Key developments

  • The Common Equity Tier 1 (CET 1, formerly: Core Tier 1) capital ratio, calculated on the basis of CRR/CRD 4 (phase-in rate of 20 %), was 15.2 % as of December 31, 2014, compared with 12.8 % at year-end 2013 based on Basel 2.5. Our pro forma CRR/CRD 4 (phase-in rate of 0 %) CET 1 capital ratio was 14.6 % at year-end 2013.
  • CET 1 capital according to CRR/CRD 4 increased by € 21.6 billion to € 60.1 billion as of December 31, 2014, compared with € 38.5 billion CET 1 capital at year-end 2013 according to Basel 2.5. The framework change has led to a positive first-day application effect of € 10.4 billion due to the applicable phase-in rate of 20 % for 2014, mainly driven by the treatment of intangible assets of € 9.2 billion. During the transitional period, CRR/CRD 4 allows subtraction of certain CET 1 deductions from Additional Tier 1 capital instead of CET 1 capital, to ease the transition for banks to the “fully-loaded” rules. The remaining € 11.1 billion increase was mainly driven by our capital increase from authorized capital against cash contributions with gross proceeds of € 8.5 billion.
  • Additional Tier 1 (AT1) capital according to CRR/CRD 4 decreased by € 8.4 billion to € 3.8 billion as of December 31, 2014, compared with € 12.2 billion AT1 capital at year-end according to Basel 2.5. We had a negative first-day effect from application of CRR/CRD 4 rules of € 12.0 billion, largely reflecting deductions from intangible assets of € 9.2 billion as well as the derecognition of AT1 instruments of € 2.2 billion that no longer qualify as AT1 capital. The first-day effect was partly offset by the issuance of CRR/CRD 4 compliant AT1 Notes of € 4.6 billion.
  • Tier 2 capital according to CRR/CRD 4 decreased by € 0.4 billion to € 4.4 billion as of December 31, 2014, compared with € 4.7 billion Tier 2 capital at year-end according to Basel 2.5, mainly due to redemptions and amortization adjustments that were partly offset by deduction reliefs from securitizations and significant investments in financial and insurance entities.
  • RWA according to CRR/CRD 4 increased by € 96 billion to € 397 billion as of December 31, 2014, compared with € 300 billion at year-end 2013 based on Basel 2.5. Our pro forma CRR/CRD 4 RWA were € 355 billion at year-end 2013. The RWA increase is mainly reflecting the impact from the CRR/CRD 4 framework including RWA for CVA, higher operational risk RWA and credit risk RWA including the impact from foreign exchange movements. That was partly offset by de-risking and asset sales.

Overview of Regulatory Capital, RWA and Capital Ratios according to CRR/CRD 4 and Basel 2.5 (audited)

 

Dec 31, 2014

Dec 31, 2013

in € m.

CRR/CRD 4
fully-loaded

CRR/CRD 4

Basel 2.5

Common Equity Tier 1 capital before regulatory adjustments

65,750

66,175

53,558

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

(19,674)

(6,072)

(15,024)

Common Equity Tier 1 (CET 1) capital

46,076

60,103

38,534

Additional Tier 1 (AT1) capital before regulatory adjustments

4,676

14,696

12,701

Total regulatory adjustments to Additional Tier 1 (AT1) capital

(57)

(10,902)

(519)

Additional Tier 1 (AT1) capital

4,619

3,794

12,182

Tier 1 capital (T1 = CET 1 + AT1)

50,695

63,898

50,717

Tier 2 (T2) capital before regulatory adjustments

12,412

4,891

7,787

Total regulatory adjustments to Tier 2 (T2) capital

(36)

(496)

(3,040)

Tier 2 (T2) capital

12,376

4,395

4,747

Total Regulatory capital (TC = T1 + T2)

63,072

68,293

55,464

Total risk-weighted assets

393,969

396,648

300,369

 

 

 

 

Capital ratios

 

 

 

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

11.7

15.2

12.8

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

12.9

16.1

16.9

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

16.0

17.2

18.5

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

 

Dec 31, 2013

in € m.

