Reconciliation of Risk-Weighted Assets from Basel 2.5 to CRR/CRD 4 non-GAAP Financial Measures

Although the CRR/CRD 4 rules have to be applied on and after January 1, 2014 (the CRD 4 after implementation into national law), we determine pro forma Common Equity Tier 1 capital (CET 1 capital) and pro forma risk-weighted assets (RWA) according to the solvency rules under CRR/CRD 4. Our interpretation is formally incorporated in policies governed by the same structures and committees as the policies that we use to calculate RWA and CET 1 capital under Basel 2.5 rules.

The “fully loaded” CRR/CRD 4 metrics, which are implemented on a pro forma basis, reflect the application of the rules that are expected to govern us as of 2019 according to the corresponding legislation. The “transitional” CRR/CRD 4 measures account for the probable phase-in of provisions which are expected to be allowed to ease the transition for banks to the “fully loaded” capital rules. As the final implementation of CRR/CRD 4 may differ from our earlier expectations, and our competitors’ assumptions and estimates regarding such implementation may vary, our CRR/CRD 4 non-GAAP financial measures may not be comparable with similarly labeled measures used by our competitors.

Comparison of Risk-Weighted Assets under Basel 2.5 Reporting, Pro Forma CRR/CRD 4 “transitional” and Pro Forma CRR/CRD 4 “fully-loaded”

 

Dec 31, 2013

Dec 31, 2012

in € bn. (unless stated otherwise)

Basel 2.5 reported (audited)

Pro forma CRR/CRD 4 transitional (unaudited)

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

Basel 2.5 reported (audited)

Pro forma CRR/CRD 4 transitional (unaudited)

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

1

Includes changes to Credit Risk and Market Risk RWA calculation as well as RWA related to capital deductions.

Risk-Weighted Assets

300

0

0

334

0

0

CRR/CRD 4 impact on RWA

 

 

 

 

 

 

New charge for Credit Valuation Adjustments (CVA)

0

12

12

0

28

28

Reclassification of high risk securitization positions from CET 1 capital deductions into RWA

0

23

23

0

24

24

New charge for business with Central Counterparties and clearing

0

2

2

0

4

4

Other1

0

17

12

0

19

12

Risk-Weighted Assets pro forma

0

355

350

0

408

401