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

 

Sep 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)

1,709

1,478

1,611

1,445

Total Delta to IFRS

 

(231)

 

(167)

Major exposure components and breakdown of delta to IFRS from:

 

 

 

 

Derivatives1

560

336

509

373

Delta to IFRS from

 

 

 

 

Netting

 

(458)

 

(401)

Add-on

 

234

 

266

Securities Financing Transactions2

175

43

207

44

Delta to IFRS from

 

 

 

 

Supervisory Volatility Adjustments Approach3

 

(132)

 

(163)

Remaining Assets

975

901

896

866

Delta to IFRS from

 

 

 

 

Pending Settlements Netting

 

(74)

 

(30)

Off-Balance Sheet Exposure

 

230

 

199

With 100 % credit conversion factor

 

215

 

185

With 50 % credit conversion factor

 

3

 

2

With 20 % credit conversion factor

 

8

 

8

With 10 % credit conversion factor

 

4

 

5

Adjustments4

 

(32)

 

(38)

 

 

 

 

 

Total equity (IFRS)

70.1

 

55.0

 

 

 

 

 

 

Fully loaded Tier 1 capital

 

49.5

 

34.0

 

 

 

 

 

IFRS Leverage Ratio (in x)

24.2

 

29.3

 

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

 

3.3

 

2.4

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

As of September 30, 2014, our fully loaded CRR/CRD 4 leverage ratio, which is a non-GAAP financial measure, was 3.3 %, compared with 2.4 % as of December 31, 2013, taking into account a fully loaded Tier 1 capital of € 49.5 billion over an applicable exposure measure of € 1,478 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 nine months 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.

On October 10, 2014 the European Commission adopted a delegate act which leads to substantial changes in the calculation of the leverage exposure measure for leverage ratio under a revised CRR/CRD 4 framework:

  • Written Credit Derivatives: The effective notional amount of written credit derivatives, i.e., the notional reduced by any negative fair value changes that have been incorporated in Tier 1 capital will be included in the leverage ratio exposure measure. The resulting exposure measure may be further reduced by the effective notional amount of a purchased credit derivative on the same reference name provided certain conditions are met.
  • Variation Margin Netting: Variation margin received in cash from counterparties will be deducted from the current replacement cost portion of the leverage ratio exposure measure and variation margin paid to counterparties will be deducted from the leverage ratio exposure measure related to receivables recognized as an asset on the balance sheet, provided certain conditions are met.
  • SFT: Gross receivables for securities financing transactions (SFT) are permitted to be netted with SFT payables if specific conditions are met. In addition to the gross exposure an add-on for the net counterparty exposure is required to be included in the SFT exposure measure. In the transition from Supervisory Volatility Adjustments Approach (SVAA) to the Net Exposure the haircuts are removed from the exposure measure.
  • Off-balance-sheet exposure: Off-balance sheet exposure will no longer be weighted 100 %, but rather the weighting of will be according to the credit risk conversion factors (CCF) of the standardized approach for credit risk of 0 %, 20 %, 50 %, or 100 %, which depend on the risk category, subject to a floor of 10 %.
  • Regulatory Adjustments: Modification of regulatory adjustments with respect to non deducted financial sector entities.

The following table provides an estimate of the potential impact of the revised CRR/CRD 4 rules on the leverage exposure measure:

Reconciliation of Revised Exposure Measures used for leverage ratio calculations

in € bn.

Sep 30, 2014

Exposure Measure for Leverage Ratio according to CRR/CRD 4

1,478

Changes to:

 

Written Credit Derivatives

79

Variation Margin Netting

(68)

SFT: Gross Receivables Inclusion & Transition from SVAA to Net Exposure

147

Off-Balance Sheet: Change of CCF

(89)

Regulatory Adjustments

(20)

Revised Exposure Measure for Leverage Ratio according to CRR/CRD 4

1,526

 

 

Fully loaded Tier 1 Capital

49.5

 

 

Revised fully loaded CRR/CRD 4 Leverage Ratio (in %) taking into account regulatory changes

3.2

As of September 30, 2014, our revised fully loaded CRR/CRD 4 leverage ratio, taking into account our expectation of the changes as outlined above, which is a non-GAAP financial measure, was 3.2 % taking into account a fully loaded Tier 1 capital of € 49.5 billion over an applicable exposure measure of € 1,526 billion.