Pro forma CRR/CRD 4 Solvency Measures

While our regulatory risk-weighted assets, capital and ratios thereof are set forth throughout this document under the Basel 2.5 rules, we also set forth in several places measures of our regulatory risk-weighted assets, capital and ratios thereof additionally calculated under a pro forma application of the CRR/CRD 4 rules. Our interpretation is formally incorporated in policies governed by the same structures and committees as the policies that we use to calculate risk-weighted assets and Common Equity Tier 1 capital under Basel 2.5 rules. Because the CRR/CRD 4 rules were not yet in force as of December 31, 2013, their measures for this reporting date are non-GAAP financial measures and unaudited. We believe that these pro forma CRR/CRD 4 calculations provide useful information to investors as they reflect our progress against future regulatory capital standards.

The “fully loaded” CRR/CRD 4 metrics, which we implemented on a pro forma basis, do not take into account the phase-in and phase-out of provisions (i.e. phase-out of instruments no longer qualifying under the new rules and phase-in of the new rules on regulatory adjustments) which are allowed to ease the transition for banks to the “fully loaded” capital rules. Common Equity Tier 1 capital before regulatory adjustments and total regulatory adjustments to Common Equity Tier 1 (CET 1) capital for December 31, 2012, are adjusted as the deconsolidation adjustment for retained earnings amounting to € 727 million was directly deducted from CET 1 capital before regulatory adjustments.

Overview of Regulatory Capital, RWA and Capital Ratios according to Basel 2.5

in € m.

Dec 31, 2013

Dec 31, 2012

1

Included € 20 million silent participation as of December 31, 2013 and December 31, 2012.

Common Equity Tier 1 capital before regulatory adjustments

53,558

52,702

Total regulatory adjustments to Common Equity Tier 1 (CET 1) capital

(15,024)

(14,746)

Common Equity Tier 1 (CET 1) capital

38,534

37,957

Additional Tier 1 (AT1) capital before regulatory adjustments

12,701

13,025

Total regulatory adjustments to Additional Tier 1 (AT1) capital

(519)

(499)

Additional Tier 1 (AT1) capital

12,182

12,526

Tier 1 capital (T1 = CET 1 + AT1)1

50,717

50,483

Tier 2 (T2) capital before regulatory adjustments

7,787

9,569

Total regulatory adjustments to Tier 2 (T2) capital

(3,040)

(3,037)

Tier 2 (T2) capital

4,747

6,532

Total regulatory capital (TC = T1 + T2)

55,464

57,015

Total risk-weighted assets

300,369

333,605

 

 

 

Capital ratios

 

 

Common Equity Tier 1 capital ratio (as a percentage of risk-weighted assets)

12.8

11.4

Tier 1 capital ratio (as a percentage of risk-weighted assets)

16.9

15.1

Total regulatory capital ratio (as a percentage of risk-weighted assets)

18.5

17.1

Overview of Regulatory Capital, RWA and Capital Ratios according to pro forma CRR/CRD 4 (unaudited)

in € m.

Dec 31, 2013

Common Equity Tier 1 capital before regulatory adjustments

53,846

Total regulatory adjustments to Common Equity Tier 1 (CET 1) capital

(19,850)

Common Equity Tier 1 (CET 1) capital

33,995

Additional Tier 1 (AT1) capital before regulatory adjustments

0

Total regulatory adjustments to Additional Tier 1 (AT1) capital

0

Additional Tier 1 (AT1) capital

0

Common Equity Tier 1 (CET 1) capital

33,995

Tier 2 (T2) capital before regulatory adjustments

14,291

Total regulatory adjustments to Tier 2 (T2) capital

(107)

Tier 2 (T2) capital

14,184

Total regulatory capital (TC = T1 + T2)

48,179

Total risk-weighted assets

350,143

 

 

Capital ratios

 

Common Equity Tier 1 capital ratio (as a percentage of risk-weighted assets)

9.7

Tier 1 capital ratio (as a percentage of risk-weighted assets)

9.7

Total regulatory capital ratio (as a percentage of risk-weighted assets)

13.8

Transitional template for Regulatory Capital, RWA and Capital Ratios according to pro forma CRR/CRD 4 (unaudited) and Basel 2.5 (audited)

 

Dec 31, 2013

Dec 31, 2012

in € m.

Pro forma CRR/CRD 4 fully-loaded (unaudited)

Basel 2.5 (audited)

Basel 2.5 (audited)

N/M – Not meaningful

1

EBA list as referred to in Article 26 (3) of CRR is not yet published.

2

Awaiting EBA final standard. Therefore not included in pro forma CRR/CRD 4 calculation.

3

Gains and losses on liabilities of the institution that are valued at fair value that result from changes in the own credit standing of the institution acc. Art. 33 (1) (b) CRR as well as all fair value gains and losses arising from the institution’s own credit risk related to derivative liabilities acc Art. 33 (1) (c) CRR.

4

Excludes holdings that are already considered in the accounting base of Common Equity. Basel 2.5: amounts in compliance with Basel 2.5-regulations (i.a. only direct holdings).

5

Based on our current interpretation no deduction amount expected. Basel 2.5: amounts in compliance with Basel 2.5-regulations (i.a. only direct holdings and Basel 2.5 threshold).

6

Basel 2.5: amounts in compliance with Basel 2.5-regulations (i.a. only direct holdings and Basel 2.5 threshold).

