Regulatory Capital

Starting January 1, 2014, the calculation of our regulatory capital is based on the Basel 3 framework as implemented by the “Regulation (EU) No 575/2013 on prudential requirements for credit institutions and investment firms” as amended (Capital Requirements Regulation, or “CRR”), and the “Directive 2013/36/EU on access to the activity of credit institutions and the prudential supervision of credit institutions and investment firms” as amended (Capital Requirements Directive 4, or “CRD 4”) published on June 27, 2013 and implemented into German law by means of further amendments to the German Banking Act (KWG) and the German Solvency Regulation (SolvV) and accompanying regulations. Comparatives for year-end 2013 are provided on a pro forma basis as at that time the preceding Basel 2.5 framework as implemented into European and German law was still applicable. The information in this section as well as in the section “Development of risk-weighted Assets” is based on the regulatory principles of consolidation.

Under the CRR/CRD 4 transitional rules, capital instruments no longer eligible are phased-out while the new rules on regulatory adjustments are phased-in. These provisions are allowed in order to ease the transition for banks to the fully loaded capital rules. The fully loaded CRR/CRD 4 metrics do not take these transitional rules into account, (i.e. all capital instruments no longer eligible are excluded and all new regulatory adjustments are applied). In some cases, CRR/CRD 4 left in place unchanged transitional rules that had been adopted in earlier capital adequacy frameworks through Basel 2.5 regarding the risk weighting of certain categories of assets. These include rules permitting the grandfathering of equity investments at a risk-weight of 100 % and allowing the selection of the greater position of long and short positions as the basis for measurement in the Market Risk Standardized Approach rather than the sum of both long and short positions. In these cases, our CRR/CRD 4 methodology assumes that the impact of the expiration of these transitional rules will be mitigated through sales of the underlying assets or other measures prior to the expiration of the grandfathering provisions.

Summary of Regulatory Capital, RWA and Capital Ratios

 

Sep 30, 2014

Dec 31, 2013

in € m.

CRR/CRD 4 fully-loaded

CRR/CRD 4

Pro forma CRR/CRD 4 fully-loaded

Pro forma CRR/CRD 4

Basel 2.5

1

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”).

Common Equity Tier 1 capital before regulatory adjustments

64,741

64,838

53,846

53,557

53,558

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

(18,735)

(5,202)

(19,850)

(1,824)

(15,024)

Common Equity Tier 1 (CET 1) capital

46,006

59,636

33,995

51,733

38,534

Additional Tier 1 (AT1) capital before regulatory adjustments

3,468

13,992

0

11,741

12,701

Total regulatory adjustments to Additional Tier 1 (AT1) capital1

0

(10,961)

0

(12,785)

(519)

Additional Tier 1 (AT1) capital

3,468

3,030

0

0

12,182

Tier 1 capital (T1 = CET 1 + AT1)

49,474

62,666

33,995

51,733

50,717

Tier 2 (T2) capital before regulatory adjustments

13,148

5,654

14,291

6,085

7,787

Total regulatory adjustments to Tier 2 (T2) capital

(37)

(485)

(107)

(906)

(3,040)

Tier 2 (T2) capital

13,111

5,170

14,184

5,179

4,747

Total Regulatory capital (TC = T1 + T2)

62,585

67,836

48,179

56,912

55,464

Total risk-weighted assets

401,505

404,432

350,143

355,127

300,369

 

 

 

 

 

 

Capital ratios

 

 

 

 

 

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

11.5

14.7

9.7

14.6

12.8

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

12.3

15.5

9.7

14.6

16.9

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

15.6

16.8

13.8

16.0

18.5

Regulatory Capital, RWA and Capital Ratios

 

Sep 30, 2014

Dec 31, 2013

in € m.

CRR/CRD 4 fully-loaded

CRR/CRD 4

Pro forma CRR/CRD 4 fully-loaded

Pro forma CRR/CRD 4

Basel 2.5

N/M – Not meaningful

1

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

2

Final draft technical standard published by EBA is not yet adopted by European Commission.

