Exposure to Monoline Insurers

The following is an update on the development of protection purchased from monoline insurers.

Monoline exposure related to U.S. residential mortgages

 

Jun 30, 2014

Dec 31, 2013

in € m.

Notional amount

Value prior to CVA1

CVA1

Fair value after CVA1

Notional amount

Value prior to CVA1

CVA1

Fair value after CVA1

1

For monolines with actively traded CDS, the Credit Valuation Adjustment (CVA) is calculated using a full CDS-based valuation model. For monolines without actively traded CDS, a model-based approach is used with various input factors, including relevant market driven default probabilities, the likelihood of an event (either a restructuring or an insolvency), an assessment of any potential settlement in the event of a restructuring, and recovery rates in the event of either restructuring or insolvency. The monolines CVA methodology is reviewed on a quarterly basis by management.

2

Ratings are the lowest of Standard & Poor’s, Moody’s or our own internal credit ratings.

3

A portion of the mark-to-market monoline exposure has been mitigated with CDS protection arranged with other market counterparties and other economic hedge activity.

AA Monolines:2

 

 

 

 

 

 

 

 

Other subprime

86

23

(4)

20

94

29

(5)

23

Alt-A

2,148

716

(83)

633

2,256

768

(105)

663

Total AA Monolines3

2,235

740

 (87)

653

2,350

797

(110)

686

Other Monoline exposure

 

Jun 30, 2014

Dec 31, 2013

in € m.

Notional amount

Value prior to CVA1

CVA1

Fair value after CVA1

Notional amount

Value prior to CVA1

CVA1

Fair value after CVA1

1

For monolines with actively traded CDS, the Credit Valuation Adjustment (CVA) is calculated using a full CDS-based valuation model. For monolines without actively traded CDS, a model-based approach is used with various input factors, including relevant market driven default probabilities, the likelihood of an event (either a restructuring or an insolvency), an assessment of any potential settlement in the event of a restructuring, and recovery rates in the event of either restructuring or insolvency. The monolines CVA methodology is reviewed on a quarterly basis by management.

2

Ratings are the lowest of Standard & Poor’s, Moody’s or our own internal credit ratings.

3

Excludes counterparty exposure to monoline insurers that relates to wrapped bonds of € 18 million as of June 30, 2014, and € 15 million as of December 31, 2013, which represents an estimate of the potential mark-downs of wrapped assets in the event of monoline defaults.

4

A portion of the mark-to-market monoline exposure has been mitigated with CDS protection arranged with other market counterparties and other economic hedge activity.

AA Monolines:2

 

 

 

 

 

 

 

 

TPS-CLO

1,286

257

(32)

225

1,512

298

(41)

257

CMBS

923

(2)

0

(2)

1,030

(3)

0

(3)

Student loans

286

0

0

0

285

0

0

0

Other

458

54

(6)

48

511

69

(7)

62

Total AA Monolines

2,952

308

 (37)

271

3,338

364

(48)

316

Non Investment-Grade Monolines:2

 

 

 

 

 

 

 

 

TPS-CLO

323

64

(9)

56

353

67

(8)

58

CMBS

1,339

(2)

0

(2)

1,444

7

0

6

Corporate single name/Corporate CDO

24

4

0

4

0

0

0

0

Student loans

607

55

(4)

51

604

116

(11)

105

Other

718

94

(31)

63

827

90

(31)

60

Total Non Investment-Grade Monolines

3,012

216

 (44)

172

3,228

280

(50)

229

Total3,4

5,965

524

 (81)

443

6,566

644

(98)

545