7

Basel 2.5: amounts in compliance with Basel 2.5-regulations (i.a. prudential filter based on Consolidated Financial Statements Reconciliation Regulation “Konzer-nabschlussüberleitungsverordnung”).

8

Prudential filter for fund for home loans and savings protection (“Fonds zur bauspartechnischen Absicherung”) and for capital effects resulting from non financial at-equity investments.

9

Basel 2.5: amounts in compliance with Basel 2.5-regulations (i.a. only direct holdings).

10

Basel 2.5: included € 20 million silent participation as of December 31, 2013 and December 31, 2012.

11

Amortisation is taken into account.

12

Art. 92 (1) (a) CRR requires a minimum Common Equity Tier 1 capital ratio of 4,5 % excluding additional capital buffer.

13

Countercyclical buffer rates not yet available.

14

G-SII buffer as published in November 2013 by Financial Stability Board.

15

Calculated as the CET 1 capital less any CET 1 items used to meet Tier 1 and Total capital requirements.

Common Equity Tier 1 (CET 1) capital: instruments and reserves

 

 

 

Capital instruments and the related share premium accounts

28,789

28,789

26,096

thereof: Instrument type 11

N/M

N/M

N/M

Retained earnings

27,194

27,195

28,209

Accumulated other comprehensive income

(2,039)

(2,457)

(1,294)

Funds for general banking risk

0

0

0

Amount of qualifying items referred to in Art. 484 (3) CRR and the related share premium accounts subject to phase out from CET 1

N/M

N/M

N/M

Public sector capital injections grandfathered until 1 January 2018

N/M

N/M

N/M

Noncontrolling Interests (amount allowed in consolidated CET 1)

0

130

124

Independently reviewed interim profits net of any foreseeable charge or dividend

(98)

(98)

(432)

Common Equity Tier 1 capital before regulatory adjustments

53,846

53,558

52,702

 

 

 

 

Common Equity Tier 1 capital: regulatory adjustments

 

 

 

Additional value adjustments (negative amount)2

N/M

N/M

N/M

Intangible assets (net of related tax liabilities) (negative amount)

(11,466)

(11,466)

(11,579)

Deferred tax assets that rely on future profitability excluding those arising from temporary differences (net of related tax liabilities where the conditions in Art. 38 (3) CRR are met) (negative amount)

(2,203)

N/M

N/M

Fair value reserves related to gains or losses on cash flow hedges

(93)

N/M

N/M

Negative amounts resulting from the calculation of expected loss amounts

(987)

(430)

(440)

Any increase in equity that results from securitized assets (negative amount)

0

0

0

Gains or losses on liabilities designated at fair value resulting from changes in own credit standing3

(533)

(1)

(2)

Defined benefit pension fund assets (negative amount)

(663)

N/M

N/M

Direct, indirect and synthetic holdings by an institution of own CET 1 instruments (negative amount)4

(36)

(3)

(5)

Holdings of the CET 1 instruments of financial sector entities where those entities have reciprocal crossholdings with the institution designed to inflate artificially the own funds of the institution (negative amount)

0

0

0

Direct, indirect and synthetic holdings by the institution of the CET 1 instruments of financial sector entities where the institution does not have a significant investment in those entities (amount above the 10 % threshold and net of eligible short positions) (negative amount)5

0

0

0

Direct, indirect and synthetic holdings by the institution of the CET 1 instruments of financial sector entities where the institution has a significant investment in those entities (amount above 10 % threshold and net of eligible short positions) (negative amount)6

0

(1,589)

(1,493)

Exposure amount of the following items which qualify for a Risk Weight of 1250 %, where the institution opts for the deduction alternative

0

(945)

(953)

thereof: qualifying holdings outside the financial sector (negative amount)

0

0

0

thereof: securitization positions (negative amount)

0

(945)

(953)

thereof: free deliveries (negative amount)

0

0

0

Deferred tax assets arising from temporary differences (amount above 10 % threshold, net of related tax liabilities where the conditions in Art. 38 (3) CRR are met) (negative amount)

(1,667)

N/M

N/M

Amount exceeding the 15 % threshold (negative amount)

(1,828)

N/M

N/M

thereof: direct, indirect and synthetic holdings by the institution of the CET 1 instruments of financial sector entities where the institution has a significant investment in those entities

(839)

N/M

N/M

thereof: deferred tax assets arising from temporary differences

(989)

N/M

N/M

Losses for the current financial year (negative amount)

0

0

0

Regulatory adjustments applied to CET 1 capital in respect of amounts subject to pre-CRR treatment:

N/M

N/M

N/M

Regulatory adjustments relating to unrealized gains and losses pursuant to Art. 467 and 468 CRR7

N/M

(215)

(261)

Amount to be deducted from or added to CET 1 capital with regard to additional filters and deductions required pre CRR8

(374)

(374)

(13)

Qualifying AT1 deductions that exceed the AT1 capital of the institution (negative amount)

0

0

0

Total regulatory adjustments to Common Equity Tier 1 (CET 1) capital

(19,850)

(15,024)

(14,746)

Common Equity Tier 1 (CET 1) capital

33,995

38,534

37,957

 

 

 

 

Additional Tier 1 (AT1) capital: instruments

 

 

 

Capital instruments and the related share premium accounts

0

12,701

13,025

thereof: classified as equity under applicable accounting standards

0

0

0

thereof: classified as liabilities under applicable accounting standards

0

12,701

13,025

Amount of qualifying items referred to in Art. 484 (4) CRR and the related share premium accounts subject to phase out from AT1