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 “Konzernabschlussüberleitungsverordnung”).

8

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

9

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

10

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”).

11

Includes silent participations of € 16 million as of September 30, 2014 and of € 20 million as of December 31, 2013.

12

Amortisation is taken into account.

13

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.

14

Art. 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. Art. 92 (1) (a) CRR requires a minimum Common Equity Tier 1 capital ratio of 4.5 % excluding additional capital buffer for the years after the aforementioned period.

15

Countercyclical buffer rates not yet available.

16

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

17

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

36,873

36,873

28,789

28,789

28,789

Thereof: Ordinary shares1

36,873

36,873

28,789

28,789

28,789

Retained earnings

26,927

26,927

27,194

27,194

27,195

Accumulated other comprehensive income (loss), net of tax

562

539

(2,039)

(2,457)

(2,457)

Funds for general banking risk

0

0

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

0

N/M

Public sector capital injections grandfathered until January 1, 2018

N/M

N/M

N/M

N/M

N/M

Noncontrolling Interests (amount allowed in consolidated CET 1)

0

120

0

130

130

Independently reviewed interim profits net of any foreseeable charge or dividend

379

379

(98)

(98)

(98)

Common Equity Tier 1 capital before regulatory adjustments

64,741

64,838

53,846

53,557

53,558

 

 

 

 

 

 

Common Equity Tier 1 capital: regulatory adjustments

 

 

 

 

 

Additional value adjustments (negative amount)2

N/M

N/M

N/M

N/M

N/M

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

(12,544)

(2,509)

(11,466)

0

(11,466)

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)

(2,252)

(450)

(2,203)

0

0

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

(179)

(179)

(93)

(93)

0

Negative amounts resulting from the calculation of expected loss amounts

(730)

(150)

(987)

0

(430)

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

0

0

0

0

0

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

(453)

(126)

(533)

3

(1)

Defined benefit pension fund assets (negative amount)

(780)

(156)

(663)

0

0

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

(71)

(14)

(36)

0

(3)

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

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

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

0

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

0

0

(945)

Thereof:

 

 

 

 

 

Qualifying holdings outside the financial sector (negative amount)

0

0

0

0

0

Securitization positions (negative amount)

0

0

0

0

(945)

Free deliveries (negative amount)

0

0

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)

(408)

(82)

(1,667)

0

0

Amount exceeding the 15 % threshold (negative amount)

(975)

(154)

(1,828)

0

0

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

(389)

(61)

(839)

0

0

Deferred tax assets arising from temporary differences

(587)

(92)

(989)

0

0

Losses for the current financial year (negative amount)

0

0

0

0

0

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

N/M

0

N/M

0

N/M

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

N/M

(1,039)

N/M

(316)

(215)

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

(343)

(343)

(374)

(374)

(374)

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

0

0

0

(1,044)

0

Other regulatory adjustments

0

0

0

0

0

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

(18,735)

(5,202)

(19,850)

(1,824)

(15,024)

Common Equity Tier 1 (CET 1) capital

46,006

59,636

33,995

51,733

38,534

 

 

 

 

 

 

Additional Tier 1 (AT1) capital: instruments

 

 

 

 

 

Capital instruments and the related share premium accounts

3,468

3,468

0

0

12,701

Thereof:

 

 

 

 

 

Classified as equity under applicable accounting standards

3,468

3,468

0

0

0

Classified as liabilities under applicable accounting standards

0

0

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

10,524

N/M

11,741

N/M

Public sector capital injections grandfathered until January 1, 2018

N/M

N/M

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

0

Thereof: instruments issued by subsidiaries subject to phase out

N/M

0

N/M

0

N/M

Additional Tier 1 (AT1) capital before regulatory adjustments

3,468

13,992

0

11,741

12,701

 

 

 

 

 

 

Additional Tier 1 (AT1) capital: regulatory adjustments

 

 

 

 

 

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

0

(503)

0

(519)

(519)

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

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 shortpositions) (negative amount)5

