Deutsche Bank

Annual Report 2016

Financial Position

 

 

 

2016 increase (decrease)
from 2015

in € m.

Dec 31, 2016

Dec 31, 2015

in € m.

in %

Cash and central bank balances

181,364

96,940

84,424

87

Interbank balances (w/o central banks)

11,606

12,842

(1,236)

(10)

Central bank funds sold, securities purchased under resale agreements and securities borrowed

36,368

56,013

(19,645)

(35)

Trading assets

171,044

196,035

(24,991)

(13)

Positive market values from derivative financial instruments

485,150

515,594

(30,444)

(6)

Financial assets designated at fair value through profit or loss

87,587

109,253

(21,666)

(20)

thereof:

 

 

 

 

Securities purchased under resale agreements

47,404

51,073

(3,669)

(7)

Securities borrowed

21,136

21,489

(353)

(2)

Loans

408,909

427,749

(18,840)

(4)

Securities held to maturity

3,206

0

3,206

N/M

Brokerage and securities related receivables

105,100

94,939

10,161

11

Remaining assets

100,213

119,765

(19,552)

(16)

Total assets

1,590,546

1,629,130

(38,584)

(2)

Deposits

550,204

566,974

(16,770)

(3)

Central bank funds purchased, securities sold under repurchase agreements and securities loaned

29,338

13,073

16,265

124

Trading liabilities

57,029

52,304

4,725

9

Negative market values from derivative financial instruments

463,858

494,076

(30,218)

(6)

Financial liabilities designated at fair value through profit or loss

60,492

44,852

15,640

35

thereof:

 

 

 

 

Securities sold under repurchase agreements

50,397

31,637

18,760

59

Securities loaned

1,298

554

744

134

Other short-term borrowings

17,295

28,010

(10,715)

(38)

Long-term debt

172,316

160,016

12,300

8

Brokerage and securities related payables

122,019

134,637

(12,618)

(9)

Remaining liabilities

53,176

67,564

(14,388)

(21)

Total liabilities

1,525,727

1,561,506

(35,779)

(2)

Total equity

64,819

67,624

(2,805)

(4)

Movements in Assets

As of December 31, 2016, total assets decreased by € 38.6 billion (or 2 %) compared to year-end 2015.

The overall decrease was primarily driven by a € 30.4 billion reduction in positive market values from derivative financial instruments, mainly attributable to interest rate movements as changes in interest rate curves were inversely correlated to changes in the mark-to-market values of our interest rate derivative products.

Trading assets decreased by € 25.0 billion, primarily driven by debt securities due to reduced client appetite and falling markets, as well as a result of de-risking of the trading portfolio in our Non-Core Operations Unit.

Central bank funds sold, securities purchased under resale agreements and securities borrowed, under both accrual and fair value accounting, decreased by € 23.7 billion, mainly driven by reductions in both client balance sheet and firm financing needs as well as from reduced short coverage requirements.

Loans decreased by € 18.8 billion mainly driven by managed reductions in Corporate & Investment Banking, primarily in Trade Finance/Cash Management, and our Non-Core Operations Unit, also with the aim to reduce risk weighted assets.

Financial assets designated at fair value through profit or loss, excluding securities purchased under resale agreements and securities borrowed which were already discussed above, decreased by € 17.6 billion mainly driven by the sale of Abbey Life in the fourth quarter.

Financial assets available for sale (reported as part of remaining assets) decreased by € 17.4 billion, mainly driven by sale activity in Strategic Liquidity Reserve bond positions with the intention of reducing risk weighted assets and the sale of Abbey Life.

These decreases were partly offset by increase in cash and central bank balances together with interbank balances by € 83.2 billion, primarily driven by increased repo activity in our Strategic Liquidity Reserve and other cash generating activities like the managed reduction of financial assets available for sale as discussed above.

Brokerage and securities related receivables increased by € 10.2 billion, mainly due to an increase in receivables from pending settlements from record low levels at year-end 2015.

Starting 2016, certain holdings in securities as part of our Strategic Liquidity Reserve are re-classified from financial assets available for sale to securities held to maturity. As of December 2016, the reported € 3.2 billion in securities held to maturity correspond to a decrease in the same amount in financial assets available for sale.