Pro forma CRR/CRD 4
fully-loaded

Pro forma CRR/CRD 4

Common Equity Tier 1 capital before regulatory adjustments

53,846

53,557

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

(19,850)

(1,824)

Common Equity Tier 1 (CET 1) capital

33,995

51,733

Additional Tier 1 (AT1) capital before regulatory adjustments

0

11,741

Total regulatory adjustments to Additional Tier 1 (AT1) capital

0

(12,785)

Additional Tier 1 (AT1) capital

0

0

Tier 1 capital (T1 = CET 1 + AT1)

33,995

51,733

Tier 2 (T2) capital before regulatory adjustments

14,291

6,085

Total regulatory adjustments to Tier 2 (T2) capital

(107)

(906)

Tier 2 (T2) capital

14,184

5,179

Total Regulatory capital (TC = T1 + T2)

48,179

56,912

Total risk-weighted assets

350,143

355,127

 

 

 

Capital ratios

 

 

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

9.7

14.6

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

9.7

14.6

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

13.8

16.0

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

 

Dec 31, 2014

Dec 31, 2013

 

in € m.

Financial Balance Sheet

Decon­solidation/Con­solidation of entities

Regulatory Balance Sheet

Financial Balance Sheet

Decon­solidation/Con­solidation of entities

Regulatory Balance Sheet

References1

1

References provide the mapping of regulatory balance sheet items used to calculate regulatory capital as reflected in the column “References" in "Transitional template for Regulatory Capital, RWA and Capital Ratios according to CRR/CRD 4 (unaudited) and Basel 2.5 (audited)”. Where applicable, more detailed information are provided in the respective reference footnote section.

2

Eligible Additional Tier 1 and Tier 2 instruments are reflected in these balance sheet positions with their values according to IFRS.

Assets:

 

 

 

 

 

 

 

Cash and due from banks

20,055

(246)

19,809

17,155

(318)

16,836

 

Interest-earning deposits with banks

63,518

(1,358)

62,160

77,984

(838)

77,146

 

Central bank funds sold and securities purchased under resale agreements

17,796

0

17,796

27,363

0

27,363

 

Securities borrowed

25,834

(11)

25,823

20,870

(15)

20,855

 

Financial assets at fair value through profit or loss

 

 

 

 

 

 

 

Trading assets

195,681

(7,846)

187,835

210,070

(9,921)

200,149

 

Positive market values from derivative financial instruments

629,958

421

630,379

504,590

779

505,369

 

Financial assets designated at fair value through profit or loss

117,285

(12,490)

104,795

184,597

(11,985)

172,611

 

Total financial assets at fair value through profit or loss

942,924

(19,915)

923,009

899,257

(21,128)

878,129

 

Financial assets available for sale

64,297

434

64,731

48,326

(2,738)

45,588

 

Equity method investments

4,143

(218)

3,925

3,581

(195)

3,386

h

thereof: Goodwill

430

0

430

25

0

25

e

Loans

405,612

(3,348)

402,264

376,582

(7,413)

369,168

 

Property and equipment

2,909

(193)

2,716

4,420

(166)

4,254

 

Goodwill and other intangible assets

14,951

(1,817)

13,134

13,932

(1,943)

11,990

e

Other assets

137,980

(1,027)

136,953

112,539

4,200

116,739

 

thereof: Defined benefit pension fund assets

961

0

961

639

0

639

g

Assets for current tax

1,819

(115)

1,704

2,322

(6)

2,317

 

Deferred tax assets

6,865

(16)

6,849

7,071

(83)

6,987

f

Total assets

1,708,703

(27,832)

1,680,872

1,611,400

(30,643)

1,580,758

 

 

 

 

 

 

 

 

 

Liabilities and equity:

 

 

 

 

 

 

 

Deposits

532,931

4,823

537,754

527,750

5,167

532,917

 

Central bank funds purchased and securities sold under repurchase agreements

10,887

0

10,887

13,381

0

13,381

 

Securities loaned

2,339

(10)

2,329

2,304

(12)

2,292

 

Financial liabilities at fair value through profit or loss

 

 

 

 

 

 

 

Trading liabilities

41,843

(200)

41,643

55,804

(219)

55,585

 

Negative market values from derivative financial instruments

610,202

603

610,805

483,428

1,512

484,941

 

Financial liabilities designated at fair value through profit or loss

37,131

(2,315)

34,816

90,104

(2,307)

87,797

 

Investment contract liabilities

8,523

(8,523)

0

8,067

(8,067)

0

 

Total financial liabilities at fair value through profit or loss

697,699

(10,435)

