Deutsche Bank

Annual Report 2017

Maximum Exposure to Credit Risk

The maximum exposure to credit risk table shows the direct exposure before consideration of associated collateral held and other credit enhancements (netting and hedges) that do not qualify for offset in our financial statements for the periods specified. The netting credit enhancement component includes the effects of legally enforceable netting agreements as well as the offset of negative mark-to-markets from derivatives against pledged cash collateral. The collateral credit enhancement component mainly includes real estate, collateral in the form of cash as well as securities-related collateral. In relation to collateral we apply internally determined haircuts and additionally cap all collateral values at the level of the respective collateralized exposure.

Maximum Exposure to Credit Risk

 

 

 

 

 

Dec 31, 2017

 

 

Credit Enhancements

in € m.1

Maximum exposure to credit risk2

Netting

Collateral

Guarantees and Credit derivatives3

Total credit enhancements

1

All amounts at carrying value unless otherwise indicated.

2

Does not include credit derivative notional sold (€ 828,804 million) and credit derivative notional bought protection.

3

Bought credit protection is reflected with the notional of the underlying.

4

Excludes equities, other equity interests and commodities.

5

Gross loans less deferred expense/unearned income before deductions of allowance for loan losses.

6

Figures are reflected at notional amounts.

Cash and central bank balances

225,655

0

0

Interbank balances (w/o central banks)

9,265

0

7

7

Central bank funds sold and securities purchased under resale agreements

9,971

9,914

9,914

Securities borrowed

16,732

15,755

15,755

Financial assets at fair value through profit or loss4

550,313

286,149

136,650

265

423,065

Trading assets

98,730

2,635

146

2,781

Positive market values from derivative financial instruments

361,032

285,421

52,797

119

338,338

Financial assets designated at fair value through profit or loss

90,551

728

81,218

0

81,946

thereof:

 

 

 

 

 

Securities purchased under resale agreement

57,843

728

56,566

0

57,294

Securities borrowed

20,254

20,034

0

20,034

Financial assets available for sale4

47,766

559

0

559

Loans5

405,621

211,578

20,063

231,641

Securities held to maturity

3,170

Other assets subject to credit risk

66,900

29,854

1,514

56

31,424

Financial guarantees and other credit related contingent liabilities6

48,212

4,024

6,579

10,604

Irrevocable lending commitments and other credit related commitments6

158,253

7,544

1,759

9,303

Maximum exposure to credit risk

1,541,858

316,003

387,538

28,730

732,271

 

 

 

 

 

Dec 31, 2016

 

 

Credit Enhancements

in € m.1

Maximum exposure to credit risk2

Netting

Collateral

Guarantees and Credit derivatives3

Total credit enhancements

1

All amounts at carrying value unless otherwise indicated.

2

Does not include credit derivative notional sold (€ 744,159 million) and credit derivative notional bought protection.

3

Bought credit protection is reflected with the notional of the underlying.

4

Excludes equities, other equity interests and commodities.

5

Gross loans less deferred expense/unearned income before deductions of allowance for loan losses.

6

Figures are reflected at notional amounts.

Cash and central bank balances

181,364

0

0

0

0

Interbank balances (w/o central banks)

11,606

0

0

25

25

Central bank funds sold and securities purchased under resale agreements

16,287

0

15,944

0

15,944

Securities borrowed

20,081

0

19,193

0

19,193

Financial assets at fair value through profit or loss4

667,411

389,475

139,274

1,241

529,990

Trading assets

95,410

0

3,601

1,007

4,607

Positive market values from derivative financial instruments

485,150

386,727

64,438

164

451,329

Financial assets designated at fair value through profit or loss

86,850

2,748

71,235

70

74,054

thereof:

 

 

 

 

 

Securities purchased under resale agreement

47,404

2,748

44,591

0

47,339

Securities borrowed

21,136

0

20,918

0

20,918

Financial assets available for sale4

54,275

0

560

28

589

Loans5

413,455

0

210,776

30,189

240,965

Securities held to maturity

3,206

0

0

0

0

Other assets subject to credit risk

76,036

39,567

1,061

80

40,708

Financial guarantees and other credit related contingent liabilities6

52,341

0

5,094

8,661

13,756

Irrevocable lending commitments and other credit related commitments6

166,063

0

8,251

7,454

15,705

Maximum exposure to credit risk

1,662,125

429,042

400,153

47,679

876,874

The overall decrease in maximum exposure to credit risk for December 31, 2017 was driven by a € 124.1 billion decrease in positive market values from derivative financial instruments, € 9.1 billion decrease in Other assets subject to credit risk, € 7.8 billion decrease in loans and € 6.5 billion decrease in financial assets available for sale, partly offset by a € 44.3 billion increase in cash and central bank balances.

Included in the category of trading assets as of December 31, 2017, were traded bonds of € 87.3 billion (€ 81.3 billion as of December 31, 2016) of which over 82 % were investment-grade (over 81 % as of December 31, 2016). The above mentioned financial assets available for sale category primarily reflected debt securities of which more than 98 % were investment-grade (more than 98 % as of December 31, 2016).

Credit Enhancements are split into three categories: netting, collateral and guarantees / credit derivatives. Haircuts, parameter setting for regular margin calls as well as expert judgments for collateral valuation are employed to prevent market developments from leading to a build-up of uncollateralized exposures. All categories are monitored and reviewed regularly. Overall credit enhancements received are diversified and of adequate quality being largely cash, highly rated government bonds and third-party guarantees mostly from well rated banks and insurance companies. These financial institutions are domiciled mainly in European countries and the United States. Furthermore we have collateral pools of highly liquid assets and mortgages (principally consisting of residential properties mainly in Germany) for the homogeneous retail portfolio.