N/M

N/M

N/M

Public sector capital injections grandfathered until 1 January 2018

N/M

N/M

N/M

Tier 1 capital included in consolidated AT1 capital issued by subsidiaries and held by third parties

0

0

0

thereof: instruments issued by subsidiaries subject to phase out

N/M

N/M

N/M

Additional Tier 1 (AT1) capital before regulatory adjustments

0

12,701

13,025

 

 

 

 

Additional Tier 1 (AT1) capital: regulatory adjustments

 

 

 

Direct and indirect holdings by an institution of own AT1 instruments (negative amount)9

0

(519)

(499)

Holdings of the AT1 instruments of financial sector entities where those entities have reciprocal cross holdings with the institution designed to inflate artificially the own funds of the institution (negative amount)

0

0

0

Direct, indirect and synthetic holdings of the AT1 instruments of financial sector entities where the institution does not have a significant investment in those entities (amount above the 10 % threshold and net of eligible short positions) (negative amount)5

0

0

0

Direct, indirect and synthetic holdings by the institution of the AT1 instruments of financial sector entities where the institution has a significant investment in those entities (amount above the 10 % threshold net of eligible short positions) (negative amount)6

0

0

0

Regulatory adjustments applied to AT1 capital in respect of amounts subject to pre-CRR treatment and transitional treatments subject to phase out as prescribed in CRR (i.e., residual amounts)

N/M

N/M

N/M

Residual amounts deducted from AT1 capital with regard to deduction from CET 1 capital during the transitional period pursuant to Art. 472 CRR

N/M

N/M

N/M

thereof: intangible assets

N/M

N/M

N/M

thereof: shortfall of provisions to expected losses

N/M

N/M

N/M

thereof: significant investments in the capital of other financial sector entities

N/M

N/M

N/M

Residual amounts deducted from AT1 capital with regard to deduction from Tier 2 (T2) capital during the transitional period pursuant to Art. 475 CRR

N/M

N/M

N/M

Amount to be deducted from or added to AT1 capital with regard to additional filters and deductions required pre CRR

N/M

N/M

N/M

T2 deductions that exceed the T2 capital of the institution (negative amount)

0

0

0

Total regulatory adjustments to Additional Tier 1 (AT1) capital

0

(519)

(499)

Additional Tier 1 (AT1) capital

0

12,182

12,526

Tier 1 capital (T1 = CET 1 + AT1)10

33,995

50,717

50,483

 

 

 

 

Tier 2 (T2) capital: instruments and provisions

 

 

 

Capital instruments and the related share premium accounts11

14,291

7,787

9,569

Amount of qualifying items referred to in Art. 484 (5) CRR and the related share premium accounts subject to phase out from T2

N/M

N/M

N/M

Public sector capital injections grandfathered until 1 January 2018

N/M

N/M

N/M

Qualifying own funds instruments included in consolidated T2 capital issued by subsidiaries and held by third parties

0

0

0

thereof: instruments issued by subsidiaries subject to phase out

N/M

N/M

N/M

Credit risk adjustments

0

0

0

Tier 2 (T2) capital before regulatory adjustments

14,291

7,787

9,569

 

 

 

 

Tier 2 (T2) capital: regulatory adjustments

 

 

 

Direct, indirect and synthetic holdings by an institution of own T2 instruments and subordinated loans (negative amount)9

(107)

(75)

(152)

Holdings of the T2 instruments and subordinated loans of financial sector entities where those entities have reciprocal cross holdings with the institution designed to inflate artificially the own funds of the institution (negative amount)

0

0

0

Direct, indirect and synthetic holdings of the T2 instruments and subordinated loans of financial sector entities where the institution does not have a significant investment in those entities (amount above 10 % threshold and net of eligible short positions) (negative amount)5

0

0

0

thereof: new holdings not subject to transitional arrangements

N/M

N/M

N/M

thereof: holdings existing before 1 January 2013 and subject to transitional arrangements

N/M

N/M

N/M

Direct, indirect and synthetic holdings by the institution of the T2 instruments and subordinated loans of financial sector entities where the institution has a significant investment in those entities (net of eligible short positions) (negative amount)6

0

0

0

Regulatory adjustments applied to Tier 2 in respect of amounts subject to pre-CRR treatment and transitional treatments subject to phase out as prescribed in CRR (i.e., residual amounts)

N/M

N/M

N/M

Residual amounts deducted from Tier 2 capital with regard to deduction from Common Equity Tier 1 capital during the transitional period pursuant to Art. 472 CRR

N/M

N/M

N/M

thereof: shortfall of provisions to expected losses

N/M

N/M

N/M

thereof: significant investments in the capital of other financial sector entities

N/M

N/M

N/M

Residual amounts deducted from Tier 2 capital with regard to deduction from Additional Tier 1 capital during the transitional period pursuant to Art. 475 CRR

N/M

N/M

N/M

thereof: reciprocal cross holdings in AT1 instruments

N/M

N/M

N/M

thereof: direct holdings of non significant investments in the capital of other financial sector entities

N/M

N/M

N/M

Amount to be deducted from or added to Additional Tier 2 capital with regard to additional filters and deductions required pre CRR

0

(2,965)

(2,885)

Total regulatory adjustments to Tier 2 (T2) capital

(107)

(3,040)

(3,037)

