entire - Deutsche Bank Annual Report 2012

Deutsche Bank 01 – Management Report 69
Financial Report 2010 Risk Report
Maximum Exposure to Credit Risk
The following table presents our maximum exposure to credit risk without taking account of any collateral held
or other credit enhancements that do not qualify for offset in our financial statements.
in € m. 1 Dec 31, 2010 Dec 31, 2009
Due from banks 17,157 9,346
Interest-earning deposits with banks 92,377 47,233
Central bank funds sold and securities purchased under resale agreements 20,365 6,820
Securities borrowed 28,916 43,509
Financial assets at fair value through profit or loss 2 1,026,494 900,800
Financial assets available for sale 2 48,587 14,852
Loans 3 411,025 261,448
Other assets subject to credit risk 61,441 52,457
Financial guarantees and other credit related contingent liabilities 4 68,055 52,183
Irrevocable lending commitments and other credit related commitments 4 123,881 104,125
Maximum exposure to credit risk 1,898,297 1,492,773
1 All amounts at carrying value unless otherwise indicated.
2 Excludes equities, other equity interests and commodities.
3 Gross loans less (deferred expense)/unearned income before deductions of allowance for loan losses.
4 Financial guarantees, other credit related contingent liabilities and irrevocable lending commitments (including commitments designated under the fair value option)
are reflected at notional amounts.
Included in the category of financial assets at fair value through profit or loss as of December 31, 2010, were
€ 109 billion of securities purchased under resale agreements and € 28 billion of securities borrowed, both with
limited net credit risk as a result of very high levels of collateral, as well as debt securities of € 171 billion that
are over 83 % investment grade. The above mentioned financial assets available for sale category primarily
reflected debt securities of which more than 83 % were investment grade.
The increase in maximum exposure to credit risk for December 31, 2010 was predominantly driven by acquisitions,
which accounted for € 235 billion exposure as of December 31, 2010, thereof € 211 billion relating to
Postbank. A significant proportion of Postbank’s contribution was reflected in the loans category.
Excluding acquisitions, the maximum exposure to credit risk increased by € 171 billion largely within the interest
earning deposits with banks, and financial assets at fair value through profit and loss categories.
In the tables below, we show details about several of our main credit exposure categories, namely loans,
irrevocable lending commitments, contingent liabilities and over-the-counter (“OTC”) derivatives:
— “Loans” are net loans as reported on our balance sheet at amortized cost but before deduction of our allowance
for loan losses.
— “Irrevocable lending commitments” consist of the undrawn portion of irrevocable lending-related commitments.
— “Contingent liabilities” consist of financial and performance guarantees, standby letters of credit and indemnity
agreements.
— “OTC derivatives” are our credit exposures from over-the-counter derivative transactions that we have
entered into, after netting and cash collateral received. On our balance sheet, these are included in trading
assets or, for derivatives qualifying for hedge accounting, in other assets, in either case, before netting and
cash collateral received.