Deutsche Bank

Annual Report 2017

Stress Testing and Scenario Analysis

During 2017, our stressed Net Liquidity Position remained well above the risk appetite and finished 2017 with a surplus of € 33 billion.

Global All Currency Daily Stress Testing Results

 

Dec 31, 2017

Dec 31, 2016

in € bn.

Funding Gap1

Gap Closure2

Net Liquidity Position3

Funding Gap1

Gap Closure2

Net Liquidity Position3

1

Funding gap caused by impaired rollover of liabilities and other projected outflows.

2

Based on liquidity generation through Liquidity Reserves and other countermeasures.

3

2017 scenario shows the minimum net liquidity position over the stress period, whereas 2016 shows the net liquidity position at the end of the stress period.

4

Combined impact of systemic market risk and severe downgrade.

Systemic market risk

121

284

163

64

204

141

Emerging markets

28

228

200

10

190

180

1 notch downgrade (DB specific)

79

252

173

43

195

152

Severe downgrade (DB specific)

287

331

43

178

224

46

Combined4

318

351

33

206

242

36

Global EUR Daily Stress Testing Results5

 

 

 

 

Dec 31, 2017

Dec 31, 2016

in €

Funding Gap1

Gap Closure2

Net Liquidity Position3

Funding Gap1

Gap Closure2

Net Liquidity Position3

1

Funding gap caused by impaired rollover of liabilities and other projected outflows.

2

Based on liquidity generation through Liquidity Reserves and other countermeasures.

3

2017 scenario shows the minimum net liquidity position over the stress period.

4

Combined impact of systemic market risk and severe downgrade.

5

Standalone EUR Stress test has been implemented in 2017, therefore no comparison to 2016.

Combined4

157

172

15

-

-

-

Global USD Daily Stress Testing Results

 

Dec 31, 2017

Dec 31, 2016

in € bn.

Funding Gap1

Gap Closure2

Net Liquidity Position3

Funding Gap1

Gap Closure2

Net Liquidity Position3

1

Funding gap caused by impaired rollover of liabilities and other projected outflows.

2

Based on liquidity generation through Liquidity Reserves and other countermeasures.

3

2017 scenario shows the minimum net liquidity position over the stress period, whereas 2016 shows the net liquidity position at the end of the stress period.

4

Combined impact of systemic market risk and severe downgrade.

Combined4

114

127

13

94

164

69

Global GBP Daily Stress Testing Results

 

 

 

 

Dec 31, 2017

Dec 31, 2016

in € bn.

Funding Gap1

Gap Closure2

Net Liquidity Position3

Funding Gap1

Gap Closure2

Net Liquidity Position3

1

Funding gap caused by impaired rollover of liabilities and other projected outflows.

2

Based on liquidity generation through Liquidity Reserves and other countermeasures.

3

2017 scenario shows the minimum net liquidity position over the stress period, whereas 2016 shows the net liquidity position at the end of the stress period.

4

Combined impact of systemic market risk and severe downgrade.

Combined4

14

18

4

10

20

10

The following table presents the amount of additional collateral required in the event of a one- or two-notch downgrade by rating agencies for all currencies.

Additional Contractual Obligations

 

Dec 31, 2017

Dec 31, 2016

in € m.

One-notch downgrade

Two-notch downgrade

One-notch downgrade

Two-notch downgrade

Contractual derivatives funding or margin requirements

1,024

1,577

1,470

1,982

Other contractual funding or margin requirements

317

1,459

317

1,459