Allocation of Positions to the Regulatory Trading book

For European regulatory purposes all our positions must be assigned to either the trading book or the banking book. This classification of a position impacts its regulatory treatment, in particular the calculation of the regulatory capital charges for the position. We laid down the criteria for the allocation of positions to either the trading book or banking book in internal policy documents, which were based on the respective requirements applicable to the Group contained in Articles 102 to 106 of the CRR.

A central function in Finance is responsible for the policy guidance and is the centre of competence with regard to questions concerning its application. The Finance functions for the individual business areas are responsible for the classification of positions in line with the policy requirements.

We include positions in the trading book that are financial instruments or commodities which are held with trading intent or which are held for the purpose of hedging other trading book positions.

Positions included in the trading book must be free of any restrictive covenants regarding their transferability or able to be hedged.

Moreover, positions assigned to the trading book must be valued daily. Further information on the valuation methodology that we used is provided in Note 14 “Financial Instruments carried at Fair Value”.

As part of the ongoing procedures to confirm that the inclusion of positions in the trading book continues to be in line with the above referenced internal policy guidance, the Finance functions for our trading businesses carry out a global review of the classification of positions on a quarterly basis. The results of the review are documented and presented to the Trading Book Review Committee with representatives from Finance and Legal.

Re-allocations of positions between the trading book and the banking book may only be carried out in line with the internal policy guidance. They must be documented and are subject to approval by the central function in Finance described above.

Balance Sheet and Trading Book Assets and Liabilities

The tables below present trading or banking book splits for assets and liabilities of our balance sheet from a regulatory point of view.

Regulatory Trading Book Assets and Liabilities as part of the Balance Sheet

 

Dec 31, 2014

Dec 31, 2013

in € m.

Balance Sheet

Trading Book

Banking Book1

Balance Sheet

Trading Book

Banking Book1

1

Includes exposure in relation to non regulatory consolidated entities.

2

Includes as of December 31, 2014 and as of December 31, 2013 only securities purchased under resale agreements.

3

The regulatory banking book primarily includes debt securities as part of our liquidity portfolio as well as traded loans which do not fulfill the criteria for being allocated to the regulatory trading book.

4

Regulatory trading book positions mainly include brokerage receivables and derivatives qualifying for hedge accounting.

Assets

 

 

 

 

 

 

Cash and due from banks

20,055

198

19,857

17,155

91

17,063

Interest earning deposits with banks

63,518

1,202

62,316

77,984

4,391

73,593

Central banks funds sold and securities purchased under resale agreements2

17,796

3,888

13,908

27,363

5,784

21,578

Securities borrowed

25,834

25,730

103

20,870

20,712

157

Financial assets at fair value through profit or loss

942,924

891,945

50,979

899,257

843,374

55,883

Trading Assets3

195,681

176,591

19,090

210,070

187,939

22,131

Positive market values from derivative financial instruments

629,958

625,595

4,363

504,590

499,279

5,311

Financial assets designated at fair value through profit or loss

117,285

89,759

27,527

184,597

156,155

28,441

Financial assets available for sale

64,297

110

64,187

48,326

600

47,725

Equity method investments

4,143

3

4,140

3,581

8

3,573

Loans

405,612

10,593

395,019

376,582

1,617

374,964

Property and equipment

2,909

0

2,909

4,420

0

4,420

Goodwill and other intangible assets

14,951

0

14,951

13,932

0

13,932

Other assets4

137,980

34,516

103,464

112,539

34,995

77,545

Assets for current tax

1,819

0

1,819

2,322

0

2,322

Deferred tax assets

6,865

0

6,865

7,071

0

7,071

Total Assets

1,708,703

968,185

740,519

1,611,400

911,574

699,826

 

Dec 31, 2014

Dec 31, 2013

in € m.

Balance Sheet

Trading Book

Banking Book

Balance Sheet

Trading Book

Banking Book

Financial liabilities at fair value through profit or loss

697,699

694,526

3,174

637,404

631,182

6,222

Trading liabilities

41,843

41,602

241

55,804

55,604

200

Negative market values from derivative financial instruments

610,202

607,376

2,826

483,428

478,005

5,423

Financial liabilities designated at fair value through profit or loss

37,131

37,024

107

90,104

89,505

599

Investment contract liabilities

8,523

8,523

0

8,067

8,067

0

Remaining Liabilities

937,782

62,328

875,454

919,030

65,733

853,298

Total Liabilities

1,635,481

756,854

878,628

1,556,434

696,914

859,520

The vast majority of our trading book assets on our balance sheet are financial assets at fair value through profit or loss. The total increase in balance sheet assets of € 97 billion compared to year-end 2013 is mainly driven by an increase in positive market values from derivative financial instruments as already discussed in other sections of this report. Another driver is the increase in trading book loans of € 9 billion. This increase is driven by collateral restructuring related to ETF business within CB&S.

Within liabilities the vast majority of our trading book is comprised of financial liabilities at fair value through profit or loss. The total increase in balance sheet liabilities of € 79 billion compared to year-end 2013 is mainly driven by an increase in negative market values from derivative financial instruments as already discussed in other sections of this report.

For an additional breakdown of our net interest income and net gains or losses on our trading book assets and liabilities please see Note 5 “Net Interest Income and Net Gains (Losses) on Financial Assets/Liabilities at Fair Value through Profit or Loss”.