Deutsche Bank

Annual Report 2016

Credit Exposure from Derivatives

All exchange traded derivatives are cleared through central counterparties (“CCPs”), the rules and regulations of which provide for daily margining of all current and future credit risk positions emerging out of such transactions. To the extent possible, we also use CCP services for OTC derivative transactions (“OTC clearing”); we thereby benefit from the credit risk mitigation achieved through the CCP’s settlement system.

The Dodd-Frank Wall Street Reform and Consumer Protection Act (“DFA”) provides for an extensive framework for the regulation of OTC derivatives, including mandatory clearing, exchange trading and transaction reporting of certain OTC derivatives, as well as rules regarding the registration of, and capital, margin and business conduct standards for, swap dealers, security-based swap dealers, major swap participants and major security-based swap participants. The DFA and related Commodity Futures Trading Commission (“CFTC”) rules introduced in 2013 mandatory OTC clearing in the United States for certain standardized OTC derivative transactions, including certain interest rate swaps and index credit default swaps. The European Regulation (EU) No 648/2012 on OTC Derivatives, Central Counterparties and Trade Repositories (“EMIR”) introduced a number of risk mitigation techniques for non-centrally cleared OTC derivatives in 2013 and the reporting of OTC and exchange traded derivatives in 2014. Mandatory clearing for certain standardized OTC derivatives transactions in the EU began in June 2016, and margin requirements for uncleared OTC derivative transactions in the EU started in February 2017, beginning with the initial margin requirement, which followed a phased implementation schedule, and followed by the variation margin requirement, which started March 2017.

The CFTC adopted final rules in 2016 that require additional interest rate swaps to be cleared, with a phased implementation schedule ending in October 2018. In December 2016, also pursuant to the DFA, the CFTC re-proposed regulations to impose position limits on certain commodities and economically equivalent swaps, futures and options. This proposal has not yet been finalized. The Securities and Exchange Commission (“SEC”) has also finalized rules regarding registration, business conduct standards and trade acknowledgement and verification requirements for security-based swap dealers and major security-based swap participants, although these rules will not come into effect until the SEC completes further security-based swap rulemakings. Finally, U.S. prudential regulators (the OCC, Federal Reserve, FDIC, Farm Credit Administration and FHFA) and the CFTC have adopted final rules establishing margin requirements for non-cleared swaps and security-based swaps. The final margin rules follow a phased implementation schedule, with certain initial margin and variation margin requirements in effect as of September 2016, additional variation margin requirements in effect as of March 1, 2017, and additional initial margin requirements phased in on an annual basis from September 2017 through September 2020, with the relevant compliance dates depending in each case on the transactional volume of the parties and their affiliates.

The following table shows a breakdown of notional amounts and gross market value of derivative transactions along with a breakdown of notional amounts of OTC derivative assets and liabilities on the basis of clearing channel.

Notional amounts of derivatives on basis of clearing channel and type of derivative

 

Dec 31, 2016

 

Notional amount maturity distribution

 

 

 

in € m.

Within 1 year

> 1 and ≤ 5 years

After 5 years

Total

Positive market value

Negative market value

Net market value

Interest rate related:

 

 

 

 

 

 

 

OTC

13,214,990

8,828,544

6,102,510

28,146,044

309,405

284,954

24,451

Bilateral (Amt)

2,777,349

3,625,915

2,645,075

9,048,340

272,059

248,396

23,664

CCP (Amt)

10,437,641

5,202,629

3,457,434

19,097,704

37,346

36,558

787

Exchange-traded

5,013,591

1,387,444

1,174

6,402,209

326

394

(68)

Total Interest rate related

18,228,581

10,215,988

6,103,684

34,548,253

309,731

285,348

24,382

Currency related:

 

 

 

 

 

 

 

OTC

3,994,113

1,053,558

537,044

5,584,715

129,731

126,480

3,251

Bilateral (Amt)

3,938,295

1,053,434

537,044

5,528,773

129,288

126,049

3,239

CCP (Amt)

55,818

124

0

55,942

443

431

12

Exchange-traded

29,431

398

35

29,864

6

54

(48)

Total Currency related

4,023,544

1,053,956

537,078

5,614,579

129,738

126,534

3,203

Equity/index related:

 

 

 

 

 

 

 

OTC

366,170

168,529

25,313

560,012

20,358

23,692

(3,334)

Bilateral (Amt)

366,170

168,529

25,313

560,012

20,358

23,692

(3,334)

CCP (Amt)

0

0

0

0

0

0

0

Exchange-traded

472,888

74,045

9,006

555,939

6,172

8,575

(2,402)

Total Equity/index related

839,058

242,574

34,319

1,115,951

26,531

32,266

(5,736)

Credit derivatives related

 

 

 

 

 

 

 

OTC

297,563

1,076,954

142,572

1,517,089

21,297

22,399

(1,102)

Bilateral (Amt)

157,950

298,313

58,852

515,115

7,426

8,238

(811)

CCP (Amt)

139,613

778,640

83,720

1,001,974

13,870

14,161

(291)

Exchange-traded

0

0

0

0

0

0

0

Total Credit derivatives related

297,563

1,076,954

142,572

1,517,089

21,297

22,399

(1,102)

