Alternative A (Alt-A)
Used as a term to categorize U.S. mortgages representing loans with a higher expectation of risk than prime but still lower than subprime. In order to determine Alt-A industry standards including FICO scores and loan-to-value ratios are applied.
Alternative assets/investments
Direct investments in private equity, venture capital, mezzanine capital, real estate capital investments and investments in leveraged buy-out funds, venture capital funds and hedge funds.
American Depositary Receipts (ADRs)
Negotiable certificates issued by U.S. banks and representing non-American equities deposited with them. ADRs simplify, reduce the cost of and accelerate trading in the American securities markets.
Asset-backed securities (ABS)
Particular type of securitized payment receivables in the form of tradable securities. These securities are created by the repackaging of certain financial assets securitization.
Asset Finance & Leasing
Center of competence for offering structured and innovative asset financing solutions for durable and high value assets.
An entity in which the Group has significant influence, but not a controlling interest, over the operating and financial management policy decisions of the entity. The entity is neither a subsidiary nor a joint venture.
Auction Rate Securities
Debt instrument with a long-term nominal maturity (usually 20 to 30 years) with a variable interest rate. The interest rate is regularly reset through an auction.
Average active equity
We calculate active equity to make it easier to compare us to our competitors and refer to active equity in several ratios. However, active equity in not a measure provided for in International Financing Reporting Standards and you should not compare our ratios based on average active equity to other companies’ ratios without considering the differences in the calculation. The items for which we adjust the average shareholders’ equity are average unrealized net gains on assets available for sale, average fair value adjustments on cash flow hedges (both components net of applicable taxes), as well as average dividends, for which a proposal is accrued on a quarterly basis and for which payments occur once a year following the approval by the Annual General Meeting.
In the context of variable compensation: compensation components granted on a deferred basis.
A procedure used to verify the predictive power of the value-at-risk calculations involving the comparison of hypothetical daily profits and losses under the buy- and-hold assumption with the estimates from the value-at-risk model.
Basel 2
Recommendations for international capital adequacy standards adopted by the Basel Committee on Banking Supervision, widely referred to as Basel 2 capital framework, which aligns capital requirements more closely with the underlying risks.
Basel 2.5
Proposals of the Basel Committee on Banking Supervision originally dated July 2009 for the reform of the Basel framework in the wake of the financial crisis. The minimum capital requirements mainly comprise the introduction of new measures for market risk as well as governance, risk management and compensation standards and disclosure requirements and focusing on securitizations. On the level of the European Union, Basel 2.5 has been implemented in the Capital Requirements Directives (CRDs) 2 and 3.
Basel 3
Revision of the international capital adequacy standards adopted by the Basel Committee on Banking Supervision, which was endorsed by the G-20 summit in November 2010. The aim of the revision is to strengthen global capital and liquidity rules, promoting a more resilient banking sector. During a transition period until 2019 the revised standards will not only increase the minimum capital requirements for banks but also introduce an additional capital conservation buffer as well as a bank-specific countercyclical capital buffer. Basel 3 will also introduce an internationally harmonized liquidity framework for the first time with strict short and long-term ratios. The new rules will be adopted into German law by means of the German Solvency Regulation.
Bank for International Settlements domiciled in Basel.
Book Value per Basic Share Outstanding
Book value per basic share outstanding is defined as shareholders’ equity divided by the number of basic shares outstanding (both at period end).
Brokers accept orders to buy and sell securities from banks and private investors and execute them on behalf of the customer. For this activity, the broker usually receives a commission.
Business Combination
A transaction in which an acquirer obtains control of a business. This includes the acquisition of stocks of a company or its net assets, and may also involve the expansion of an existing equity interest (step acquisitions). Often present in a business combination is the recognition of goodwill.
Business Risk
Risk that arises from potential changes in general business conditions, such as market environment, client behavior and technological progress, which can affect the Group’s earnings if the Group is unable to adjust quickly to them.
Purchase (in full or in part) of a company or specific corporate activities.
