SEC Form 20-F - Deutsche Bank Annual Report 2012

Deutsche Bank Notes to the Consolidated Balance Sheet F-110
Annual Report 2010 on Form 20-F 20 – Derecognition of Financial Assets
20 –
Derecognition of Financial Assets
The Group enters into transactions in which it transfers previously recognized financial assets, such as debt
securities, equity securities and traded loans, but retains substantially all of the risks and rewards of those
assets. Due to this retention, the transferred financial assets are not derecognized and the transfers are
accounted for as secured financing transactions. 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.
The following table provides further information on the asset types and the associated transactions that did not
qualify for derecognition, and their associated liabilities.
in € m. Dec 31, 2010 Dec 31, 2009 1
Carrying amount of transferred assets
Trading securities not derecognized due to the following transactions:
Repurchase agreements 1 54,022 56,831
Securities lending agreements 1 39,454 26,858
Total return swaps 8,854 10,028
Total trading securities 102,330 93,717
Other trading assets 2,455 2,915
Financial assets available for sale 4,391 492
Loans 3,700 2,049
Total 112,876 99,173
Carrying amount of associated liability 99,957 90,543
1 Prior year amounts have been adjusted.
Continuing involvement accounting is typically applied when the Group retains the rights to future cash flows
of an asset, continues to be exposed to a degree of default risk in the transferred assets or holds a residual
interest in, or enters into derivative contracts with, securitization or special purpose entities.
The following table provides further detail on the carrying value of the assets transferred in which the Group
still has continuing involvement.
in € m. Dec 31, 2010 Dec 31, 2009 1
Carrying amount of the original assets transferred:
Trading securities 2,197 4,688
Other trading assets 6,011 5,007
Carrying amount of the assets continued to be recognized:
Trading securities 2,186 2,899
Other trading assets 1,713 1,429
Carrying amount of associated liability 3,910 4,253
1 Prior year amounts have been adjusted.