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|Deutsche Bank : Pillar 3 Report |
Q1 202305/24/2023 | 04:46am EDT
Deutsche Bank Pillar 3 Report as of March 31, 2023
Regulatory framework Basis of Presentation Basel 3 and CRR/CRD MREL and TLAC 4 ICAAP, ILAAP and SREP 4 Key metrics Key metrics of own funds and eligible liabilities
Capital 7 IFRS 9 transitional arrangements on own funds
7 Capital requirements 7
Overview of RWA and capital requirements
9 Credit risk exposure and credit risk mitigation in the internal-rating-based approach Development of credit risk RWA Counterparty credit risk (CCR) CCR exposures development Market risk 1
1 Own funds requirements for market risk under the IMA Development of market risk RWA Liquidity risk Qualitative information on LCR Quantitative information on LCR
15 List of tables Deutsche Bank Regulatory framework
Pillar 3 Report as of March, 31, 2023
MREL and TLAC Regulatory framework Basis of Presentation Article 431 (1), (2) CRR, 433 CRR and 433a CRR
This Pillar 3 Report provides disclosures for the consolidated Deutsche Bank Group (the Group or the bank) as required by the global regulatory framework for capital and liquidity, which was established by the Basel Committee on Banking Supervision, also known as Basel 3.
In the European Union (EU), the Basel 3 framework is implemented by the amended versions of Regulation (EU) 575/2013 on prudential requirements for credit institutions (Capital Requirements Regulation or CRR) and the Directive (EU) 2013/36 on access to the activity of credit institutions and the prudential supervision of credit institutions and investment firms (Capital Requirements Directive or CRD).
As a single rulebook, the CRR is directly applicable to credit institutions in the European Union and provides the grounds for the determination of regulatory capital requirements, regulatory own funds, leverage and liquidity as well as other relevant requirements.
In addition, the CRD was implemented into German law by means of further amendments to the German Banking Act (Kreditwesengesetz or KWG) and the German Solvency Regulation (SolvV) and accompanying regulations.
Jointly, these laws and regulations represent the regulatory framework applicable in Germany. The disclosure requirements are provided in Part Eight of the CRR and in Section 26a of the KWG.
Further disclosure guidance has been provided by the European Banking Authority (EBA) in its “Final draft implementing technical standards on public disclosures by institutions of the information referred to in Titles II and III of Part Eight of Regulation (EU) No 575/2013” (EBA ITS).
The Group adheres to the frequency of disclosure requirements as per Article 433 and 433a of the CRR and as provided within these EBA Guidelines and includes comparative periods in accordance with the requirements of EBA ITS.
For those disclosures required only on an annual basis, the comparative period will be to the prior year.
For those disclosures only required on a semi-annual basis, the comparative period is the prior half-year. Disclosures required on a quarterly basis generally include comparative information for prior quarter. The information provided in this Pillar 3 Report is unaudited.
Numbers presented throughout this document may not add up precisely to the totals and percentages may not precisely reflect the absolute figures due to rounding.
Basel 3 and CRR/CRD The CRR/CRD lays the foundation for the calculation of the minimum regulatory requirements with respect to own funds and eligible liabilities, the liquidity coverage ratio and the net stable funding ratio.
Regulation (EU) 2019/876 has introduced a minimum regulatory leverage ratio of 3% determined as the ratio of Tier 1 capital and the regulatory leverage exposure. The minimum regulatory leverage ratio of 3% is increased if certain Euro-based exposures facing Eurosystem central banks are excluded from the leverage exposure.
This was the case based on Decision (EU) 2021/1074 of the European Central Bank until March 31, 2022. From January 1, 2023 an additional leverage ratio buffer requirement of 50% of the applicable Global Systemic Important Institutions (G-SII) buffer rate applies.
This additional requirement increases the leverage ratio requirement by 0.75%. There is still uncertainty as to how some of the CRR/CRD rules should be interpreted and there are still related binding Technical Standards for which a final version is not yet available.
Thus, the Group will continue to refine assumptions and models in line with evolution of these regulations as well as the industry’s understanding and interpretation of the rules. Against this background, current CRR/CRD measures may not be comparable to previous expectations.
