AmazonScience/document-haystack

1Cash and bank balances by rating of institution2in € m. 31 Dec 2023 31 Dec 20223S&P A1 842 3334S&P A2 390 1,5735Other 182 736Liquidity positions and concentration731 Dec 2023 31 Dec 20228Liquidity positions (in € m.) 3,570 3,5779Max concentration (%) – limit 35%  22%  23% 10The Group applied the IFRS 9 “Financial Instruments” requirement to recognize a loss 11allowance for ECL on financial assets that are measured at amortised cost and fair value 12through other comprehensive income as well as unfunded commitments. For details on the 13model please refer to note ‘02 – Significant Accounting Policies and Critical Accounting 14Estimates’.15The table below shows the maximum exposure to credit risk which is the carrying amount of 16financial assets described in the above paragraph and the respective ECL reflected in profit or 17loss statement or other comprehensive income. The calculation of ECL considers amongst 18others internal and external credit rating of the counterparts. No financial instruments were 19assigned to stage 3 as of 31 December 2023 respectively as of 31 December 2022.20Gross carrying value of financial assets subject to credit risk 2131 Dec 2023 31 Dec 202222in € m.23Carrying 24value gross ECL Stage 1 ECL Stage 225Carrying 26value gross ECL Stage 1 ECL Stage 227Cash and bank balances 1,414 0 0 1,979 0 028Loans 4 0 0 6  0 029Sub-sovereign bonds 82 0 0 80 0 030Other financial assets 759 0 0 823 0 031Contingent liabilities 106 0 0 111 0 032Total 2,365 0 0 2,999 0 033Market Risk 34For the Group, market risk exposure relates to financial assets held at fair value through profit 35or loss, financial liabilities held at fair value through profit or loss and other financial liabilities 36which are shown in the table above. In addition, market risk exposure relates to strategic 37investments that are mainly equity method investments and structural foreign exchange 38which are not part of financial instruments but considered for market risk. For equity method 39investments, please refer to note ‘11 – Equity Method Investments’. For structural foreign 40exchange resulting in Currency Translation Adjustments that is part of accumulated other 41comprehensive income, please refer to ‘Consolidated Changes in Equity’.42The Group’s market risk exposure is mainly driven by the capital at risk especially deployed by 43the Group into seed investments and co-investments, and where a financial claim against us 44is inherent in the product, such as Guaranteed Products. As introduced for this note, trading 45assets from consolidated funds and investment contract assets are largely offset by their 46respective liabilities. Therefore, only limited market risk remains.47Liquid seed capital – The liquid seed investments are exposed to the daily volatility of market 48prices. The risk is mitigated via typically short tenor and offsetting risk positions which are 49classified as derivatives. Therefore, a sensitivity analysis for this portfolio is not needed.50Co-Investments, strategic investments and illiquid seed investments – These investments 51are subject to the risk of a potential event on their fair value resulting in significant decrease 52and the need to partially impair or even fully write-off.53At 31 December 2023, the Group’s exposure to market risk in its co-investment portfolio was 54€ 453 million. Co-investments include primarily private real estate, infrastructure, private 55equity, and sustainable funds.56The following table is a summary of the effect that a hypothetical increase or decrease in 57market prices would have on the carrying value of such investments. Depending, for example, 58on the level of leverage of investments, the book value can be affected more or less strongly 59by market value changes.60         61To our 62Shareholders63Summarised 64Management Report65Consolidated 66Financial Statements Compensation Report Corporate Govern-67ance Statement68Supplementary 69Information DWS 2023 Annual Report70 71Notes to the Consolidated Balance Sheet7297 09 – Financial Instruments