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 86
During 2010 the amount of assets held in consolidated funds decreased by € 1.2 billion. This movement was
predominantly due to cash outflows during the period.
Structured Transactions
We enter into certain structures which offer clients funding opportunities at favorable rates. The funding is predominantly
provided on a collateralized basis. These structures are individually tailored to the needs of our
clients. We consolidate these SPEs when we hold the controlling interest or we have the majority of the risks
and rewards through a residual interest holding and/or a related liquidity facility. The composition of the SPEs
that we consolidate is influenced by the execution of new transactions and the maturing, restructuring and
exercise of early termination options with respect to existing transactions.
Operating Entities
We establish SPEs to conduct some of our operating business when we benefit from the use of an SPE. These
include direct holdings in certain proprietary investments and the issuance of credit default swaps where our
exposure has been limited to our investment in the SPE. We consolidate these entities when we hold the controlling
interest or are exposed to the majority of risks and rewards of the SPE. In 2009, our exposure to Maher
Terminals LLC and Maher Terminals of Canada Corp. was reclassified from Repackaging and Investment
Products to Operating Entities. During 2010 the amount of assets held in Operating entities increased by
€ 2.9 billion. This movement was predominantly due to the consolidation of Postbank SPEs of € 1.4 billion and
€ 1.1 billion following the completion of The Cosmopolitan of Las Vegas.
Exposure to Non-consolidated SPEs
in € bn. Dec 31, 2010 Dec 31, 2009
Maximum unfunded exposure by category:
Group sponsored ABCP conduits 2.5 2.7
Third party ABCP conduits 1 2.4 2.5 1
Third party sponsored securitizations
U.S. 1.5 3.9
non-U.S. 1.2 2.5
Guaranteed mutual funds 2 10.7 12.4
Real estate leasing funds 0.8 0.8
1 This includes a margin facility as a result of the restructuring of the Canadian asset-backed commercial paper program in January 2009 (€ 1.8 billion and € 1.6 billion
as of December 31, 2010 and 2009, respectively). There have been no drawdowns against this facility.
2 Notional amount of the guarantees.
Group Sponsored ABCP Conduits
We sponsor and administer five ABCP conduits, established in Australia, which are not consolidated because
we do not hold the majority of risks and rewards. These conduits provide our clients with access to liquidity in
the commercial paper market in Australia. As of December 31, 2010 and December 31, 2009 they had assets
totaling € 1.9 billion and € 2.3 billion respectively, consisting of securities backed by non-U.S. residential mortgages
issued by warehouse SPEs set up by the clients to facilitate the purchase of the assets by the conduits.
The minimum credit rating for these securities is AA–. The credit enhancement necessary to achieve the required
credit ratings is ordinarily provided by mortgage insurance extended by third-party insurers to the SPEs.
The weighted average life of the assets held in the conduits is five years. The average life of the commercial
paper issued by these off-balance sheet conduits is one to three months.