Offsetting Financial Assets and Financial Liabilities

 (unaudited)

The Group is eligible to present certain financial assets and financial liabilities on a net basis on the balance sheet pursuant to criteria described in Note 1 “Significant Accounting Policies and Critical Accounting Estimates: Offsetting Financial Instruments” of the Group’s Financial Report 2013.

The following tables provide information on the impact of offsetting on the consolidated balance sheet, as well as the financial impact of netting for instruments subject to an enforceable master netting arrangement or similar agreement as well as available cash and financial instrument collateral.

Assets per Sep 30, 2014

 

Sep 30, 2014

 

 

 

 

Amounts not set off on the balance sheet

 

in € m.

Gross amounts of financial assets

Gross amounts set off on the balance sheet

Net amounts of financial assets presented on the balance sheet

Impact of Master Netting Agreements

Cash collateral

Financial instrument collateral1

Net amount

1

Excludes real estate and other non-financial instrument collateral.

Central bank funds sold and securities purchased under resale agreements (enforceable)

25,318

(2,750)

22,568

0

0

(22,347)

221

Central bank funds sold and securities purchased under resale agreements (non-enforceable)

3,342

0

3,342

0

0

(3,342)

0

Securities borrowed (enforceable)

13,338

0

13,338

0

0

(12,688)

649

Securities borrowed (non-enforceable)

14,754

0

14,754

0

0

(13,701)

1,053

Financial assets at fair value through profit or loss

 

 

 

 

 

 

 

Trading assets

196,933

(573)

196,360

0

(13)

(655)

195,692

Positive market values from derivative financial instruments (enforceable)

732,327

(199,662)

532,665

(461,891)

(48,094)

(10,957)

11,723

Positive market values from derivative financial instruments (non-enforceable)

23,102

0

23,102

0

0

0

23,102

Financial assets designated at fair value through profit or loss (enforceable)

141,101

(59,033)

82,067

(7,491)

(1,892)

(58,508)

14,176

Financial assets designated at fair value through profit or loss (non-enforceable)

60,846

0

60,846

0

0

(10,436)

50,410

Total financial assets at fair value through profit or loss

1,154,308

(259,268)

895,041

(469,382)

(49,999)

(80,557)

295,103

Loans

395,950

(108)

395,842

0

(14,886)

(45,940)

335,016

Other assets

201,854

(26,841)

175,013

(60,794)

(64)

(13)

114,142

Thereof: Positive market values from derivatives qualifying for hedge accounting (enforceable)

10,508

(6,550)

3,958

(3,461)

0

0

497

Remaining assets not subject to netting

189,291

0

189,291

0

(1,027)

(550)

187,714

Total assets

1,998,156

(288,967)

1,709,189

(530,176)

(65,977)

(179,139)

933,897

Liabilities per Sep 30, 2014

 

Sep 30, 2014

 

 

 

 

Amounts not set off on the balance sheet

 

in € m.

Gross amounts of financial liabilities

Gross amounts set off on the balance sheet

Net amounts of financial liabilities presented on the balance sheet

Impact of Master Netting Agreements

Cash collateral

Financial instrument collateral

Net amount

Deposit

543,195

(42)

543,153

0

0

0

543,153

Central bank funds purchased and securities sold under repurchase agreements (enforceable)

10,728

(3,027)

7,701

0

0

(6,591)

1,110

Central bank funds purchased and securities sold under repurchase agreements (non-enforceable)

2,223

0

2,223

0

0

(2,223)

0

Securities loaned (enforceable)

2,226

0

2,226

0

0

(2,202)

24

Securities loaned (non-enforceable)

458

0

458

0

0

(406)

53

Financial liabilities at fair value through profit or loss

 

 

 

 

 

 

 

Trading liabilities

49,334

(1,232)

48,102

0

0

0

48,102

Negative market values from derivative financial instruments (enforceable)

715,625

(199,939)

515,686

(461,836)

(49,145)

(4,705)

0

Negative market values from derivative financial instruments (non-enforceable)

23,776

0

23,776

0

0

0

23,776

Financial liabilities designated at fair value through profit or loss (enforceable)

104,486

(57,704)

46,782

(7,491)

0

(24,165)

15,126

Financial liabilities designated at fair value through profit or loss (non-enforceable)

20,538

0

20,538

0

0

(20,538)

0

Total financial liabilities at fair value through profit or loss

913,758

(258,875)

654,883

(469,326)

(49,145)

(49,408)

87,004

Other liabilities

238,924

(27,023)

211,901

(55,125)

0

0

156,776

Thereof: Negative market values from derivatives qualifying for hedge accounting (enforceable)

10,066

(6,550)

3,516

(3,516)

0

0

0

Remaining liabilities not subject to netting

216,537

0

216,537

0

0

0

216,537

Total liabilities

1,928,050

(288,967)

1,639,083

(524,452)

(49,145)

(60,829)

1,004,656

Assets per Sep 30, 2013

 

Dec 31, 2013

 

 

 

 

Amounts not set off on the balance sheet

 

in € m.

Gross amounts of financial assets

Gross amounts set off on the balance sheet

Net amounts of financial assets presented on the balance sheet

Impact of Master Netting Agreements

Cash collateral

Financial instrument collateral1

Net amount

1

Excludes real estate and other non-financial instrument collateral. Amounts have been adjusted accordingly.