Carbon Performance Leadership Index (CPLI)
Companies in the Carbon Disclosure Project’s Carbon Performance Leadership Index (CPLI) demonstrate a clear commitment to managing their greenhouse gas emissions and taking action on climate change. Organizations that work to reduce their emissions and integrate climate change issues into their business strategies have the potential to generate cost savings, opportunities for revenue and, ultimately, a more resilient future.
Cash Management
Refers to the management of liquid assets in dollars, euro and other currencies for companies and financial institutions to optimize financial transactions.
The process of transmitting, reconciling and, in some cases, confirming payment orders.
Collateralized Debt Obligations (CDOs)
Asset-backed securities based on a portfolio of assets that can include bonds, loans or derivatives.
Commercial Mortgage-backed Securities (CMBS)
Mortgage-backed securities (MBS), which are backed by commercial mortgage loans.
Compensation Ratio
Compensation and benefits as a percentage of total net revenues, which is defined as net interest income before provision for credit losses plus noninterest income.
Entirety of measures adopted to ensure that relevant laws, rules and internal regulations are adhered to and to prevent legal or regulatory sanctions as well as financial or reputational damage.
Comprehensive risk measure
Measure of potential losses within the correlation trading portfolio that will not be exceeded with a probability of 99.9 % during a one-year portfolio holding period. It may be used subject to supervisory approval.
Confidence Level
In the framework of value-at-risk and economic capital the level of probability that the actual loss will not exceed the potential loss estimated by the value-at-risk or economic capital number.
Core Tier 1 capital
Defined as Tier 1 capital without hybrid capital instruments. Consists of share capital and reserves, adjusted by regulatory items.
Corporate finance
General term for capital market-related, innovative financing services to satisfy special consulting requirements in business with corporate customers.
Corporate trust
Those services that banks provide in which the bank acts as an independent third party to monitor the issuance of securities to investors. In these transactions, the bank is often appointed as trustee, registrar (maintaining a record of owners of securities) or paying agent (making payments of interest and principal on securities issued by the client). Corporate trust services can also come in the form of agency appointments where one or more clients want the bank to hold cash or securities as an independent party – for example, in escrow agreements.
Reciprocal relationship between at least two variables (e.g. assets). It can be positive, in which case the variables move in the same direction, or negative when they move in opposite directions. However, correlation says nothing about causality (i.e. cause/effect). Correlation is an important tool used in asset allocation to diversify and/or hedge risks.
Correlation Trading Portfolio
Comprises securitizations, nth-to-default credit derivatives and corresponding hedges that fulfill strict eligibility criteria regarding the securitized portfolio and liquidity in the trading book. It may be exempt from the application of the market risk standardized approach. Capital requirements are instead based on the comprehensive risk measure.
Cost/income ratio
A ratio expressing a company’s cost effectiveness which sets operating expenses in relation to operating income.
Country Risk
The risk that the Group may suffer a loss, in any given country, due to deterioration in economic conditions, political and social unrest, nationalization and expropriation of assets, government repudiation of external indebtedness, exchange controls and currency depreciation or devaluation.
Credit Default Swap
A credit derivative which hedges credit risks related to loans, bonds or other borrower related securities. The secured party usually makes a periodic payment of a fixed coupon over a specified term and only receives a compensation at the occurence of a credit event, as defined on the date of the agreement, e.g. default of repayment due to insolvency of the creditor.
Credit Derivatives
Financial instruments which transfer credit risk connected with loans, bonds or other risk-weighted assets or market risk positions to parties providing protection. This does not alter or reestablish the underlying credit relationship of the original risk-takers (parties selling the credit risks).
Credit Risk
Risk that customers may not be able to meet their contractual payment obligations. Credit risk includes default risk, country risk and settlement risk.
Credit Spread
Yield spread for debt securities. The credit spead compensates the investor for the credit risk related to the investment in relation to the yield on a credit risk-free benchmark security. The lower the rating of the debt issuing company, the higher is the credit spread.
Credit trading
Trading in loan or credit-related products.
Custody and administration of securities as well as additional securities services.
