Deutsche Bank

Annual Report 2017

Maturity Analysis of Assets and Financial Liabilities

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