Deutsche Bank

Annual Report 2017

Development of regulatory capital

Our CRR/CRD 4 Tier 1 capital as of December 31, 2017 amounted to € 57.6 billion, consisting of CET 1 capital of € 50.8 billion and AT1 capital of € 6.8 billion. The CRR/CRD 4 Tier 1 capital was € 2.1 billion higher than at the end of 2016, primarily driven by an increase in CET 1 capital of € 3.0 billion since year end 2016 while AT1 capital decreased by € 0.9 billion in the same period.

The € 3.0 billion increase of CRR/CRD 4 CET 1 capital was largely the result of the capital issuance completed in early April 2017 with net proceeds of € 7.9 billion and the reversal of 10 % threshold-related deductions of € 0.4 billion due to the higher capital base. These positive effects were then reduced by increased regulatory adjustments due to the higher phase-in rate of 80 % in 2017 compared to 60 % in 2016 and negative effects from Currency Translation Adjustments of € 2.6 billion with partially positive foreign exchange counter-effects in capital deduction items. Further reductions were due to the net loss attributable to Deutsche Bank shareholders and additional equity components of € 0.8 billion in 2017. Since we do not include an interim profit in our CET 1 capital as a consequence of the negative net income in the financial year 2017, neither AT1 coupon nor shareholder dividends are accrued in CET 1 capital in accordance with Art 26 (2) CRR.

The € 0.9 billion decrease in CRR/CRD 4 AT1 capital was mainly the result of reduced Legacy Hybrid Tier 1 instruments, recognizable as AT1 capital during the transition period, which were € 2.6 billion lower compared to year end 2016 largely due to the call of instruments (€ 2.4 billion) and foreign exchange effects. A positive counter-effect resulted from reduced transitional adjustments (€ 1.7 billion lower than at year end 2016) that were phased out from AT1 capital. These deductions reflect the residual amount of certain CET 1 deductions that are subtracted from CET 1 capital under fully loaded rules, but are allowed to reduce AT1 capital during the transitional period. The phase-in rate for these deductions on the level of CET 1 capital increased to 80 % in 2017 (60 % in 2016) and decreased correspondingly on the level of AT1 capital to 20 % in 2017 (40 % in 2016).

Our fully loaded CRR/CRD 4 Tier 1 capital as of December 31, 2017 was € 52.9 billion, compared to € 46.8 billion at the end of 2016. Our fully loaded CRR/CRD 4 CET 1 capital amounted to € 48.3 billion as of December 31, 2017, compared to € 42.3 billion as of December 31, 2016. Our fully loaded CRR/CRD 4 AT1 capital amounted to € 4.6 billion as of December 31, 2017, unchanged compared to year end 2016.

The increase of our fully loaded CET 1 capital of € 6.0 billion compared to year end 2016 capital was largely the result of the € 7.9 billion net proceeds from our capital issuance and the reversal of 10 % threshold-related deductions of € 0.6 billion due to the higher capital base. Further positive effects of € 0.4 billion resulted from regulatory adjustments from prudential filters (Debt Valuation Adjustments). These positive effects were partially reduced by our negative net income of € 0.8 billion and negative effects from Currency Translation Adjustments of € 2.6 billion with partially positive foreign exchange counter-effects in capital deduction items.

Based on ECB guidance and following the EBA Guidelines on payment commitments, Deutsche Bank will treat irrevocable payment commitments related to the Deposit Guarantee Scheme and the Single Resolution Fund as an additional CET 1 capital deduction instead of risk weighted assets, effective from January 2018 onwards. If these were treated as a capital deduction item for the financial year 2017, then our pro-forma fully loaded CET 1 capital would have been € 0.4 billion lower along with an RWA relief of € 1.0 billion resulting in a pro-forma fully loaded CET 1 capital ratio decrease of 8 basis points.

Transitional template for regulatory capital, RWA and capital ratios

 

Dec 31, 2017

Dec 31, 2016

in € m.

CRR/CRD 4 fully loaded

CRR/CRD 4

CRR/CRD 4 fully loaded

CRR/CRD 4

N/M – Not meaningful

1

As we do not include an interim profit in our CET 1 capital as a consequence of the negative net income in the financial year 2017, neither AT1 coupon nor shareholder dividends are accrued in CET 1 capital in accordance with Art 26 (2) CRR.

2

Including an additional capital deduction of € 0.3 billion that was imposed on Deutsche Bank effective from October 2016 onwards based on a notification by the ECB pursuant to Article 16(1)(c), 16(2)(b) and (j) of Regulation (EU) No 1024/2013 as well as the additional filter for funds for home loans and savings protection (“Fonds für bauspartechnische Absicherung”) of € 19 million.

Common Equity Tier 1 (CET 1) capital: instruments and reserves

 

 

 

 

Capital instruments and the related share premium accounts

45,195

45,195

37,290

37,290

Retained earnings

17,977

17,977

20,113

20,113

Accumulated other comprehensive income (loss), net of tax

696

660

3,708

3,645

Independently reviewed interim profits net of any foreseeable charge or dividend1

(751)

(751)

(2,023)

(2,023)

Other

0

33

0

79

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

63,116

63,114

59,088

59,104

 

 

 

 

 

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

 

 

 

 

Additional value adjustments (negative amount)

(1,204)

(1,204)

(1,398)

(1,398)

Other prudential filters (other than additional value adjustments)

(102)

(74)

(639)

(428)

Goodwill and other intangible assets (net of related tax liabilities) (negative amount)

(8,394)

(6,715)

(8,436)

(5,062)

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)

(3,004)

(2,403)

(3,854)

(2,312)

Negative amounts resulting from the calculation of expected loss amounts

(502)