Debt products
Tradable instruments representing a liability or claim with respect to assets of one or more private or public sector entities. The phrase also denotes a broader range of instruments including foreign exchange and commodity contracts.
Dow Jones Sustainability Indexes are an index family tracking the member companies’ ecological and social achievements. Deutsche Bank has been listed in the DJSI World and the DJSI STOXX ever since they were first launched.
Deferred Taxes
Deferred tax assets and liabilities are recognized for future tax consequences attributable to temporary differences between the financial statement carrying amounts of existing assets and liabilities and their respective tax bases, unused tax losses and unused tax credits.
Products whose value derives largely from the price, price fluctuations and price expectations of an underlying instrument (e.g. share, bond, foreign exchange or index). Derivatives include swaps, options and futures.
Earnings per share
Key figure determined according to International Financing Reporting Standards and expressing a company’s net income attributable to its shareholders in relation to the average number of common shares outstanding. Apart from basic earnings per share, diluted earnings per share must also be reported if the assumed conversion and exercise of outstanding share options, unvested deferred share awards and convertible debt and certain forward contracts could increase the number of shares.
Economic Capital
A figure which states with a high degree of certainty the amount of equity capital the Group needs at any given time to absorb unexpected losses arising from current exposures.
Abbreviation for the economic zone that comprises Europe, Middle East and Africa.
Emerging Markets
Countries and their financial markets with fast growing economies that are on the verge of becoming developed countries.
Environmental, Social and Governance (ESG)
This term is used to express whether and how environmental and social aspects as well as corporate governance standards are considered when taking decisions.
Equity capital markets (ECM)
Primarily, activities connected with a company’s IPO or the placement of new shares. It also covers the privatization of state-owned companies.
Equity Method
Valuation method for investments in companies over which significant influence can be exercised. The pro-rata share of the company’s net income (loss) increases (decreases) the carrying value of the investment affecting net income. Distributions decrease the carrying value of the investment without affecting net income.
Euro commercial paper program
Instrument allowing the flexible issuance of unsecured, short-term debt by an issuer. A program may comprise several bond issues over a period of time.
Event Risk Scenarios
Scenarios representing important events, e.g. large movements in interest or exchange rates.
Expected Loss
Measurement of loss that can be expected within a one-year period from credit risk and operational risk based on historical loss experience.
The amount which the bank may lose in case of losses incurred due to risks taken, e.g. in case of a borrower’s or counterparty’s default.
Exposure at Default (EAD)
The expected amount of the credit exposure to a counterparty at the time of a default.
Fair value
Amount at which assets or liabilities would be exchanged between knowledgeable, willing and independent counterparties. Fair value is often identical to market price.
Family office
Financial services that are designed for families with very large and complex portfolios of assets and that protect customers’ interests on the basis of absolute independence through optimal management and comprehensive coordination of individual wealth components.
Financial supply chain management
Optimization of financial payments along the supply chain.
FICO Scores
FICO is an acronym for the Fair Isaac Corporation, the creators of the FICO score. Using mathematical models, the FICO score takes into account various factors in each of these five areas to determine credit risk: Payment history, current level of indebtedness, types of credit used, length of credit history, and new credit. A FICO score will range between 300 and 850. In general, a FICO score above 650 indicates that the individual has a very good credit history. For scores below 620 it will often be more difficult to obtain financing at a favorable rate.
Forward contracts standardized with respect to quantity, quality and delivery date, in which an instrument traded on the money, capital, precious metal or foreign exchange markets is to be delivered or taken receipt of at an agreed price at a certain future time. Cash settlement is often stipulated for such contracts (e.g. futures based on equity indices) to meet the obligation (instead of delivery or receipt of securities).
German Solvency Regulation
German regulation governing the capital adequacy of institutions, groups of institutions and financial holding groups which adopted the revised capital framework of the Basel Committee from 2004 with further amendments in 2009, widely referred to as Basel 2.5, into German law.
An asset representing the future economic benefits from assets acquired in a business combination that are not individually identifiable. Goodwill is recognized as the positive excess amount between the fair values of the consideration transferred by the acquirer and the identifiable assets and liabilities of the acquired business.
