SEC Form 20-F - Deutsche Bank Annual Report 2012

Deutsche Bank
Annual Report 2010 on Form 20-F
Item 5: Operating and Financial Review and Prospects 84
In limited situations we consolidate some SPEs for both financial reporting and German regulatory purposes.
However, in all other cases we hold regulatory capital, as appropriate, against all SPE-related transactions and
related exposures, such as derivative transactions and lending-related commitments and guarantees. To date,
our exposures to non-consolidated SPEs have not had a material impact on our debt covenants, capital ratios,
credit ratings or dividends.
The following sections provide detail about the assets (after consolidation eliminations) in our consolidated SPEs
and our maximum unfunded exposure remaining to certain non-consolidated SPEs. These sections should be
read in conjunction with the Update on Key Credit Market Exposures.
Total Assets in Consolidated SPEs
Dec 31, 2010 Asset type
in € m.
Financial
assets at
fair value
through
profit or loss 1
Financial
assets
available
for sale Loans
Cash and
cash
equivalents Other assets Total assets
Category:
Group sponsored ABCP conduits – 431 15,304 – 59 15,794
Group sponsored securitizations 3,168 369 1,250 20 23 4,830
Third party sponsored securitizations 189 – 507 2 18 716
Repackaging and investment products 6,606 1,053 206 2,211 664 10,740
Mutual funds 4,135 9 – 465 654 5,263
Structured transactions 2,533 269 5,315 386 381 8,884
Operating entities 1,676 3,522 3,309 514 3,582 12,603
Other 199 300 556 117 304 1,476
Total 18,506 5,953 26,447 3,715 5,685 60,306
1 Fair value of derivative positions is € 158 million.
Dec 31, 2009 Asset type
in € m.
Financial
assets at
fair value
through
profit or loss 1
Financial
assets
available
for sale Loans
Cash and
cash
equivalents Other assets Total assets
Category:
Group sponsored ABCP conduits 30 279 15,222 – 33 15,564
Group sponsored securitizations 3,409 – 1,175 4 57 4,645
Third party sponsored securitizations 200 – 516 3 73 792
Repackaging and investment products 5,789 1,973 36 661 557 9,016
Mutual funds 5,163 – – 1,313 35 6,511
Structured transactions 2,531 108 5,207 26 423 8,295
Operating entities 1,603 3,319 1,898 501 2,416 9,737
Other 610 240 786 59 453 2,148
Total 19,335 5,919 24,840 2,567 4,047 56,708
1 Fair value of derivative positions is € 250 million.
Group Sponsored ABCP Conduits
We set up, sponsor and administer our own asset-backed commercial paper (ABCP) programs. These programs
provide our customers with access to liquidity in the commercial paper market and create investment products
for our clients. As an administrative agent for the commercial paper programs, we facilitate the purchase of
non-Deutsche Bank Group loans, securities and other receivables by the commercial paper conduit (conduit),
which then issues to the market high-grade, short-term commercial paper, collateralized by the underlying assets,
to fund the purchase. The conduits require sufficient collateral, credit enhancements and liquidity support to
maintain an investment grade rating for the commercial paper. We are the liquidity provider to