Risk Report - Risk Performance |
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Risk Performance [Abstract] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Disclosure of Credit Risk Exposure [text block] |
Credit Risk Exposure
Deutsche Bank defines its credit exposure by taking into account all transactions where losses might occur due to the fact that counterparties may not fulfill their contractual payment obligations as defined under ‘Credit Risk Framework’.
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 the 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, the Group applies internally determined haircuts and additionally cap all collateral values at the level of the respective collateralized exposure.
Maximum Exposure to Credit Risk
1
Does not include credit derivative notional sold (€ 540,063 million) and credit derivative notional bought protection
2
Bought Credit protection is reflected with the notional of the underlying
3
All amounts at gross value before deductions of allowance for credit losses
4
All amounts at amortized cost (gross) except for qualifying hedge derivatives, which are reflected at Fair value through P&L
5
Includes Asset Held for Sale regardless of accounting classification
6
Excludes equities, other equity interests and commodities
7
Figures are reflected at notional amounts
1
Does not include credit derivative notional sold (€ 738,733 million) and credit derivative notional bought protection
2
Bought Credit protection is reflected with the notional of the underlying
3
All amounts at gross value before deductions of allowance for credit losses
4
All amounts at amortized cost (gross) except for qualifying hedge derivatives, which are reflected at Fair value through P&L
5
Includes Asset Held for Sale regardless of accounting classification
6
Excludes equities, other equity interests and commodities
7
Figures are reflected at notional amounts
The overall decrease in maximum exposure to credit risk for December 31, 2023 was € 36.1 billion mainly driven by decreases of € 48.0 billionin positive market values from derivatives financial instruments, € 15.5 billion in other assets subject to credit risk and € 11.5 billion in loans at amortized cost. These decreases were partly offset by increases in trading assets of € 32.7 billion, € 3.9 billion in financial assets at fair value through OCI and € 2.3 billion in Off-balance sheet exposure.
Trading assets as of December 31, 2023, includes traded bonds of € 112.5 billion (€ 80.2 billion as of December 31, 2022) of which over 85 % were investment-grade (over 83 % as of December 31, 2022).
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, the bank has collateral pools of highly liquid assets and mortgages (principally consisting of residential properties mainly in Germany) for the homogeneous retail portfolio.
Main Credit Exposure Categories
The tables in this section show details about several of Deutsche Bank’s main credit exposure categories, namely Loans, Revocable and Irrevocable Lending Commitments, Contingent Liabilities Over-The-Counter (“OTC”) Derivatives, Debt Securities and Repo and repo-style transactions:
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“Loans” are gross loans as reported on our balance sheet at amortized cost, loans at fair value through profit and loss and loans at fair value through other comprehensive income before deduction of allowance for credit losses; this includes “Traded loans” that are bought and held for the purpose of selling them in the near term, or the material risks of which have all been hedged or sold; from a regulatory perspective the latter category principally covers trading book positions
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“Revocable and irrevocable lending commitments” consist of the undrawn portion of revocable and irrevocable lending-related commitments
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“Contingent liabilities” consist of financial and performance guarantees, standby letters of credit and other similar arrangements (mainly indemnity agreements)
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“OTC derivatives” are the bank’s credit exposures from over-the-counter derivative transactions that the Group has entered into, after netting and cash collateral received; on the bank’s balance sheet, these are included in financial assets at fair value through profit or loss or, for derivatives qualifying for hedge accounting, in other assets, in either case only applying cash collateral received and netting eligible under IFRS
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“Debt securities” include debentures, bonds, deposits, notes or commercial paper, which are issued for a fixed term and redeemable by the issuer, as reported on our balance sheet within accounting categories at amortized cost and at fair value through other comprehensive income before deduction of allowance for credit losses, it also includes category at fair value through profit and loss; this includes “Traded bonds”, which are bonds, deposits, notes or commercial paper that are bought and held for the purpose of selling them in the near term; from a regulatory perspective the latter category principally covers trading book positions
–
“Repo and repo-style transactions” consist of reverse repurchase transactions, as well as securities or commodities borrowing transactions, only applying collateral received and netting eligible under IFRS
Although considered in the monitoring of maximum credit exposures, the following are not included in the details of the Group’s main credit exposure: brokerage and securities related receivables, cash and central bank balances, interbank balances (without central banks), assets held for sale, accrued interest receivables, traditional securitization positions.