(408)

(297)

(188)

Defined benefit pension fund assets (negative amount)

(1,125)

(900)

(945)

(567)

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

(144)

(117)

(59)

(41)

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 the 10 % / 15 % thresholds and net of eligible short positions) (negative amount)

0

0

0

0

Deferred tax assets arising from temporary differences (net of related tax liabilities where the conditions in Art. 38 (3) CRR are met) (amount above the 10 % / 15 % thresholds) (negative amount)

0

0

(590)

(354)

Other regulatory adjustments2

(341)

(485)

(591)

(971)

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

(14,816)

(12,306)

(16,810)

(11,321)

Common Equity Tier 1 (CET 1) capital

48,300

50,808

42,279

47,782

 

 

 

 

 

Additional Tier 1 (AT1) capital: instruments

 

 

 

 

Capital instruments and the related share premium accounts

4,676

4,676

4,676

4,676

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

3,904

N/M

6,516

Additional Tier 1 (AT1) capital before regulatory adjustments

4,676

8,579

4,676

11,191

 

 

 

 

 

Additional Tier 1 (AT1) capital: regulatory adjustments

 

 

 

 

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

(55)

(26)

(125)

(51)

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

(1,730)

N/M

(3,437)

Other regulatory adjustments

0

0

0

0

Total regulatory adjustments to Additional Tier 1 (AT1) capital

(55)

(1,756)

(125)

(3,488)

Additional Tier 1 (AT1) capital

4,621

6,823

4,551

7,703

Tier 1 capital (T1 = CET 1 + AT1)

52,921

57,631

46,829

55,486

 

 

 

 

 

Tier 2 (T2) capital

10,329

6,384

12,673

6,672

Total capital (TC = T1 + T2)

63,250

64,016

59,502

62,158

Total risk-weighted assets

344,212

343,316

357,518

356,235

 

 

 

 

 

Capital ratios

 

 

 

 

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

14.0

14.8

11.8

13.4

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

15.4

16.8

13.1

15.6

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

18.4

18.6

16.6

17.4

Reconciliation of shareholders’ equity to regulatory capital

 

CRR/CRD 4

in € m.

Dec 31, 2017

Dec 31, 2016

1

As we do not include an interim profit in our CET 1 capital as a consequence of the negative net income in the financial year 2017, neither AT1 coupon nor shareholder dividends are accrued in CET 1 capital in accordance with Art 26 (2) CRR.

Total shareholders’ equity per accounting balance sheet

63,174

59,833

Deconsolidation/Consolidation of entities

(58)

(123)

Thereof:

 

 

Additional paid-in capital

(6)

(6)

Retained earnings

(228)

(276)

Accumulated other comprehensive income (loss), net of tax

176

159

Total shareholders' equity per regulatory balance sheet

63,116

59,710

Noncontrolling interest based on transitional rules

33

79

Accrual for dividend and AT1 coupons1

0

(621)

Reversal of deconsolidation/consolidation of the position Accumulated other comprehensive income (loss), net of tax, during transitional period

(35)

(63)

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

63,114

59,104

Additional value adjustments

(1,204)

(1,398)

Other prudential filters (other than additional value adjustments)

(74)

(428)

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

(144)

(380)

Goodwill and other intangible assets (net of related tax liabilities)

(6,715)

(5,062)

Deferred tax assets that rely on future profitability

(2,403)

(2,666)

Defined benefit pension fund assets

(900)

(567)

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

0

0

Other regulatory adjustments

(866)

(820)

Common Equity Tier 1 capital

50,808

47,782

Development of regulatory capital

 

CRR/CRD 4

in € m.

Dec 31, 2017

Dec 31, 2016

1

As we do not include an interim profit in our CET 1 capital as a consequence of the negative net income in the financial year 2017, neither AT1 coupon nor shareholder dividends are accrued in CET 1 capital in accordance with Art 26 (2) CRR.

Common Equity Tier 1 (CET 1) capital - opening amount

47,782

52,429

Common shares, net effect

1,760

0

Additional paid-in capital

6,153

192

Retained earnings

(795)

(1,826)

Common shares in treasury, net effect/(+) sales (–) purchase

(9)

10

Movements in accumulated other comprehensive income

(2,748)

231

Accrual for dividend and Additional Tier 1 (AT1) coupons1

0

(621)

Additional value adjustments

194

479

Goodwill and other intangible assets (net of related tax liabilities)

(1,653)

(1,686)

Deferred tax assets that rely on future profitability (excluding those arising from temporary differences)

(91)

(988)

Negative amounts resulting from the calculation of expected loss amounts

(219)

(130)

Defined benefit pension fund assets

(333)

(97)

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

0

278

Securitization positions not included in risk-weighted assets

0

0

Deferred tax assets arising from temporary differences (amount above 10 % and 15 % threshold, net of related tax liabilities where the conditions in Art. 38 (3) CRR are met)

354

(30)

Other, including regulatory adjustments

413

(457)

Common Equity Tier 1 (CET 1) capital - closing amount

50,808

47,782

Additional Tier 1 (AT1) Capital – opening amount

7,703

5,793

New Additional Tier 1 eligible capital issues

0

0

Matured and called instruments

(2,376)

(76)

Transitional arrangements

1,708

1,879

Thereof:

 

 

Goodwill and other intangible assets (net of related tax liabilities)

1,696

1,689

Other, including regulatory adjustments

(212)

108

Additional Tier 1 (AT1) Capital – closing amount

6,823

7,703

Tier 1 capital

57,631

55,486

Tier 2 (T2) capital – closing amount

6,384

6,672

Total regulatory capital

64,016

62,158