Group Reputational Risk Committee (GRRC)
The GRRC is a permanent subcommittee of the Risk Executive Committee and is chaired by a member of the Management Board. The GRRC performs the Group-wide oversight and coordination of the Reputational Risk Management program on behalf of the Management Board. Further, the GRRC ensures the approval of the regional and divisional reputational risk escalation structures, a review and final determinations on all reputational risk issues and guidance on Group-wide reputational risk topics.
Hedge Accounting
Financial reporting of agreements in a hedging relationship which is subject to certain conditions. The relationship between the agreements is based on opposite terms which cause financial risks that can be compensated in whole or part due to the terms of these agreements. One agreement is usually referred to as underlying transaction – i.e. the contract that causes the risk – the other is referred to as hedging contract, which mitigates the risk.
Hedge fund
A fund whose investors are generally institutions and wealthy individuals. Hedge funds can employ strategies which mutual funds are not permitted to use. Examples include short selling, leveraging and derivatives. Hedge fund returns are often uncorrelated with traditional investment returns.
High Yield Debt
Fixed income securities where the issuer has a low credit rating. They offer a higher return than investment-grade securities but also entail greater risks.
Hybrid capital instruments
Characterized by profit-related interest payments. Under banking supervisory regulations they are part of Tier 1 capital, if interest payments are not accumulated in case of losses (noncumulative trustpreferred securities) and if the instruments do not have a stated maturity date or if they are not redeemable at the option of the holder. Otherwise they are included in Tier 2 capital (for example cumulative trust preferred securities).
ICAAP (Internal Capital Adequacy Assessment Process) requires banks to identify and assess risks, maintain sufficient capital to face these risks and apply appropriate risk-management techniques to ensure capital adequacy on an ongoing basis, i.e internal capital supply to exceed internal capital demand. Internal capital adequacy is defined under a “gone concern” approach.
IFRS (International Financial Reporting Standards)/previously IAS (International Accounting Standards)
Financial reporting rules of the International Accounting Standards Board to ensure globally transparent and comparable accounting and disclosure. Their main objective is to present information that is useful in making economic decisions, especially for investors.
Incremental Risk Charge
Measure of potential losses due to migration and default risk that are not fully reflected in value-at-risk and will not be exceeded with a probability of 99.9 % assuming a 1-year risk horizon. The incremental risk charge was introduced on 31 December 2011 and applies to non-securitization position subject to specific interest rate risk in the trading book.
Investment banking
Generic term for capital market-oriented business. This primarily includes the issuing and trading of securities and their derivatives, interest and currency management, corporate finance, M&A advisory, structured finance and private equity.
Investor relations
Investor relations describes the systematic and continuous two-way communication between companies and both current and potential providers of capital. Information is supplied on major corporate events, financial results, business strategy and the capital market’s expectations of management. One objective of investor relations activities is to ensure that a company’s equity is appropriately valued by the market.
An IPO is the first offer and sale of a corporation’s shares to investors on a public stock exchange.
Joint Venture
A jointly controlled entity exists when the Group has a contractual arrangement with one or more parties to undertake activities through entities which are subject to joint control.
Leverage Ratio
The ratio of total assets to equity.
Leveraged buy-out
Debt-financed purchase of all or parts of a company or specific activities of a company. Interest and principal payments are financed from the acquired company’s future revenues.
Leveraged debt capital markets
Business activities with clients whose balance sheets have a high percentage of debt vs. equity funding.
Leveraged Financing
Financing of an investment which typically includes a very high amount of external debt (leverage) in the purchase price financing.
Liability Driven Investment (LDI)
A risk management philosophy taking into account the characteristics of the liabilities. The LDI approach is used, in particular, for defined benefit pension schemes and analyses the risk factors driving the development liabilities. An LDI strategy aims to align assets and liabilities by defining relative risk budgets (i.e. maximum drawdown of the funding ratio (assets divided by liabilities)).
Liquidity Risk
The risk arising from the Group’s potential inability to meet all payment obligations when they come due or only being able to meet these obligations at excessive costs.