Tier 2 (T2) capital

14,184

4,747

6,532

Total Regulatory capital (TC = T1 + T2)

48,179

55,464

57,015

Risk weighted assets in respect of amounts subject to pre-CRR treatment and transitional treatments subject to phase out as prescribed in CRR (i.e., residual amounts)

N/M

N/M

N/M

thereof: items not deducted from CET 1 (CRR residual amounts)

N/M

N/M

N/M

thereof: items not deducted from AT1 items (CRR residual amounts)

N/M

N/M

N/M

Items not deducted from T2 items (CRR residual amounts)

N/M

N/M

N/M

thereof: indirect and synthetic holdings of own T2 instruments

N/M

N/M

N/M

thereof: indirect and synthetic holdings of non significant investments in the capital of other financial sector entities

N/M

N/M

N/M

thereof: indirect and synthetic holdings of significant investments in the capital of other financial sector entities

N/M

N/M

N/M

Total risk-weighted assets

350,143

300,369

333,605

thereof: Credit Risk

232,356

202,219

228,952

thereof: Market Risk

66,896

47,259

53,058

thereof: Operational Risk

50,891

50,891

51,595

Capital ratios and buffers

 

 

 

Common Equity Tier 1 capital ratio (as a percentage of risk-weighted assets)

9.7

12.8

11.4

Tier 1 capital ratio (as a percentage of risk-weighted assets)

9.7

16.9

15.1

Total Regulatory capital ratio (as a percentage of risk-weighted assets)

13.8

18.5

17.1

Institution specific buffer requirement (CET 1 requirement in accordance with Art. 92 (1) (a) CRR plus capital conservation and countercyclical buffer requirements, plus systemic risk buffer, plus the systemically important institution buffer (G-SII or O-SII buffer), expressed as a percentage of risk-weighted assets)12

9.0

N/M

N/M

thereof: capital conservation buffer requirement

2.5

N/M

N/M

thereof: countercyclical buffer requirement13

N/M

N/M

N/M

thereof: systemic risk buffer requirement

0.0

N/M

N/M

thereof: Global Systemically Important Institution (G-SII) or Other Systemically Important Institution (O-SII) buffer14

2.0

N/M

N/M

Common Equity Tier 1 capital available to meet buffers (as a percentage of risk-weighted assets)15

3,7

N/M

N/M

Amounts below the thresholds for deduction (before risk weighting)

 

 

 

Direct, indirect and synthetic holdings of the capital of financial sector entities where the institution does not have a significant investment in those entities (amount below 10 % threshold and net of eligible short positions)5

3,097

N/M

N/M

Direct, indirect and synthetic holdings by the institution of the CET 1 instruments of financial sector entities where the institution has a significant investment in those entities (amount below 10 % threshold and net of eligible short positions)6

2,340

N/M

N/M

Deferred tax assets arising from temporary differences (amount below 10 % threshold, net of related tax liability where the conditions in Art. 38 (3) CRR are met)

2,760

N/M

N/M

Applicable caps on the inclusion of provisions in Tier 2 capital

 

 

 

Credit risk adjustments included in T2 in respect of exposures subject to standardized approach (prior to the application of the cap)

0

N/M

N/M

Cap on inclusion of credit risk adjustments in T2 under standardized approach

488

N/M

N/M

Credit risk adjustments included in T2 in respect of exposures subject to internal ratings-based approach (prior to the application of the cap)

0

0

0

Cap for inclusion of credit risk adjustments in T2 under internal ratings-based approach

984

894

1,006

Capital instruments subject to phase-out arrangements

 

 

 

Current cap on CET 1 instruments subject to phase out arrangements

N/M

N/M

N/M

Amount excluded from CET 1 due to cap (excess over cap after redemptions and maturities)

N/M

N/M

N/M

Current cap on AT1 instruments subject to phase out arrangements

N/M

N/M

N/M

Amount excluded from AT1 due to cap (excess over cap after redemptions and maturities)

N/M

N/M

N/M

Current cap on T2 instruments subject to phase out arrangements

N/M

N/M

N/M

Amount excluded from T2 due to cap (excess over cap after redemptions and maturities)

N/M

N/M

N/M

The following table details the main changes in our Common Equity Tier 1 capital, Additional Tier 1 and Tier 2 capital from the beginning to the end of the years 2013 and 2012:

Development of regulatory capital

in € m.

Dec 31, 2013

Dec 31, 2012

Common Equity Tier 1 Capital – opening amount

37,957

36,313

Common shares, net effect/(+) issued (–) retirement

230

0

Additional paid-in capital

2,428

83

Retained earnings

(57)

(234)

Thereof: Actuarial gains (losses) rel. to defined benefit plans, net of tax/CTA

(659)

(480)

Thereof: Net income attributable to Deutsche Bank Shareholders

666

263

Common shares in treasury, net effect/(+) sales (–) purchase

47

763

Movements in accumulated other comprehensive income

(1,121)

(424)

Foreign currency translation, net of tax

(1,121)

(424)

Dividend accrual

(765)

(697)

Removal of gains/losses resulting from changes in own credit standing in liabilities designated at fair value (net of tax)

1

126

Goodwill and other intangible assets (deduction net of related tax liability)

113

1,330

Noncontrolling interest

6

(875)

Deductible investments in banking, financial and insurance entities

(96)

(161)

Securitization positions not included in risk-weighted assets

7

1,911

Excess of expected losses over risk provisions

9

69

Other, including regulatory adjustments

(225)

