21 – Transfers of Financial Assets

The Group enters into transactions in which it transfers financial assets held on the balance sheet and as a result may either be eligible to derecognize the transferred asset in its entirety or must continue to recognize the transferred asset to the extent of any continuing involvement, depending on certain criteria. These criteria are discussed in Note 1 “Significant Accounting Policies and Critical Accounting Estimates”.

Where financial assets are not eligible to be derecognized, the transfers are viewed as secured financing transactions, with any consideration received resulting in a corresponding liability. The Group is not entitled to use these financial assets for any other purposes. The most common transactions of this nature entered into by the Group are repurchase agreements, securities lending agreements and total return swaps, in which the Group retains substantially all of the associated credit, equity price, interest rate and foreign exchange risks and rewards associated with the assets as well as the associated income streams.

Information on asset types and associated transactions that did not qualify for derecognition

in € m.

Dec 31, 2014

Dec 31, 2013

Carrying amount of transferred assets

 

 

Trading securities not derecognized due to the following transactions:

 

 

Repurchase agreements

24,410

32,714

Securities lending agreements

52,531

42,884

Total return swaps

3,738

7,960

Consolidated Group Sponsored Securitizations

507

168

Total trading securities

81,186

83,726

Other trading assets

433

866

Financial assets available for sale

1,731

507

Loans

2,225

2,085

Total

85,575

87,183

Carrying amount of associated liabilities

57,800

68,435

Information on assets transferred that did not qualify for derecognition where associated liability is recourse only to the transferred assets1

 

Dec 31, 2014

Dec 31, 2013

in € m.

Carrying value

Fair value

Carrying value

Fair value

1

Associated liabilities are notes issued by Consolidated Group Sponsored Securitizations.

Trading securities

507

507

168

168

Other trading assets

370

370

333

333

Financial assets available for sale

1,660

1,660

252

252

Loans

2,074

2,087

1,902

1,928

Total

4,611

4,624

2,654

2,680

Associated liability

4,282

4,282

2,663

2,663

Net position

329

342

(9)

17

Carrying value of assets transferred in which the Group still accounts for the asset to the extent of its continuing involvement

in € m.

Dec 31, 2014

Dec 31, 2013

Carrying amount of the original assets transferred:

 

 

Trading securities

254

210

Other trading assets

0

1

Carrying amount of the assets continued to be recognized:

 

 

Trading securities

26

57

Other trading assets

0

1

Carrying amount of associated liabilities

25

58

The Group could retain some exposure to the future performance of a transferred asset either through new or existing contractual rights and obligations and still be eligible to derecognize the asset. This on-going involvement will be recognized as a new instrument which may be different from the original financial asset that was transferred. Typical transactions include retaining senior notes of non-consolidated securitizations to which originated loans have been transferred; financing arrangements with structured entities to which the Group has sold a portfolio of assets; or sales of assets with credit-contingent swaps. The Group’s exposure to such transactions is not considered to be significant as any substantial retention of risks associated with the transferred asset will commonly result in an initial failure to derecognize. Transactions not considered to result in an on-going involvement include normal warranties on fraudulent activities that could invalidate a transfer in the event of legal action, qualifying pass-through arrangements and standard trustee or administrative fees that are not linked to performance.

The impact on the Group’s Balance Sheet of on-going involvement associated with transferred assets derecognized in full:

 

Dec 31, 2014

Dec 31, 2013

in € m.

Carrying value

Fair value

Maximum Exposure to Loss1

Carrying value

Fair value

Maximum Exposure to Loss1

1

The maximum exposure to loss is defined as the carrying value plus the notional value of any undrawn loan commitments.

Loans:

 

 

 

 

 

 

Securitization notes

93

89

153

289

198

365

Other

12

12

12

0

0

0

Total Loans

105

101

165

289

198

365

Financial assets held at Fair Value through the P&L:

 

 

 

 

 

 

Securitization notes

511

511

511

1,153

1,153

1,153

Non-standard Interest Rate, cross-currency or inflation-linked swap

33

33

33

178

178

178

Total Financial assets held at Fair Value through the P&L

544

544

544

1,332

1,332

1,332

Financial assets available for sale:

 

 

 

 

 

 

Securitization notes

13

13

13

12

12

12

Total Financial assets available for sale

13

13

13

12

12

12

Total financial assets representing on-going involvement

662

658

722

1,633

1,542

1,708

Financial liabilities held at Fair Value through the P&L:

 

 

 

 

 

 

Non-standard Interest Rate, cross-currency or inflation-linked swap

32

32

0

40

40

0

Total financial liabilities representing on-going involvement

32

32

0

40

40

0

The impact on the Group’s Statement of Income of on-going involvement associated with transferred assets derecognized in full:

 

Dec 31, 2014

Dec 31, 2013

in € m.

Year-to-date P&L

Cumulative P&L

Gain/(loss) on disposal

Year-to-date P&L

Cumulative P&L

Gain/(loss) on disposal

1

Typically, sales of assets into securitization vehicles were of assets that were classified as Fair Value through P&L, therefore any gain or loss on disposal is immaterial.

Securitization notes

55

171

0

323

282

01

Non-standard Interest Rate, cross-currency or inflation-linked swap

30

671

0

267

729

3

Net gains/(losses) recognized from on-going involvement in derecognized assets

85

842

0

590

1,011

3


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