Intraday liquidity meaning

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Liquidity risk is the risk arising from our potential inability to meet all payment obligations when they come due or only being able to meet these obligations intraday liquidity meaning excessive costs. The framework considers relevant and significant drivers of liquidity risk, whether on-balance sheet or off-balance sheet.

Liquidity Risk Management Framework. At least annually the Management Board reviews and approves intraday liquidity meaning limits which are applied to the Group to measure and control liquidity risk as well as our long-term funding and issuance plan. Treasury manages liquidity and funding, in accordance with the Management Board-approved risk appetite across a range of relevant metrics, and implements a number of tools to monitor these and ensure compliance.

Dedicated business targets are allocated to ensure the Group operates within its overall liquidity and funding appetite. The Management Board is informed of performance against the risk appetite metrics, via a weekly Liquidity Dashboard.

As part of the annual strategic planning process, we project intraday liquidity meaning development of the key liquidity and funding metrics based on the underlying business plans to ensure that the plan is in compliance with our risk appetite. Short-term Liquidity and Wholesale Funding. Deutsche Bank tracks all contractual cash flows from wholesale funding intraday liquidity meaning, on a daily basis, over a month horizon.

Our wholesale funding counterparties typically include corporates, banks and other financial institutions, governments and sovereigns. The wholesale funding limits are monitored daily, and apply to the total intraday liquidity meaning currency amount of all wholesale funding currently outstanding, both secured and unsecured with specific tenor limits covering the first 8 weeks. Our Liquidity Reserves are the primary mitigant against potential stress in short-term wholesale funding markets.

Stress Testing and Scenario Analysis. It complements the intraday operational liquidity management process and the long-term liquidity strategy, represented by the Funding Matrix. Our global liquidity stress testing process is managed by Treasury in accordance with the Management Board approved risk appetite.

Treasury is responsible for the design of the overall methodology, including the definition of the stress scenarios, the choice of liquidity risk drivers and the determination of appropriate assumptions parameters to translate input data into model results.

Liquidity Risk Management is responsible for the independent validation of intraday liquidity meaning risk models. We use stress testing and scenario analysis to evaluate the impact of sudden and severe stress events intraday liquidity meaning our liquidity position. The scenarios we apply are based on historic events, such as the financial markets crisis. A global market crisis, for example, is covered by a specific stress scenario systemic market risk that models the potential consequences observed during the financial crisis of Additionally, we have introduced regional market stress scenarios.

Under each of the scenarios we assume a high degree of maturing loans to non-wholesale customers is rolled-over, to support our business franchise. Wholesale funding, from the most risk sensitive counterparties including banks and money-market mutual funds is assumed to roll-off at intraday liquidity meaning maturity or even be bought back, in the acute phase of the stress. In addition, we include the potential funding requirements from contingent liquidity risks which might arise, including credit facilities, increased collateral requirements under derivative agreements, and outflows from deposits with a contractual rating linked trigger.

We then model the actions we would take to counterbalance the outflows incurred. Countermeasures include utilizing the Liquidity Reserve and generating liquidity from unencumbered, marketable assets. Stress testing is conducted at a global level and for defined individual legal entities.

We review our stress-testing intraday liquidity meaning on a regular basis and have made further enhancements to the methodology and severity of certain parameters through the course of On a daily basis, we run the liquidity stress test over an eight-week horizon, which we consider the most critical time span in a liquidity crisis, and apply the relevant stress assumptions to risk drivers from on-balance sheet and off-balance sheet products.

Beyond the eight week time horizon, we analyze the impact of a more prolonged stress period, extending to twelve months. This stress testing analysis is performed on a daily basis. In the second half ofthe Bank experienced deposit outflows as a result of negative market perceptions concerning Deutsche Bank in the context of civil claims then being negotiated with the U. This website uses cookies in order to improve user experience.

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