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 153
The volume of our consumer credit exposure increased due to the consolidation of Postbank by € 75.3 billion
or 89 %, mainly in German mortgage lending. As loans were consolidated at their fair values representing our
expected future cash flows, no consolidated loans were considered 90 days or more past due as of December
31, 2010. The net credit cost incurred on Postbank consumer credit loans since consolidation date were insignificant
compared to the consolidated loan volume. The volume of our consumer credit exposure excluding
Postbank rose by € 4 billion, or 4.5 %, from year end 2009 to December 31, 2010, driven by volume growth in
Germany (up € 902 million), Poland (up € 1,034 million), Italy (up € 949 million) and Portugal (up € 547 million),
mainly within mortgage lending. Measures taken on portfolio and country level lead to significant reduction of
net credit costs in Spain and India, partially offset by increases in our consumer finance business in Poland.
Revised parameter and model assumptions in 2009 led to a one-time release of loan loss allowance of
€ 60 million in the first quarter 2009 as well as a lower level of provisions for credit losses of € 28 million for the
first quarter 2010.
Credit Exposure from Derivatives
The following table shows the notional amounts and gross market values of OTC and exchange-traded derivative
contracts we held for trading and nontrading purposes as of December 31, 2010. The table below includes
Postbank OTC and exchange-traded derivative contracts which have a negligible impact on the overall totals.
Dec 31, 2010 Notional amount maturity distribution Positive
in € m. Within 1 year
> 1 and
≤ 5 years After 5 years Total
Exchange-traded derivative transactions (e.g., futures and options) are regularly settled through a central
counterparty (e.g., LCH. Clearnet Ltd. or Eurex Clearing AG), the rules and regulations of which provide for
daily margining of all current and future credit risk positions emerging out of such transactions. To the extent
possible, we also use central counterparty clearing services for OTC derivative transactions (“OTC clearing”);
we thereby benefit from the credit risk mitigation achieved through the central counterparty’s settlement system.
market
value
Negative
market
value
Net
market
value
Interest-rate-related transactions:
OTC products 16,942,302 15,853,777 11,080,457 43,876,536 419,196 401,179 18,017
Exchange-traded products 1,120,579 276,258 2,272 1,399,109 128 110 18
Sub-total 18,062,881 16,130,035 11,082,729 45,275,645 419,324 401,289 18,035
Currency-related transactions:
OTC products 3,805,544 1,325,473 607,743 5,738,760 110,440 118,452 (8,012)
Exchange-traded products 13,113 970 – 14,083 104 221 (117)
Sub-total 3,818,657 1,326,443 607,743 5,752,843 110,544 118,673 (8,129)
Equity/index-related transactions:
OTC products 362,294 333,108 95,785 791,187 31,084 38,297 (7,213)
Exchange-traded products 256,942 100,475 4,332 361,749 2,933 1,995 938
Sub-total 619,236 433,583 100,117 1,152,936 34,017 40,292 (6,275)
Credit derivatives 308,387 2,545,673 537,759 3,391,819 81,095 73,036 8,059
Other transactions:
OTC products 143,323 150,068 8,831 302,222 18,587 17,879 708
Exchange-traded products 72,437 41,874 839 115,150 2,742 2,621 121
Sub-total 215,760 191,942 9,670 417,372 21,329 20,500 829
Total OTC business 21,561,850 20,208,099 12,330,575 54,100,524 660,402 648,843 11,559
Total exchange-traded business 1,463,071 419,577 7,443 1,890,091 5,907 4,947 960
Total 23,024,921 20,627,676 12,338,018 55,990,615 666,309 653,790 12,519
Positive market values including
the effect of netting and cash
collateral received 63,942