Treasury manages the maturity analysis of assets and liabilities. Modeling of assets and liabilities is necessary in cases where the contractual maturity does not adequately reflect the liquidity risk position. The most significant example in this context would be immediately repayable deposits from retail and transaction banking customers which have consistently displayed high stability throughout even the most severe financial crises.
The modeling profiles are part of the overall liquidity risk management framework (see section “Liquidity Stress Testing and Scenario Analysis” for short-term liquidity positions ≤ 1 year and section “Structural Funding” for long-term liquidity positions > 1 year) which is defined and approved by the Management Board.
The following tables present a maturity analysis of our total assets based on carrying value and upon earliest legally exercisable maturity as of December 31, 2017 and 2016, respectively.
Analysis of the earliest contractual maturity of assets |
||||||||||
|
Dec 31, 2017 |
|||||||||
in € m. |
On demand (incl. Overnight and one day notice) |
Up to one month |
Over 1 month to no more than 3 months |
Over 3 months but no more than 6 months |
Over 6 months but no more than 9 months |
Over 9 months but no more than 1 year |
Over 1 year but no more than 2 years |
Over 2 years but no more than 5 years |
Over 5 years |
Total |
Cash and central bank balances |
222,082 |
1,173 |
106 |
94 |
29 |
2,053 |
118 |
0 |
0 |
225,655 |
Interbank balances (w/o central banks) |
4,737 |
2,613 |
305 |
215 |
116 |
696 |
122 |
0 |
463 |
9,265 |
Central bank funds sold |
0 |
0 |
0 |
0 |
0 |
0 |
0 |
0 |
0 |
0 |
Securities purchased under resale agreements |
29 |
4,625 |
1,220 |
1,277 |
1,448 |
617 |
561 |
89 |
105 |
9,971 |
With banks |
21 |
3,758 |
585 |
735 |
1,400 |
443 |
468 |
0 |
0 |
7,409 |
With customers |
8 |
867 |
635 |
542 |
48 |
175 |
94 |
89 |
105 |
2,562 |
Securities borrowed |
15,786 |
553 |
49 |
0 |
323 |
0 |
22 |
0 |
0 |
16,732 |
With banks |
1,889 |
283 |
0 |
0 |
0 |
0 |
0 |
0 |
0 |
2,172 |
With customers |
13,896 |
270 |
49 |
0 |
323 |
0 |
22 |
0 |
0 |
14,560 |
Financial assets at fair value through profit or loss – trading |
565,632 |
40,074 |
14,269 |
1,914 |
731 |
455 |
1,805 |
3,047 |
9,043 |
636,970 |
Trading assets |
184,661 |
0 |
0 |
0 |
0 |
0 |
0 |
0 |
0 |
184,661 |
Fixed-income securities and loans |
98,140 |
0 |
0 |
0 |
0 |
0 |
0 |
0 |
0 |
98,140 |
Equities and other variable-income securities |
85,932 |
0 |
0 |
0 |
0 |
0 |
0 |
0 |
0 |
85,932 |
Other trading assets |
590 |
0 |
0 |
0 |
0 |
0 |
0 |
0 |
0 |
590 |
Positive market values from derivative financial instruments |
361,032 |
0 |
0 |
0 |
0 |
0 |
0 |
0 |
0 |
361,032 |
Financial assets designated at fair value through profit or loss |
19,938 |
40,074 |
14,269 |
1,914 |
731 |
455 |
1,805 |
3,047 |
9,043 |
91,276 |
Securities purchased under resale agreements |
5,364 |
36,195 |
12,160 |
1,115 |
662 |
125 |
1,066 |
903 |
253 |
57,843 |
