Company: ADZCF
Filing Date: 2025-03-13
Form Type: 20-F
Source: 0001159508-25-000020
Chunk: 306

Company: DEUTSCHE BANK AKTIENGESELLSCHAFT
Filing Date: 2025-03-13
Form: 20-F
Chunk 306
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 assist in liquidity steering. Key differences between the internal liquidity stress test (sNLP) and the LCR include the risk appetite time horizon (eight weeks versus 30 days, respectively), the classification and haircut differences between debt securities within the sNLP and the LCR High-Quality Liquid Assets, outflow rates for various categories of funding, as well as inflow assumption for various assets (for example, loan repayments). The Group’s internal liquidity stress test also includes outflows related to intraday liquidity assumptions, which are not explicitly reflected in the LCR. Net Stable Funding Ratio The Net Stable Funding Ratio is a regulatory and risk appetite metric for assessing the Bank’s structural funding profile. The NSFR is intended to reduce medium to long-term funding risks by requiring banks to maintain a stable funding profile in relation to their on- and off-balance sheet activities. The ratio is defined as the amount of Available Stable Funding (the portion of capital and liabilities expected to be a stable and/or consistent source of funding), relative to the amount of Required Stable Funding for different types of on-balance sheet assets (with Required Stable Funding levels, a function of the liquidity characteristics of various assets held). Based on the risk appetite, a NSFR limit has been set for the Group as well as for all Key Liquidity Entities and Liquidity Relevant Entities subject to a respective regulatory requirement to ensure ongoing compliance.

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| Deutsche Bank      |
| Annual Report 2024 |

Liquidity stress testing and scenario analysis Global internal liquidity stress testing and scenario analysis is used for measuring liquidity risk and evaluating the Group’s short-term liquidity position within the liquidity framework. This complements the daily operational cash management process. The long-term liquidity strategy based on contractual and behavioural modelled cash flow information is represented by a long-term metric known as the Funding Matrix (refer to Funding risk management and funding diversification section below for additional information). The global liquidity stress testing process is managed by Treasury towards a respective risk appetite. Treasury is responsible for the design of the overall methodology, the choice of liquidity risk drivers and the determination of appropriate assumptions (parameters) to translate input data into stress testing output. Liquidity Risk Management is responsible for the definition of the stress scenarios. Laid out by the Model Risk Management Policy and Procedure, Liquidity Risk Management and Model Risk Management perform the independent validation of liquidity risk models. Finance teams -Liquidity & Treasury Reporting & Analysis and Global Reporting, are responsible for implementing these methodologies and performing the stress test calculation in conjunction with Treasury,