(247)

Common Equity Tier 1 Capital – closing amount

38,534

37,957

 

 

 

Additional Tier 1 Capital – opening amount

12,526

12,734

New Additional Tier 1 eligible capital issues

0

0

Buybacks

0

0

Other, including regulatory adjustments

(344)

(208)

Additional Tier 1 Capital – closing amount

12,182

12,526

Tier 1 capital

50,717

50,483

 

 

 

Tier 2 capital – opening amount

6,532

6,179

New Tier 2 eligible capital issues

1,090

0

Buybacks

(193)

(179)

Amortization

(2,766)

(1,071)

Other, including regulatory adjustments

85

1,603

Tier 2 capital – closing amount

4,747

6,532

Total regulatory capital

55,464

57,015

The increase of € 577 million in CET 1 capital in the year 2013 was primarily driven by the aggregate gross proceeds of our share issuance in the second quarter which amounted to € 3.0 billion, partly offset by a negative impact of € 1.1 billion from foreign currency translation and from re-measurement effects related to defined benefit plans, net of tax of € 659 million.

Common shares consist of Deutsche Bank AG’s common shares issued in registered form without par value. Under German law, each share represents an equal stake in the subscribed capital. Therefore, as of December 31, 2013, each share had a nominal value of € 2.56, unchanged compared to December 31, 2012, derived by dividing the total amount of share capital by the number of shares. As of December 31, 2013, a total of 1,019,499,640 shares were issued and fully paid, of which we held 171,904 shares, leaving 1,019,327,736 shares outstanding. As of December 31, 2012, a total of 929,499,640 shares were issued and fully paid, of which we held 315,742 shares, leaving 929,183,898 shares outstanding. There are no issued ordinary shares that have not been fully paid. The related share premium is included in additional paid-in capital.

Reconciliation of Consolidated Balance Sheet according to IFRS to regulatory Balance Sheet (unaudited)

 

Dec 31, 2013

in € m.

Financial Balance Sheet

Deconsolidation/ Consolidation of entities

Regulatory Balance Sheet

Assets:

 

 

 

Cash and due from banks

17,155

(318)

16,836

Interest-earning deposits with banks

77,984

(838)

77,146

Central bank funds sold and securities purchased under resale agreements

27,363

0

27,363

Securities borrowed

20,870

(15)

20,855

Financial assets at fair value through profit or loss

 

 

 

Trading assets

210,070

(9,921)

200,149

Positive market values from derivative financial instruments

504,590

779

505,369

Financial assets designated at fair value through profit or loss

184,597

(11,985)

172,611

Total financial assets at fair value through profit or loss

899,257

(21,128)

878,129

Financial assets available for sale

48,326

(2,738)

45,588

Equity method investments

3,581

(195)

3,386

Loans

376,582

(7,413)

369,168

Property and equipment

4,420

(166)

4,254

Goodwill and other intangible assets

13,932

(1,943)

11,990

Other assets

112,539

4,200

116,739

Assets for current tax

2,322

(6)

2,317

Deferred tax assets

7,071

(83)

6,987

Total assets

1,611,400

(30,643)

1,580,758

 

 

 

 

Liabilities and equity:

 

 

 

Deposits

527,750

5,167

532,917

Central bank funds purchased and securities sold under repurchase agreements

13,381

0

13,381

Securities loaned

2,304

(12)

2,292

Financial liabilities at fair value through profit or loss

 

 

 

Trading liabilities

55,804

(219)

55,585

Negative market values from derivative financial instruments

483,428

1,512

484,941

Financial liabilities designated at fair value through profit or loss

90,104

(2,307)

87,797

Investment contract liabilities

8,067

(8,067)

0

Total financial liabilities at fair value through profit or loss

637,404

(9,081)

628,323

Other short-term borrowings

59,767

(11,784)

47,983

Other liabilities

163,595

13,639

149,956

Provisions

4,524

(88)

4,435

Liabilities for current tax

1,600

(45)

1,556

Deferred tax liabilities

1,101

(331)

769

Long-term debt

133,082

(1,057)

132,025

Trust preferred securities

11,926

455

12,380

Total liabilities

1,556,434

30,416

1,526,019

Common shares, no par value, nominal value of € 2.56

2,610

0

2,610

Additional paid-in capital

26,204

(12)

26,192

Retained earnings

28,376

(516)

27,860

Common shares in treasury, at cost

(13)

0

(13)

Accumulated other comprehensive income, net of tax

(2,457)

418

(2,039)

Total shareholders’ equity

54,719

(110)

54,609

Noncontrolling interests

247

(117)

130

Total equity

54,966

(227)

54,739

Total liabilities and equity

1,611,400

(30,643)

1,580,758

The following two tables present specific disclosures in relation to Pillar 3. Per regulation it is not required to audit Pillar 3 disclosures.

Terms and Conditions of outstanding Additional Tier 1 Capital Instruments (unaudited)

Issuer

Amount in m.