The overall movement of the balance sheet included an increase of € 7.2 billion due to foreign exchange rate movements mainly driven by strengthening of the U.S. dollar versus the Euro. The effects from foreign exchange rate movements are also reflected in the development of the balance sheet line items discussed in this section.

Movements in Liabilities

As of December 31, 2016, total liabilities decreased by € 35.8 billion (or 2 %) compared to year-end 2015.

The overall reduction was primarily driven by a € 30.2 billion decrease in negative market values from derivative financial instruments to record low levels primarily due to the same factors as the movements in positive market values from derivative financial instruments as discussed above.

Deposits decreased by € 16.8 billion during the period mainly driven by withdrawals in the third quarter influenced by the negative market perceptions concerning Deutsche Bank, partly offset by an increase in the fourth quarter due to various initiatives to acquire deposits, especially in Corporate and Investment Banking.

Brokerage and securities related payables decreased by € 12.6 billion primarily due to a decrease in prime brokerage payables, partly offset by an increase in payables from pending settlements from record low levels at year-end 2015.

Other short term borrowings decreased by € 10.7 billion mainly driven by reduction in commercial paper balances during the period, being replaced by other funding sources and from de-risking activities.

These decreases were partly offset by increase in central bank funds purchased, securities sold under repurchase agreements and securities loaned, under both accrual and fair value accounting, by € 35.8 billion, largely due to increased repo activity in our Strategic Liquidity Reserve and higher secured funding of highly liquid inventory.

Long-term debt increased by € 12.3 billion, primarily driven by funding raised via the ECB’s Targeted Long Term Refinancing Operations (TLTRO).

Trading liabilities increased by € 4.7 billion, mainly due to new business and hedging activity coupled with decreased netting due to reduced client positions.

Similar to total assets, foreign exchange rate movements during the period had an offsetting impact which is already embedded in the overall movements in liabilities as discussed in this section.

Liquidity

Liquidity reserves amounted to € 219 billion as of December 31, 2016 (compared to € 215 billion as of December 31, 2015). We maintained a positive liquidity stress result as of December 31, 2016 (under the combined scenario).

Equity

Total Equity as of December 31, 2016 decreased by € 2.8 billion. The main factors contributing to this development were a net loss attributable to Deutsche Bank shareholders of € 1.4 billion, a reduction of accumulated other comprehensive income by € 854 million and re-measurement losses related to defined benefit plans of € 517 million. The reduction of accumulated other comprehensive income was mostly related to the dispositions of Hua Xia and Abbey Life, while net unrealized gains from exchange rate changes (especially in the U.S dollar) were partly offsetting.

Regulatory Capital

Our CET 1 capital according to CRR/CRD 4 as of December 31, 2016 was € 47.8 billion, compared to € 52.4 billion as of December 31, 2015. Risk-weighted assets according to CRR/CRD 4 decreased to € 356.2 billion as of December 31, 2016, compared to € 397.4 billion as of December 31, 2015. Due to this decrease in risk-weighted assets the CRR/CRD 4 CET 1 capital ratio as of December 31, 2016 increased to 13.4 % compared to 13.2 % as of December 31, 2015.

Our fully loaded CRR/CRD 4 CET 1 capital as of December 31, 2016 amounted to € 42.3 billion compared to € 44.1 billion as of December 31, 2015. Fully loaded CRR/CRD 4 RWA were € 357.5 billion resulting in a fully loaded CRR/CRD 4 CET 1 capital ratio of 11.8 %, with corresponding amounts of € 396.7 billion and 11.1 % in 2015. For details of the development please refer to “Management Report: Risk and Capital Performance: Capital and Leverage Ratio”.

Amendments to IAS 39 and IFRS 7, “Reclassification of Financial Assets”

As of December 31, 2016 and December 31, 2015 the carrying value of reclassified assets was € 619 million and € 4.4 billion, respectively, compared with a fair value of € 519 million and € 4.3 billion as of December 31, 2016 and December 31, 2015, respectively. These assets were held in the NCOU.

Please refer to Note 13 “Amendments to IAS 39 and IFRS 7, ‘Reclassification of Financial Assets’” for additional information on these assets and on the impact of their reclassification.