Maturity Analysis of Assets and Financial Liabilities

Treasury manages the maturity analysis of assets and liabilities. Modelling of assets and liabilities is necessary in cases where the contractual maturity does not adequately reflect the liquidity risk position. The most significant example in this context would be immediately repayable deposits from retail and transaction banking customers which have consistently displayed high stability throughout even the most severe financial crises.

The modelling profiles are part of the overall liquidity risk management framework (see section “Stress Test” for short-term liquidity positions ≤1yr and section “Funding Matrix” for long-term liquidity positions >1yr) which is defined and approved by the Management Board.

The following table presents a maturity analysis of our total assets based on carrying value and upon earliest legally exercisable maturity as of December 31, 2013.

Analysis of the earliest contractual maturity of assets

 

Dec 31, 2013

in € m.

On demand
(incl. Over-
night and one
day notice)

Up to one month

Over 1 month
to no more
than
3 months

Over
3 months
but no more
than 6 months

Over
6 months
but no more
than 9 months

Over
9 months
but no more
than 1 year

Over 1 year
but not more
than 2 years

Over 2 years
but no more
than 5 years

Over 5 years

Total

Cash and deposits with banks

86,474

6,911

50

131

1,383

26

55

38

70

95,139

Central bank funds sold

0

0

0

0

0

0

0

0

0

0

Securities purchased under resale agreements

529

10,359

6,437

4,917

3,449

665

999

8

0

27,363

with banks

304

3,564

786

1,028

0

0

77

8

0

5,766

with customers

225

6,795

5,651

3,890

3,449

665

923

0

0

21,596

Securities borrowed

20,648

171

0

0

0

0

0

22

30

20,870

with banks

1,664

0

0

0

0

0

0

0

0

1,664

with customers

18,983

171

0

0

0

0

0

22

30

19,205

Financial assets at fair value through profit or loss – trading

738,021

101,913

17,680

6,432

2,658

1,027

4,086

6,393

21,046

899,257

Trading assets

210,070

0

0

0

0

0

0

0

0

210,070

Fixed-income securities and loans

143,947

0

0

0

0

0

0

0

0

143,947

Equities and other variable-income securities

61,393

0

0

0

0

0

0

0

0

61,393

Other trading assets

4,730

0

0

0

0

0

0

0

0

4,730

Positive market values from derivative financial instruments

504,590

0

0

0

0

0

0

0

0

504,590

Financial assets designated at fair value through profit or loss

23,360

101,913

17,680

6,432

2,658

1,027

4,086

6,393

21,046

184,597

Securities purchased under resale agreements

8,485

84,607

13,783

3,789

2,054

749

1,914

1,081

301

116,764

Securities borrowed

14,875

14,187

3,424

0

0

0

0

0

0

32,485

Fixed-income securities and loans

0

3,109

474

2,531

598

273

2,106

5,128

10,806

25,025

Equities and other variable-income securities

0

10

0

0

1

0

16

0

9,872

9,898

Other financial assets designated at fair value through profit or loss

0

0

0

111

6

5

50

185

67

424

Positive market values from derivative financial instruments qualifying for hedge accounting

0

15

82

163

31

37

227

1,562

1,895

4,011

Financial assets available for sale

0

1,533

1,641

1,900

749

737

4,756

20,317

16,692

48,326

Fixed-income securities and loans

0

1,533

1,641

1,900

749

737

4,572

20,317

14,962

46,413

Equities and other variable-income securities

0

0

0

0

0

0

183

0

1,730

1,913

Loans

18,458

41,810

21,623

20,283

9,662

9,730

26,867

64,249

163,899

376,582

to banks

322

4,043

5,152

4,236

1,752

882

2,610

4,053

389

23,440

to customers

18,136

37,767

16,470

16,047

7,909

8,848

24,258

60,196

163,510

353,142

Retail

3,911

13,715

2,973

5,204

3,257

3,177

9,294

24,055

124,745

190,331

Corporates and other customers

14,226

24,052

13,497

10,844

4,652

5,671

14,961

36,139

38,770

162,810

Other financial assets

87,181

780

353

216

93

103

40

0

3,541

92,307

Total financial assets

951,311

163,492

47,865

34,042

18,025

12,326

37,031

92,588

207,173

1,563,854

Other assets

19,633

3,374

988

703

372

254

426

1,064

20,733

47,546

Total assets

970,944

166,866

48,852

34,745

18,397

12,581

37,457

93,652

227,906

1,611,400

The following table presents a maturity analysis of our total liabilities based on carrying value and upon earliest legally exercisable maturity as of December 31, 2013.

