entire - Deutsche Bank Annual Report 2012

Deutsche Bank 01 – Management Report 108
Financial Report 2010 Risk Report
The following chart shows the composition of our external funding sources (on a consolidated basis with the
contribution from Postbank separately identified) that contribute to the liquidity risk position as of December 31,
2010 and December 31, 2009, both in euro billion and as a percentage of our total external funding sources.
Composition of external funding sources
In € bn.
300
225
150
75
0
42
180
164
169
153
11
120
100
108
21% 21% 26% 20% 12% 13% 10% 15% 10% 7% 19% 21% 3% 3%
Capital Markets
and Equity
111
Retail Transaction
Banking
Funding Matrix
We map all funding-relevant assets and all liabilities into time buckets corresponding to their economic maturities
to compile a maturity profile (funding matrix). Given that trading assets are typically more liquid than their
contractual maturities suggest, we determine individual liquidity profiles reflecting their relative liquidity value.
We take assets and liabilities from the retail bank that show a behavior of being renewed or prolonged regardless
of capital market conditions (mortgage loans and retail deposits) and assign them to time buckets reflecting
the expected prolongation. Wholesale banking products are included with their contractual maturities.
The funding matrix identifies the excess or shortfall of assets over liabilities in each time bucket, facilitating
management of open liquidity exposures. The funding matrix analysis together with the strategic liquidity planning
process, which forecasts the funding supply and demand across business units, provides the key input parameter
for our annual capital market issuance plan. Upon approval by the Capital and Risk Committee and the Management
Board the capital market issuance plan establishes issuing targets for securities by tenor, volume and
instrument. As per the year-end 2010, we were long funded in each of the annual time buckets of the funding
matrix (2-10 years).
118
Other
Customers*
7
97
51
Discretionary
Wholesale
6
196
165
Secured Funding
and Shorts
29
26
Financing
Vehicles**
December 31, 2010: Deutsche Bank € 897 billion, Postbank € 178 billion: total €1,075 billion
December 31, 2009: total € 777 billion
* Other includes fiduciary, self-funding structures (e.g. X-markets), margin / Prime Brokerage cash balances (shown on a net basis).
** Includes ABCP-Conduits.
Note: Reconciliation to total balance sheet: Derivatives & settlement balances EUR 706 billion (EUR 620 billion), add-back for netting effect for
Margin & Prime Brokerage cash balances (shown on a net basis) EUR 61 billion (EUR 51 billion), other non-funding liabilities EUR 63 billion (EUR 53 billion)
for December 31, 2010 and December 31, 2009 respectively; figures may not add up due to rounding.