entire - Deutsche Bank Annual Report 2012

Deutsche Bank 01 – Management Report 33
Financial Report 2010 Operating and Financial Review
Other Monoline exposure Dec 31, 2010 Dec 31, 2009
in € m.
Notional
amount
Fair value
prior to
CVA CVA
Fair value
after CVA
Notional
amount
Fair value
prior to
CVA CVA
Fair value
after CVA
AA Monolines:
TPS-CLO 2,988 837 (84) 753 2,717 925 (85) 840
CMBS 1,084 12 (1) 11 1,004 68 (6) 62
Corporate single
name/Corporate CDO 602 (1) – (1) 2,033 (3) – (3)
Student loans 295 19 (2) 17 232 39 (4) 35
Other 925 226 (23) 203 902 249 (23) 226
Total AA Monolines 5,894 1,093 (110) 983 6,888 1,277 (117) 1,160
Non Investment Grade
Monolines:
TPS-CLO 917 215 (49) 166 876 274 (100) 174
CMBS 6,024 547 (273) 274 5,932 813 (355) 458
Corporate single
name/Corporate CDO 2,180 12 (6) 6 4,366 26 (12) 14
Student loans 1,308 597 (340) 257 1,221 560 (319) 241
Other 1,807 226 (94) 132 1,645 278 (102) 176
Total Non Investment Grade
Monolines 12,236 1,597 (762) 835 14,040 1,950 (887) 1,063
Total 18,130 2,690 (872) 1,818 20,928 3,227 (1,004) 2,223
The tables exclude counterparty exposure to monoline insurers that relates to wrapped bonds. A wrapped bond
is one that is insured or guaranteed by a third party. As of December 31, 2010 and December 31, 2009, the
exposure on wrapped bonds related to U.S. residential mortgages was € 67 million and € 100 million, respectively,
and the exposure on wrapped bonds other than those related to U.S. residential mortgages was € 58 million
and € 54 million, respectively. In each case, the exposure represents an estimate of the potential mark-downs
of wrapped assets in the event of monoline defaults.
A proportion of the mark-to-market monoline exposure has been mitigated with CDS protection arranged with
other market counterparties and other economic hedge activity.
As of December 31, 2010 and December 31, 2009 the total credit valuation adjustment held against monoline
insurers was € 1,186 million and € 1,182 million respectively.