Securities borrowed |
14,540 |
3,786 |
1,928 |
0 |
0 |
0 |
0 |
0 |
0 |
20,254 |
Fixed-income securities and loans |
34 |
93 |
182 |
799 |
68 |
17 |
720 |
2,144 |
8,216 |
12,273 |
Equities and other variable-income securities |
0 |
0 |
0 |
0 |
0 |
132 |
20 |
0 |
573 |
725 |
Other financial assets designated at fair value through profit or loss |
0 |
0 |
0 |
0 |
0 |
181 |
0 |
0 |
1 |
182 |
Positive market values from derivative financial instruments qualifying for hedge accounting |
0 |
40 |
191 |
26 |
139 |
9 |
119 |
1,029 |
1,601 |
3,153 |
Financial assets available for sale |
47 |
1,175 |
1,257 |
2,934 |
1,728 |
2,742 |
5,469 |
15,438 |
18,608 |
49,397 |
Fixed-income securities and loans |
24 |
969 |
1,253 |
2,934 |
1,728 |
2,021 |
5,404 |
15,418 |
18,016 |
47,766 |
Equities and other variable-income securities |
23 |
206 |
4 |
0 |
0 |
721 |
64 |
20 |
592 |
1,630 |
Loans |
17,334 |
27,284 |
27,229 |
17,442 |
9,273 |
14,628 |
27,053 |
62,232 |
199,225 |
401,699 |
To banks |
787 |
2,163 |
2,832 |
1,979 |
1,253 |
821 |
1,103 |
670 |
1,230 |
12,838 |
To customers |
16,546 |
25,121 |
24,397 |
15,463 |
8,021 |
13,807 |
25,950 |
61,562 |
197,995 |
388,862 |
Retail |
4,291 |
4,725 |
4,645 |
1,632 |
1,721 |
1,313 |
4,720 |
15,216 |
151,449 |
189,712 |
Corporates and other customers |
12,256 |
20,395 |
19,752 |
13,831 |
6,300 |
12,493 |
21,230 |
46,346 |
46,546 |
199,149 |
Securities held to maturity |
0 |
0 |
0 |
0 |
0 |
0 |
0 |
1,652 |
1,518 |
3,170 |
Other financial assets |
85,083 |
352 |
179 |
135 |
92 |
143 |
21 |
433 |
74 |
86,513 |
Total financial assets |
910,728 |
77,889 |
44,804 |
24,037 |
13,878 |
21,343 |
35,290 |
83,920 |
230,636 |
1,442,525 |
Other assets |
20,451 |
0 |
0 |
0 |
0 |
0 |
0 |
0 |
11,756 |
32,207 |
Total assets |
931,178 |
77,889 |
44,804 |
24,037 |
13,878 |
21,343 |
35,290 |
83,920 |
242,392 |
1,474,732 |
Analysis of the earliest contractual maturity of assets |
||||||||||
|
Dec 31, 2016 |
|||||||||
in € m. |
On demand (incl. Overnight and one day notice) |
Up to one month |
Over 1 month to no more than 3 months |
Over 3 months but no more than 6 months |
Over 6 months but no more than 9 months |
Over 9 months but no more than 1 year |
Over 1 year but no more than 2 years |
Over 2 years but no more than 5 years |
Over 5 years |
Total |
Cash and central bank balances |
177,648 |
539 |
131 |
121 |
334 |
2,591 |
0 |
0 |
0 |
181,364 |
Interbank balances (w/o central banks) |
5,841 |
3,578 |
596 |
83 |
65 |
834 |
115 |
26 |
469 |
11,606 |
Central bank funds sold |
0 |
0 |
0 |
0 |
0 |
0 |
0 |
0 |
0 |
0 |
Securities purchased under resale agreements |
631 |
4,204 |
5,852 |
3,170 |
1,368 |
532 |
449 |
15 |
67 |
16,287 |
With banks |
604 |
2,534 |
5,026 |
2,077 |
1,217 |
461 |
0 |
0 |
0 |
11,918 |
With customers |
27 |
1,670 |
826 |
1,093 |
152 |
71 |
449 |
15 |
67 |
4,370 |
Securities borrowed |
19,548 |
532 |
0 |
0 |
0 |
0 |
0 |
0 |
0 |
20,081 |
With banks |
2,459 |
52 |
0 |
0 |
0 |
0 |
0 |
0 |
0 |
2,511 |
