SEC Form 20-F - Deutsche Bank Annual Report 2012

Deutsche Bank
Annual Report 2010 on Form 20-F
Item 11: Quantitative and Qualitative Disclosures about Credit, Market and Other Risk 147
Basel II Internal Models Method. We allocate expected losses and economic capital derived from loss distributions
down to transaction level to enable management on transaction, customer and business level.
Employing a similar approach, Postbank calculates a credit value-at-risk (“CVaR”) at 99.93 % confidence over
a one year time horizon for all Postbank exposures subject to credit risk.
Credit Exposures
Counterparty credit exposure arises from our traditional non-trading lending activities which include elements
such as loans and contingent liabilities. Counterparty credit exposure also arises via our direct trading activity
with clients in certain instruments which include OTC derivatives, FX forwards and Forward Rate Agreements.
A default risk also arises from our positions in traded credit products such as bonds.
We define our credit exposure by taking into account all transactions where losses might occur due to the fact
that counterparties may not fulfill their contractual payment obligations.
Maximum Exposure to Credit Risk
The following table presents our maximum exposure to credit risk without taking account of any collateral held
or other credit enhancements that do not qualify for offset in our financial statements.
in € m. 1 Dec 31, 2010 Dec 31, 2009
Due from banks 17,157 9,346
Interest-earning deposits with banks 92,377 47,233
Central bank funds sold and securities purchased under resale agreements 20,365 6,820
Securities borrowed 28,916 43,509
Financial assets at fair value through profit or loss 2 1,026,494 900,800
Financial assets available for sale 2 48,587 14,852
Loans 3 411,025 261,448
Other assets subject to credit risk 61,441 52,457
Financial guarantees and other credit related contingent liabilities 4 68,055 52,183
Irrevocable lending commitments and other credit related commitments 4 123,881 104,125
Maximum exposure to credit risk 1,898,297 1,492,773
1 All amounts at carrying value unless otherwise indicated.
2 Excludes equities, other equity interests and commodities.
3 Gross loans less (deferred expense)/unearned income before deductions of allowance for loan losses.
4 Financial guarantees, other credit related contingent liabilities and irrevocable lending commitments (including commitments designated under the fair value option)
are reflected at notional amounts.
Included in the category of financial assets at fair value through profit or loss as of December 31, 2010, were
€ 109 billion of securities purchased under resale agreements and € 28 billion of securities borrowed, both with
limited net credit risk as a result of very high levels of collateral, as well as debt securities of € 171 billion that
are over 83 % investment grade. The above mentioned financial assets available for sale category primarily
reflected debt securities of which more than 83 % were investment grade.
The increase in maximum exposure to credit risk for December 31, 2010 was predominantly driven by acquisitions,
which accounted for € 235 billion exposure as of December 31, 2010, thereof € 211 billion relating to
Postbank. A significant proportion of Postbank’s contribution was reflected in the loans category.
Excluding acquisitions, the maximum exposure to credit risk increased by € 171 billion largely within the interest
earning deposits with banks, and financial assets at fair value through profit and loss categories.