Also, CRR/CRD measures may not be comparable with similarly labeled measures used by competitors, as their assumptions and estimates may differ from Deutsche Bank’s. MREL and TLAC Banks in the European Union are required to meet at all times a minimum requirement for own funds and eligible liabilities which ensures that banks have sufficient loss absorbing capacity in resolution to avoid recourse to taxpayers’ money.
Relevant laws are the Single Resolution Mechanism Regulation (SRMR) and the Bank Recovery and Resolution Directive (BRRD) as implemented through the German Recovery and Resolution Act (Sanierungs- und Abwicklungsgesetz, SAG).
3 Deutsche Bank Key metrics Pillar 3 Report as of March, 31, 2023 ICAAP, ILAAP and SREP In addition, the CRR requires G-SIIs in Europe to have at least the maximum of 18% plus the combined buffer requirement of RWA and 6.75% of leverage exposure as total loss absorbing capacity.
Instruments which qualify for MREL and TLAC as own funds are Common Equity Tier 1, Additional Tier 1 and Tier 2 along with certain eligible liabilities (mainly plain-vanilla unsecured bonds). Instruments qualifying for TLAC need to be fully subordinated to general creditor claims (e.g., senior non-preferred bonds).
While this is not required for MREL, MREL regulations allow the Single Resolution Board (SRB) to also set an additional subordination requirement within the MREL requirements (but separate from TLAC), which allows only subordinated liabilities and own funds to be counted.
MREL is determined by the competent resolution authorities for each supervised bank and its preferred resolution strategy. In the case of Deutsche Bank AG, MREL is determined by the SRB. While there is no statutory minimum level of MREL, the CRR, SRMR, BRRD and delegated regulations set out criteria which the resolution authority must consider when determining the relevant required level of MREL.
Guidance is provided through an MREL policy published annually by the SRB.
Any binding MREL ratio determined by the SRB is communicated to Deutsche Bank via the German Federal Financial Supervisory Authority (BaFin). Deutsche Bank AG received its current total MREL and current subordinated MREL requirement with immediate applicability in the second quarter of 2022. ICAAP, ILAAP and SREP
The internal capital adequacy assessment process (ICAAP) as stipulated in Pillar 2 of Basel 3 requires banks to identify and assess risks, to apply effective risk management techniques and to maintain adequate capitalization.
The Group’s internal liquidity adequacy assessment process (ILAAP) aims to ensure that sufficient levels of liquidity are maintained on an ongoing basis by identifying the key liquidity and funding risks to which the Group is exposed, by monitoring and measuring these risks, and by maintaining tools and resources to manage and mitigate these risks.
In accordance with Article 97 CRD supervisors regularly review, as part of the supervisory review and evaluation process (SREP), the arrangements, strategies, processes, and mechanisms implemented by banks and evaluate:
(a) risks to which the institution is or might be exposed;
(b) risks the institution poses to the financial system; and
(c) risks revealed by stress testing.
Key metrics Article 447 (a-g) and Article 438 (b) CRR
The following table highlights Deutsche Bank’s key regulatory metrics and ratios, and related input components as defined by CRR and CRD.
In line with disclosure requirments the Liquidity Coverage Ratio is based on 12 months rolling averages and the other metrics are based on spot information.