Unless stated otherwise, the tables below reflect credit exposure before the consideration of collateral and risk mitigation or structural enhancements, except for OTC derivatives wherein they are post credit enhancements.
Main Credit Exposure Categories by Business Divisions
…
1
Includes stage 3 and stage 3 POCI loans at amortized cost amounting to € 13.4 billion as of December 31, 2023
2
Includes stage 3 and stage 3 POCI loans at fair value through OCI amounting to € 44.2 million as of December 31, 2023
3
Includes stage 3 and stage 3 POCI off-balance sheet exposure amounting to € 2.3 billion as of December 31, 2023
4
Includes the effect of netting agreements and cash collateral received where applicable. Excludes derivatives qualifying for hedge accounting
5
Includes stage 3 and stage 3 POCI debt securities at amortized cost amounting to € 39.5 million as of December 31, 2023
6
Includes stage 3 and stage 3 POCI debt securities at fair value through OCI amounting to € 1.5 million as of December 31, 2023
7
Before reflection of collateral and limited to securities purchased under resale agreements and securities borrowed
…
1
Includes stage 3 and stage 3 POCI loans at amortized cost amounting to € 12.2 billion as of December 31, 2022
2
Includes stage 3 and stage 3 POCI loans at fair value through OCI amounting to € 54.9 million as of December 31, 2022
3
Includes stage 3 and stage 3 POCI off-balance sheet exposure amounting to € 2.6 billion as of December 31, 2022
4
Includes the effect of netting agreements and cash collateral received where applicable. Excludes derivatives qualifying for hedge accounting
5
Includes stage 3 and stage 3 POCI debt securities at amortized cost amounting to € 327.6 million as of December 31, 2022
6
Includes stage 3 and stage 3 POCI debt securities at fair value through OCI amounting to € 15.1 million as of December 31, 2022
7
Before reflection of collateral and limited to securities purchased under resale agreements and securities borrowed
Deutsche Bank’s total main credit exposure increased by € 18.0 billion year-on-year where € 32.2 billion of an increase in Investment Bank, is partly offset by a decrease in the Private Bank by € 7.7 billion, Corporate Bank by € 3.2 billion and in Corporate & Other by € 4.1 billion. The business division Corporate & Other primarily contains exposures in Treasury and Capital Release Unit. Exposure increases have been observed primarily in Debt securities and Off-Balance sheet which is partly offset by decrease in Loans and OTC Derivative products included in main credit exposures by business division.
Main Credit Exposure Categories by Industry Sectors
The below tables give an overview of the bank’s credit exposure by industry based on the NACE code of the counterparty. NACE (Nomenclature des Activités Économiques dans la Communauté Européenne) is a standard European industry classification system and does not have to be congruent with an internal risk based view applied elsewhere in this report.
