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 85
these conduits and therefore exposed to changes in the carrying value of their assets. We consolidate the
majority of our sponsored conduit programs because we have the controlling interest.
Our liquidity exposure to these conduits is to the entire commercial paper issued of € 16.3 billion and € 16.2 billion
as of December 31, 2010 and December 31, 2009, of which we held € 2.2 billion and € 8.2 billion, respectively.
The decrease in the commercial paper held is due to improved liquidity in the market during the year.
The collateral in the conduits includes a range of asset-backed loans and securities, including aircraft leasing,
student loans, trust preferred securities and residential- and commercial-mortgage-backed securities. There
has been no significant movement in the collateral held in these conduits during the period.
Group Sponsored Securitizations
We sponsor SPEs for which we originate or purchase assets. These assets are predominantly commercial and
residential whole loans or mortgage-backed securities. The SPEs fund these purchases by issuing multiple
tranches of securities, the repayment of which is linked to the performance of the assets in the SPE. When we
retain a subordinated interest in the assets that have been securitized, an assessment of the relevant factors is
performed and, if SPEs are controlled by us, they are consolidated. The fair value of our retained exposure in
these securitizations as of December 31, 2010 and December 31, 2009 was € 3.2 billion and € 3.0 billion,
respectively.
Third Party Sponsored Securitizations
In connection with our securities trading and underwriting activities, we acquire securities issued by third party
securitization vehicles that purchase diversified pools of commercial and residential whole loans or mortgagebacked
securities. The vehicles fund these purchases by issuing multiple tranches of securities, the repayment
of which is linked to the performance of the assets in the vehicles. When we hold a subordinated interest in the
SPE, an assessment of the relevant factors is performed and if SPEs are controlled by us, they are consolidated.
As of December 31, 2010 and December 31, 2009 the fair value of our retained exposure in these securitizations
was € 0.7 billion and € 0.7 billion, respectively.
Repackaging and Investment Products
Repackaging is a similar concept to securitization. The primary difference is that the components of the repackaging
SPE are generally securities and derivatives, rather than non-security financial assets, which are
then “repackaged” into a different product to meet specific individual investor needs. We consolidate these
SPEs when we have the majority of risks and rewards. Investment products offer clients the ability to become
exposed to specific portfolios of assets and risks through purchasing our structured notes. We hedge this exposure
by purchasing interests in SPEs that match the return specified in the notes. We consolidate the SPEs
when we hold the controlling interest or have the majority of risks and rewards. In 2010, consolidated assets
increased by € 1.7 billion as a result of new business during the period.
Mutual Funds
We offer clients mutual fund and mutual fund-related products which pay returns linked to the performance of
the assets held in the funds. We provide a guarantee feature to certain funds in which we guarantee certain
levels of the net asset value to be returned to investors at certain dates. The risk for us as guarantor is that we
have to compensate the investors if the market values of such products at their respective guarantee dates are
lower than the guaranteed levels. For our investment management service in relation to such products, we earn
management fees and, on occasion, performance-based fees. We are not contractually obliged to support
these funds and have not done so during 2010. In 2009, we made a decision to support the funds’ target yields
by injecting cash of € 16 million.