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 ≤1year and section “Funding Matrix” for long-term liquidity positions > 1year) which is defined and approved by the Management Board.

The following tables present a maturity analysis of our total assets based on carrying value and upon earliest legally exercisable maturity as of December 31, 2014 and 2013, respectively.

Analysis of the earliest contractual maturity of assets

 

Dec 31, 2014

in € m.

On demand (incl. Over­night 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 no more than 2 years

Over 2 years but no more than 5 years

Over 5 years

Total

Cash and deposits with banks

78,501

2,695

194

16

15

1,780

101

120

151

83,572

Central bank funds sold

0

0

0

0

0

0

0

0

0

0

Securities purchased under resale agreements

4

3,553

2,416

8,143

1,659

1,719

51

240

12

17,796

With banks

4

2,154

533

647

333

561

0

2

12

4,245

With customers

0

1,399

1,883

7,496

1,326

1,159

51

238

0

13,551

Securities borrowed

21,598

4,202

0

0

0

0

0

0

34

25,834

With banks

550

964

0

0

0

0

0

0

0

1,515

With customers

21,047

3,238

0

0

0

0

0

0

34

24,319

Financial assets at fair value through profit or loss – trading

840,858

43,382

12,360

5,371

2,068

2,090

4,855

7,624

24,316

942,924

Trading assets

195,681

0

0

0

0

0

0

0

0

195,681

Fixed-income securities and loans

124,462

0

0

0

0

0

0

0

0

124,462

Equities and other variable- income securities

69,831

0

0

0

0

0

0

0

0

69,831

Other trading assets

1,387

0

0

0

0

0

0

0

0

1,387

Positive market values from derivative financial instruments

629,958

0

0

0

0

0

0

0

0

629,958

Financial assets designated at fair value through profit or loss

15,219

43,382

12,360

5,371

2,068

2,090

4,855

7,624

24,316

117,285

Securities purchased under resale agreements

1,757

36,255

11,109

4,568

1,883

501

1,530

1,849

1,021

60,473

Securities borrowed

13,462

5,783

1,159

0

0

0

0

0

0

20,404

Fixed-income securities and loans

0

1,344

92

660

184

1,588

3,010

5,775

12,957

25,612

Equities and other variable- income securities

0

0

0

0

0

0

0

0

10,339

10,339

Other financial assets designated at fair value through profit or loss

0

0

0

142

0

1

315

0

0

459

Positive market values from derivative financial instruments qualifying for hedge accounting

0

30

140

108

69

37

177

791

3,050

4,403

Financial assets available for sale

20

1,895

1,610

2,797

643

774

4,702

25,756

26,099

64,297

Fixed-income securities and loans

20

1,895

1,610

2,797

643

774

4,408

25,754

24,137

62,038

Equities and other variable- income securities

0

0

0

0

0

0

295

2

1,962

2,259

Loans

19,917

35,866

32,121

26,780

9,101

11,591

26,638

69,501

174,098

405,612

To banks

880

4,744

4,945

4,986

1,321

944

2,859

1,974

408

23,059

To customers

19,037

31,122

27,176

21,794

7,780

10,647

23,779

67,528

173,690

382,553

Retail

3,947

10,852

4,038

4,836

2,884

3,288

9,491

25,572

131,277

196,186

Corporates and other customers

15,090

20,270

23,138

16,959

4,896

7,359

14,288

41,955

42,412

186,367

Other financial assets

119,485

474

387

349

113

99

18

76

4,050

125,050

Total financial assets

1,080,383

92,098

49,229

43,564

13,668

18,090

36,542

104,108

231,809

1,669,490

Other assets

15,514

1,322

707

626

196

260

268

763

19,559

39,214

Total assets

1,095,896

93,421

49,935

44,189

13,864

18,350

36,809

104,871

251,368

1,708,703

 

Dec 31, 2013

in € m.

On demand (incl. Over­night 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 no 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 tables present a maturity analysis of our total liabilities based on carrying value and upon earliest legally exercisable maturity as of December 31, 2014 and 2013, respectively.

Analysis of the earliest contractual maturity of liabilities

 

Dec 31, 2014

in € m.

