Liquidity Risk


The following table shows the composition of our external funding sources as of June 30, 2012 and December 31, 2011, both in euro billion and as a percentage of our total external funding sources.

Composition of external funding sources

 

 

in € bn. (unless stated otherwise)

Jun 30, 2012

Dec 31, 2011

1

Other includes fiduciary, self-funding structures (e.g. X-markets) and margin/prime brokerage cash balances (shown on a net basis).

2

Includes ABCP conduits.

Reference: To reconcile to the total balance sheet, add derivatives & settlement balances € 935 billion (€ 899 billion), netting effect for margin & prime brokerage cash balances (shown on a net basis) € 74 billion (€ 73 billion), and other non-funding liabilities € 57 billion (€ 59 billion) for June 30, 2012, and December 31, 2011 respectively.

Capital Markets and Equity

214

18 %

213

19 %

Retail

283

24 %

279

24 %

Transaction Banking

175

15 %

173

15 %

Other Customers1

116

10 %

110

10 %

Discretionary Wholesale

122

10 %

133

12 %

Secured Funding and Shorts

240

21 %

202

18 %

Financing Vehicles2

25

2 %

23

2 %

Total external funding

1,175

100 %

1,133

100 %

The increase of secured funding and shorts by € 38 billion during the first six months of 2012 reflected increasing flow business in comparison to low year-end levels. The increase in other customers by € 6 billion during the first half of 2012 was driven by a higher amount of net cash margin received. The lower volume of discretionary wholesale funding (€ 11 billion less) at the end of the first half 2012 was in line with a lower cash position which the bank held over quarter-end.

Regular stress test analyses ensure that we always hold sufficient cash and liquid assets to close a potential funding gap which could open under a combined scenario comprising idiosyncratic and market related stress. For this purpose the bank holds liquidity reserves which comprise available cash and cash equivalents, highly liquid securities as well as other unencumbered central bank eligible assets. As of June 30, 2012 the bank’s liquidity reserves exceeded € 200 billion. The volume of the liquidity reserves is a function of expected stress results. These reserves are held across major currencies and locations.

In 2012 we have modest refinancing needs of € 15 billion. As of June 30, 2012, we have already issued € 10.5 billion which include the issuance of Pfandbriefe amounting to € 1.1 billion. The average spread of our issuances during the first six months of the year over the relevant floating index (e.g. Libor) was 80 bps, with an average tenor of 4.7 years. We remain confident in our ability to raise private market funding through a variety of channels, thus avoiding dependence on any one market segment.

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Deutsche Bank Interim Report as of June 30, 2012

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