1
Includes stage 3 and stage 3 POCI loans at amortized cost amounting to € 13.4 billion as of December 31, 2023
2
Includes stage 3 and stage 3 POCI loans at fair value through OCI amounting to € 44.2 million as of December 31, 2023
3
Includes stage 3 and stage 3 POCI off-balance sheet exposure amounting to € 2.3 billion as of December 31, 2023
4
Includes the effect of netting agreements and cash collateral received where applicable. Excludes derivatives qualifying for hedge accounting
5
Includes stage 3 and stage 3 POCI debt securities at amortized cost amounting to € 39.5 million as of December 31, 2023
6
Includes stage 3 and stage 3 POCI debt securities at fair value through OCI amounting to € 1.5 million as of December 31, 2023
7
Before reflection of collateral and limited to securities purchased under resale agreements and securities borrowed
8
Includes exposure to Corporates including Holding Companies of € 96 billion, Asset-Backed Securities of € 44 billion, Banks of € 55 billion, Insurance of € 13 billion, Financial Intermediaries of € 10 billion and Public Sector of € 16 billion, all based on internal client classification
9
Non-recourse Commercial Real Estate portfolio based on Deutsche Bank’s definition is € 38 billion
1
Includes stage 3 and stage 3 POCI loans at amortized cost amounting to € 12.2 billion as of December 31, 2022
2
Includes stage 3 and stage 3 POCI loans at fair value through OCI amounting to € 54.9 million as of December 31, 2022
3
Includes stage 3 and stage 3 POCI off-balance sheet exposure amounting to € 2.6 billion as of December 31, 2022
4
Includes the effect of netting agreements and cash collateral received where applicable. Excludes derivatives qualifying for hedge accounting
5
Includes stage 3 and stage 3 POCI debt securities at amortized cost amounting to € 327.6 million as of December 31, 2022
6
Includes stage 3 and stage 3 POCI debt securities at fair value through OCI amounting to € 15.1 million as of December 31, 2022
7
Before reflection of collateral and limited to securities purchased under resale agreements and securities borrowed
8
Includes exposure to Corporates including Holding Companies of € 85 billion, Asset-Backed Securities of € 43 billion, Banks of € 54 billion, Insurance of € 15 billion, Financial Intermediaries of € 22 billion and Public Sector of € 13 billion, all based on internal client classification
9
Non-recourse Commercial Real Estate portfolio based on Deutsche Bank’s definition is 39 billion
The portfolio is subject to the same credit underwriting requirements stipulated in the bank’s “Principles for Managing Credit Risk”, including various controls according to single name, country, industry and product/asset class-specific concentration.
Material transactions, such as loans underwritten with the intention to sell down or distribute part of the risk to third parties, are subject to review and approval by senior credit risk management professionals and (depending upon size) an underwriting committee and/or the Management Board. High emphasis is placed on structuring and pricing such transactions so that de-risking can be achieved i a timely manner and – where Deutsche Bank takes market price risk – to mitigate such market risk.
The Group’s amortized cost loan exposure within above categories is mostly to good quality borrowers. Moreover, with the focus on the Corporate Bank and Investment Bank, loan exposure is subject to further risk mitigation through the bank’s e.g. Strategic Corporate Lending unit.
Deutsche Bank’s household loan exposure is principally associated with Private Bank portfolios.
The bank’s amortized cost loan exposure of € 49.3 billion to Real Estate activities as reported above is based on NACE code classification and comprises of recourse and non-recourse financing, across various parts of the Group and client segments. This includes € 25.1 billion of loans which is based on Deutsche Bank’s definition of non-recourse CRE loans. For more information on non-recourse CRE loans, see section Focus areas in 2023 in the chapter IFRS 9 Impairment.
The Group’s commercial real estate loans, primarily originated in the U.S. and Europe, are generally secured by first mortgages on the underlying real estate property. Deutsche Bank originates fixed and floating rate loans and selectively acquires (generally at substantial discount) sub- /non-performing loans sold by financial institutions. The underwriting process is stringent and the exposure is managed under separate portfolio limits. Credit underwriting policy guidelines provide that LTV ratios of generally less than 75 % are adhered to at loan origination. Additionally, given the significance of the underlying collateral, independent external appraisals are commissioned for all secured loans by a valuation team (part of the independent Credit Risk Management function) which is also responsible for reviewing and challenging the reported real estate values regularly. Deutsche Bank originates loans for distribution in the banking market or via securitization. In this context Deutsche Bank frequently retains a portion of the syndicated loans while securitized positions may be entirely sold (except where regulation requires retention of economic risk). Mezzanine or other junior tranches of debt are retained only in exceptional cases. The bank also participates in conservatively underwritten unsecured lines of credit to well-capitalized real estate investment trusts and other real estate operating companies.
Commercial real estate property valuations and rental incomes can be significantly impacted by macro-economic conditions and idiosyncratic events affecting the underlying properties. Accordingly, the portfolio is categorized as higher risk and hence subject to the aforementioned tight restrictions on concentration.
The Group’s credit exposure to the ten largest counterparties accounted for 12 % of the bank’s aggregated total credit exposure in these categories as of December 31, 2023, compared with 11 % as of December 31, 2022. The top ten counterparty exposures were well-rated counterparties or otherwise related to structured trades which show high levels of risk mitigation.
