Deutsche Bank

Annual Report 2016

Stress Testing and Scenario Analysis

During 2016, in particular in the late autumn following market speculation on our negotiation with the U.S. Department of Justice in relation to our issuance and underwriting of residential mortgage-backed securities (RMBS), negative client responses adversely impacted our liquidity and funding position, and our internal measures of available liquidity over the duration of a stressed situation indicated a need to take corrective action. We responded with actions designed to restore these measures to customary levels and remained in contact with our regulators.

Global All Currency Monthly Stress Testing Results

 

Dec 31, 2016

31.12.20151

in € bn.

Funding Gap2

Gap Closure3

Net Liquidity Position4

Funding Gap2

Gap Closure3

Net Liquidity Position4

1

Funding gap caused by impaired rollover of liabilities and other projected outflows.

2

Based on liquidity generation through Liquidity Reserves and other countermeasures.

3

All scenarios showing 8 week point.

4

Combined impact of systemic market risk and severe downgrade.

Systemic market risk

64

204

141

71

218

147

Emerging markets

10

190

180

14

190

176

1 notch downgrade (DB specific)

43

195

152

51

200

148

Severe downgrade (DB specific)

178

224

46

188

240

53

Combined4

206

242

36

218

264

46

Global USD Monthly Stress Testing Results

 

Dec 31, 2016

Dec 31, 2015

in € bn.

Funding Gap1

Gap Closure2

Net Liquidity Position3

Funding Gap1

Gap Closure2

Net Liquidity Position3

1

Funding gap caused by impaired rollover of liabilities and other projected outflows.

2

Based on liquidity generation through Liquidity Reserves and other countermeasures.

3

All scenarios showing 8 week point.

4

Combined impact of systemic market risk and severe downgrade.

Combined4

94

164

69

102

163

61

Global GBP Monthly Stress Testing Results

 

 

 

 

Dec 31, 2016

Dec 31, 2015

in € bn.

Funding Gap1

Gap Closure2

Net Liquidity Position3

Funding Gap

Gap Closure

Net Liquidity Position

1

Funding gap caused by impaired rollover of liabilities and other projected outflows.

2

Based on liquidity generation through Liquidity Reserves and other countermeasures.

3

All scenarios showing 8 week point.

4

Combined impact of systemic market risk and severe downgrade.

Combined4

10

20

10

10

32

22

The following table presents the amount of additional collateral required in the event of a one- or two-notch downgrade by rating agencies for all currencies.

Additional Contractual Obligations

 

Dec 31, 2016

Dec 31, 2015

in € m.

One-notch downgrade

Two-notch downgrade

One-notch downgrade

Two-notch downgrade

Contractual derivatives funding or margin requirements

1,470

1,982

4,332

6,472

Other contractual funding or margin requirements

317

1,459

317

1,459