at Deutsche Bank
1 Organizational set-up
2 Asset & liability management
3 Funding strategy
4 Summary
1 Organizational set-up
2 Asset & liability management
3 Funding strategy
4 Summary
Group Treasurer
Chris Whitman
Treasury
Functions Policy Regions
Committee
Management Board
Group Executive Committee
(includes Business Heads & Regions)
Divisional Committees
Corporate and Private Clients and Asset
Corporate Investments
Investment Bank Management
indicates Treasury & Capital Mgmt involvement and discussion/ decision on issues directly impacting the capital base
Liquidity Management
¾ Liquidity Risk Management to safeguard the ability of the bank
to meet all payment obligations when they come due
¾ Framework to identify, measure, monitor, and control liquidity
risk under normal market conditions and under stress
¾ Liquidity Toolbox, Transfer Pricing, Inter-
branch Funding & Country Risk Limitation Funding / Issuance Management
1 Organizational set-up
2 Asset & liability management
3 Funding strategy
4 Summary
Securitizations /
GM Global Credit Trading
Secondary market trading
Empirical stability of retail core deposits Determine “core balance“ and duration
serves as natural hedge for interest rate &
liquidity risk of retail loans balance
Business core volume
scenarios
Duration of deposit bucketing to reflect
volume
correlation of customer rates to market Stochastical
rates projections
t im e
moneymarket-rate
8%
of yield
rolling average (10y)
Revolving 4%
investment 2%
book
Cash outflows
8 Week Limit
Cumulative
cash flow
profile
500 Illustrative
Assets
450
400 Equity
350 Liabilities
300
Mismatch
250
200
150
100
50
0
1y 2y 3y 4y 5y 6y 7y 8y 9y 10y
Profile includes all assets and all liabilities with their contractual maturity
Assets and liabilities are included based on maturity modelling if a behavioural maturity better reflects
their effective liquidity
Equity is included as a permanently available source of liquidity
Residual exposure at short end is limited to our tolerance for liquidity risk
Investor Relations 12/07 · 11
Agenda
1 Organizational set-up
2 Asset & liability management
3 Funding strategy
4 Summary
Other(2) Secured
funding
Financial Other
assets liabilities(3)
Liquidity portfolio: 20
Retail Capital Fiduciary Small / Mid Other Non- Institutional CD-CP Central Bank
Deposits Markets Deposits Cap Bank Clearing Bank Deposits
Deposits Balances Deposits
The bank’s unsecured funding base is well diversified over a broad range of products and markets
Funding mix further strengthened by increase of stable deposit base and capital market issuances
while reducing reliance on short-term wholesale funding
Further significant growth in stable funding sources in 4Q2007
Spread management
Funding
requirements
JPY Other
4% 5%
CHF 3%
Capital
instruments Senior plain GBP 2%
vanilla 15%
CAD 1%
15% 5% 46%
49% EUR
46%
46%
39%
39%
36% 39%
USD
Senior
structured
* Includes all Debt evidenced by paper, with original maturity greater than 1 yr, as per 3Q2007
Investor Relations 12/07 · 17
Review of issuance plan 2007
Orig. funding plan largely completed by end-July Issuance activity year-to-date, in EUR bn
– ~ EUR 19bn based upon leading the cycle strategy Initial Plan 2007: 23.0
Treasury revised long-term funding plan in light of Actual: 42.8
this summer’s liquidity squeeze: By product:
– Diversify away from dislocated money markets Capital: 2.1
– Prepare for market headline risk
Plain Vanilla: 29.2
– Provide additional funding for business opportunities
Structured: 11.5
Raised EUR 24 bn mid-August to mid-October:
– Range of currencies and maturities (avg. 6 yrs) 0 5 10 15 20 25 30 35 40 45
(as of November 2007)
– Competing with banks-and-brokers for limited
Volatility in DB credit spreads in line with market
opportunities
100 Junior DB 5y CDS
– ‘Reopened’ numerous ‘closed’ markets
80
Significant issues Senior DB 5y CDS 74
60 55
– Debut issuance in fixed rate US mkt with 5 and 10 yrs Itraxx Senior Finan. 5y
54
– Largest EUR-denominated senior issuance by a 40
financial institution (EUR 3 bn 5yr issue) 20
– Largest AUD issue by DB to date 0
– Largest Samurai issuance by DB to date Apr May Jun Jul Aug Sep Oct Nov
2007 2007 2007 2007 2007 2007 2007 2007
– Continued issuance in niche ccy, eg. CHF, SEK, SGD (in bps)
Wachovia
JPM
BofA
Bear
HSBC
Deutsche
ML
Lehman
Citi
BNP
CS
UBS
RBS
GS
MS
Barclays
Deutsche Bank has performed well vs. peers
1 Organizational set-up
2 Asset & liability management
3 Funding strategy
4 Summary
Virtually all banking book rate risk transferred into trading books