Deutsche Bank’s exposure to Financial and Insurance Activities is € 381.2 billion as of December 31, 2023 which also includes exposures to Asset Backed Securities, Banks, Insurance, Financial intermediaries, Public Sector as well as to Corporates including Holding Companies. Exposures are managed using bespoke risk management frameworks, trade-by-trade approvals and relevant risk appetite metrics. Total loans across all applicable measurement categories amounted to € 116.3 billion, total repo and repo style transactions across all applicable measurement categories amounted to € 93.3 billion and off-balance sheet activities amounted to € 118.6 billion as of December 31, 2023 and were principally associated with Investment Bank and Corporate Bank portfolios, which were majorly held in North America and Europe.
Main credit exposure categories by geographical region
1
Includes stage 3 and stage 3 POCI loans at amortized cost amounting to € 13.4 billion as of December 31, 2023
2
Includes stage 3 and stage 3 POCI loans at fair value through OCI amounting to € 44.2 million as of December 31, 2023
3
Includes stage 3 and stage 3 POCI off-balance sheet exposure amounting to € 2.3 billion as of December 31, 2023
4
Includes the effect of netting agreements and cash collateral received where applicable. Excludes derivatives qualifying for hedge accounting
5
Includes stage 3 and stage 3 POCI debt securities at amortized cost amounting to € 39.5 million as of December 31, 2023
6
Includes stage 3 and stage 3 POCI debt securities at fair value through OCI amounting to € 1.5 million as of December 31, 2023
7
Before reflection of collateral and limited to securities purchased under resale agreements and securities borrowed
8
Thematic addition on back of the ongoing border conflict between the Russian Federation and Ukraine
9
Ukraine trading loan exposure driven by financing, materially guaranteed by supranational development bank. Net exposure considering broader risk mitigation structure is deminimis
1
Includes stage 3 and stage 3 POCI loans at amortized cost amounting to € 12.2 billion as of December 31, 2022
2
Includes stage 3 and stage 3 POCI loans at fair value through OCI amounting to € 54.9 million as of December 31, 2022
3
Includes stage 3 and stage 3 POCI off-balance sheet exposure amounting to € 2.6 billion as of December 31, 2022
4
Includes the effect of netting agreements and cash collateral received where applicable. Excludes derivatives qualifying for hedge accounting
5
Includes stage 3 and stage 3 POCI debt securities at amortized cost amounting to € 327.6 million as of December 31, 2022
6
Includes stage 3 and stage 3 POCI debt securities at fair value through OCI amounting to € 15.1 million as of December 31, 2022
7
Before reflection of collateral and limited to securities purchased under resale agreements and securities borrowed
8
Thematic addition on back of the ongoing border conflict between the Russian Federation and Ukraine
9
Ukraine trading loan exposure driven by financing, materially guaranteed by supranational development bank. Net exposure considering broader risk mitigation structure is deminimis
The tables above provide an overview of Deutsche Bank’s credit exposure by geographical region, allocated based on the counterparty’s country of domicile. The domicile view might differ from any internal risk based view applied elsewhere in this report.
The Group’s largest concentration of credit risk within loans from a regional perspective is in its home market Germany, with a significant share in households, which includes the majority of the mortgage lending and home loan business.
Within OTC derivatives, tradable assets as well as repo and repo-style transactions, the largest concentrations from a regional perspective were in Europe and North America.
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Asset Quality [Abstract] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Asset Quality Excluding Forborne and Collateral [text block] |
Overview of financial assets subject to impairment
The following tables provide an overview of the exposure amount and allowance for credit losses by financial asset class broken down into stages as per IFRS 9 requirements.
Overview of financial assets subject to impairment
1
Financial assets at amortized cost consist of: loans at amortized cost, cash and central bank balances, Interbank balances (w/o central banks), central bank funds sold and securities purchased under resale agreements, securities borrowed and certain subcategories of other assets
2
Allowance for credit losses do not include allowance for country risk amounting to € 4 million as of December 31, 2023 and € 14 million as of December 31, 2022
3
Allowance for credit losses do not include allowance for country risk amounting to € 9 million as of December 31, 2023 and € 9 million as of December 31, 2022
Financial assets at amortized cost
The following tables provide an overview of development of financial assets at amortized cost and related allowance for credit losses in each of the relevant reporting periods broken down into stages as per IFRS 9 requirements.