With customers |
17,089 |
480 |
0 |
0 |
0 |
0 |
0 |
0 |
0 |
17,570 |
Financial assets at fair value through profit or loss – trading |
677,696 |
33,314 |
9,577 |
1,752 |
776 |
1,983 |
2,995 |
2,803 |
12,884 |
743,781 |
Trading assets |
171,044 |
0 |
0 |
0 |
0 |
0 |
0 |
0 |
0 |
171,044 |
Fixed-income securities and loans |
94,486 |
0 |
0 |
0 |
0 |
0 |
0 |
0 |
0 |
94,486 |
Equities and other variable-income securities |
75,633 |
0 |
0 |
0 |
0 |
0 |
0 |
0 |
0 |
75,633 |
Other trading assets |
924 |
0 |
0 |
0 |
0 |
0 |
0 |
0 |
0 |
924 |
Positive market values from derivative financial instruments |
485,150 |
0 |
0 |
0 |
0 |
0 |
0 |
0 |
0 |
485,150 |
Financial assets designated at fair value through profit or loss |
21,502 |
33,314 |
9,577 |
1,752 |
776 |
1,983 |
2,995 |
2,803 |
12,884 |
87,587 |
Securities purchased under resale agreements |
7,154 |
28,691 |
6,810 |
914 |
110 |
1,256 |
995 |
608 |
866 |
47,404 |
Securities borrowed |
14,227 |
4,561 |
2,348 |
0 |
0 |
0 |
0 |
0 |
0 |
21,136 |
Fixed-income securities and loans |
120 |
62 |
419 |
838 |
666 |
232 |
1,992 |
2,195 |
11,399 |
17,923 |
Equities and other variable-income securities |
0 |
0 |
0 |
0 |
0 |
146 |
0 |
0 |
590 |
736 |
Other financial assets designated at fair value through profit or loss |
1 |
0 |
0 |
0 |
0 |
350 |
7 |
0 |
29 |
387 |
Positive market values from derivative financial instruments qualifying for hedge accounting |
0 |
61 |
201 |
39 |
52 |
30 |
257 |
1,030 |
1,846 |
3,516 |
Financial assets available for sale |
471 |
1,154 |
2,344 |
1,031 |
1,915 |
2,298 |
9,210 |
18,778 |
19,028 |
56,228 |
Fixed-income securities and loans |
251 |
1,008 |
2,341 |
1,031 |
1,915 |
1,334 |
9,210 |
18,733 |
18,452 |
54,275 |
Equities and other variable-income securities |
219 |
146 |
3 |
0 |
0 |
964 |
0 |
45 |
575 |
1,953 |
Loans |
18,364 |
23,666 |
26,185 |
29,223 |
9,128 |
9,107 |
28,787 |
66,383 |
198,067 |
408,909 |
To banks |
937 |
1,978 |
3,043 |
2,425 |
650 |
641 |
1,529 |
1,298 |
775 |
13,276 |
To customers |
17,427 |
21,688 |
23,142 |
26,798 |
8,477 |
8,467 |
27,258 |
65,085 |
197,292 |
395,633 |
Retail |
6,446 |
3,872 |
5,436 |
2,397 |
1,630 |
2,055 |
5,634 |
17,450 |
157,616 |
202,536 |
Corporates and other customers |
10,980 |
17,816 |
17,706 |
24,401 |
6,847 |
6,412 |
21,624 |
47,635 |
39,676 |
193,097 |
Securities held to maturity |
0 |
0 |
0 |
0 |
0 |
0 |
0 |
1,515 |
1,691 |
3,206 |
Other financial assets |
104,400 |
475 |
1,052 |
221 |
240 |
135 |
58 |
671 |
2,878 |
110,131 |
Total financial assets |
1,004,599 |
67,523 |
45,937 |
35,640 |
13,878 |
17,510 |
41,870 |
91,221 |
236,931 |
1,555,109 |
Other assets |
23,492 |
0 |
0 |
0 |
0 |
0 |
0 |
0 |
11,944 |
35,437 |
Total assets |
1,028,091 |
67,523 |
45,937 |
35,640 |
13,878 |
17,510 |
41,870 |
91,221 |
248,875 |
1,590,546 |
The following tables present a maturity analysis of our total liabilities based on carrying value and upon earliest legally exercisable maturity as of December 31, 2017 and 2016, respectively.
