06 – Net Interest Income and Net Gains (Losses) on Financial Assets/Liabilities at Fair Value through Profit or Loss


Net Interest Income

The following are the components of interest and similar income and interest expense.

in € m.

2011

2010

2009

Interest and similar income:

 

 

 

Interest-earning deposits with banks

794

691

633

Central bank funds sold and securities purchased under resale agreements

977

446

320

Securities borrowed

155

133

67

Financial assets at fair value through profit or loss

15,376

15,589

13,634

Interest income on financial assets available for sale

935

700

496

Dividend income on financial assets available for sale

148

137

91

Loans

14,914

10,222

10,555

Other

1,579

861

1,157

Total interest and similar income

34,878

28,779

26,953

Interest expense:

 

 

 

Interest-bearing deposits

6,779

3,800

5,119

Central bank funds purchased and securities sold under repurchase agreements

426

301

280

Securities loaned

343

278

269

Financial liabilities at fair value through profit or loss

6,515

6,019

4,503

Other short-term borrowings

479

375

798

Long-term debt

1,835

1,490

2,612

Trust preferred securities

813

781

680

Other

243

152

233

Total interest expense

17,433

13,196

14,494

Net interest income

17,445

15,583

12,459

Interest income recorded on impaired financial assets was € 83 million, € 146 million and € 133 million for the years ended December 31, 2011, 2010 and 2009, respectively.

Net Gains (Losses) on Financial Assets/Liabilities at Fair Value through Profit or Loss

The following are the components of net gains (losses) on financial assets/liabilities at fair value through profit or loss.

in € m.

2011

2010

2009

1

Includes € (20) million, € 39 million and € (176) million from securitization structures for the years ended December 31, 2011, 2010 and 2009, respectively. Fair value movements on related instruments of € (108) million, € 163 million and € (49) million for December 31, 2011, 2010 and 2009, respectively, are reported within trading income. Both are reported under Sales & Trading (debt and other products). The total of these gains and losses represents the Group’s share of the losses in these consolidated securitization structures.

Trading income:

 

 

 

Sales & Trading (equity)

(1,293)

198

1,125

Sales & Trading (debt and other products)

3,356

3,564

4,223

Total Sales & Trading

2,063

3,762

5,348

Other trading income

686

(104)

286

Total trading income

2,749

3,658

5,634

Net gains (losses) on financial assets/liabilities designated at fair value through profit or loss:

 

 

 

Breakdown by financial asset/liability category:

 

 

 

Securities purchased/sold under resale/repurchase agreements

(20)

35

(73)

Securities borrowed/loaned

(0)

(2)

Loans and loan commitments

(894)

(331)

3,929

Deposits

(368)

(13)

(162)

Long-term debt1

1,772

83

(2,550)

Other financial assets/liabilities designated at fair value through profit or loss

(181)

(78)

333

Total net gains (losses) on financial assets/liabilities designated at fair value through profit or loss

309

(304)

1,475

Total net gains (losses) on financial assets/liabilities at fair value through profit or loss

3,058

3,354

7,109

Combined Overview

The Group’s trading and risk management businesses include significant activities in interest rate instruments and related derivatives. Under IFRS, interest and similar income earned from trading instruments and financial instruments designated at fair value through profit or loss (e.g., coupon and dividend income), and the costs of funding net trading positions, are part of net interest income. The Group’s trading activities can periodically shift income between net interest income and net gains (losses) of financial assets/liabilities at fair value through profit or loss depending on a variety of factors, including risk management strategies. In order to provide a more business-focused presentation, the Group combines net interest income and net gains (losses) of financial assets/liabilities at fair value through profit or loss by group division and by product within the Corporate & Investment Bank.

The following table presents data relating to the Group’s combined net interest and net gains (losses) on financial assets/liabilities at fair value through profit or loss by group division and, for the Corporate & Investment Bank, by product, for the years ended December 31, 2011, 2010 and 2009, respectively.

in € m.

2011

2010

2009

1

Includes the net interest spread on loans as well as the fair value changes of credit default swaps and loans designated at fair value through profit or loss.

2

Includes net interest income and net gains (losses) on financial assets/liabilities at fair value through profit or loss of origination, advisory and other products.

Net interest income

17,445

15,583

12,459

Net gains (losses) on financial assets/liabilities at fair value through profit or loss

3,058

3,354

7,109

Total net interest income and net gains (losses) on financial assets/liabilities at fair value through profit or loss

20,503

18,937

19,568

Net interest income and net gains (losses) on financial assets/liabilities at fair value through profit or loss by Group Division/CIB product:

 

 

 

Sales & Trading (equity)

1,589

2,266

2,047

Sales & Trading (debt and other products)

7,826

9,339

9,818

Total Sales & Trading

9,415

11,604

11,865

Loan products1

701

672

649

Transaction services

1,788

1,451

1,203

Remaining products2

589

353

251

Total Corporate & Investment Bank

12,493

14,081

13,969

Private Clients and Asset Management

7,914

4,609

4,157

Corporate Investments

137

(86)

793

Consolidation & Adjustments

(40)

333

649

Total net interest income and net gains (losses) on financial assets/liabilities at fair value through profit or loss

20,503

18,937

19,568

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Deutsche Bank Annual Report 2011

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