Deutsche Bank

Annual Report 2017

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 Act 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 Dodd-Frank Act and related 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. Deutsche Bank implemented the exchange of both initial and variation margin in the EU from February 2017 for the first category of counterparties subject to the EMIR margin for uncleared derivatives requirements. All other in-scope entities followed the variation margin requirements from March 1, 2017. Initial margin requirements are subject to a phased implementation schedule which will be fully applied by September 2020.

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. Deutsche Bank implemented the CFTC’s expanded clearing requirements for the relevant interest rate swaps subject to the 2017 compliance schedule, covering identified instruments denominated in AUD, CAD, HKD, NOK, PLN, and SEK. In December 2016, also pursuant to the Dodd-Frank Act, 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 Federal Reserve, the FDIC, the Office of the Comptroller of the Currency, the Farm Credit Administration and the Federal Housing Finance Agency) have adopted final rules establishing margin requirements for non-cleared swaps and security-based swaps, and the CFTC has adopted final rules establishing margin requirements for non-cleared 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 for all covered counterparties. Deutsche Bank implemented the exchange of both initial and variation margin for uncleared derivatives in the U.S. from September 2016, for the first category of counterparties subject to the U.S. prudential regulators’ margin requirements. Additional initial margin requirements for smaller counterparties are 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, 2017

 

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

18,389,853

9,644,152

5,862,868

33,896,874

224,783

202,492

22,291

Bilateral (Amt)

2,231,176

2,624,101

1,989,543

6,844,820

200,520

177,989

22,532

CCP (Amt)

16,158,677

7,020,051

3,873,326

27,052,054

24,262

24,503

(241)

Exchange-traded

4,100,955

1,379,528

155

5,480,638

250

275

(25)

Total Interest rate related

22,490,809

11,023,680

5,863,023

39,377,512

225,033

202,767

22,266

Currency related:

 

 

 

 

 

 

 

OTC

4,265,081

1,036,897

470,541

5,772,518

82,392

75,535

6,858

Bilateral (Amt)

4,209,509

1,036,536

470,541

5,716,586

81,597

74,823

6,774

CCP (Amt)

55,572

361

0

55,932

795

712

83

Exchange-traded

48,252

0

0

48,252

19

18

1

Total Currency related

4,313,333

1,036,897

470,541

5,820,771

82,411

75,553

6,859

Equity/index related:

 

 

 

 

 

 

 

OTC

301,662

156,272

19,248

477,182

18,201

23,010

(4,810)

Bilateral (Amt)

301,662

156,272

19,248

477,182

18,201

23,010

(4,810)

CCP (Amt)

0

0

0

0

0

0

0

Exchange-traded

732,870

107,631

5,398

845,900

9,986

12,708

(2,722)

Total Equity/index related

1,034,533

263,903

24,647

1,323,082

28,187

35,718

(7,531)

Credit derivatives related

 

 

 

 

 

 

 

OTC

209,376

1,321,066

153,867

1,684,309

28,317

27,888

429

Bilateral (Amt)

91,919

204,583

49,442

345,944

5,363

4,779

584

CCP (Amt)

117,457

1,116,482

104,426

1,338,365

22,954

23,108

(154)

Exchange-traded

0

0

0

0

0

0

0

Total Credit derivatives related

209,376

1,321,066

153,867

1,684,309

28,317

27,888

429

Commodity related:

 

 

 

 

 

 

 

OTC

3,431

995

2,015

6,441

35

1,485

(1,449)

Bilateral (Amt)

3,431

995

2,015

6,441

35

1,485

(1,449)

CCP (Amt)

0

0

0

0

0

0

0

Exchange-traded

39,955

4,163

0

44,119

187

214

(27)

Total Commodity related

43,386

5,158

2,015

50,560

222

1,699

(1,476)

Other:

 

 

 

 

 

 

 

OTC

3,744

765

0

4,509

9

371

(362)

Bilateral (Amt)

3,744

765

0

4,509

9

371

(362)

CCP (Amt)

0

0

0

0

0

0

0

Exchange-traded

5,196

1

0

5,197

5

26

(20)

Total Other

8,940

766

0

9,706

14

397

(382)

Total OTC business

23,173,146

12,160,146

6,508,540

41,841,833

353,737

330,780

22,957

Total bilateral business

6,841,441

4,023,253

2,530,789

13,395,482

305,726

282,457

23,269

Total CCP business

16,331,705

8,136,894

3,977,751

28,446,351

48,012

48,324

(312)

Total exchange-traded business

4,927,230

1,491,323

5,553

6,424,106

10,447

13,240

(2,793)

Total

28,100,376

13,651,470

6,514,093

48,265,939

364,185

344,020

20,164

Positive market values after netting and cash collateral received

0

0

0

0

32,083

0

0

 

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