Analysis of the earliest contractual maturity of liabilities |
||||||||||
|
Dec 31, 2017 |
|||||||||
in € m. |
On demand (incl. Overnight and one day notice) |
Up to one month |
Over 1 month to no more than 3 months |
Over 3 months but no more than 6 months |
Over 6 months but no more than 9 months |
Over 9 months but no more than 1 year |
Over 1 year but no more than 2 years |
Over 2 years but no more than 5 years |
Over 5 years |
Total |
Deposits |
359,619 |
34,022 |
111,695 |
23,800 |
12,196 |
9,416 |
9,133 |
9,175 |
11,757 |
580,812 |
Due to banks |
58,070 |
5,618 |
10,520 |
4,464 |
1,081 |
1,345 |
2,744 |
5,277 |
8,921 |
98,041 |
Due to customers |
301,549 |
28,404 |
101,174 |
19,336 |
11,115 |
8,071 |
6,389 |
3,898 |
2,836 |
482,771 |
Retail |
120,110 |
10,308 |
73,883 |
3,014 |
2,011 |
1,264 |
948 |
859 |
271 |
212,669 |
Corporates and other customers |
181,439 |
18,095 |
27,291 |
16,323 |
9,103 |
6,806 |
5,441 |
3,038 |
2,565 |
270,102 |
Trading liabilities |
414,189 |
0 |
0 |
0 |
0 |
0 |
0 |
0 |
0 |
414,189 |
Trading securities |
71,148 |
0 |
0 |
0 |
0 |
0 |
0 |
0 |
0 |
71,148 |
Other trading liabilities |
314 |
0 |
0 |
0 |
0 |
0 |
0 |
0 |
0 |
314 |
Negative market values from derivative financial instruments |
342,726 |
0 |
0 |
0 |
0 |
0 |
0 |
0 |
0 |
342,726 |
Financial liabilities designed at fair value through profit or loss (without loan commitments and financial guarantees) |
16,018 |
29,236 |
6,080 |
1,574 |
548 |
5,520 |
665 |
1,091 |
3,134 |
63,866 |
Securities sold under repurchase agreements |
14,722 |
28,857 |
4,167 |
1,089 |
5 |
4,897 |
62 |
24 |
18 |
53,840 |
Long-term debt |
256 |
33 |
582 |
323 |
345 |
427 |
603 |
889 |
2,980 |
6,439 |
Other financial liabilities designated at fair value through profit or loss |
1,040 |
346 |
1,332 |
161 |
199 |
196 |
1 |
178 |
136 |
3,587 |
Investment contract liabilities |
0 |
0 |
0 |
0 |
0 |
574 |
0 |
0 |
0 |
574 |
Negative market values from derivative financial instruments qualifying for hedge accounting |
0 |
11 |
58 |
230 |
65 |
41 |
423 |
249 |
218 |
1,294 |
Central bank funds purchased |
174 |
83 |
0 |
0 |
0 |
0 |
0 |
0 |
0 |
257 |
Securities sold under repurchase agreements |
14,143 |
353 |
1,497 |
409 |
94 |
837 |
476 |
16 |
23 |
17,849 |
Due to banks |
11,459 |
266 |
1,453 |
327 |
43 |
736 |
476 |
11 |
0 |
14,772 |
Due to customers |
2,684 |
87 |
44 |
82 |
52 |
102 |
0 |
5 |
23 |
3,077 |
Securities loaned |
6,684 |
3 |
1 |
0 |
0 |
0 |
0 |
0 |
1 |
6,688 |
Due to banks |
2,253 |
3 |
0 |
0 |
0 |
0 |
0 |
0 |
1 |
2,256 |
Due to customers |
4,432 |
0 |
1 |
0 |
0 |
0 |
0 |
0 |
0 |
4,433 |
Other short term borrowings |
11,831 |
848 |
1,542 |
1,227 |
738 |
2,226 |
0 |
0 |
0 |
18,411 |
Long-term debt |
0 |
886 |
5,029 |
16,419 |
9,931 |
14,137 |
21,218 |