0

0

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

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

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

(10,458)

N/M

(12,266)

N/M

Thereof:

 

 

 

 

 

Intangible assets

N/M

(10,035)

N/M

(11,466)

N/M

Shortfall of provisions to expected losses

N/M

(301)

N/M

(500)

N/M

Significant investments in the capital of other financial sector entities

N/M

(122)

N/M

(299)

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

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

0

N/M

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

0

0

0

0

0

Total regulatory adjustments to Additional Tier 1 (AT1) capital10

0

(10,961)

0

(12,785)

(519)

Additional Tier 1 (AT1) capital

3,468

3,030

0

0

12,182

Tier 1 capital (T1 = CET 1 + AT1)11

49,474

62,666

33,995

51,733

50,717

 

 

 

 

 

 

Tier 2 (T2) capital: instruments and provisions

 

 

 

 

 

Capital instruments and the related share premium accounts12

12,159

2,866

14,291

4,834

7,787

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

1,450

N/M

1,251

N/M

Public sector capital injections grandfathered until January 1, 2018

N/M

N/M

N/M

N/M

N/M

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

989

1,338

0

0

0

Thereof: instruments issued by subsidiaries subject to phase out

N/M

0

N/M

0

N/M

Credit risk adjustments

0

0

0

0

0

Tier 2 (T2) capital before regulatory adjustments

13,148

5,654

14,291

6,085

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)9

(37)

(61)

(107)

(107)

(75)

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

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

0

0

Thereof:

 

 

 

 

 

New holdings not subject to transitional arrangements

N/M

N/M

N/M

N/M

N/M

Holdings existing before January 1, 2013 and subject to transitional arrangements

N/M

N/M

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

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

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

(423)

N/M

(799)

N/M

Thereof:

 

 

 

 

 

Shortfall of provisions to expected losses

N/M

(301)

N/M

(500)

N/M

Significant investments in the capital of other financial sector entities

N/M

(122)

N/M

(299)

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

0

N/M

Thereof:

 

 

 

 

 

Reciprocal cross holdings in AT1 instruments

N/M

0

N/M

0

N/M

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

N/M

0

N/M

0

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

0

0

0

(2,965)

Total regulatory adjustments to Tier 2 (T2) capital

(37)

(485)

(107)

(906)

(3,040)

Tier 2 (T2) capital

13,111

5,170

14,184

5,179

4,747

Total Regulatory capital (TC = T1 + T2)

62,585

67,836

48,179

56,912

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)13

N/M

0

N/M

0

N/M

Thereof:

 

 

 

 

 

Items not deducted from CET 1 (CRR residual amounts)

N/M

0

N/M

0

N/M

Items not deducted from AT1 items (CRR residual amounts)

N/M

0

N/M

0

N/M

Items not deducted from T2 items (CRR residual amounts)

N/M

0

N/M

0

N/M

Thereof:

 

 

 

 

 

Indirect and synthetic holdings of own T2 instruments

N/M

0

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

0

N/M

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

N/M

0

N/M

0

N/M

Total risk-weighted assets

401,505

404,432

350,143

355,127

300,369

Thereof:

 

 

 

 

 

Credit Risk

248,136

251,063

219,967

224,951

202,219

Credit Valuation Adjustment (CVA)

18,617

18,617

12,389

12,389

N/M

Market Risk

71,688

71,688

66,896

66,896

47,259

Operational Risk

63,064

63,064

50,891

50,891

50,891

Capital ratios and buffers

 

 

 

 

 

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

11.5

14.7

9.7

14.6

12.8

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

12.3

15.5

9.7

14.6

16.9

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

15.6

16.8

13.8

16.0

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)14

9.0

4.0

9.0

4.0

0.0

Thereof:

 

 

 

 

 

Capital conservation buffer requirement

2.5

0.0

2.5

0.0

0.0

Countercyclical buffer requirement15

N/M

N/M

N/M

N/M

N/M

Systemic risk buffer requirement

0.0

0.0

0.0

0.0

0.0

Global Systemically Important Institution (G-SII) or Other Systemically Important Institution (O-SII) buffer16

