ARTÍCULO 4 LITERAL N Y S
4.7 FLUJO DE EFECTIVO
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 Compre- hensive Risk Measure (“CRM”) are described in Chapter “Trading Market Risk”.
Overall, the amounts presented in this chapter differ from, and are not directly comparable to, the amounts reported in the section “Special Purpose Entities”, in particular due to the differences in the respective consoli- dation principles between IFRS accounting and regulatory consolidation frameworks, as described above. 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 securitisations, 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 transac- tions 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 securitiza- tions and off-balance sheet exposures in synthetic transactions. Of the € 53 billion total outstanding securitized exposure reported as of December 31, 2012 in the table below as “Originator”, the amount retained was € 31 billion reflecting a decrease in both outstanding securitized as well as retained exposure which for De- cember 31, 2011 were € 76 billion and € 40 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, 2012, our retained or repurchased exposure of the € 117 billion total outstanding exposure securitized shown in the “Sponsor” columns including multi-seller transactions was € 17 billion. The remaining exposure is held by third parties. As of December 31, 2011, our maximum exposure with regard to the € 131 billion total outstanding exposure securitized resulted from sponsoring activities including multi-seller transactions amounted to € 21 billion. The decrease in our maximum exposure resulted primarily from a man- agement decision to reduce the securitization book in the current weaker markets. The total reported outstand- ing 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, 2012 Dec 31, 2011
Originator Sponsor1 Originator Sponsor1
in € m. Traditional Synthetic Traditional Synthetic Traditional Synthetic Traditional Synthetic
Residential mortgages 10,954 3,516 4,276 − 14,018 4,124 18,131 –
Commercial mortgages 13,682 − 7,991 − 16,569 – 4,990 –
Credit card receivables − − 1,742 − – – 5,577 –
Leasing − − 5,967 − – – 6,390 –
Loans to corporates or SMEs
(treated as corporates)2 2,772 20,014 21,256 781 6,657 27,105 26,698 1,045
Consumer loans − − 17,932 − – – 15,356 –
Trade receivables − − − − – – – –
Securitizations (re-securitizations) 1,642 590 3,467 − 7,830 – 1,022 –
Other assets − − 53,166 − 97 – 51,851 –
Total outstanding exposures securitized3 29,050 24,120 115,797 781 45,171 31,229 130,015 1,045
1 As of December 31, 2012 included under “Sponsor” is the amount € 17 billion of multi-seller related securitized exposures, of which we have originated € 8 billion, and therefore have also
included this amount under “Originator”. For December 31, 2011 the amounts were € 18 billion and € 10 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 banking book see table “Banking Book Securitization Positions Retained or Purchased
by Risk Weight Band”.
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 tradi- tional and synthetic transactions. Short synthetic single tranche CDOs have been reflected as originator posi- tions 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 to last year, the pool of outstanding exposures securitized reduced significantly for tradi- tional and synthetic securitizations.
Outstanding Exposures Securitized by Exposure Type (Overall Pool Size) within the Trading Book
Dec 31, 2012 Dec 31, 2011
Originator Sponsor1 Originator Sponsor1
in € m. Traditional Synthetic Traditional Synthetic Traditional Synthetic Traditional Synthetic
Residential mortgages 7,545 − 7,105 − 13,591 − 4,586 −
Commercial mortgages 29,185 − 50,308 − 39,885 5,295 55,551 −
Credit card receivables − − − − − − − −
Leasing − − − − − − − −
Loans to corporates or SMEs
(treated as corporates)2 1,902 234,619 3,805 − 2,063 274,7463 4,126 −
Consumer loans − − − − − − − −
Trade receivables − − − − − − − −
Securitizations (re-securitizations) 3,543 − 117 − 9,663 − − −
Other assets 1,189 − − − 633 − 1,367 −
Total outstanding exposures securitized4 43,364 234,619 61,335 − 65,835 280,041 65,630 −
1 As of December 31, 2012 included under “Sponsor” is the amount € 57 billion of multi-seller related securitized exposures, of which we have originated € 23 billion, and therefore have
also included this amount under “Originator”. For December 31, 2011 the amounts were € 63 billion and € 28 billion respectively.
2 SMEs are small- or medium-sized entities.
3 Outstanding Exposures Securitized was restated reflecting additional 14 short synthetic single tranche CDOs not identified last year.
4 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”. Includes securitized exposure as originator amounting to € 17 billion and as sponsor amounting to € 11 billion already reflected in table “Outstanding Exposures Securitized by Exposure Type (Overall Pool Size) within the Banking Book”.
The following table provides details of the quality of the underlying asset pool of outstanding exposures securit- ized 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 im- paired. 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 2012 and 2011 for retained or purchased securitization positions as originator by exposure type. The losses are those reported in the consolidated statement of in- come. The amounts are the actual losses in the underlying asset pool to the extent that these losses are allo- cated 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, 2012 2012 Dec 31, 2011 2011
in € m. Impaired/past due1 Losses Impaired/ past due1 Losses
Residential mortgages 3,639 14 4,831 28
Commercial mortgages 79 − 227 −
Credit card receivables − − − −
Leasing − − − −
Loans to corporates or SMEs (treated as corporates)2 256 11 1,191 35
Consumer loans − − − −
Trade receivables − − − −
Securitizations (re-securitizations) 368 5 361 5
Other assets − − − −
Total impaired and past due exposures
securitized and losses recognized3 4,342 30 6,610 68
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”.