Loan-to-value (LTV) Ratios
Ratio of amount of loan to value of property.
Loss Given Default (LGD)
The likely loss intensity in case of a counterparty default. Its estimation represents, expressed as a percentage, the part of the exposure that cannot be recovered in a default event and therefore captures the severity of a loss.
Market Risk
The risk that arises from the uncertainty concerning changes in market prices and rates (including interest rates, equity prices, foreign exchange rates and commodity prices), the correlations among them and their levels of volatility.
Market Risk Standardized Approach
Applies to nth-to-default credit derivatives and securitizations in the trading book. The only exemption applies to the correlation trading portfolio, for which an internal model, the comprehensive risk measure, may be used subject to supervisory approval.
Mark-to-market Valuation
Valuation at current market prices. Applies, for instance, to trading activities.
Flexible, mixed form of financing comprising equity and debt capital. Here: long-term subordinated financing instrument used to finance growth while at the same time strengthening the borrower’s economic equity capital base.
Microfinance fund
Social investment fund that channels capital to microfinance institutions in the developing world, which in turn supply financial services to underserved communities, typically through microloans and savings facilities for low-income individuals running small business ventures.
Monoline Insurers
Insurers, which provide credit insurance to debt issuers and other market participants.
Monte Carlo Simulation
Monte Carlo methods are used to value and analyze (complex) instruments, portfolios and investments by simulating the various sources of uncertainty affecting their value, and then determining their average value over the range of resultant outcomes.
Mortgage-backed Securities (MBS)
Asset-backed securities, which are backed by mortgage loans. Subcategories are residential mortgage-backed securities (RMBS) and commercial mortgage-backed securities (CMBS).
Negative Goodwill
Recognized in a business combination as a credit to the income statement for the excess of the acquirer’s interest in the net fair value of the acquiree’s identifiable assets and liabilities over the consideration transferred for the acquired interest.
Netting Agreements
Bilateral agreements between the Group and its counterparties with regard to the included transactions which ensure that, if solvency or bankruptcy proceedings are initiated, only a single net amount is owed by one party to the other from the netting of all claims and liabilities.
Non-compensation Ratio
Non-compensation noninterest expenses, which are defined as total noninterest expenses less compensation and benefits, as a percentage of total net revenues, which is defined as net interest income before provision for credit losses plus noninterest income.
Noncontrolling Interest
Represents the equity in a subsidiary not attributable, directly or indirectly, to a parent.
Nth-to-default credit derivatives
Financial derivatives whose payoffs are linked to the number (N) of defaults in a pool of securities or reference entities. Once the specified number of defaults is reached, the contract terminates and potential claims under the contract are settled.
Operational Risk
Potential for incurring losses in relation to employees, contractual specifications and documentation, technology, infrastructure failure and disasters, external influences and customer relationships. This definition includes legal and regulatory risk, but excludes business and reputational risk.
Right to purchase (call option) or sell (put option) a specific asset (e.g. security or foreign exchange) from or to a counterparty (option seller) at a predetermined price on or before a specific future date.
OTC Derivatives
Nonstandardized financial instruments (derivatives) not traded on a stock exchange, but directly between market participants (over-the-counter).
Part or all of one or all categories of assets (e.g. securities, loans, equity investments or real estate). Portfolios are formed primarily to diversify risk.
Portfolio management
Management and administration of a portfolio of securities for a client. This can involve the continous review of the portfolio and, if agreed with the client, purchases and sales.
Pre-tax return on average active equity
Income before income tax expense attributable to Deutsche Bank shareholders (annualized), which is defined as income before income taxes less noncontrolling interests, as a percentage of average active equity.
Used as a term to categorize U.S. mortgages representing high quality loans.
Prime services/brokerage
Suite of products, mainly for hedge funds, including clearing and settlement, custody, reporting and financing of positions for institutional investors.
Private Banking
Business with investment-oriented and high-net-worth clients.
Private equity
Equity investment in non-listed companies. Examples are venture capital and buy-out funds.