2.0

0.0

2.0

0.0

0.0

Common Equity Tier 1 capital available to meet buffers (as a percentage of risk-weighted assets)17

5.5

9.2

3.7

9.1

0.0

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

3,359

3,359

3,097

3,097

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 below 10 % threshold and net of eligible short positions)6

2,749

2,831

2,340

2,580

0

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)

4,152

4,277

2,760

3,044

0

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

0

0

0

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

419

419

488

488

0

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

0

0

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

1,020

1,020

984

984

894

Capital instruments subject to phase-out arrangements

 

 

 

 

 

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

N/M

0

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

0

N/M

Current cap on AT1 instruments subject to phase-out arrangements

N/M

10,021

N/M

11,273

N/M

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

N/M

1,124

N/M

0

N/M

Current cap on T2 instruments subject to phase-out arrangements

N/M

2,908

N/M

3,271

N/M

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

N/M

0

N/M

0

N/M

Reconciliation of shareholders’ equity to regulatory capital

 

Sep 30, 2014

Dec 31, 2013

in € m.

CRR/CRD 4 fully-loaded

CRR/CRD 4

Pro forma CRR/CRD 4 fully-loaded

Pro forma CRR/CRD 4

Basel 2.5

Total shareholders’ equity per accounting balance sheet

66,352

66,352

54,719

54,719

54,719

Deconsolidation / Consolidation of entities

(765)

(765)

(110)

(110)

(110)

Thereof:

 

 

 

 

 

Additional paid-in capital

(11)

(11)

(12)

(12)

(12)

Retained earnings

(778)

(778)

(516)

(516)

(516)

Accumulated other comprehensive income, net of tax

23

23

418

418

418

Total shareholders’ equity per regulatory balance sheet

65,587

65,587

54,609

54,609

54,609

Noncontrolling interest based on transitional rules

0

120

0

130

130

Dividend accrual

(846)

(846)

(765)

(765)

(765)

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

0

(23)

0

(418)

(418)

Other

0

0

0

0

0

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

64,741

64,838

53,846

53,557

53,558

Development of Risk-weighted Assets

The tables below provide an overview of risk-weighted assets broken down by model approach and business division. They include the aggregated effects of reallocations between the segments.

For the current reporting date the amounts presented are based on the CRR/CRD 4 framework according to the transitional rules. The amounts for the comparative period are presented on the then prevailing Basel 2.5 framework.

In line with our decision to scale down and discontinue parts of our commodities business, certain portfolios containing discontinued activities were aggregated under the Special Commodities Group (SCG), which has been subsequently transferred from CB&S to NCOU in the first quarter of 2014. The amounts for credit, market and operational risk RWA for the comparative period have been restated including related effects from reallocations between the segments, accordingly.

Risk-weighted Assets by Model Approach and Business Division

 

Sep 30, 2014
CRR/CRD 4

in € m.

Corporate Banking & Securities

Private & Business Clients

Global Transaction Banking

Deutsche Asset & Wealth Management

Non-Core Operations Unit

Consoli­dation & Adjustments and Other

Total

Credit Risk

88,190

69,976

41,482

7,098

22,162

22,155

251,063

Segmental reallocation

(1,802)

463

2,712

293

181

(1,847)

