Asset Encumbrance

On June 27, 2014 the EBA published guidelines on the disclosure of encumbered and unencumbered assets as mandated by Article 443 CRR. They represent a first step in determining a framework for asset encumbrance and will form the basis of the binding technical standards that the EBA will develop by 2016. We have used these guidelines to complete the following section.

Encumbered assets primarily comprise those on- and off-balance sheet assets that are pledged as collateral against secured funding, collateral swaps, and other collateralized obligations. Additionally, in line with the EBA technical standards on regulatory asset encumbrance reporting, we consider assets placed with settlement systems, including default funds and initial margins as encumbered, as well as other assets pledged which cannot be freely withdrawn such as mandatory minimum reserves at central banks. We also include derivative margin receivable assets as encumbered under these EBA guidelines.

This section refers to asset encumbrance in the group of institutions consolidated for banking regulatory purposes pursuant to the German Banking Act. Thereunder not included are insurance companies or companies outside the finance sector. Assets pledged by our insurance subsidiaries are included in Note 22 “Assets Pledged and Received as Collateral” of the Consolidated Financial Statements, and restricted assets held to satisfy obligations to insurance companies’ policy holders are included within Note 39 “Information on Subsidiaries” of the Consolidated Financial Statements.

Readily available assets are those on- and off-balance sheet assets that are not otherwise encumbered, and which are in freely transferable form. Unencumbered financial assets at fair value, other than securities borrowed or purchased under resale agreements and positive market value from derivatives, and available for sale investments are all assumed to be readily available.

The readily available value represents the current balance sheet carrying value rather than any form of stressed liquidity value (see the “Liquidity Reserves” section for an analysis of unencumbered liquid assets available under a liquidity stress scenario). Other unencumbered on- and off-balance sheet assets are those assets that have not been pledged as collateral against secured funding or other collateralized obligations, or are otherwise not considered to be ready available. Included in this category are securities borrowed or purchased under resale agreements and positive market value from derivatives. Similarly, for loans and other advances to customers, these would only be viewed as readily available to the extent they are already in a pre-packaged transferable format, and have not already been used to generate funding. This represents the most conservative view given that an element of such loans currently shown in other could be packaged into a format that would be suitable for use to generate funding.

Encumbered and unencumbered assets

 

Dec 31, 2014

 

Carrying value

Fair value

 

 

 

Unencumbered assets

 

in € bn.
On-balance sheet

Assets

Encumbered assets

Readily available

Other

Encumbered assets

Unen­cumbered assets

1

Securities borrowed and securities purchased under resale agreements are all shown as other unencumbered. The use of the underlying collateral is separately captured in the off-balance sheet table below.

2

Excludes Debt securities and Equity instruments (separately disclosed above).

Debt securities

184.2

42.4

141.8

0

42.4

141.8

Equity instruments

69.5

49.7

19.8

0

49.7

19.8

Other assets:

 

 

 

 

 

 

Cash and due from banks & Interest earning deposits with Banks

82.0

6.9

75.1

0

 

 

Securities borrowed or purchased under resale agreements1

43.6

0

0

43.6

 

 

Financial assets at fair value through profit and loss2

 

 

 

 

 

 

Trading assets

17.1

0

17.1

0

 

 

Positive market value from derivative financial instruments

630.4

0

0

630.4

 

 

Securities borrowed or purchased under resale agreements1

80.9

0

0

80.9

 

 

Other financial assets at fair value through profit or loss

14.9

0

14.9

0

 

 

Financial assets available for sale2

2.9

0

2.9

0

 

 

Loans

398.0

44.9

19.4

333.7

 

 

Other assets

166.5

62.9

0

103.6

 

 

Total

1,689.9

206.7

291.0

1,192.2

 

 

 

Dec 31, 2014

 

Fair value of collateral received

 

 

 

Unencumbered assets

in € bn.
On-balance sheet

Assets

Encumbered assets

Readily available

Other

Collateral received:

253.1

201.9

49.8

1.4

Debt securities

175.4

127.0

48.4

0

Equity instruments

76.3

74.9

1.4

0

Other collateral received

1.4

0

0

1.4

Own debt securities issued other than covered bonds and asset backed securities

0

0

0

0

The above tables set out a breakdown of on- and off-balance sheet items, broken down between encumbered, readily available and other. Any securities borrowed or purchased under resale agreements are shown based on the fair value of collateral received.

The above tables of encumbered assets include assets that are not encumbered at an individual entity level, but which may be subject to restrictions in terms of their transferability within the group. Such restrictions may be due to local connected lending requirements or similar regulatory restrictions. In this situation it is not feasible to identify individual balance sheet items that cannot be transferred. “Own debt securities issued other than covered bonds and asset backed securities” refers to those own bond holdings that are not derecognized from the balance sheet by a non-IFRS institution. This is not applicable for Deutsche Bank AG.

 

Dec 31, 2014

in € bn.

Matching liabilities, contingent liabilities, securities lent

Carrying value of encumbered assets, fair value of encumbered collateral received and own debt securities issued

On-balance/off-balance sheet amount of selected financial liabilities and financial assets

382.5

408.7

The above table shows the total amount of encumbered on- and off-balance sheet assets against the corresponding liabilities, contingent liabilities or securities lent that have given rise to the encumbrance. At December 31, 2014, only € 207 billion of the Group's on-balance sheet assets were encumbered. These assets primarily related to firm financing of trading inventory and other securities, to funding (i.e., Pfandbriefe and covered bonds) secured against loan collateral and to cash collateral for derivative margin requirements.

As of December 31, 2014, the Group had received securities as collateral with a fair value of € 253 billion, of which € 202 billion were sold or on pledged. These pledges typically relate to trades to facilitate client activity, including prime brokerage, collateral posted in respect of Exchange Traded Funds and derivative margin requirements.