687,264

637,404

(9,081)

628,323

 

Other short-term borrowings

42,931

(8,780)

34,151

59,767

(11,784)

47,983

 

Other liabilities

183,823

(12,628)

171,195

163,595

13,639

149,956

 

Provisions

6,677

(81)

6,596

4,524

(88)

4,435

 

Liabilities for current tax

1,608

(40)

1,568

1,600

(45)

1,556

 

Deferred tax liabilities

1,175

(443)

732

1,101

(331)

769

 

Long-term debt

144,837

772

145,609

133,082

(1,057)

132,025

 

thereof: Subordinated long-term debt2

6,392

0

6,392

9,117

13

9,131

j, k

Trust preferred securities2

10,573

516

11,089

11,926

455

12,380

j, k

Obligation to purchase common shares

0

0

0

0

0

0

 

Total liabilities

1,635,481

(26,308)

1,609,173

1,556,434

30,416

1,526,019

 

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

3,531

0

3,531

2,610

0

2,610

a

Additional paid-in capital

33,626

(5)

33,621

26,204

(12)

26,192

a

Retained earnings

29,279

(1,107)

28,171

28,376

(516)

27,860

b

Common shares in treasury, at cost

(8)

0

(8)

(13)

0

(13)

a

Accumulated other comprehensive income, net of tax

1,923

(306)

1,617

(2,457)

418

(2,039)

c

Total shareholders’ equity

68,351

(1,419)

66,932

54,719

(110)

54,609

 

Additional equity components

4,619

0

4,619

0

0

0

i

Noncontrolling interests

253

(105)

148

247

(117)

130

d

Total equity

73,223

(1,523)

71,699

54,966

(227)

54,739

 

Total liabilities and equity

1,708,703

(27,832)

1,680,872

1,611,400

(30,643)

1,580,758

 

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

 

Dec 31, 2014

Dec 31, 2013

 

in € m.

CRR/CRD 4
fully-loaded

CRR/CRD 4

Basel 2.5

References1

N/M – Not meaningful

1

References provide the mapping of regulatory balance sheet items used to calculate regulatory capital as reflected in the column “References" in “Reconciliation of Consolidated Balance Sheet according to IFRS to regulatory Balance Sheet (unaudited)”. Where applicable, more detailed information are provided in the respective reference footnote section.

2

Based on EBA list as referred to in Article 26 (3) CRR.

3

Includes year-end profits after the deduction of a dividend payment of € 0.75 per share proposed by the Management Board to the Supervisory Board and the Annual General Meeting. For further details we refer to our paragraph “Treatment of year-end profits for the solvency report” in this section.

4

The Regulatory Technical Standard issued by the EBA has not yet been adopted and published by the European Commission. For further details we refer to our paragraph “Regulatory prudent valuation of assets carried at fair value” in the section “Risk Report – Trading Market Risk”.

5

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 according to Article 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 according to Article 33 (1) (c) CRR.

6

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).

7

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).

8

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

9

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

10

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.

11

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

12

Qualifying AT1 deductions that exceed AT1 capital are deducted from CET 1 capital (reflected in “Total regulatory adjustments to Common Equity Tier 1 (CET 1) capital”.

13

Includes silent participation of € 16 million as of December 31, 2014 and € 20 million as of December 31, 2013.

14

Amortization is taken into account.

15

Excludes risk-weighted assets for positions in the trading book which are subject to phase out as prescribed in CRR (i.e. CRR residual amounts) as attributed risk-weighted assets are calculated on a portfolio basis.

16

Article 465 (1) (a) CRR requires a minimum Common Equity Tier 1 capital ratio of 4 % for the period from January 1, 2014 to December 31, 2014. Article 92 (1) (a) CRR requires a minimum Common Equity Tier 1 capital ratio of 4.5 % excluding additional capital buffer for the years after aforementioned period.

17

Countercyclical buffer rates not yet available.

18

G-SII buffer as published in November 2014 by Financial Stability Board.

