Balance Sheet Management

We manage our balance sheet on a Group level and, where applicable, locally in each region. In the allocation of financial resources we favour business portfolios with the highest positive impact on our profitability and shareholder value. We monitor and analyze balance sheet developments and track certain market-observed balance sheet ratios. Based on this we trigger discussion and management action by the Capital and Risk Committee. Following the publication of the CRR/CRD 4 framework on June 27, 2013, we have established a new leverage ratio calculation according to the legally binding framework.

Reconciliation of Exposure Measures used for leverage ratio calculations

 

Jun 30, 2014

Dec 31, 2013

in € bn.
(unless stated otherwise)

Total Assets IFRS

CRR/CRD 4 fully loaded

Total Assets IFRS

CRR/CRD 4 pro forma fully loaded

1

Including derivatives qualifying for hedge accounting.

2

Including Prime Brokerage receivables.

3

Includes regulatory netting, collateral recognition and supervisory haircuts, also for non-cash SFT.

4

Including transition from accounting to regulatory view as well as regulatory adjustments.

Exposure Measure (spot value at reporting date)

1,665

1,447

1,611

1,445

Total Delta to IFRS

 

(218)

 

(167)

Major exposure components and breakdown of delta to IFRS from:

 

 

 

 

Derivatives1

489

339

509

373

Delta to IFRS from

 

 

 

 

Netting

 

(391)

 

(401)

Add-on

 

241

 

266

Securities Financing Transactions2

206

45

207

44

Delta to IFRS from

 

 

 

 

Supervisory Volatility Adjustments Approach3

 

(161)

 

(163)

Remaining Assets

971

897

896

866

Delta to IFRS from

 

 

 

 

Pending Settlements Netting

 

(73)

 

(30)

Off-Balance Sheet Exposure

 

200

 

199

With 100 % credit conversion factor

 

185

 

185

With 50 % credit conversion factor

 

3

 

2

With 20 % credit conversion factor

 

8

 

8

With 10 % credit conversion factor

 

4

 

5

Adjustments4

 

 (33)

 

(38)

 

 

 

 

 

Total equity (IFRS)

68.4

 

55.0

 

 

 

 

 

 

Fully loaded Tier 1 capital

 

49.4

 

34.0

 

 

 

 

 

IFRS Leverage Ratio (in x)

24.3

 

29.3

 

Fully loaded CRR/CRD 4 Leverage Ratio (in %)

 

3.4

 

2.4

Our IFRS leverage ratio calculated as the ratio of total assets under IFRS to total equity under IFRS was 24 as of June 30, 2014, down compared with 29 at the end of 2013.

As of June 30, 2014, our fully loaded CRR/CRD 4 leverage ratio, which is a non-GAAP financial measure, was 3.4 %, compared with 2.4 % as of December 31, 2013, taking into account a fully loaded Tier 1 capital of € 49.4 billion over an applicable exposure measure of € 1,447 billion (€ 34.0 billion and € 1,445 billion as of December 31, 2013, respectively).

The main drivers for the above-shown improvements in the leverage ratios were our aforementioned capital increase, the issuance of CRR/CRD 4 compliant Additional Tier 1 Notes and our net income attributable to Deutsche Bank Shareholders in the first half of 2014, which together increased the respective capital measures.

In light of the introduction of the fully loaded CRR/CRD 4 leverage ratio, we discontinued both the calculation of our adjusted CRR/CRD 4 leverage ratio, which was calculated considering the phase-out methodology to derive an adjusted Tier 1 capital, as well as the adjusted IFRS leverage ratio, which was calculated after applying adjustments to reported total assets and total equity under IFRS.