Analysis of the earliest contractual maturity of liabilities

 

Dec 31, 2013

in € m.

On demand
(incl. Over-
night and one
day notice)

Up to one month

Over 1 month
to no more
than
3 months

Over
3 months
but no more
than 6 months

Over
6 months
but no more
than 9 months

Over
9 months
but no more
than 1 year

Over 1 year
but not more
than 2 years

Over 2 years
but no more
than 5 years

Over 5 years

Total

Deposits

290,284

66,181

117,026

16,936

7,290

6,258

4,849

8,203

10,721

527,750

Due to banks

61,302

15,357

9,993

6,987

1,503

1,154

2,801

5,982

9,099

114,176

Due to customers

228,982

50,824

107,034

9,949

5,788

5,104

2,048

2,222

1,623

413,574

Retail

89,689

5,874

90,186

3,695

2,825

2,478

1,144

1,065

194

197,149

Corporates and other customers

139,294

44,950

16,848

6,254

2,963

2,626

904

1,157

1,429

216,425

Trading liabilities

539,232

0

0

0

0

0

0

0

0

539,232

Trading securities

54,951

0

0

0

0

0

0

0

0

54,951

Other trading liabilities

853

0

0

0

0

0

0

0

0

853

Negative market values from derivative financial instruments

483,428

0

0

0

0

0

0

0

0

483,428

Financial liabilities designed at fair value through profit or loss (without loan commitments and financial guarantees)

25,428

12,660

39,535

1,639

654

770

1,835

4,673

2,717

89,911

Securities sold under repurchase agreements

22,870

11,887

38,221

639

26

0

0

0

0

73,642

Long-term debt

531

16

774

479

425

637

1,387

2,649

2,443

9,342

Other financial liabilities designated at fair value through profit or loss

2,028

757

540

521

202

133

449

2,023

274

6,927

Investment contract liabilities

0

25

50

50

50

692

72

1,255

5,871

8,067

Negative market values from derivative financial instruments qualifying for hedge accounting

0

1

19

17

13

5

57

181

323

616

Central bank funds purchased

2,056

0

0

0

0

400

0

0

0

2,455

Securities sold under repurchase agreements

6,477

3,227

703

519

0

0

0

0

0

10,926

Due to banks

6,405

2,077

469

447

0

0

0

0

0

9,399

Due to customers

72

1,150

234

71

0

0

0

0

0

1,528

Securities loaned

2,079

27

0

0

0

0

0

0

198

2,304

Due to banks

215

15

0

0

0

0

0

0

0

230

Due to customers

1,865

12

0

0

0

0

0

0

198

2,075

Other short term borrowings

36,693

6,950

9,252

5,076

408

1,388

0

0

0

59,767

Long-term debt

0

8,903

6,692

5,685

4,690

5,395

17,636

42,665

41,417

133,082

Debt securities senior

0

2,704

4,026

4,251

3,804

5,009

15,751

37,412

30,500

103,457

Debt securities subordinated

0

62

2,318

871

152

241

763

620

2,550

7,578

Other long-term debt senior

0

6,133

337

336

705

126

920

3,919

8,033

20,508

Other long-term debt subordinated

0

5

10

227

28

19

201

714

334

1,539

Trust Preferred Securities

0

1,101

3,219

483

107

280

1,544

5,018

174

11,926

Other financial liabilities

131,965

525

3,374

91

350

226

468

254

107

137,362

Total financial liabilities

1,034,216

99,602

179,871

30,496

13,562

15,413

26,461

62,249

61,528

1,523,400

Other liabilities

32,841

0

0

0

0

0

0

0

0

32,841

Total equity

0

0

0

0

0

0

0

0

54,966

54,966

Total liabilities and equity

1,067,057

99,602

179,871

30,496

13,562

15,413

26,461

62,249

116,494

1,611,207

Off-balance sheet commitments given

5,249

11,088

11,871

15,458

9,783

14,173

26,565

74,145

23,957

192,290

Banks

9

1,327

1,580

2,280

1,074

1,025

1,980

1,250

314

10,841

Retail

567

372

218

481

743

629

2,321

759

7,393

13,484

Corporates and other customers

4,673

9,390

10,073

12,696

7,966

12,519

22,264

72,136

16,250

167,966


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