49,923 |
42,172 |
159,715 |
Debt securities - senior |
0 |
626 |
4,266 |
3,481 |
5,873 |
3,334 |
19,392 |
45,546 |
26,978 |
109,496 |
Debt securities - subordinated |
0 |
0 |
189 |
267 |
67 |
11 |
48 |
1,096 |
5,554 |
7,232 |
Other long-term debt - senior |
0 |
210 |
529 |
12,496 |
3,886 |
10,722 |
1,685 |
3,230 |
9,362 |
42,120 |
Other long-term debt - subordinated |
0 |
50 |
45 |
176 |
105 |
70 |
93 |
50 |
278 |
868 |
Trust Preferred Securities |
0 |
0 |
1,644 |
2,723 |
274 |
183 |
666 |
0 |
0 |
5,491 |
Other financial liabilities |
112,960 |
1,254 |
2,228 |
180 |
197 |
177 |
204 |
163 |
4 |
117,367 |
Total financial liabilities |
935,618 |
66,696 |
129,775 |
46,562 |
24,044 |
33,110 |
32,785 |
60,616 |
57,308 |
1,386,513 |
Other liabilities |
20,112 |
0 |
0 |
0 |
0 |
0 |
0 |
0 |
0 |
20,112 |
Total equity |
0 |
0 |
0 |
0 |
0 |
0 |
0 |
0 |
68,099 |
68,099 |
Total liabilities and equity |
955,730 |
66,696 |
129,775 |
46,562 |
24,044 |
33,110 |
32,785 |
60,616 |
125,407 |
1,474,724 |
Off-balance sheet commitments given |
6,290 |
8,484 |
10,418 |
16,261 |
8,234 |
15,928 |
27,732 |
84,121 |
28,996 |
206,464 |
Banks |
238 |
406 |
1,398 |
1,591 |
557 |
733 |
952 |
346 |
216 |
6,437 |
Retail |
352 |
253 |
389 |
247 |
108 |
205 |
223 |
445 |
8,483 |
10,706 |
Corporates and other customers |
5,700 |
7,825 |
8,630 |
14,423 |
7,569 |
14,990 |
26,557 |
83,330 |
20,297 |
189,320 |
Analysis of the earliest contractual maturity of liabilities |
||||||||||
|
Dec 31, 2016 |
|||||||||
in € m. |
On demand (incl. Overnight and one day notice) |
Up to one month |
Over 1 month to no more than 3 months |
Over 3 months but no more than 6 months |
Over 6 months but no more than 9 months |
Over 9 months but no more than 1 year |
Over 1 year but no more than 2 years |
Over 2 years but no more than 5 years |
Over 5 years |
Total |
Deposits |
329,776 |
36,590 |
110,606 |
17,562 |
15,756 |
12,595 |
8,532 |
8,041 |
10,746 |
550,204 |
Due to banks |
64,438 |
9,602 |
13,129 |
2,279 |
6,175 |
4,220 |
1,885 |
5,372 |
8,993 |
116,094 |
Due to customers |
265,337 |
26,988 |
97,477 |
15,283 |
9,581 |
8,375 |
6,647 |
2,669 |
1,752 |
434,110 |
Retail |
109,943 |
10,761 |
75,517 |
3,191 |
1,744 |
902 |
785 |
911 |
279 |
204,033 |
Corporates and other customers |
155,395 |
16,227 |
21,960 |
12,093 |
7,837 |
7,472 |
5,862 |
1,758 |
1,473 |
230,077 |
Trading liabilities |
520,887 |
0 |
0 |
0 |
0 |
0 |
0 |
0 |
0 |
520,887 |
Trading securities |
56,592 |
0 |
0 |
0 |
0 |
0 |
0 |
0 |
0 |
56,592 |
Other trading liabilities |
437 |
0 |
0 |
0 |
0 |
0 |
0 |
0 |
0 |
437 |
Negative market values from derivative financial instruments |
463,858 |
0 |
0 |
0 |
0 |
0 |
0 |
0 |
0 |
463,858 |
Financial liabilities designed at fair value through profit or loss (without loan commitments and financial guarantees) |
