For trading book securitization positions not covered under the CRM, the capital requirement for specific market risk is calculated based on the MRSA. The MRSA risk weight calculation for trading book securitization positions is generally based on the same methodologies which apply to banking book securitization positions. More details on the approaches are provided in section “Regulatory Securitization Framework” as well as in section “Trading Market Risk”.
Trading Book Securitization Positions Retained or Purchased by Risk Weight Band subject to the Market Risk Standardized Approach (“MRSA”) |
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|
Dec 31, 2014 |
Dec 31, 2013 |
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|
Exposure amount |
Capital requirements, MRSA |
Exposure amount |
Capital requirements, MRSA |
||||||
in € m. |
Securitization |
Re- |
Securitization |
Re- |
Securitization |
Re- |
Securitization |
Re- |
||
|
||||||||||
≤ 10 % |
4,540 |
0 |
26 |
0 |
5,254 |
0 |
30 |
0 |
||
> 10 ≤ 20 % |
4,568 |
0 |
51 |
0 |
4,677 |
0 |
52 |
0 |
||
> 20 ≤ 50 % |
1,289 |
249 |
29 |
8 |
1,095 |
338 |
32 |
10 |
||
> 50 ≤ 100 % |
582 |
100 |
35 |
6 |
674 |
141 |
42 |
10 |
||
> 100 ≤ 350 % |
533 |
96 |
73 |
14 |
558 |
132 |
88 |
20 |
||
> 350 ≤ 650 % |
174 |
36 |
63 |
13 |
237 |
100 |
77 |
44 |
||
> 650 < 1,250 % |
81 |
18 |
45 |
11 |
118 |
6 |
65 |
3 |
||
1,250 %/Deduction1 |
1,008 |
302 |
1,008 |
302 |
1,177 |
308 |
1,177 |
308 |
||
Total securitization positions retained or purchased |
12,774 |
801 |
1,329 |
353 |
13,790 |
1,025 |
1,563 |
395 |
||
On a year to year comparison the trading book securitization positions decreased mainly in the risk weight category ≤ 10 % with limited capital requirement effect and in the category 1,250 % which resulted in a decreased capital usage of € 169 million.
Re-securitization Positions
Trading book re-securitization exposure is reduced by 39 % as a result of hedging being recognized according to Articles 327-332 CRR.
Re-Securitization Positions Retained or Purchased (Exposure Amount) |
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|
Dec 31, 2014 |
Dec 31, 2013 |
||||||
|
Banking Book |
Trading Book |
Banking Book |
Trading Book |
||||
in € m. |
Before hedging/ |
After hedging/ |
Before hedging/ |
After hedging/ |
Before hedging/ |
After hedging/ |
Before hedging/ |
After hedging/ |
Re-Securitization Positions |
1,250 |
1,250 |
1,313 |
801 |
2,322 |
2,320 |
3,190 |
1,025 |
Risk mitigation in the form of financial guarantees has not been applied to our re-securitization positions in neither the banking nor the trading book.