19

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

 

a

Common shares, additional paid-in capital and common shares in treasury reflect regulatory eligible CET 1 capital instruments.

b

The position retained earnings in the regulatory balance sheet includes net income attributable to Deutsche Bank Shareholders, net of tax, of € 1,663 million (2013: € 666 million). This item is excluded from the position retained earnings in the transitional template for regulatory capital and shown separately along with foreseeable dividends of € 1,182 million (2013: € 765 million) in the position independently reviewed interim profits net of any foreseeable change or dividend.

c

Difference to regulatory balance sheet position driven by prudential filters for unrealized gains and losses.

d

Phase-out of noncontrolling interests at a rate of 80 % in 2014 (2013 Basel 2.5: N/M).

e

Regulatory applicable amount is Goodwill and other intangible assets of € 13,134 million (2013: € 11,990 million) plus Goodwill from equity method investments of € 430 million (2013: € 25 million) as per regulatory balance sheet reduced by deferred tax liabilities on other intangibles of € 585 million (2013: € 548 million). Total CET1 deduction amount is phased-in at a rate of 20 %. Residual amount is deducted from AT1 capital.

f

Differences to balance sheet position mainly driven by adjustments as set out in Article 38 (2) to (5) CRR (e.g. regulatory offsetting requirements).

g

Phase-in at a rate of 20 % in 2014 (2013 Basel 2.5: N/M).

h

Hua Xia Bank Company Limited as major part of the position equity method investments and the major part of significant holdings of the CET 1 instruments of financial sector entities, subject to threshold deductions. CET 1 deduction amount is phased-in at a rate of 20 %. Residual amount is deducted from AT1 capital.

i

Additional equity components reflects regulatory eligible AT1 capital instruments.

j

Difference to regulatory balance sheet driven by regulatory adjustments as set out in Articles 51 to 61 CRR (e.g. current cap on AT1 instruments subject to phase-out arrangements).

k

Difference to regulatory balance sheet driven by regulatory adjustments as set out in Articles 62 to 71 CRR (e.g. maturity deduction, noncontrolling interests).

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

 

 

 

 

Capital instruments and the related share premium accounts

37,144

37,144

28,789

a

Thereof: Ordinary shares2

37,144

37,144

28,789

a

Retained earnings

26,509

26,509

27,195

b

Accumulated other comprehensive income (loss), net of tax

1,617

1,923

(2,457)

c

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

0

N/M

 

Public sector capital injections grandfathered until January 1, 2018

N/M

N/M

N/M

 

Noncontrolling Interests (amount allowed in consolidated CET 1)

0

118

130

d

Independently reviewed interim profits net of any foreseeable charge or dividend3

481

481

(98)

b

Common Equity Tier 1 (CET 1) capital before regulatory adjustments

65,750

66,175

53,558

 

 

 

 

 

 

Common Equity Tier 1 (CET 1) capital: regulatory adjustments

 

 

 

 

Additional value adjustments (negative amount)4

0

0

0

 

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

(12,979)

(2,596)

(11,466)

e

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)

(2,620)

(524)

N/M

f

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

(181)

(181)

N/M

 

Shortfall of provisions to expected losses (negative amount)

(712)

(147)

(430)

 

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 standing5

(544)

(210)

(1)

 

Defined benefit pension fund assets (negative amount)

(961)

(192)

N/M

g

Direct, indirect and synthetic holdings by an institution of own CET 1 instruments (negative amount)6

(54)

(11)

(3)

 

Direct, indirect and synthetic holdings of the CET 1 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 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)7

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)8

0

0

(1,589)

 

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

0

0

(945)

 

Thereof:

 

 

 

 

Qualifying holdings outside the financial sector (negative amount)

0

0

0

 

Securitization positions (negative amount)

0

0

(945)

 

Free deliveries (negative amount)

0

0

N/M

 

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)

(78)

(16)

N/M

f

Amount exceeding the 15 % threshold (negative amount)

(1,199)

(202)

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

(499)

(84)

N/M

h

Deferred tax assets arising from temporary differences

(700)

(118)

N/M

f

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

0

N/M

 

Regulatory adjustments relating to unrealized gains and losses pursuant to Art. 467 and 468 CRR9

N/M

(1,648)

(215)

 

Amount to be deducted from or added to CET 1 capital with regard to additional filters and deductions required pre CRR10

(345)

(345)

(374)

 

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

0

0

0

 

Other regulatory adjustments

0

0

0

 

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

(19,674)

(6,072)

(15,024)

 

Common Equity Tier 1 (CET 1) capital

46,076

60,103

38,534

 

 

 

 

 

 

Additional Tier 1 (AT1) capital: instruments

 

 

 

 