Commodity related:

 

 

 

 

 

 

 

OTC

2,660

1,657

9,222

13,539

479

653

(175)

Bilateral (Amt)

2,660

1,657

9,222

13,539

479

653

(175)

CCP (Amt)

0

0

0

0

0

0

0

Exchange-traded

53,757

8,766

0

62,523

440

503

(63)

Total Commodity related

56,417

10,423

9,222

76,062

918

1,156

(238)

Other:

 

 

 

 

 

 

 

OTC

13,994

6,856

98

20,948

443

719

(276)

Bilateral (Amt)

13,963

6,856

98

20,917

433

698

(265)

CCP (Amt)

31

0

0

31

10

21

(11)

Exchange-traded

4,929

0

0

4,929

10

29

(18)

Total Other

18,923

6,856

98

25,877

453

747

(295)

Total OTC business

17,889,490

11,136,098

6,816,759

35,842,347

481,712

458,897

22,816

Total bilateral business

7,256,387

5,154,704

3,275,604

15,686,696

430,043

407,725

22,318

Total CCP business

10,633,102

5,981,394

3,541,155

20,155,651

51,669

51,172

497

Total exchange-traded business

5,574,597

1,470,653

10,214

7,055,464

6,954

9,555

(2,600)

Total

23,464,086

12,606,751

6,826,973

42,897,811

488,667

468,451

20,215

Positive market values after netting and cash collateral received

0

0

0

0

44,784

0

0

 

Dec 31, 2015

 

Notional amount maturity distribution

 

 

 

in € m.

Within 1 year

> 1 and ≤ 5 years

After 5 years

Total

Positive market value

Negative market value

Net market value

Interest rate related:

 

 

 

 

 

 

 

OTC

10,955,593

9,682,810

6,375,377

27,013,781

345,998

325,179

20,819

Bilateral (Amt)

3,906,875

4,952,043

3,205,837

12,064,755

316,736

298,220

18,516

CCP (Amt)

7,048,718

4,730,767

3,169,540

14,949,025

29,261

26,959

2,302

Exchange-traded

4,452,134

1,400,495

3,742

5,856,371

272

237

35

Total Interest rate related

15,407,727

11,083,305

6,379,119

32,870,152

346,270

325,416

20,854

Currency related:

 

 

 

 

 

 

 

OTC

4,672,846

1,134,801

531,085

6,338,731

116,007

115,379

628

Bilateral (Amt)

4,644,414

1,134,686

531,085

6,310,184

115,900

115,270

630

CCP (Amt)

28,432

115

0

28,547

107

109

(2)

Exchange-traded

33,064

15

0

33,079

109

174

(65)

Total Currency related

4,705,910

1,134,815

531,085

6,371,810

116,116

115,553

563

Equity/index related:

 

 

 

 

 

 

 

OTC

394,193

197,092

23,521

614,806

25,063

28,818

(3,756)

Bilateral (Amt)

394,193

197,092

23,521

614,806

25,063

28,818

(3,756)

CCP (Amt)

0

0

0

0

0

0

0

Exchange-traded

501,706

66,571

8,993

577,270

5,533

6,164

(631)

Total Equity/index related

895,899

263,663

32,514

1,192,076

30,596

34,983

(4,387)

Credit derivatives related

 

 

 

 

 

 

 

OTC

270,524

949,312

129,622

1,349,458

23,548

20,992

2,556

Bilateral (Amt)

176,492

445,572

72,423

694,486

14,784

12,386

2,399

CCP (Amt)

94,032

503,741

57,199

654,972

8,763

8,606

157

Exchange-traded

0

0

0

0

0

0

0

Total Credit derivatives related

270,524

949,312

129,622

1,349,458

23,548

20,992

2,556

Commodity related:

 

 

 

 

 

 

 

OTC

5,998

1,260

9,516

16,775

776

891

(115)

Bilateral (Amt)

5,998

1,260

9,516

16,775

776

891

(115)

CCP (Amt)

0

0

0

0

0

0

0

Exchange-traded

78,204

27,066

10

105,279

497

604

(107)

Total Commodity related

84,202

28,326

9,526

122,054

1,273

1,496

(223)

Other:

 

 

 

 

 

 

 

OTC

20,621

5,378

43

26,043

906

1,953

(1,048)

Bilateral (Amt)

20,618

5,378

43

26,039

902

1,953

(1,051)

CCP (Amt)

3

0

0

3

3

0

3

Exchange-traded

8,430

11

0

8,441

22

49

(27)

Total Other

29,051

5,389

43

34,484

928

2,002

(1,074)

Total OTC business

16,319,775

11,970,654

7,069,164

35,359,593

512,297

493,213

19,084

Total bilateral business

9,148,589

6,736,032

3,842,425

19,727,045

474,162

457,538

16,623

Total CCP business

7,171,186

5,234,622

3,226,739

15,632,548

38,135

35,674

2,461

Total exchange-traded business

5,073,538

1,494,157

12,746

6,580,441

6,433

7,229

(795)

Total

21,393,313

13,464,811

7,081,910

41,940,034

518,730

500,441

18,289

Positive market values after netting and cash collateral received

0

0

0

0

53,202

0

0