On demand (incl. Over­night 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 no more than 2 years

Over 2 years but no more than 5 years

Over 5 years

Total

Deposits

298,701

45,396

114,001

31,733

9,820

8,832

5,557

7,618

11,276

532,931

Due to banks

55,538

6,866

12,896

10,400

3,243

1,862

2,593

5,741

9,212

108,350

Due to customers

243,163

38,530

101,105

21,333

6,577

6,970

2,964

1,878

2,064

424,584

Retail

96,651

18,777

83,460

4,919

2,105

1,816

1,095

744

215

209,781

Corporates and other customers

146,512

19,753

17,645

16,414

4,473

5,154

1,869

1,134

1,849

214,803

Trading liabilities

652,045

0

0

0

0

0

0

0

0

652,045

Trading securities

41,112

0

0

0

0

0

0

0

0

41,112

Other trading liabilities

731

0

0

0

0

0

0

0

0

731

Negative market values from derivative financial instruments

610,202

0

0

0

0

0

0

0

0

610,202

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

2,560

6,612

4,573

12,082

1,300

1,047

2,263

2,909

3,686

37,032

Securities sold under repurchase agreements

1,361

4,241

3,711

11,058

393

0

288

0

0

21,053

Long-term debt

6

116

334

734

553

672

1,582

2,716

3,205

9,919

Other financial liabilities designated at fair value through profit or loss

1,193

2,255

527

289

355

375

394

193

481

6,061

Investment contract liabilities

0

30

61

61

61

726

93

1,493

5,999

8,523

Negative market values from derivative financial instruments qualifying for hedge accounting

0

42

240

350

231

55

398

1,145

2,602

5,063

Central bank funds purchased

986

0

0

0

0

0

0

0

0

986

Securities sold under repurchase agreements

3,677

1,397

3,225

1,001

202

400

0

0

0

9,901

Due to banks

3,518

1,170

3,155

1,001

202

400

0

0

0

9,445

Due to customers

158

227

70

0

0

0

0

0

0

456

Securities loaned

1,960

15

1

0

0

0

0

0

363

2,339

Due to banks

130

5

0

0

0

0

0

0

1

136

Due to customers

1,830

10

1

0

0

0

0

0

361

2,203

Other short term borrowings

26,642

5,099

2,766

4,499

1,995

1,929

0

0

0

42,931

Long-term debt

0

1,027

4,778

6,261

6,401

7,272

24,219

51,257

43,622

144,837

Debt securities – senior

0

923

3,833

5,190

5,616

6,767

18,224

46,138

32,755

119,446

Debt securities – subordinated

0

0

645

262

601

236

500

169

2,633

5,047

Other long-term debt – senior

0

104

300

750

148

124

5,291

4,351

7,930

18,999

Other long-term debt – subordinated

0

0

0

59

35

145

205

598

304

1,345

Trust Preferred Securities

0

832

3,053

655

89

277

726

4,757

184

10,573

Other financial liabilities

155,055

884

3,126

217

78

174

352

20

23

159,929

Total financial liabilities

1,141,627

61,336

135,822

56,857

20,177

20,712

33,608

69,200

67,754

1,607,093

Other liabilities

28,288

0

0

0

0

0

0

0

0

28,288

Total equity

0

0

0

0

0

0

0

0

73,223

73,223

Total liabilities and equity

1,169,915

61,336

135,822

56,857

20,177

20,712

33,608

69,200

140,976

1,708,604

Off-balance sheet commitments given

6,924

10,505

10,433

16,063

10,182

15,092

28,165

93,727

25,441

216,533

Banks

203

815

1,995

2,316

696

1,009

1,873

1,700

761

11,368

Retail

682

324

284

548

526

1,009

2,183

1,010

6,817

13,383

Corporates and other customers

6,039

9,366

8,154

13,199

8,960

13,075

24,108

91,017

17,864

191,782

 

Dec 31, 2013

in € m.

On demand (incl. Over­night 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 no more than 2 years

Over 2 years but no more than 5 years

Over 5 years

Total

1

In 2014, comparatives have been restated by € 10.5 billion to include Fronting Commitments erroneously not included in prior disclosure.

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 given1

5,249

11,088

11,871

15,458

9,783

14,175

27,257

82,326

25,624

202,832

Banks

9

1,327

1,580

2,280

1,074

1,025

1,980

1,405

323

11,005

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

12,520

22,956

80,162

17,909

178,344