SEC Form 20-F - Deutsche Bank Annual Report 2012

Deutsche Bank
Annual Report 2010 on Form 20-F
Item 11: Quantitative and Qualitative Disclosures about Credit, Market and Other Risk 183
Scenario
in € bn. Funding Gap 1
Gap Closure 2
Net Liquidity
Position
Systemic market risk 50 164 114
Emerging markets 14 169 155
Event shock 15 138 123
Operational risk (DB specific) 12 167 155
1 notch downgrade (DB specific) 33 169 136
Downgrade to A-2/P-2 (DB specific) 135 186 51
Combined 3 142 173 31
1 Funding gap caused by impaired rollover of liabilities and other projected outflows.
2 Based on liquidity generation through countermeasures.
3 Combined impact of systemic market risk and downgrade to A-2/P-2.
With the increasing importance of liquidity management in the financial industry, we maintain an active dialogue
with central banks, supervisors, rating agencies and market participants on liquidity risk-related topics. We
participate in a number of working groups regarding liquidity and support efforts to create industry-wide standards
to evaluate and manage liquidity risk at financial institutions. In addition to our internal liquidity management
systems, the liquidity exposure of German banks is regulated by the Banking Act and regulations issued by the
BaFin. For a further description of these regulations, see “Item 4: Information on the Company – Regulation
and Supervision – Regulation and Supervision in Germany – Liquidity Requirements.” We are in compliance
with all applicable liquidity regulations.
Liquidity Risk at Postbank
In general, Postbank’s Financial Markets division is responsible for the centralized operational management of
liquidity risk. BHW Bausparkasse AG, the foreign subsidiaries in New York and Luxembourg, and the London
branch manage their risks independently using uniform Postbank group-wide procedures and processes. In the
event of a liquidity shock, the Liquidity Crisis Committee has clear responsibility and authority over all Postbank
units responsible for portfolios as well as all portfolio units at the subsidiaries and foreign branches.
Postbank’s overarching risk strategy encompasses its strategy for management of liquidity risk. The goal of
liquidity management is to ensure that Postbank is solvent at all times – not only under normal conditions, but
also in stress situations. Due to its strategic focus as a retail bank, Postbank enjoys a strong financing base in
its customer business and is therefore relatively independent of the money and capital markets. To guard
against unexpected cash outflows, an extensive portfolio consisting of unencumbered ECB-eligible securities is
held that can be used to obtain liquidity rapidly. To ensure the additional diversification of its refinancing activities,
Postbank has a Pfandbrief license allowing it to issue public sector Pfandbriefe and mortgage Pfandbriefe.
At Postbank Market Risk Controlling assesses the liquidity status of the Postbank each business day on the
basis of funding matrices and cash flow forecasts, with operational management of risk being performed on the
basis of the liquidity status. Risk management is also based on a series of more far-reaching analyses of liquidity,
in addition to regular Postbank’s Group-wide liquidity and issue planning and also includes regular stress testing.
Based on the results of the stress tests, Postbank believes that its liquidity position remains solid. This is
due not least to the further increase in customer deposits and Postbank’s extensive portfolio of ECB-eligible
securities.