Deutsche Bank

Annual Report 2017

Key Risk Metrics

The following selected key risk ratios and corresponding metrics form part of our holistic risk management across individual risk types. The Common Equity Tier 1 Ratio (CET 1), Internal Capital Adequacy Ratio (ICA), Leverage Ratio (LR), Liquidity Coverage Ratio (LCR), and Stressed Net Liquidity Position (SNLP) serve as high level metrics and are fully integrated across strategic planning, risk appetite framework, stress testing (except LCR), and recovery and resolution planning practices, which are reviewed and approved by our Management Board at least annually. The CET 1, LR, Leverage Exposure, LCR and Risk-Weighted-Assets ratios and metrics, which are regulatory defined, are based on the fully loaded rules under the Regulation (EU) No 575/2013 on prudential requirements for credit institutions and investment firms (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 (Capital Requirements Directive 4 or “CRD 4”). ICA, Economic Capital and SNLP are Deutsche Bank specific internal risk metrics in addition to the above described regulatory metrics.

Common Equity Tier 1 Ratio
31.12.2017 14.0 %
31.12.2016 11.8 %

Internal Capital Adequacy Ratio1
31.12.2017 192 %
31.12.2016 162 %

Leverage Ratio
31.12.2017 3.8 %
31.12.2016 3.5 %

Liquidity Coverage Ratio
31.12.2017 140 %
31.12.2016 128 %

Total Risk-Weighted Assets
31.12.2017 € 344.2 bn
31.12.2016 € 357.5 bn

Total Economic Capital2
31.12.2017 € 27.1 bn
31.12.2016 € 35.4 bn

Leverage Exposure
31.12.2017 € 1,395 bn
31.12.2016 € 1,348 bn

Stressed Net Liquidity Position (sNLP)
31.12.2017 € 32.6 bn
31.12.2016 € 36.1 bn

1 The definition of capital supply for the purpose of calculating the internal capital adequacy ratio has been changed to take a perspective that aims at maintaining the viability of Deutsche Bank on an ongoing basis. More information is provided in section “Internal Capital Adequacy”.

2 The quantile used to measure the economic capital demand has been changed from 99.98 % to 99.9 % to take a perspective that aims at maintaining the viability of Deutsche Bank on an ongoing basis in alignment with the change of the definition of capital supply. More information is provided in section “Internal Capital Adequacy”. An overview of the quantitative impact of the quantile change on the economic capital is provided in section “Risk Profile”.

For further details please refer to sections “Risk Appetite and Capacity”, “Recovery and Resolution Planning”, “Stress Testing”, “Risk Profile”, “Internal Capital Adequacy Assessment Process”, “Capital Instruments”, “Development of Regulatory Capital” (for phase-in and fully loaded CET 1 and Risk Weighted Assets figures), “Development of Risk Weighted Assets”, “Leverage Ratio” (for phase-in and fully loaded Leverage Ratio), “Liquidity Coverage Ratio”, and “Stress Testing and Scenario Analysis”.