Capital instruments and the related share premium accounts

4,676

4,676

12,701

i

Thereof:

 

 

 

 

Classified as equity under applicable accounting standards

4,676

4,676

0

i

Classified as liabilities under applicable accounting standards

0

0

12,701

 

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

10,021

N/M

j

Public sector capital injections grandfathered until January 1, 2018

N/M

N/M

N/M

 

Qualifying 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

0

N/M

 

Additional Tier 1 (AT1) capital before regulatory adjustments

4,676

14,696

12,701

 

 

 

 

 

 

Additional Tier 1 (AT1) capital: regulatory adjustments

 

 

 

 

Direct, indirect and synthetic holdings by an institution of own AT1 instruments (negative amount)11

(57)

(57)

(519)

i

Direct, indirect and synthetic 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)7

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)8

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

0

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

(10,845)

N/M

 

Thereof:

 

 

 

 

Intangible assets (net of related tax liabilities)

N/M

(10,383)

N/M

e

Shortfall of provisions to expected losses

N/M

(294)

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

N/M

(168)

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

0

N/M

 

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

N/M

0

N/M

 

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

0

0

0

 

Total regulatory adjustments to Additional Tier 1 (AT1) capital12

(57)

(10,902)

(519)

 

Additional Tier 1 (AT1) capital

4,619

3,794

12,182

 

Tier 1 capital (T1 = CET 1 + AT1)13

50,695

63,898

50,717

 

 

 

 

 

 

Tier 2 (T2) capital: instruments and provisions

 

 

 

 

Capital instruments and the related share premium accounts14

11,505

2,942

7,787

k

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

721

N/M

k

Public sector capital injections grandfathered until January 1, 2018

N/M

N/M

N/M

 

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

908

1,228

0

k

Thereof: instruments issued by subsidiaries subject to phase-out

N/M

0

N/M

 

Credit risk adjustments

0

0

0

 

Tier 2 (T2) capital before regulatory adjustments

12,412

4,891

7,787

 

 

 

 

 

 

Tier 2 (T2) capital: regulatory adjustments

 

 

 

 

Direct, indirect and synthetic holdings by an institution of own T2 instruments and subordinated loans (negative amount)11

(36)

(34)

(75)

k

Direct, indirect and synthetic 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)7

0

0

0

 

Thereof:

 

 

 

 

New holdings not subject to transitional arrangements

N/M

N/M

N/M

 

Holdings existing before January 1, 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)8

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

0

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

(462)

N/M

 

Thereof:

 

 

 

 

Shortfall of provisions to expected losses

N/M

(294)

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

N/M

(168)

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

0

N/M

 

Thereof:

 

 

 

 

Reciprocal cross holdings in AT1 instruments

N/M

0

N/M

 

Direct holdings of nonsignificant investments in the capital of other financial sector entities

N/M

0

N/M

 

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

0

0

(2,965)

 

Total regulatory adjustments to Tier 2 (T2) capital

(36)

(496)

(3,040)

 

Tier 2 (T2) capital

12,376

4,395

4,747

 

Total Regulatory capital (TC = T1 + T2)

63,072

68,293

55,464

 

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)15

N/M

0

N/M

 

Thereof:

 

 

 

 

Items not deducted from CET 1 (CRR residual amounts)

N/M

0

N/M

 

Items not deducted from AT1 items (CRR residual amounts)

N/M

0

N/M

 

Items not deducted from T2 items (CRR residual amounts)

N/M

0

N/M

 

Thereof:

 

 

 

 

Indirect and synthetic holdings of own T2 instruments

N/M

0

N/M

 

Indirect and synthetic holdings of nonsignificant investments in the capital of other financial sector entities

N/M

0

N/M

 

Indirect and synthetic holdings of significant investments in the capital of other financial sector entities

N/M

0

N/M

 

Total risk-weighted assets

393,969

396,648

300,369

 

Thereof:

 

 

 

 

Credit Risk (including Settlement Risk)

241,475

244,155

202,219

 

Credit Valuation Adjustment (CVA)

21,203

21,203

N/M

 

Market Risk

64,209

64,209

47,259

 

Operational Risk

67,082

67,082

50,891

 

Capital ratios and buffers

 

 

 

 

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

11.7

15.2

12.8

 

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

12.9

16.1

16.9

 

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

16.0

17.2

18.5

 

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)16

9.0

4.0

N/M

 