0

Advanced IRBA

80,405

52,946

31,797

3,206

12,630

1,667

182,651

Central Governments

3,608

66

943

0

53

206

4,876

Institutions

9,450

1,693

2,856

85

778

84

14,946

Corporates

59,872

8,239

26,712

2,722

5,964

1,245

104,755

Retail

112

36,947

34

107

833

0

38,033

Other

7,362

6,000

1,253

292

5,002

131

20,040

Foundation IRBA

0

2,044

0

0

1

0

2,044

Central Governments

0

0

0

0

0

0

0

Institutions

0

1

0

0

0

0

1

Corporates

0

2,043

0

0

1

0

2,044

Retail

0

0

0

0

0

0

0

Other

0

0

0

0

0

0

0

Other IRBA

5,256

6,932

116

542

2,611

12,839

28,297

Central Governments

0

0

0

0

0

0

0

Institutions

332

82

0

0

0

1,680

2,094

Corporates

1,877

3,285

98

0

63

0

5,323

Retail

0

0

0

0

0

0

0

Other

3,046

3,565

19

542

2,548

11,160

20,879

Standardized Approach

4,331

7,591

6,857

3,058

6,739

9,496

38,071

Central Governments

3

69

29

2

0

18

122

Institutions

644

93

25

24

32

34

852

Corporates

3,083

1,768

5,803

1,217

3,000

690

15,561

Retail

12

4,566

816

46

2,379

20

7,839

Other

589

1,094

183

1,769

1,327

8,735

13,697

Credit Valuation Adjustment (CVA)

13,778

426

1

394

4,016

1

18,617

Internal Model Approach

13,481

363

1

392

3,941

1

18,180

Standardized Approach

297

63

0

2

75

0

437

Market Risk

52,440

82

216

2,256

16,693

0

71,688

Internal Model Approach

32,579

0

216

1,206

8,470

0

42,471

Standardized Approach

19,861

82

0

1,050

8,223

0

29,217

Operational Risk

29,200

9,499

1,194

6,078

17,093

0

63,064

Advanced measurement approach

29,200

9,499

1,194

6,078

17,093

0

63,064

Total

183,608

79,983

42,894

15,826

59,964

22,157

404,432

 

Dec 31, 2013
Basel 2.5

in € m.

Corporate Banking & Securities

Private & Business Clients

Global Transaction Banking

Deutsche Asset & Wealth Management

Non-Core Operations Unit

Consoli­dation & Adjustments and Other

Total

Credit Risk

58,952

65,909

35,418

5,809

25,298

10,832

202,219

Segmental reallocation

(850)

553

1,912

259

277

(2,152)

0

Advanced IRBA

53,598

42,651

26,140

2,589

14,104

813

139,894

Central Governments

2,922

90

896

5

258

181

4,353

Institutions

5,401

803

1,921

80

959

12

9,175

Corporates

40,970

5,638

22,378

2,398

9,394

620

81,397

Retail

124

35,844

33

106

1,027

0

37,134

Other

4,181

276

911

0

2,466

0

7,834

Foundation IRBA

0

5,937

0

0

264

0

6,202

Central Governments

0

0

0

0

2

0

2

Institutions

0

1,059

0

0

261

0

1,320

Corporates

0

4,879

0

0

1

0

4,880

Retail

0

0

0

0

0

0

0

Other

0

0

0

0

0

0

0

Other IRBA

2,330

8,046

87

440

3,163

2,424

16,490

Central Governments

0

0

0

0

0

0

0

Institutions

0

0

0

0

0

0

0

Corporates

1,367

4,630

67

0

2

0

6,067

Retail

0

0

0

0

0

0

0

Other

963

3,415

20

440

3,161

2,424

10,424

Standardized Approach

3,874

8,722

7,279

2,521

7,489

9,748

39,633

Central Governments

61

73

39

0

40

0

213

Institutions

28

116

12

8

32

1

198

Corporates

2,868

2,004

6,106

937

2,850

470

15,235

Retail

10

4,654

916

49

2,627

0

8,257

Other

906

1,876

206

1,526

1,941

9,275

15,729

Market Risk

33,435

128

562

2,085

11,050

0

47,259

Internal Model Approach

28,118

0

562

1,102

9,930

0

39,712

Standardized Approach

5,317

128

0

983

1,120

0

7,547

Operational Risk

22,342

6,964

832

4,659

16,095

0

50,891

Advanced measurement approach

22,342

6,964

832

4,659

16,095

0

50,891

Total

114,729

73,001

36,811

12,553

52,443

10,832

300,369

The development of risk-weighted assets in the first nine months of 2014 was mainly impacted by the application of the new solvency rules under the CRR/CRD 4 framework, reflecting an increase in credit and market risk as well as introducing the new credit valuation adjustment charge.