Currency

 

Interest payment obligations

Termination right of Issuer

Step-up clauses or other early redemption-incentives

DB Capital Trust I

318

USD

Until March 30, 2009: 3-Month LIBOR plus 1.7 %
From March 30, 2009: 5-Year U.S. Dollar Swap Rate plus 2.7 %

Since March 30, 2009 and on March 30 of each fifth year thereafter with period of 90 days.

yes, see interest payment obligations

DB Capital Trust II

20.000

JPY

Until April 27, 2029: 5.2 % p.a.
From April 27, 2029: 5-Year Japanese Yen Swap Rate plus 1.62 %

At the earliest April 27, 2029 with period of 90 days.

yes, see interest payment obligations

DB Capital Trust III

113

USD

Until June 30, 2014: 3-Month LIBOR plus 1.9 %
From June 30, 2014: 5-Year U.S. Dollar Swap Rate plus 2.9 %

At the earliest June 30, 2014 with period of 90 days.

yes, see interest payment obligations

DB Capital Trust IV

153

USD

Until June 30, 2011: 3-Month LIBOR plus 1.8 %
From June 30, 2011: 5-Year U.S. Dollar Swap Rate plus 2.8 %

Since June 30, 2011: on June 30 of each fifth year thereafter with period of 90 days.

yes, see interest payment obligations

DB Capital Trust V

147

USD

Until June 30, 2010: 3-Month LIBOR plus 1.8 %
From June 30, 2010: 5-Year U.S. Dollar Swap Rate plus 2.8 %

Since June 30, 2010: on June 30 of each fifth year thereafter with period of 90 days.

yes, see interest payment obligations

DB Capital Funding Trust I

625

USD

Until June 30, 2009: 7.872 % p.a.
From June 30, 2009: 3-Month LIBOR plus 2.97 %

Since June 30, 2009: every 3 months thereafter with period of 30 days.

yes, see interest payment obligations

DB Capital Funding Trust IV

1.000

EUR

Until September 19, 2013: 5.33 % p.a.
From September 19, 2013: 3-Month EURIBOR plus 1.99 %

Since September 19, 2013: every 3 months with period of 30 days.

yes, see interest payment obligations

DB Capital Funding Trust V

300

EUR

6.15 % p.a.

Since December 2, 2009: every 3 months thereafter with period of 30 days.

none

DB Capital Funding Trust VI

900

EUR

Until January 28, 2010: 6 % p.a.
From January 28, 2010: Four times the difference between 10-Year- and 2-Year-CMS-Rate, capped at 10 % and floored at 3.5 %

Since January 28, 2010: on January 28 of each year there-after with period of 30 days.

none

DB Capital Funding Trust VII

800

USD

Until January 19, 2016: 5.628 % p.a.
From January 19, 2016: 5.628 % p.a. plus 1.00 %

At the earliest January 19, 2016 with period of 30 days.

yes, see interest payment obligations

DB Capital Funding Trust VIII

600

USD

6.375 % p.a.

Since October 18, 2011: every 3 months thereafter with period of 30 days.

none

DB Capital Funding Trust IX

1.150

USD

6.625 % p.a.

Since August 20, 2012 with period of 30 days.

none

DB Capital Funding Trust X

805

USD

7.350 % p.a.

Since December 15, 2012 with period of 30 days.

none

DB Capital Funding Trust XI

1.300

EUR

9.5 % p.a.

At the earliest March 31, 2015 with period of 30 days.

none

DB Contingent Capital Trust II

800

USD

6.55 % p.a.

At the earliest May 23, 2017 with period of 30 days.

none

DB Contingent Capital Trust III

1.975

USD

7.6 % p.a.

At the earliest February 20, 2018 with period of 30 days.

none

DB Contingent Capital Trust IV

1.000

EUR

8.0 % p.a.

At the earliest May 15, 2018 with period of 30 days.

none

DB Contingent Capital Trust V

1.385

USD

8.05 % p.a.

At the earliest June 30, 2018 with period of 30 days.

none

Deutsche Postbank Funding Trust I

300

EUR

Until December 2, 2005: 6 % p.a.
From December 2, 2005: 10-Year EUR Swap Rate plus 0.025 %, max. 8 %

Since December 2, 2010 at each subsequent coupon date.

none

Deutsche Postbank Funding Trust II

500

EUR

Until December 23, 2009: 6 % p.a.
From December 23, 2009: Four times difference between 10-Year and 2-Year CMS-Rate, with min. CMS-Rate 3.75 % and max. CMS-Rate 10 %

Since December 23, 2009 at each subsequent coupon date.

none

Deutsche Postbank Funding Trust III

300

EUR

Until June 7, 2008: 7 % p.a.
From June 7, 2008: 10-Year EUR Swap Rate plus 0.125 %, max. 8 %

Since June 7, 2011 at each subsequent coupon date.

none

Deutsche Postbank Funding Trust IV

500

EUR

Until June 29, 2017: 5.983 % p.a.
From June 29, 2017: 3-Month EURIBOR plus 2.07 %

At the earliest June 29, 2017 at each subsequent coupon date.

yes, see interest payment obligations

Deutsche Postbank AG – silent participation

10

EUR

8.15 % p.a.

Fixed maturity December 31, 2018

none

Deutsche Postbank AG – silent participation

10

EUR

8.15 % p.a.

Fixed maturity December 31, 2018

none

Of the € 12.2 billion Additional Tier 1 capital € 9.5 billion have no step-up clauses or other early redemption-incentives. No instrument has the option to be converted into ordinary shares. All Additional Tier 1 capital instruments qualify as Tier 1 capital according to Section 64m (1) KWG. In the event of the initiation of insolvency proceedings or of liquidation, they will not be repaid until all creditors have been satisfied.