Probability of Default (PD)
The likelihood or probability of default (PD) of a counterparty is assessed over the next twelve months time horizon and expressed as a percentage. The Group does not rate through the cycle. PD is the primary measure of creditworthiness of a counterparty. The numerical probabilities of default are mapped into a 26-grade rating scale that is similar to rating scales widely used by international rating agencies.
Projected Unit Credit Method
The actuarial method, prescribed by IAS 19, used to determine the actuarial present value of an entity’s defined benefit obligations and the related service cost. This method takes into account benefits accrued for employee service up to the reporting date and allows for expected rates of salary and pension increases.
Quantitative investments
Portfolios of equities, bonds as well as hedge funds. Portfolios are managed in a systematic and regulated framework applying fundamental investment principles. The choice of investment is determined by the processing of large data volumes while applying quantitative methods and techniques.
External: standardized evaluation of issuers’credit standing and debt instruments, carried out by specialized agencies.
Internal: detailed risk assessment of every exposure associated with an obligor.
Recoverable Amount
The recoverable amount of an asset or a cash-generating unit is the higher of its fair value less costs to sell and its value in use.
Registered shares
Shares registered in a person’s name. As required under stock company law, that person is registered in the share register with certain personal information and the number of shares owned. Only the persons entered in the share register are deemed to be shareholders of the company and are entitled, for instance, to exercise rights at the General Meeting.
Regulatory Capital
Capital for banks recognized for regulatory purposes according to the Basel Capital Adequacy Accord of 2004 with further amendments in 2009. Capital according to Basel 2.5 consists of:
– Tier 1 capital: primarily share capital, reserves and certain trust preferred securities,
– Tier 2 capital: primarily participatory capital, cumulative preference shares, long-term subordinated debt and unrealized gains on listed securities,
– Tier 3 capital: mainly short-term subordinated debt and excess Tier 2 capital.
Tier 2 capital, is limited to 100 % of Tier 1 capital, and the amount of long-term subordinated debt that can be recognized as Tier 2 capital is limited to 50 % of Tier 1 capital.
Regulatory Capital Ratio
Key figure for banks expressed as a percentage ratio of regulatory capital to the overall regulatory risk position, comprised of credit, market and operational risks according to Basel 2.5. The minimum capital ratio to be complied with is 8 %.
Regulatory Trading Book and Banking Book
The regulatory trading book is defined in Section 1a of the German Banking Act. It consists of financial instruments and commodities held with trading intent or held for the purpose of hedging the market risk of other trading book positions; repurchase transactions, lending transactions and similar transactions which relate to trading book positions; name-to-follow transactions; and receivables directly related to trading book positions. Financial instruments and commodities assigned to the trading book must be tradable or able to be hedged. The regulatory banking book comprises all positions that are not assigned to the trading book.
Repo (repurchase agreement)
An agreement to repurchase securities sold (genuine repurchase agreement where the asset remains the seller’s property). From the buyer’s viewpoint, the transaction is a reverse repo.
Reputational Risk
Risk that publicity concerning a transaction, counterparty or business practice involving a client will negatively impact the public’s trust in the Group.
Residential Mortgage-backed Securities (RMBS)
Mortgage-backed securities (MBS), which are backed by residential mortgage loans.
Return on Average Total Shareholders’ Equity (RoE)
In general: ratio showing the income situation of a company, setting profit (net income) in relation to capital employed. Here: net income as a percentage of average capital employed over the year.
Risk-weighted assets (RWA)
Positions that carry credit, market and/or operational risk, weighted according to regulatory requirements. RWAs are regulatory capital requirements multiplied by 12.5, or in other words, capital requirements equal 8 % of RWAs.
RWA equivalent
Defined as total risk-weighted assets (RWA) plus a theoretical amount for specific allocated core Tier 1 capital deduction items if these were converted into RWAs. RWAs are calculated in accordance with the currently valid European CRD (Basel 2.5) and German legislation (German solvency Regulation). We also perform additional RWA equivalent calculations under proforma Basel 3 rules.
Sale and lease back
Transaction in which one party sells assets such as real estate to another party and at the same time enters into an agreement to lease the assets for a pre-determined period of time.