The total impaired or past due exposure securitized decreased by € 2.3 billion in 2012. The reduction is at- tributed to the exposure types “Residential mortgages”, “Commercial mortgages” and “Loans to corporates or SMEs”. Losses recorded by us in 2012 decreased across all exposure types to € 30 million compared to € 68 million in 2011.
The following table provides details of existing banking and trading book outstanding exposures split by expo- sure type for which there is a management intention to securitize them in either an existing or new securitiza- tion 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
Dec 31, 2012 Dec 31, 2011
in € m. Banking Book Trading Book Banking Book Trading Book
Residential mortgages – − – −
Commercial mortgages – 1,783 243 788
Credit card receivables – − – −
Leasing – − – −
Loans to corporates or SMEs
(treated as corporates)1 6,358 − 1,154 −
Consumer loans – − – −
Trade receivables – − – −
Securitizations (re-securitizations) – 372 – −
Other assets – − – −
Outstanding exposures awaiting securitization 6,358 2,155 1,397 788
1 SMEs are small- or medium-sized entities.
The majority of the outstanding exposures awaiting securitization are “Loans to corporates or SMEs”, which are subject to securitizations of the CPSG.
Securitization Positions Retained or Purchased
For securitization positions retained or purchased the reported amounts for the banking book are regulatory exposure values prior to the application of credit risk mitigation. The securitization positions in the regulatory trading book are reported based on the exposure definition in Section 299 SolvV which states that identical or closely matched securities and derivatives are offset to a net position.
Securitization Positions Retained or Purchased by Exposure Type
Dec 31, 2012
Banking Book
Trading Book
in € m. On-balance securitization positions Off-balance, derivative and SFT securitization positions Total On-balance securitization positions Off-balance, derivative and SFT securitization positions Total Residential mortgages 5,484 3,331 8,815 1,553 92 1,645 Commercial mortgages 2,712 934 3,646 2,263 3,319 5,582
Credit card receivables – 920 920 46 – 46
Leasing 2,227 1,291 3,518 0 – 0
Loans to corporates or SMEs
(treated as corporates)1 25,568 4,791 30,359 272 4,526 4,798
Consumer loans 2,818 2,470 5,288 109 – 109
Trade receivables – – – 0 – 0
Securitizations (re-securitizations) 1,593 2,398 3,991 729 56 785
Other assets 5,044 3,887 8,931 1,099 33 1,132
Total securitization positions
retained or purchased2 45,446 20,022 65,468 6,071 8,026 14,097
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
Dec 31, 2011
Banking Book Trading Book
in € m. On-balance securitization positions Off-balance, derivative and SFT securitization positions Total On-balance securitization positions Off-balance, derivative and SFT securitization positions Total Residential mortgages 7,278 3,540 10,818 1,766 79 1,845 Commercial mortgages 4,245 1,154 5,399 1,832 1,010 2,842
Credit card receivables 613 671 1,284 101 32 133
Leasing 1,443 1,546 2,989 0 – 0
Loans to corporates or SMEs
(treated as corporates)1 32,465 5,746 38,211 227 5,837 6,064
Consumer loans 2,650 3,484 6,134 60 – 60
Trade receivables – – – 3 – 3
Securitizations (re-securitizations) 2,313 2,574 4,887 688 31 719
Other assets 2,263 5,659 7,922 1,768 251 2,019
Total securitization positions
retained or purchased2 53,270 24,374 77,644 6,445 7,240 13,685
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.
On a year to year comparison, resulting from an active de-risking strategy pursued throughout the year 2012, the banking book securitization positions retained or purchased decreased across most exposure types. Re- tained or purchased securitization positions are reduced mainly in the exposure type “Loans to corporates or SMEs” following a termination and a regulatory de-recognition of single synthetic securitizations in 2012. Within the trading book, the significant reduction of securitized exposures from the exposure type “Loans to corpo- rates or SMEs” is offset by increases from the exposure types “Commercial mortgages”, “Consumer loans” and “Securitizations” resulting in a slight overall increase.
Securitization Positions Retained or Purchased by Region
Dec 31, 2012 Dec 31, 2011
in € m. Banking Book Trading Book Banking Book Trading Book
Europe 28,601 3,699 35,956 2,526
Americas 33,158 9,198 38,605 10,149
Asia/Pacific 3,616 979 3,031 876
Other 93 221 52 134
Total securitization positions retained or purchased1 65,468 14,097 77,644 13,685
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”. The amounts shown in the table above are based on the country of domicile of the obligors of the exposures securitized. The aforementioned termination or regulatory de-recognition of synthetic securitizations resulted in a reduction in banking book securitization positions retained or purchased from across Europe and Americas which were partially offset by newly issued securitizations. In addition, decreases in exposures by € 3.4 billion were attributed to sponsoring and investor activities respectively, again largely resulting from the management decision to reduce the overall size of securitization positions.