Trading Book Securitization Exposure

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”)

 

Dec 31, 2014

Dec 31, 2013

 

Exposure amount

Capital requirements, MRSA

Exposure amount

Capital requirements, MRSA

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 %

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)

 

Dec 31, 2014

Dec 31, 2013

 

Banking Book

Trading Book

Banking Book

Trading Book

in € m.

Before hedging/
insurances

After hedging/
insurances

Before hedging/
insurances

After hedging/
insurances

Before hedging/
insurances

After hedging/
insurances

Before hedging/
insurances

After hedging/
insurances

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.