Sarbanes-Oxley Act (SOX)
U.S. capital market law passed in 2002 to strengthen corporate governance and restore investor confidence in response to major corporate and accounting scandals. Legislation established standards ranging from additional corporate board responsibilities to criminal penalties for all companies that have listed their shares on a U.S. stock exchange.
Creation of tradable securities (like shares or bonds) often from loan claims or cash flow claims from various kinds of financing through the issuance of securities, such as bonds or commerical paper.
Segment Information
Disclosure of a company’s assets, income and other information, broken down by activity (division) and geographical area (region).
Shareholder value
Management concept that focuses strategic and operational decision-making on the steady growth of a company’s value. The guiding principle is that only returns above the cost of capital add value for shareholders.
Sovereign Credit Risk Exposure
Credit risk towards sovereigns and sub-sovereigns. Includes sovereign, regional (incl. federal states, autonomic regions, etc.) and local governments, as well as certain bodies owned by central, regional or local governments.
In a step-acquisition, an acquirer obtains control of an acquiree in which it held an equity interest immediately before the acquisition date (also known as business combination achieved in stages). In these transactions, the acquirer remeasures its previously held equity interest at fair value and recognizes the resulting gain or loss, if any, in the income statement.
Stressed Value-at-Risk
Measure of potential losses due to market risk under stressed market conditions that will not be exceeded with a probability of 99 % within a portfolio holding period of 10 days. Stressed value-at-risk must be calculated by banks using internal models for the determination of market risk and is effective since 31 December 2011. The measure is calculated using the value-at-risk model. In contrast to value-at-risk that uses model parameters based on current market conditions, stressed value-at-risk uses parameters that reflect a continuous one-year stress period relating to significant losses for the bank.
Used as a term to categorize U.S. mortgages representing loans with a higher expectation of risk. In order to determine subprime industry standards including FICO scores and loan-to-value ratios are applied.
The Group’s subsidiaries are those entities which it controls.
Denotes the interplay of economy, ecology and social responsibility with the objective of sustainably advancing the basis for human life while preparing it for the future.
In general: exchange of one payment flow for another. Interest rate swap: exchange of interest payment flows in the same currency with different terms and conditions (e.g. fixed or floating). Currency swap: exchange of interest payment flows and principal amounts in different currencies.
Target Definitions
The target definition that relates to earnings excludes certain significant gains (such as gains from the sale of industrial holdings, businesses or premises) and certain significant charges (such as charges from restructuring, impairments of intangible assets or litigation) if they are not indicative of the future performance of Deutsche Bank core businesses.
Tier 1 capital, Tier 2 capital, Tier 3 capital
Parts of regulatory capital.
Trust Preferred Securities
Hybrid capital instruments characterized by profit-related interest payments. Under banking supervisory regulations they are part of Tier 1 capital if interest payments are not accumulated in case of losses (non-cumulative trust preferred securities) and if the instruments do not have a stated maturity date or if they are not redeemable at the option of the holder. Otherwise they are included in Tier 2 capital (for example cumulative trust preferred securities).
Trust & Securities Services
Broad range of administrative services for securities. They include, for example, securities custody, trust administration, issuing and paying agent services, depositary bank function for American Depositary Receipts (ADRs).
U.S. GAAP (United States Generally Accepted Accounting Principles)
U.S. accounting principles drawn up by the Financial Accounting Standards Board (FASB) and the American Institute of Certified Public Accountants (AICPA). In addition, the interpretations and explanations furnished by the Securities and Exchange Commission (SEC) are particularly relevant for companies listed on the stock exchange. As in the case of International Financing Reporting Standards, the main objective is to provide information useful for making decisions, especially for investors.
Value in Use
Value in use is the present value of the future cash flows expected to be derived from an asset or cash-generating unit.
For a given portfolio, the value-at-risk is an estimate of the potential future loss (in terms of market value) that, under normal market conditions, will not be exceeded in a defined period of time and with a defined confidence level.
Wrapped Bond
Term for debt security insured or guaranteed by a third party.
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