The tables below provide an analysis of key drivers for risk-weighted asset movements observed for credit, market and operational risk in the reporting period. The comparative numbers for 2013 are presented on a Basel 2.5 basis and the current reporting period also starts the Basel 2.5 values at the beginning of the year. The end of period amounts are then based upon CRR/CRD 4 transitional rules. The changes in RWA due to the application of the new solvency rules under the CRR/CRD 4 framework are included in the methodology and policy category.

Development of Risk-weighted Assets for Credit Risk

 

Nine months ended
Sep 30, 2014
CRR/CRD 4

Twelve months ended
Dec 31, 2013
Basel 2.5

in € m.

Counterparty credit risk

Thereof: derivatives and repo-style transactions

Counterparty credit risk

Thereof: derivatives and repo-style transactions

1

RWA balances beginning of the year 2014 are based on Basel 2.5.

Credit risk RWA balance, beginning of year

202,2191

29,4541

228,952

35,274

Book size

4,187

(1,113)

(4,516)

(2,167)

Book quality

(838)

1,795

(9,701)

(2,247)

Model updates

10,376

10,376

(2,061)

0

Methodology and policy

24,110

297

0

0

Acquisition and disposals

(1,711)

(62)

(5,467)

(3)

Foreign exchange movements

8,620

2,379

(4,988)

(1,403)

Other

4,101

0

0

0

Credit risk RWA balance, end of period

251,063

43,126

202,219

29,454

The category “Book size” considers organic changes in our portfolio size and composition. “Book quality” mainly represents the effects from portfolio rating migrations, loss given default, model parameter re-calibrations as well as collateral coverage activities. Model refinements and advanced model roll out are included in “Model updates”. RWA movements resulting from external, regulatory-driven changes, e.g. applying new regulations, are considered in the “Methodology and policy” section. “Acquisition and disposals” is reserved to show significant exposure movements which can be clearly assigned to new businesses and disposal-related activities. Changes that cannot be attributed to the above categories are reflected in the category “Other”.

The increase in RWA for credit risk by € 48.8 billion or 24 % since December 31, 2013 is significantly determined by the introduction of the new CRR/CRD 4 regulatory framework. This effect is shown in the “Methodology and policy” category. The RWA change in the category “Model updates” represents the impact of a more restrictive application of the maturity capping which allows the bank to use a maturity of 1 year when calculating the credit risk RWA for derivatives depending on the market risk model applied for the Credit Valuation Adjustment (CVA) RWA as well as a model change for our Internal Model Method impacting Derivatives RWA. The increase in the category “Book size” predominantly shows the extended activities in our core business partially offset by lower volumes in Derivatives & Security Financing business as well as from reduction efforts resulting from de-risking activities in our non-core business. The decrease in the category “Acquisition and Disposals” primarily shows the impact of the sale of BHF-BANK in the first quarter 2014. The increase in the category “Other” mainly reflects effects on RWA in relation to applying the 10/15 % threshold rule subsequent to our share capital increase in the second quarter 2014.

On a fully loaded basis movements in RWA for credit risk in 2014 are quite comparable to the movements under the transitional rules mainly reflecting the introduction of the new CRR/CRD 4 regulatory framework. As of September 30, 2014, fully loaded RWA amounted to € 248.1 billion with the € 2.9 billion lower level compared with the RWA under transitional rules mainly attributable to lower RWA from our pension fund assets.

Development of Risk-weighted Assets for Credit Valuation Adjustment

Based on the new CRR/CRD 4 regulatory framework, we are required to calculate RWA using the CVA which takes into account the credit quality of our counterparties. RWA for CVA covers the risk of mark-to-market losses on the expected counterparty risk in connection with OTC derivative exposures. We calculate the majority of the CVA based on our own internal model as approved by BaFin. As of September 30, 2014, the RWA for CVA amounted to € 18.6 billion, representing an increase of € 6.2 billion (50 %) compared with our pro forma calculation of € 12.4 billion for December 31, 2013. The increase was driven by changes to the portfolio as part of regular business activities throughout the year, but also due to re-optimisation of the CVA RWA hedging program and market volatility. During the third quarter de-risking efforts accelerated in both core and non-core business units which contributed to the decline in our CVA RWA consumption since the end of the second quarter when it had stood at € 21.3 billion.

