Deutsche Bank

Annual Report 2017

Asset Encumbrance

This section refers to asset encumbrance in the group of institutions consolidated for banking regulatory purposes pursuant to the German Banking Act. Thereunder not included are insurance companies or companies outside the finance sector. Assets pledged by our insurance subsidiaries are included in Note 22 “Assets Pledged and Received as Collateral” of the consolidated financial statements, and restricted assets held to satisfy obligations to insurance companies’ policy holders are included within Note 40 “Information on Subsidiaries” of the consolidated financial statements.

Encumbered assets primarily comprise those on- and off-balance sheet assets that are pledged as collateral against secured funding, collateral swaps, and other collateralized obligations. Additionally, in line with the EBA technical standards on regulatory asset encumbrance reporting, we consider as encumbered assets placed with settlement systems, including default funds and initial margins, as well as other assets pledged which cannot be freely withdrawn such as mandatory minimum reserves at central banks. We also include derivative margin receivable assets as encumbered under these EBA guidelines.

Readily available assets are those on- and off-balance sheet assets that are not otherwise encumbered, and which are in freely transferrable form. Unencumbered financial assets at fair value, other than securities borrowed or purchased under resale agreements and positive market value from derivatives, and available for sale investments are all assumed to be readily available.

The readily available value represents the current balance sheet carrying value rather than any form of stressed liquidity value (see the “Liquidity Reserves” for an analysis of unencumbered liquid assets available under a liquidity stress scenario). Other unencumbered on- and off-balance sheet assets are those assets that have not been pledged as collateral against secured funding or other collateralized obligations, or are otherwise not considered to be ready available. Included in this category are securities borrowed or purchased under resale agreements and positive market value from derivatives. Similarly, for loans and other advances to customers, these would only be viewed as readily available to the extent they are already in a pre-packaged transferrable format, and have not already been used to generate funding. This represents the most conservative view given that an element of such loans currently shown in Other assets could be packaged into a format that would be suitable for use to generate funding.

Encumbered and unencumbered assets

 

Dec 31, 2017

 

Carrying value

 

 

 

Unencumbered assets

in € bn.
(unless stated otherwise)

Assets

Encumbered assets

Readily available

Other

1

Securities borrowed and securities purchased under resale agreements are all shown as other unencumbered. The use of the underlying collateral is separately captured in the off-balance sheet table below.

2

Excludes Debt securities and Equity instruments (separately disclosed above).

Debt securities

148

65

84

0

Equity instruments

86

63

23

0

Other assets:

 

 

 

 

Cash and due from banks & Interest earning deposits with Banks

234

11

223

0

Securities borrowed or purchased under resale agreements1

27

0

0

27

Financial assets at fair value through profit and loss2

 

 

 

 

Trading assets

11

0

11

0

Positive market value from derivative financial instruments

363

0

0

363

Securities borrowed or purchased under resale agreements1

78

0

0

78

Other financial assets at fair value through profit or loss

5

0

5

0

Financial assets available for sale2

3

0

3

0

Loans

417

70

15

332

Other assets

108

42

0

66

Total

1,480

251

363

866

 

Dec 31, 2017

 

Fair value of collateral received

 

 

 

Unencumbered assets

in € bn.
(unless stated otherwise)

Assets

Encumbered assets

Readily available

Other

Collateral received:

365

307

58

0

Debt securities

228

189

39

0

Equity instruments

137

118

18

0

Other collateral received

0

0

0

0

 

Dec 31, 20163

 

Carrying value

 

 

 

Unencumbered assets

in € bn.
(unless stated otherwise)

Assets

Encumbered assets

Readily available

Other

1

Securities borrowed and securities purchased under resale agreements are all shown as other unencumbered. The use of the underlying collateral is separately captured in the off-balance sheet table below.

2

Excludes Debt securities and Equity instruments (separately disclosed above).

3

Prior period results have been restated due to a refined approach to determine assets pledged.

Debt securities

151

77

74

0

Equity instruments

75

54

21

0

Other assets:

 

 

 

 

Cash and due from banks & Interest earning deposits with Banks

191

12

179

0

Securities borrowed or purchased under resale agreements1

36

0

0

36

Financial assets at fair value through profit and loss2

 

 

 

 

Trading assets

14

0

14

0

Positive market value from derivative financial instruments

488

0

0

488

Securities borrowed or purchased under resale agreements1

69

0

0

69

Other financial assets at fair value through profit or loss

7

0

7

0

Financial assets available for sale2

3

0

3

0

Loans

419

72

17

329

Other assets

139

55

0

84

Total

1,591

270

315

1,005

 

Dec 31, 20161

 

Fair value of collateral received

 

 

 

Unencumbered assets

in € bn.
(unless stated otherwise)

Assets

Encumbered assets

Readily available

Other

1

Prior period results have been restated due to a refined approach to determine collateral received and collateral re-pledged.

Collateral received:

322

260

62

0

Debt securities

218

168

50

0

Equity instruments

104

92

12

0

Other collateral received

0

0

0

0

The above tables set out a breakdown of on- and off-balance sheet items, broken down between encumbered, readily available and other. Any securities borrowed or purchased under resale agreements are shown based on the fair value of collateral received.

The above tables of encumbered assets include assets that are not encumbered at an individual entity level, but which may be subject to restrictions in terms of their transferability within the group. Such restrictions may be due to local connected lending requirements or similar regulatory restrictions. In this situation it is not feasible to identify individual balance sheet items that cannot be transferred.