Central bank funds sold and securities purchased under resale agreements (enforceable)

26,675

(2,390)

24,285

0

0

(24,271)

15

Central bank funds sold and securities purchased under resale agreements (non-enforceable)

3,077

0

3,077

0

0

(830)

2,248

Securities borrowed (enforceable)

11,438

0

11,438

0

0

(11,051)

386

Securities borrowed (non-enforceable)

9,432

0

9,432

0

0

(9,004)

428

Financial assets at fair value through profit or loss

 

 

 

 

 

 

 

Trading assets

211,260

(1,190)

210,070

0

(311)

(2,881)

206,878

Positive market values from derivative financial instruments (enforceable)

738,425

(270,584)

467,841

(406,616)

(47,470)

(10,297)

3,458

Positive market values from derivative financial instruments (non-enforceable)

36,749

0

36,749

0

0

0

36,749

Financial assets designated at fair value through profit or loss (enforceable)

133,122

(19,575)

113,547

(17,121)

0

(84,266)

12,160

Financial assets designated at fair value through profit or loss (non-enforceable)

71,050

0

71,050

0

0

(50,263)

20,787

Total financial assets at fair value through profit or loss

1,190,605

(291,348)

899,257

(423,737)

(47,781)

(147,706)

280,032

Loans

376,638

(56)

376,582

0

(11,042)

(46,899)

318,640

Other assets

128,724

(16,185)

112,539

(43,574)

(278)

(385)

68,302

Thereof: Positive market values from derivatives qualifying for hedge accounting (enforceable)

9,375

(5,412)

3,963

(3,518)

0

0

445

Remaining assets not subject to netting

174,790

0

174,790

0

0

(755)

174,035

Total assets

1,921,380

(309,979)

1,611,400

(467,311)

(59,102)

(240,901)

844,087

Liabilities per Sep 30, 2013

 

Dec 31, 2013

 

 

 

 

Amounts not set off on the balance sheet

 

in € m.

Gross amounts of financial liabilities

Gross amounts set off on the balance sheet

Net amounts of financial liabilities presented on the balance sheet

Impact of Master Netting Agreements

Cash collateral

Financial instrument collateral

Net amount

Deposit

527,750

0

527,750

0

0

0

527,750

Central bank funds purchased and securities sold under repurchase agreements (enforceable)

7,098

(2,390)

4,708

0

0

(4,675)

33

Central bank funds purchased and securities sold under repurchase agreements (non-enforceable)

8,673

0

8,673

0

0

(7,080)

1,594

Securities loaned (enforceable)

2,304

0

2,304

0

0

(2,112)

192

Securities loaned (non-enforceable)

0

0

0

0

0

0

0

Financial liabilities at fair value through profit or loss

 

 

 

 

 

 

 

Trading liabilities

57,702

(1,898)

55,804

0

0

0

55,804

Negative market values from derivative financial instruments (enforceable)

721,233

(268,819)

452,414

(411,547)

(40,055)

(812)

0

Negative market values from derivative financial instruments (non-enforceable)

31,015

0

31,015

0

0

(7,639)

23,376

Financial liabilities designated at fair value through profit or loss (enforceable)

88,021

(18,262)

69,759

(17,121)

(588)

(49,055)

2,995

Financial liabilities designated at fair value through profit or loss (non-enforceable)

28,413

0

28,413

0

0

(3,890)

24,523

Total financial liabilities at fair value through profit or loss

926,384

(288,980)

637,404

(428,668)

(40,644)

(61,395)

106,698

Other liabilities

182,204

(18,610)

163,595

(46,058)

0

0

117,537

Thereof: Negative market values from derivatives qualifying for hedge accounting (enforceable)

6,028

(5,412)

616

(616)

0

0

0

Remaining liabilities not subject to netting

212,000

0

212,000

0

0

0

212,000

Total liabilities

1,866,414

(309,979)

1,556,434

(474,725)

(40,644)

(75,262)

965,803

The column “Gross amounts set off on the balance sheet” discloses the amounts offset in accordance with all the criteria described in Note 1 “Significant Accounting Policies and Critical Accounting Estimates: Offsetting Financial Instruments” of the Group’s Financial Report 2013.

The column “Impact of Master Netting Agreements” discloses the amounts that are subject to master netting agreements but were not offset because they did not meet the net settlement/simultaneous settlement criteria; or because the rights of off-setting are conditional upon the default of the counterparty only. The amounts presented for other assets and other liabilities include cash margin receivables and payables respectively.

The columns “Cash collateral” and “Financial instrument collateral” disclose the cash and financial instrument collateral amounts received or pledged in relation to the total amounts of assets and liabilities, including those that were not offset.

Non-enforceable master netting agreements refer to contracts executed in jurisdictions where the rights of set off may not be upheld under the local bankruptcy laws.

The cash collateral received against the positive market values of derivatives and the cash collateral pledged towards the negative mark-to-market values of derivatives are booked within the “Other liabilities” and “Other assets” balances respectively.

The Cash and Financial instrument collateral amounts disclosed reflect their fair values. The rights of set off relating to the cash and financial instrument collateral are conditional upon the default of the counterparty.