Banking Book

Trading Book

in € m.

On-balance securitization positions

Off-balance, derivative and SFT securitization positions

Regulatory exposure value

thereof 1,250 % risk weighted

Capital requirements

On-balance securitization positions

Off-balance, derivative and SFT securitization positions

Regulatory exposure value

thereof 1,250 % risk weighted

Capital requirements

1

SMEs are small- or medium-sized entities.

2

For a regulatory assessment of our exposure to credit risk in relation to securitization activities see table “Banking Book Securitization Positions Retained or Purchased by Risk Weight Band” and table “Trading Book Securitization Positions Retained or Purchased by Risk Weight Band subject to the MRSA”.

Residential mortgages

4,794

3,334

8,128

1,048

280

2,406

44

2,450

477

546

Commercial mortgages

806

599

1,404

406

192

1,978

3,090

5,068

377

565

Credit card receivables

0

1,520

1,520

0

12

91

0

91

0

5

Leasing

1,749

722

2,471

0

31

17

0

17

0

1

Loans to corporates or SMEs (treated as corporates)1

19,598

4,644

24,241

143

320

1,338

4,087

5,424

312

423

Consumer loans

2,142

2,724

4,866

15

108

370

0

370

44

55

Trade receivables

0

158

158

0

1

1

0

1

0

0

Covered bonds

0

0

0

0

0

0

0

0

0

0

Other liabilities

0

0

0

0

0

0

0

0

0

0

Other assets

5,029

3,933

8,962

176

186

1,258

135

1,393

275

363

Total securitization positions retained or purchased2

34,117

17,634

51,751

1,789

1,130

7,458

7,356

14,814

1,485

1,958

Total retained or purchased securitization positions in the banking book increased throughout the year 2014, driven by our originator activities for the exposure type “Loans to corporate or SMEs”, new exposure for the exposure type “Commercial mortgages” and foreign exchange related movements. Decrease for the exposure type “Residential mortgages” is mainly driven by termination/repayments of deals and a new exposure definition according to Article 246 (1) CRR. Within the trading book, the securitization exposure decreased by € 1.2 billion or 8 % mainly for the exposure type “Commercial mortgages” and “Other assets” partially offset by an increase from the exposure type “Residential mortgages”.

Securitization Positions Retained or Purchased by Region (Exposure Amount)

 

Dec 31, 2014

Dec 31, 2013

in € m.

Banking Book

Trading Book

Banking Book

Trading Book

1

For a regulatory assessment of our exposure to credit risk in relation to securitization activities see table “Banking Book Securitization Positions Retained or Purchased by Risk Weight Band” and table “Trading Book Securitization Positions Retained or Purchased by Risk Weight Band subject to the MRSA”.

Europe

19,024

3,531

22,017

3,371

Americas

32,888

8,485

26,837

9,680

Asia/Pacific

3,004

1,456

2,849

1,355

Other

157

104

49

408

Total securitization positions retained or purchased1

55,074

13,576

51,751

14,814

The amounts shown in the table above are based on the country of domicile of the obligors of the exposures securitized. Increase in exposures in the banking book for the region “Americas” resulted from our originator activities and foreign exchange related movements, whereby in this region an exposure decrease in the trading book is observed.


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