Our Tier 2 capital instruments qualify as regulatory capital according to Section 10 (5) and (5a) KWG. Accordingly, all Tier 2 capital instruments have a minimum original maturity of 5 years. The majority of the volume of our Tier 2 instruments, however, has an original maturity of 10 years or more and call rights for the issuer after 5 years or more. In the last two years before the maturity of an instrument only 40 % of the paid-in capital qualifies as regulatory capital.

The several hundred individual Tier 2 capital instruments can be clustered as follows:

Terms and Conditions of the outstanding Tier 2 Capital Instruments (unaudited)

Issuer

Maturity (year)

Notional in € m.

Currency

Type of Tier 2 capital instrument

Early redemption-option

Interest paymentobligations

Deutsche Bank Capital Finance Trust I

perpetual

300

EUR

Cumulative Trust preferred securities

At the earliest on June 27, 2015 and thereafter on each yearly coupon-payment date (June 27) with period of 30 days.

Fixed interest rate during first five periods of interest payments at 7 % p.a., thereafter ten times the difference between 10 year- and 2 year-CMS-Rate, capped at 10 year-CMS and floored at 1.75 %

Deutsche Postbank AG

2014

100

EUR

Profit Participation Rights

No

6,00 % (fix) – 6,26 % (fix)

Deutsche Postbank AG

2015

197

EUR

Profit Participation Rights

No

5,13 % (fix) – 5,65 % (fix)

Deutsche Postbank AG

2016

670

EUR

Profit Participation Rights

No

4,40 % (fix) – 4,72 % (fix)

Deutsche Postbank AG

2017

21

EUR

Profit Participation Rights

No

5,12 % (fix)

Deutsche Postbank AG

2018

91

EUR

Profit Participation Rights

No

5,14 % (fix) – 5,53 % (fix)

Deutsche Postbank AG

2020

14

EUR

Profit Participation Rights

No

5,10 % (fix)

Deutsche Postbank AG

2021

24

EUR

Profit Participation Rights

No

4,53 % (fix) – 4,73 % (fix)

Deutsche Postbank AG

2023

10

EUR

Profit Participation Rights

No

5,50 % (fix)

Deutsche Postbank AG

2027

20

EUR

Profit Participation Rights

No

5,25 % (fix)

Deutsche Postbank AG

2014

83

EUR

Subordinated Liabilities

No

4,50 % (fix) – 6,00 % (fix)

Deutsche Postbank AG

2015

508

EUR

Subordinated Liabilities

500 m.: Early redemption at the issuer's option since 2011 at each coupon-date

1,03 % (var.) – 5,50 % (fix)

Deutsche Postbank AG

2016

30

EUR

Subordinated Liabilities

No

4,92 % (fix) – 5,01 % (fix)

Deutsche Postbank AG

2017

60

EUR

Subordinated Liabilities

No

5,21 % (fix) – 5,83 % (fix)

Deutsche Postbank AG

2018

303

EUR

Subordinated Liabilities

No

5,19 % (fix) – 6,63 % (fix)

Deutsche Postbank AG

2019

64

EUR

Subordinated Liabilities

No

5,14 % (fix) – 5,46 % (fix)

Deutsche Postbank AG

2022

15

EUR

Subordinated Liabilities

No

4,63 % (fix)

Deutsche Postbank AG

2023

83

EUR

Subordinated Liabilities

No

5,60 % (fix) – 5,90 % (fix)

Deutsche Postbank AG

2024

43

EUR

Subordinated Liabilities

No

5,15 % (fix) – 5,45 % (fix)

Deutsche Postbank AG

2027

13

EUR

Subordinated Liabilities

No

6,50 % (fix)

Deutsche Postbank AG

2036

166

JPY

Subordinated Liabilities

No

2,76 % (fix) – 2,84 % (fix)

Bankers Trust Corporation - New York

2015

102

USD

Subordinated Liabilities

No

7,50 % (fix)

BHF-BANK AG

2015

50

EUR

Subordinated Liabilities

No

4,46 % (fix)

BHF-BANK AG

2019

50

EUR

Subordinated Liabilities

No

4,80 % (fix)

BHF-BANK AG

2020

57

EUR

Subordinated Liabilities

No

4,59 % (fix) – 4,63 % (fix)

BHF-BANK AG

2025

47

EUR

Subordinated Liabilities

No

4,75 % (fix)

Deutsche Bank AG

2014

159

AUD

Subordinated Liabilities

Early redemption at the issuer's option since 2009 at each coupon-date

3,59 % (var.)

Deutsche Bank AG

2016

150

CAD

Subordinated Liabilities

Early redemption at the issuer's option since 2011 at each coupon-date

1,98 % (var.)

Deutsche Bank AG

2014

236

EUR

Subordinated Liabilities

76 m.: Early redemption at the issuer's option since 2009

4,16 % (fix) – 4,68 % (var.)

Deutsche Bank AG

2015

684

EUR

Subordinated Liabilities

Early redemption at the issuer's option since 2010 at each coupon-date

0,99 % (var.) – 1,13 % (var.)

Deutsche Bank AG

2016

430

EUR

Subordinated Liabilities

Early redemption at the issuer's option since 2011 at each coupon-date

1,10 % (var.)

Deutsche Bank AG

2017

505

EUR

Subordinated Liabilities

465 m.: Early redemption at the issuer's option since 2012

1,00 % (var.) – 5,82 % (fix)

Deutsche Bank AG

2018

100

EUR

Subordinated Liabilities

10 m.: Early redemption at the issuer's option since 2013

5,50 % (fix) – 6,50 % (var.)