Thereof:

 

 

 

 

Capital conservation buffer requirement

2.5

0.0

N/M

 

Countercyclical buffer requirement17

N/M

N/M

N/M

 

Systemic risk buffer requirement

0.0

0.0

N/M

 

Global Systemically Important Institution (G-SII) or Other Systemically Important Institution (O-SII) buffer18

2.0

0.0

N/M

 

Common Equity Tier 1 capital available to meet buffers (as a percentage of risk-weighted assets)19

6.9

9.2

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)7

3,148

3,148

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)8

2,877

2,956

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)

4,035

4,146

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

0

N/M

 

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

454

454

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

991

991

894

 

Capital instruments subject to phase-out arrangements

 

 

 

 

Current cap on CET 1 instruments subject to phase-out arrangements

N/M

0

N/M

 

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

N/M

0

N/M

 

Current cap on AT1 instruments subject to phase-out arrangements

N/M

10,021

N/M

 

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

N/M

446

N/M

 

Current cap on T2 instruments subject to phase-out arrangements

N/M

2,701

N/M

 

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

N/M

0

N/M

 

The following table details the main changes in our Common Equity Tier 1 capital, Additional Tier 1 and Tier 2 capital, based on the regulatory eligible amounts, from the beginning to the end of the years 2014 and 2013.

Development of regulatory capital

 

Dec 31, 2014

Dec 31, 2013

in € m.

CRR/CRD 4

Basel 2.5

N/M – Not meaningful

1

The opening amount for both periods reflects Basel 2.5 values.

Common Equity Tier 1 (CET 1) capital - opening amount1

38,534

37,957

Common shares, net effect

921

230

thereof:

 

 

New shares issued (+)

921

230

Shares retired (–)

0

0

Additional paid-in capital

7,429

2,428

Retained earnings

1,077

(57)

thereof:

 

 

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

5

(659)

Net income attributable to Deutsche Bank Shareholders

1,663

666

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

6

47

Movements in accumulated other comprehensive income

2,947

(1,121)

thereof:

 

 

Foreign currency translation, net of tax

2,865

(1,121)

Unrealized gains and losses

0

0

Other

82

0

Accrual for dividend and AT1 coupons

(1,182)

(765)

thereof:

 

 

Gross dividends (deduction)

(1,034)

(765)

Shares issued in lieu of dividends (add back)

0

0

Gross AT1 coupons (deduction)

(148)

0

Additional valuation adjustments

0

0

Intangible assets (net of related tax liabilities)

8,870

113

therein: first day effect of application of CRR/CRD 4 rules

9,173

N/M

Deferred tax assets that rely on future profitability (excluding those arising from temporary differences)

(524)

0

therein: first day effect of application of CRR/CRD 4 rules

(441)

N/M

Excess of expected losses over risk provisions

283

9

therein: first day effect of application of CRR/CRD 4 rules

231

N/M

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

(209)

1

therein: first day effect of application of CRR/CRD 4 rules

(103)

N/M

Defined benefit pension fund assets

(192)

N/M

therein: first day effect of application of CRR/CRD 4 rules

(133)

N/M

Direct, indirect and synthetic holdings by the institution of the CET1 instruments of financial sector entities where the institution has a significant investment in those entities

1,505

(96)

therein: first day effect of application of CRR/CRD 4 rules

1,469

N/M

Securitization positions not included in risk-weighted assets

945

7

therein: first day effect of application of CRR/CRD 4 rules

945

N/M

Deferred tax assets arising from temporary differences (amount above 10 % and 15 % threshold, net of related tax liabilities where the conditions in Art. 38 (3) CRR are met)

(133)

0

therein: first day effect of application of CRR/CRD 4 rules

(474)

N/M

Other, including regulatory adjustments

(174)

(218)

therein: first day effect of application of CRR/CRD 4 rules

(226)

N/M

Common Equity Tier 1 (CET 1) capital – closing amount

60,103

38,534

 

 

 

Additional Tier 1 (AT1) capital – opening amount1

12,182

12,526

New Additional Tier 1 eligible capital issues

4,619

0

Matured and called instruments

(2,512)

0

Transitional arrangements

(11,292)

N/M

thereof:

 

 

Amount excluded from Additional Tier 1 due to cap

(446)

N/M

Intangible assets (net of related tax liabilities)

(10,383)

