Deutsche Bank Annual Report 2017 - Credit Quality of Financial Instruments

We derive our credit quality from internal ratings and group our exposures into classes as shown below. Please refer to section “Measuring Credit Risk” for more details about our internal ratings.

Credit Quality of Financial Instruments neither Past Due nor Impaired

Dec 31, 2017

in € m.¹

iAAA–iAA

iBBB

iBB

iCCC and below

Total

1	All amounts at carrying value unless otherwise indicated.
2	Excludes equities, other equity interests and commodities.
3	Gross loans less deferred expense/unearned income before deductions of allowance for loan losses.
4	Figures are reflected at notional amounts.

Cash and central bank balances

219,690

3,717

1,453

597

118

225,655

Interbank balances (w/o central banks)

3,921

2,743

1,450

808

320

9,265

Central bank funds sold and securities purchased under resale agreements

2,666

2,851

716

3,018

630

9,971

Securities borrowed

13,326

2,379

495

499

16,732

Financial assets at fair value through profit or loss²

251,554

193,193

50,326

41,347

10,004

3,888

550,313

Trading assets

49,305

12,186

11,833

16,496

6,684

2,226

98,730

Positive market values from derivative financial instruments

151,693

167,014

25,442

13,333

2,472

1,078

361,032

Financial assets designated at fair value through profit or loss

50,557

13,993

13,051

11,518

848

585

90,551

thereof:

Securities purchased under resale agreement

25,389

11,498

9,662

10,367

324

603

57,843

Securities borrowed

18,309

1,277

644

20,254

Financial assets available for sale²

36,235

6,658

2,592

399

130

46,071

Loans³

40,765

54,383

126,071

117,807

43,872

12,236

395,132

thereof:

IAS 39 reclassified loans

283

141

108

588

Securities held to maturity

3,170

Other assets subject to credit risk

16,705

25,909

8,128

14,704

754

700

66,900

Financial guarantees and other credit related contingent liabilities⁴

5,108

13,899

16,165

7,882

3,434

1,723

48,212

Irrevocable lending commitments and other credit related commitments⁴

18,643

44,388

51,021

25,652

15,286

3,264

158,253

Total

611,783

350,120

258,417

212,713

74,152

22,489

1,529,674

Dec 31, 2016

in € m.¹

iAAA–iAA

iBBB

iBB

iCCC and below

Total

1	All amounts at carrying value unless otherwise indicated.
2	Excludes equities, other equity interests and commodities.
3	Gross loans less deferred expense/unearned income before deductions of allowance for loan losses.
4	Figures are reflected at notional amounts.

Cash and central bank balances

174,978

4,241

1,778

238

181,364

Interbank balances (w/o central banks)

5,546

3,452

1,612

689

112

195

11,606

Central bank funds sold and securities purchased under resale agreements

3,542

7,734

1,028

2,624

1,338

16,287

Securities borrowed

16,036

2,882

802

343

20,081

Financial assets at fair value through profit or loss²

277,645

258,627

61,162

52,904

11,183

5,889

667,411

Trading assets

46,398

10,956

12,024

17,729

5,833

2,471

95,410

Positive market values from derivative financial instruments

188,037

234,491

38,113

19,138

3,297

2,073

485,150

Financial assets designated at fair value through profit or loss

43,211

13,180

11,024

16,037

2,053

1,344

86,850

thereof:

Securities purchased under resale agreement

13,622

10,684

7,401

13,667

1,165

866

47,404

Securities borrowed

18,697

1,498

937

21,136

Financial assets available for sale²

42,808

6,616

2,106

577

254

52,433

Loans³

44,116

52,421

127,682

121,213

42,941

14,273

402,645

thereof:

IAS 39 reclassified loans

341

604

Securities held to maturity

3,206

Other assets subject to credit risk

26,594

25,791

9,656

13,091

630

273

76,036

Financial guarantees and other credit related contingent liabilities⁴

5,699

13,712

16,753

9,663

4,477

2,038

52,341

Irrevocable lending commitments and other credit related commitments⁴

21,479

45,635

47,480

29,274

18,173

4,022

166,063

Total

621,650

421,112

270,058

230,615

79,025

27,013

1,649,473

The overall decline in total credit exposure of € 119.8 billion for December 31, 2017 is mainly due to an decrease in positive market value from derivative financial instruments in investment-grade rating categories, mainly in the category iA.