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 87
Our exposure to these entities is limited to the committed liquidity facilities totaling € 2.5 billion as of December 31,
2010 and € 2.7 billion as of December 31, 2009. None of these liquidity facilities have been drawn. Advances
against the liquidity facilities are collateralized by the underlying assets held in the conduits, and thus a drawn
facility will be exposed to volatility in the value of the underlying assets. Should the assets decline sufficiently in
value, there may not be sufficient funds to repay the advance. As at December 31, 2010 we did not hold material
amounts of commercial paper or notes issued by these conduits.
Third Party ABCP Conduits
In addition to sponsoring our commercial paper programs, we also assist third parties with the formation and
ongoing risk management of their commercial paper programs. We do not consolidate any third party ABCP
conduits as we do not control them.
Our assistance to third party conduits is primarily financing-related in the form of unfunded committed liquidity
facilities and unfunded committed repurchase agreements in the event of disruption in the commercial paper
market. The liquidity facilities and committed repurchase agreements are recorded off-balance sheet unless a
contingent payment is deemed probable and estimable, in which case a liability is recorded. At December 31,
2010 and 2009, the notional amount of undrawn facilities provided by us was € 2.4 billion and € 2.5 billion,
respectively. These facilities are collateralized by the assets in the SPEs and therefore the movement in the fair
value of these assets will affect the recoverability of the amount drawn.
Third Party Sponsored Securitizations
The third party securitization vehicles to which we, and in some instances other parties, provide financing are
third party-managed investment vehicles that purchase diversified pools of assets, including fixed income securities,
corporate loans, asset-backed securities (predominantly commercial mortgage-backed securities,
residential mortgage-backed securities and credit card receivables) and film rights receivables. The vehicles
fund these purchases by issuing multiple tranches of debt and equity securities, the repayment of which is
linked to the performance of the assets in the vehicles.
The notional amount of liquidity facilities with an undrawn component provided by us as of December 31, 2010
and December 31, 2009 was € 7.0 billion and € 11.1 billion, respectively, of which € 4.3 billion and € 4.7 billion
had been drawn and € 2.7 billion and € 6.4 billion were still available to be drawn as detailed in the table. The
reduction in the total notional during the period was largely due to maturing facilities. All facilities are available
to be drawn if the assets meet certain eligibility criteria and performance triggers are not reached. These facilities
are collateralized by the assets in the SPEs and therefore the movement in the fair value of these assets
affects the recoverability of the amount drawn.
Mutual Funds
We provide guarantees to funds whereby we guarantee certain levels of the net asset value to be returned to
investors at certain dates. These guarantees do not result in us consolidating the funds; they are recorded onbalance
sheet as derivatives at fair value with changes in fair value recorded in the consolidated statement of
income. The fair value of the guarantees was € 5.3 million as of December 31, 2010 and € 2.5 million as of
December 31, 2009. As of December 31, 2010, these non-consolidated funds had € 12.0 billion assets under
management and provided guarantees of € 10.7 billion. As of December 31, 2009, assets of € 13.7 billion and
guarantees of € 12.4 billion were reported. The decrease in assets under management was primarily due to
cash out flows from funds during the period.