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)

Sep 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 € 629 billion (€ 524 billion), netting effect for margin & prime brokerage cash balances (shown on a net basis) € 68 billion (€ 50 billion), and other non-funding liabilities € 56 billion (€ 55 billion) for September 30, 2014, and December 31, 2013, respectively.

Capital Markets and Equity

210

22 %

185

19 %

Retail

292

31 %

282

29 %

Transaction Banking

191

20 %

178

18 %

Other Customers1

75

8 %

97

10 %

Unsecured Wholesale

64

7 %

73

7 %

Secured Funding and Shorts

109

11 %

150

15 %

Financing Vehicles2

15

2 %

19

2 %

Total external funding

957

100 %

984

100 %

The increase of capital markets and equity by € 25 billion during the first nine months of 2014 reflects increased funding activities and the capital increase completed in June 2014. The higher amount of € 13 billion in transaction banking reflected increasing business activity in comparison to low year-end levels. The € 41 billion reduction in secured funding and shorts was largely driven by the adoption of IAS 32 R in 2014, allowing the offsetting of financial assets and financial liabilities for bilateral reverse repos under certain conditions and reductions in secured funding of highly liquid inventory. Lower amount of net cash margin received has contributed to the reduction in other customers of € 22 billion.

During the first nine months of 2014, we raised € 36.2 billion and completed our total funding plan for 2014 of € 30-35 billion. The average spread during the first three quarters of the year was 47 bps over the relevant floating index, e.g. Libor (Additional Tier 1 instruments are excluded from the spread calculation), with an average tenor of 4.8 years. The most significant transaction during the third quarter was a € 1.75 billion fixed-rate unsecured benchmark with a tenor of 7 years. For the remainder of the year we continue to opportunistically source term funds through a variety of channels to fund 2015 requirements.

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

 

Sep 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)

81

81

78

77

Parent (incl. foreign branches)

70

70

68

67

Subsidiaries

11

11

10

10

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

96

88

95

89

Parent (incl. foreign branches)

75

70

71

67

Subsidiaries

21

18

24

22

Other unencumbered central bank eligible securities

11

7

23

17

Parent (incl. foreign branches)

9

6

17

13

Subsidiaries

1

1

6

4

Total liquidity reserves

188

176

196

183

Parent (incl. foreign branches)

154

146

156

147

Subsidiaries

33

30

41

36

Our liquidity reserves decreased by € 8 billion or 4 % during the first nine months of 2014 in comparison to year-end 2013.