entire - Deutsche Bank Annual Report 2012

Deutsche Bank 01 – Management Report 38
Financial Report 2010 Operating and Financial Review
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.
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.