Liquidity Risk

Composition of our external funding sources in euro billion and as a percentage of our total external funding sources

in € bn.
(unless stated otherwise)

Jun 30, 2014

Dec 31, 2013

1

Other Customers 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 € 558 billion (€ 524 billion), netting effect for margin & prime brokerage cash balances (shown on a net basis) € 56 billion (€ 50 billion), and other non-funding liabilities € 52 billion (€ 55 billion) for June 30, 2014, and December 31, 2013, respectively.

Capital Markets and Equity

202

20 %

185

19 %

Retail

278

28 %

282

29 %

Transaction Banking

183

18 %

178

18 %

Other Customers1

80

8 %

97

10 %

Unsecured Wholesale

78

8 %

73

7 %

Secured Funding and Shorts

156

16 %

150

15 %

Financing Vehicles2

22

2 %

19

2 %

Total external funding

1,000

100 %

984

100 %

The increase of capital markets and equity by € 17 billion during the first six months of 2014 reflects increased funding activities and the capital increase completed in June 2014. The higher amount of € 5 billion in transaction banking, of € 6 billion in secured funding and shorts and of € 4 billion in unsecured wholesale funding reflected increasing business activity in comparison to low year-end levels. The € 17 billion reduction in other customers was largely driven by a lower amount of net cash margin received and a reduction in liabilities relating to customer investments in exchange traded funds.

Our initial funding plan of € 20 billion for the full year was achieved in May 2014. The funding plan was increased to € 30-35 billion to fund additional business growth after our capital increase and to take advantage of good market conditions. During the first half of 2014, we raised € 24.8 billion at an average spread of 47 bps (Additional Tier 1 instruments are excluded from the spread calculation) over the relevant floating index (e.g. Libor), with an average tenor of 4.9 years. The most significant transaction over this period was Deutsche Bank’s inaugural € 3.5 billion Additional Tier 1 triple-tranche benchmark issue, split into a € 1.75 billion perpetual non-call 8 year tranche with a coupon of 6 %, a U.S.$ 1.25 billion perpetual non-call 6 year tranche with a coupon of 6.25 % and a GBP 0.65 billion perpetual non-call 12 year tranche with a coupon of 7.125 %. For the remainder of the year we intend to source the rest of our requirements through a variety of channels, including issuances targeted at retail investors, private placements with institutional investors and further public benchmark issuances.

Regular stress test analyses aim to 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 we hold liquidity reserves which comprise available cash and cash equivalents, highly liquid securities (includes government, government guaranteed and agency securities) as well as other unencumbered central bank eligible assets. The volume of the liquidity reserves is a function of the expected stress result, both at an aggregate level as well as at an individual currency level. To the extent we receive incremental short-term wholesale liabilities which attract a high stress roll-off, we largely keep the proceeds of such liabilities in cash or highly liquid securities as a stress mitigant. As such, the total volume of liquidity reserves will fluctuate according to the level of short-term wholesale liabilities held, although this has no material impact on our overall liquidity position under stress. Liquidity reserves include only assets that are freely transferable within the group, or can be applied against local entity stress outflows. These reserves are held across major currencies and key locations in which the bank is active. The vast majority of our liquidity reserves are centrally held at our parent level or at our foreign branches. Size and composition are subject to regular senior management review. The haircuts applied reflect our assumption of the actual liquidity value that could be obtained, primarily through secured funding, and take into account the experience observed in secured funding markets at times of stress.

Composition of our liquidity reserves by parent company (including branches) and subsidiaries

 

Jun 30, 2014

Dec 31, 2013

in € bn.

Carrying Value

Liquidity Value

Carrying Value

Liquidity Value

Available cash and cash equivalents (held primarily at central banks)

89

89

78

77

Parent (incl. foreign branches)

78

78

68

67

Subsidiaries

11

11

10

10

Highly liquid securities (includes government, government guaranteed and agency securities)

91

85

95

89

Parent (incl. foreign branches)

68

65

71

67

Subsidiaries

23

20

24

22

Other unencumbered central bank eligible securities

19

13

23

17

Parent (incl. foreign branches)

14

10

17

13

Subsidiaries

4

3

6

4

Total liquidity reserves

199

187

196

183

Parent (incl. foreign branches)

161

154

156

147

Subsidiaries

38

34

41

36

Our liquidity reserves increased by € 3 billion or 2 % during the first six months of 2014 in comparison to year-end 2013.