Development of Risk-weighted Assets for Market Risk

in € m.

Nine months ended
Sep 30, 2014
CRR/CRD 4

Twelve months ended
Dec 31, 2013
Basel 2.5

1

RWA balances beginning of the year 2014 are based on Basel 2.5.

Market risk RWA balance, beginning of year

47,2591

53,058

Movement in risk levels

3,881

(8,598)

Market data changes and recalibrations

(1,492)

1,136

Model updates

442

542

Methodology and policy

19,770

1,200

Acquisitions and disposals

(81)

0

Foreign exchange movements

1,909

(79)

Market risk RWA balance, end of period

71,688

47,259

The analysis for market risk covers movements in our internal models for value-at-risk, stressed value-at-risk, incremental risk charge and comprehensive risk measure as well as results from the market risk standardized approach, e.g. for trading securitizations and nth-to-default derivatives or trading exposures for Postbank. The market risk RWA movements due to changes in market data levels, volatilities, correlations, liquidity and ratings are included under the market data changes and recalibrations category. Changes to our market risk RWA internal models, such as methodology enhancements or risk scope extensions, are included in the category of model updates. In the methodology and policy category we reflect regulatory driven changes to our market risk RWA models and calculations. Significant new businesses and disposals would be assigned to the line item acquisition and disposals.

The € 24.4 billion (52 %) RWA increase for market risk since December 31, 2013 was primarily driven by increases in the category methodology and policy as well as movement in risk levels. There is an € 18.6 billion RWA increase for methodology and policy primarily from the Market Risk Standardized Approach for securitizations due to the new regulatory CRR/CRD 4 framework, which became effective on January 1, 2014. In the new framework we assign all retained securitization positions that are unrated or rated below BB a risk weight of 1,250 % to the exposure and these are now included in RWA whereas these exposures were previously considered capital deduction items. Also, under the new framework there is some increase in the floor applied to the comprehensive risk measure for the correlation trading portfolio although this has now been offset by de-risking. There has been an increase from movements in risk levels since December 31, 2013 although some of these increases have been reduced during the third quarter. The main increases in risk levels have been across the Market Risk Standardized Approach for securitizations, the value-at-risk and stressed value-at-risk measures. There has also been an increase from Foreign exchange movements in the year to date mainly in the third quarter.

Development of Risk-weighted Assets for Operational Risk

in € m.

Nine months ended
Sep 30, 2014
CRR/CRD 4

Twelve months ended
Dec 31, 2013
Basel 2.5

1

RWA balances beginning of the year 2014 are based on Basel 2.5.

Operational risk RWA balance, beginning of year

50,8911

51,595

Loss profile changes (internal and external)

5,295

2,623

Expected loss development

49

(959)

Forward looking risk component

(715)

(515)

Model updates

7,652

1,885

Methodology and policy

0

0

Acquisitions and disposals

(109)

(3,738)

Operational risk RWA balance, end of period

63,064

50,891

The overall RWA increase of € 12.2 billion was mainly driven by our early recognition of enhancements to our Advanced Measurement Approach (AMA) model in the second quarter which led to additional RWA of € 7.7 billion. From the third quarter, further effects from the model change related reasonably possible litigation losses, € 3.1 billion for the third quarter, are shown under the category “loss profile changes”.

The increase of the loss profile changes resulted from large external market operational risk events which are reflected in our AMA model such as settlements of regulatory matters by financial institutions and from higher reasonably possible litigation losses add-ons.

The embedded impacts from the AMA model enhancements on the other operational risk RWA components, specifically on the expected loss, are expected to materialize subsequently to the awaited BaFin model approval and implementation of the model changes.