1,992 |
38,633 |
8,123 |
2,212 |
744 |
3,745 |
1,031 |
1,004 |
2,969 |
60,452 |
Securities sold under repurchase agreements |
1,587 |
36,128 |
7,584 |
1,791 |
2 |
2,739 |
566 |
0 |
0 |
50,397 |
Long-term debt |
201 |
73 |
329 |
384 |
640 |
859 |
398 |
949 |
2,640 |
6,473 |
Other financial liabilities designated at fair value through profit or loss |
203 |
2,432 |
210 |
37 |
102 |
147 |
68 |
55 |
329 |
3,582 |
Investment contract liabilities |
0 |
0 |
0 |
0 |
0 |
592 |
0 |
0 |
0 |
592 |
Negative market values from derivative financial instruments qualifying for hedge accounting |
0 |
249 |
324 |
194 |
312 |
231 |
943 |
1,484 |
856 |
4,593 |
Central bank funds purchased |
353 |
0 |
0 |
0 |
0 |
0 |
0 |
0 |
0 |
353 |
Securities sold under repurchase agreements |
19,957 |
1,510 |
844 |
1,191 |
0 |
1,178 |
434 |
271 |
0 |
25,387 |
Due to banks |
14,934 |
1,510 |
844 |
1,191 |
0 |
1,178 |
292 |
271 |
0 |
20,222 |
Due to customers |
5,023 |
0 |
0 |
0 |
0 |
0 |
142 |
0 |
0 |
5,165 |
Securities loaned |
3,587 |
10 |
1 |
0 |
0 |
0 |
0 |
0 |
0 |
3,598 |
Due to banks |
1,488 |
4 |
0 |
0 |
0 |
0 |
0 |
0 |
0 |
1,492 |
Due to customers |
2,099 |
6 |
1 |
0 |
0 |
0 |
0 |
0 |
0 |
2,106 |
Other short term borrowings |
13,216 |
921 |
1,073 |
265 |
1,292 |
529 |
0 |
0 |
0 |
17,295 |
Long-term debt |
0 |
1,037 |
5,275 |
8,143 |
10,113 |
4,190 |
43,315 |
56,444 |
43,799 |
172,316 |
Debt securities - senior |
0 |
989 |
5,085 |
7,476 |
9,772 |
3,534 |
13,284 |
51,704 |
30,162 |
122,006 |
Debt securities - subordinated |
0 |
0 |
0 |
0 |
0 |
231 |
140 |
1,124 |
5,293 |
6,788 |
Other long-term debt - senior |
0 |
43 |
190 |
582 |
284 |
384 |
29,507 |
3,496 |
8,063 |
42,549 |
Other long-term debt - subordinated |
0 |
5 |
0 |
85 |
56 |
42 |
384 |
120 |
281 |
974 |
Trust Preferred Securities |
0 |
0 |
0 |
730 |
1,054 |
413 |
4,176 |
0 |
0 |
6,373 |
Other financial liabilities |
128,398 |
976 |
1,665 |
221 |
201 |
161 |
295 |
112 |
3,246 |
135,274 |
Total financial liabilities |
1,018,165 |
79,926 |
127,911 |
30,518 |
29,473 |
23,635 |
58,726 |
67,356 |
61,616 |
1,497,325 |
Other liabilities |
28,362 |
0 |
0 |
0 |
0 |
0 |
0 |
0 |
0 |
28,362 |
Total equity |
0 |
0 |
0 |
0 |
0 |
0 |
0 |
0 |
64,819 |
64,819 |
Total liabilities and equity |
1,046,527 |
79,926 |
127,911 |
30,518 |
29,473 |
23,635 |
58,726 |
67,356 |
126,435 |
1,590,506 |
Off-balance sheet commitments given |
6,061 |
9,569 |
8,896 |
13,765 |
8,708 |
14,794 |
30,609 |
98,024 |
27,978 |
218,404 |
Banks |
305 |
688 |
1,501 |
1,671 |
602 |
587 |
1,185 |
958 |
192 |
7,688 |
Retail |
253 |
124 |
95 |
226 |
283 |
387 |
757 |
538 |
8,875 |
11,540 |
Corporates and other customers |
5,503 |
8,757 |
7,300 |
11,868 |
7,823 |
13,820 |
28,667 |
96,528 |
18,911 |
199,176 |