Deutsche Bank AG

2019

249

EUR

Subordinated Liabilities

238 m.: Early redemption at the issuer's option in 2014

5,00 % (fix) – 6,00 % (fix)

Deutsche Bank AG

2020

1,235

EUR

Subordinated Liabilities

85 m.: Early redemption at the issuer's option in 2015

4,00 % (var.) – 5,00 % (fix)

Deutsche Bank AG

2024

20

EUR

Subordinated Liabilities

No

5,10 % (fix)

Deutsche Bank AG

2035

23

EUR

Subordinated Liabilities

Early redemption at the issuer's option since 2010 at each coupon-date

3,00 % (fix)

Deutsche Bank AG

2015

185

GBP

Subordinated Liabilities

Early redemption at the issuer's option since 2010 at each coupon-date

1,42 % (var.)

Deutsche Bank AG

2014

21

JPY

Subordinated Liabilities

Early redemption at the issuer's option since 2009 at each coupon-date

0,90 % (var.)

Deutsche Bank AG

2014

127

NZD

Subordinated Liabilities

Early redemption at the issuer's option since 2009 at each coupon-date

3,54 % (var.)

Deutsche Bank AG

2015

244

USD

Subordinated Liabilities

Early redemption at the issuer's option since 2010 at each coupon-date

1,04 % (var.)

Deutsche Bank AG

2024

1,090

USD

Subordinated Liabilities

No

4,30 % (var.)

Deutsche Bank Financial Inc.

2015

565

USD

Subordinated Liabilities

No

5,38 % (fix)

Deutsche Bank S.A.E., Barcelona

2014

40

EUR

Subordinated Liabilities

No

5,72 % (var.)

Deutsche Bank S.p.A., Mailand

2018

430

EUR

Subordinated Liabilities

Early redemption at the issuer's option since 2013 at each coupon-date

0,23 % (var.)

Deutsche Bank Morgan Grenfell Group PLC

perpetual

4

USD

Subordinated Liabilities

Early redemption at the issuer's option since 1991 at each coupon-date with minimum period of 30 days

0,64 % (var.)

BHW Bausparkasse

2014

55

EUR

Subordinated Liabilities

No

1,69 % (var.) – 5,60 % (fix)

BHW Bausparkasse

2017

5

EUR

Subordinated Liabilities

No

5,69 % (fix)

BHW Bausparkasse

2018

6

EUR

Subordinated Liabilities

No

6,08 % (fix)

BHW Bausparkasse

2019

48

EUR

Subordinated Liabilities

No

4,27 % (fix) – 5,83 % (fix)

BHW Bausparkasse

2023

38

EUR

Subordinated Liabilities

No

5,45 % (fix) – 6,13 % (fix)

BHW Bausparkasse

2024

10

EUR

Subordinated Liabilities

No

5,64 % (fix)

Reconciliation of shareholders’ equity to regulatory capital

in € m.

Dec 31, 2013

Dec 31, 2012

Total shareholders’ equity per accounting balance sheet

54,719

54,001

Common shares

2,610

2,380

Additional paid-in capital

26,204

23,776

Retained earnings

28,376

29,199

Thereof: Remeasurement effects related to defined benefit plans, net of tax/CTA

(634)

26

Thereof: Net income attributable to Deutsche Bank Shareholders

666

263

Common shares in treasury, at cost

(13)

(60)

Equity classified as obligation to purchase common shares

0

0

Accumulated other comprehensive income, net of tax

(2,457)

(1,294)

 

 

 

Prudential filters

(216)

(263)

Own credit spread of liabilities designated at fair value

(1)

(2)

Unrealized gains and losses

(215)

(261)

 

 

 

Regulatory adjustments to accounting basis

(15,968)

15,781

Dividend accrual

(765)

(697)

Goodwill

(8,380)

(8,583)

Per balance sheet

(9,074)

(9,297)

Goodwill from at-equity investments

(25)

(30)

Goodwill relating to non-regulatory consolidation circle

719

745

Intangibles

(3,086)

(2,996)

Per balance sheet

(4,858)

(4,922)

Deferred tax liability

548

583

Intangibles relating to non-regulatory consolidation circle

1,223

1,343

Noncontrolling interests

130

124

Per balance sheet

247

239

Noncontrolling interests relating to non-regulatory consolidation circle

(118)

(115)

Securitization positions

(945)

(953)

Shortfall of provisions to expected loss

(430)

(440)

Free-deliveries outstanding

0

0

Significant investments in the capital of financial sector entities

(1,589)

(1,493)

Other, including consolidation and regulatory adjustments

(903)

(743)

 

 

 

Common Equity Tier 1 capital

38,534

37,957

 

 

 

Additional Tier 1 capital

12,182

12,526

Hybrid capital securities

12,182

12,526

Per balance sheet

11,926

12,091

Regulatory adjustments

257

435

Deductions from Additional Tier 1 capital

0

0

 

 

 

Tier 1 capital

50,717

50,483

 

 

 

Tier 2 capital

4,747

6,532

Subordinated debt

7,580

9,362

Per balance sheet

9,274

11,282

Amortization

(2,109)

(2,283)

Regulatory adjustments

415

364

Deductions from Tier 2 capital

(2,965)

(2,885)

Other

132

55

 

 

 

Total Regulatory capital

55,464

57,015