4 Deutsche Bank Key metrics Pillar 3 Report as of March, 31, 2023 ICAAP, ILAAP and SREP EU KM1 – Key metrics a b c d e in € m. (unless stated otherwise) Mar 31, 2023 Dec 31, 2022 Sep 30, 2022 Jun 30, 2022 Mar 31, 2022 Available own funds (amounts) 1 Common Equity Tier 1 (CET 1) capital 48,926 48,097 49,202 47,932 46,687 2 Tier 1 capital 57,254 56,616 56,470 55,201 53,206 3 Total capital 66,512 66,146 66,706 65,246 63,093 Risk weighted exposure amounts 4 Total risk-weighted exposure amount 359,534 360,003 369,210 369,970 364,431 Capital ratios (as percentage of risk.weighted exposure amount) 5 Common Equity Tier 1 ratio (%) 13.6 13.4 13.3 13.0 12.8 6 Tier 1 ratio (%) 15.9 15.7 15.3 14.9 14.6 7 Total capital ratio (%) 18.5 18.4 18.1 17.6 17.3 Additional own funds requirements based on SREP (as a percentage of risk-weighted exposure amount) Additional own funds requirements to address EU 7a risks other than the risk of excessive leverage (%) 2.7 2.5 2.5 2.5 2.5 of which: to be made up of CET 1 capital (percentage EU 7b points) 1.5 1.4 1.4 1.4 1.4 to be made up of Tier 1 capital (percentage EU 7c points) 2.0 1.9 1.9 1.9 1.9 EU 7d Total SREP own funds requirements (%) 10.7 10.5 10.5 10.5 10.5 Combined buffer requirement (as a percentage of risk-weighted exposure amount) 8 Capital conservation buffer (%) 2.5 2.5 2.5 2.5 2.5 Conservation buffer due to macro-prudential or systemic risk identified at the level of a Member EU 8a State (%) 0.0 0.0 0.0 0.0 0.0 Institution specific countercyclical capital buffer 9 (%) 0.38 0.07 0.03 0.02 0.02 EU 9a Systemic risk buffer (%) 0.2 0.0 0.0 0.0 0.0 Global Systemically Important Institution buffer 10 (%) 1.5 1.5 1.5 1.5 1.5 EU 10a Other Systemically Important Institution buffer (%) 2.0 2.0 2.0 2.0 2.0 11 Combined buffer requirement (%) 5.1 4.6 4.5 4.5 4.5 EU 11a Overall capital requirements (%) 15.8 15.1 15.0 15.0 15.0 CET 1 available after meeting the total SREP own 12 funds requirements (%) 7.6 7.5 7.4 7.0 6.7 CET 1 available after meeting the total SREP own funds requirements 27,286 26,834 27,395 26,066 24,507 Leverage ratio¹ 13 Leverage ratio total exposure measure 1,237,814 1,240,483 1,309,900 1,279,798 1,163,662 14 Leverage ratio (%) 4.6 4.6 4.3 4.3 4.6 Additional own funds requirements to address risks of excessive leverage (as a percentage of leverage ratio total exposure amount) Additional own funds requirements to address the EU 14a risk of excessive leverage (%) 0.0 0.0 0.0 0.0 0.0 of which: to be made up of CET 1 capital EU 14b (percentage points) 0.0 0.0 0.0 0.0 0.0 EU 14c Total SREP leverage ratio requirements (%) 3.0 3.0 3.0 3.0 3.2 Leverage ratio buffer and overall leverage ratio requirement (as a percentage of total exposure measure) EU 14d Leverage ratio buffer requirement (%) 0.8 0.0 0.0 0.0 0.0 EU 14e Overall leverage ratio requirements (%) 3.8 3.0 3.0 3.0 3.2 Liquidity Coverage Ratio Total high-quality liquid assets (HQLA) (Weighted 15 value – average) 218,535 217,925 217,686 215,480 218,448 EU 16a Cash outflows – Total weighted value 218,746 220,132 217,308 214,162 211,611 EU 16b Cash inflows – Total weighted value 57,603 58,887 57,625 56,978 55,092 16 Total net cash outflows (adjusted value) 161,143 161,245 159,683 157,184 156,519 17 Liquidity coverage ratio (%) 136 135 136 137 140 Net Stable Funding Ratio 18 Total available stable funding 594,721 605,783 606,353 598,440 607,170 19 Total required stable funding 496,579 506,698 521,760 513,910 501,030 20 NSFR ratio (%) 120 120 116 116 121 1 Since April 1, 2022 Deutsche Bank no longer excludes certain central bank exposures, based on Article 429a (1) (n) CRR and the ECB Decision 2021/1074 as this temporary exemption during the COVID-19 pandemic ended on March 31, 2022; not applying the temporary exclusion of certain central bank exposures, the leverage exposure was € 1,247 billion as of March 31, 2022 and the corresponding leverage ratio was 4.3% 5 Attachments
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