N/M

Shortfall of provisions to expected losses

(294)

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

(168)

N/M

therein: first day effect of application of CRR/CRD 4 rules

(11,972)

N/M

Other, including regulatory adjustments

797

(344)

Additional Tier 1 (AT1) capital - closing amount

3,794

12,182

Tier 1 capital (T1 = CET 1 + AT1)

63,898

50,717

 

 

 

Tier 2 (T2) capital - opening amount1

4,747

6,532

New Tier 2 eligible capital issues

83

1,088

Matured and called instruments

(1,615)

(965)

Amortization adjustments

(1,502)

(1,871)

Transitional arrangements

2,949

N/M

thereof:

 

 

Inclusion of amount excluded from Additional Tier 1 due to cap

446

N/M

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

2,965

N/M

Shortfall of provisions to expected losses

(294)

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

(168)

N/M

Other, including regulatory adjustments

(268)

(37)

Tier 2 (T2) capital - closing amount

4,395

4,747

Total Regulatory capital (TC = T1 + T2)

68,293

55,464

Reconciliation of shareholders’ equity to regulatory capital

 

Dec 31, 2014

Dec 31, 2013

in € m.

CRR/CRD 4

Basel 2.5

N/M – Not meaningful

1

Mainly relates to prudential filter for fund for home loans and savings protection ("Fonds zur bauspartechnischen Absicherung") and for capital effects results from non financial at-equity investments.

Total shareholders’ equity per accounting balance sheet

68,351

54,719

Deconsolidation/Consolidation of entities

(1,419)

(110)

thereof:

 

 

Additional paid-in capital

(5)

(12)

Retained Earnings

(1,107)

(516)

Accumulated other comprehensive income, net of tax

(306)

418

Total shareholders' equity per regulatory balance sheet

66,932

54,609

Noncontrolling interests based on transitional rules

118

130

Accrual for dividend and AT1 coupons

(1,182)

(765)

Reversal of deconsolidation/consolidation of accumulated other comprehensive income, net of tax, during transitional period

306

(418)

Common Equity Tier 1 capital before regulatory adjustments

66,175

53,556

Prudential filters

(2,039)

(216)

thereof:

 

 

Additional value adjustments

0

0

Any increase in equity that results from securitized assets

0

0

Fair value reserves related to gains or losses on cash flow hedges and gains or losses on liabilities designated at fair value resulting from changes in own credit standing

(391)

(1)

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

(1,648)

(215)

Regulatory adjustments

(4,032)

(14,807)

thereof:

 

 

Intangible assets (net of related tax liabilities)

(2,596)

(11,466)

Deferred tax assets that rely on future profitability

(657)

N/M

Shortfall of provisions to expected loss

(147)

(430)

Defined benefit pension fund assets

(192)

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

(84)

(1,589)

Securitization positions not included in risk-weighted assets

0

(945)

Other1

(356)

(377)

Common Equity Tier 1 capital

60,103

38,534

 

 

 

Additional Tier 1 capital

3,794

12,182

Additional Tier 1 Notes (AT1 Notes)

4,619

0

Per balance sheet

4,619

0

Deconsolidation/Consolidation of entities

0

0

Regulatory adjustments to balance sheet position

0

0

Hybrid capital securities

10,002

12,163

Per balance sheet

10,573

11,926

Deconsolidation/Consolidation of entities

516

455

Regulatory adjustments to balance sheet position

(1,087)

(218)

thereof:

 

 

Amount excluded from Additional Tier 1 due to cap

(446)

N/M

Other

(640)

(218)

Other regulatory adjustments

19

20

Deductions from Additional Tier 1 capital

(10,845)

0

 

 

 

Tier 1 capital

63,898

50,717

 

 

 

Tier 2 capital

4,395

4,747

Subordinated debt

4,120

7,293

Per balance sheet

6,392

9,117

Deconsolidation/Consolidation of entities

0

13

Regulatory adjustments to balance sheet position

(2,272)

(1,837)

thereof:

 

 

Amortization according to Art. 64 CRR

(2,101)

(2,109)

Other

(171)

272

Other regulatory adjustments

737

419

thereof:

 

 

Inclusion of amount excluded from Additional Tier 1 due to cap

446

N/M

Other

291

419

Deductions from Tier 2 capital

(462)

(2,965)

 

 

 

Total Regulatory capital

68,293

55,464