Development of exposures in the current reporting period
Financial assets at amortized cost subject to impairment decreased by € 25 billion or 3 % in 2023, driven by Stage 1:
–
Stage 1 exposures declined by
€ 37 billion
or
5 %
,
primarily due to a reduction in cash and central bank balances and loans at amortized cost.
–
Stage 2 exposures increased by
€ 10 billion
or
23 %
across business divisions, largely driven by loans at amortized cost.
–
Stage 3 exposures went up by
€ 1 billion
or
10 %
in 2023, mainly driven by new defaults of single large clients in Private Bank as well as within the CRE portfolio in Investment Bank.
Development of exposures in the previous reporting period
Financial assets at amortized cost subject to impairment increased by € 22 billion or 3 % in 2022, largely driven by Stage 1:
–
Stage 1 exposures increased by
€ 18 billion
or
3 %
, primarily due to the increases in loans at amortized cost in Investment Bank and Private Bank as well as in debt securities held to collect, partly offset by a reduction in central bank balances.
–
Stage 2 exposures increased by
€ 5 billion
or
12 %
, largely driven by loans at amortized cost in Private Bank due to the deterioration of the macroeconomic environment.
–
Stage 3 exposures slightly decreased by
€ 203 million
or
2 %
in 2022, driven by reductions in Private Bank and the POCI loan portfolio. This was partly offset by an increase in Corporate Bank due to new defaults.
Development of allowance for credit losses in the current reporting period
1
Movements in financial assets including new business, transfers due to changes in creditworthiness and changes in models add up to Provision for Credit Losses excluding country risk
2
Allowance for credit losses does not include allowance for country risk amounting to € 4 million as of December 31, 2023
3
This position includes charge offs of allowance for credit losses
4
The total amount of undiscounted expected credit losses at initial recognition on financial assets that are purchased or originated credit-impaired initially recognized during the reporting period was € 0 million in 2023 and € 46 million in 2022
Allowance for credit losses for financial assets at amortized cost subject to impairment increased by € 291 million or 6 % in 2023, driven by Stage 3:
–
Stage 1 allowances decreased by
€ 86 million
or
16 %
across business divisions, driven by non-recurring positive ECL model changes and an improved macroeconomic outlook.
–
Stage 2 allowances increased by
€ 54 million
or
9 %
across business divisions,
due to the aforementioned overlays mainly related to envisaged ECL model changes (Forward Looking Information on LGDs), which led to an increase of Allowance for Credit Losses.
–
Stage 3 allowances increased by
€ 323 million
or
8 %
, mainly driven by the new provisions and the release of the existing overlay related to parameter recalibrations required due to the new definition of default in Private Bank (which at first application led to a decrease of Allowance for Credit Losses), as mentioned above.
The Group’s Stage 3 coverage ratio (defined as allowance for credit losses in Stage 3 (excluding POCI) as a percentage of financial assets at amortized cost in Stage 3 (excluding POCI)) amounted to 31 % in the current fiscal year, compared to 32 % in the prior year.
Due to the non-recurring positive ECL model changes, net transfers into Stage 1 due to changes in creditworthiness increased in 2023 on a year-over-year basis. Net outflows from Stage 2 due to changes in creditworthiness increased in 2023, which was mainly due to the improved macroeconomic environment, as mentioned above.
In 2023, net outflows from Stage 3 (excluding POCI) increased compared to 2022. The immaterial amount of net outflows from Stage 3 due to creditworthiness in 2023 resulted from a release of an overlay, as mentioned above.
Development of allowance for credit losses in the previous reporting period
1
Movements in financial assets including new business, transfers due to changes in creditworthiness and changes in models add up to Provision for Credit Losses excluding country risk
2
Allowance for credit losses does not include allowance for country risk amounting to € 14 million as of December 31, 2022
3
This position includes charge offs of allowance for credit losses
4
The total amount of undiscounted expected credit losses at initial recognition on financial assets that are purchased or originated credit-impaired initially recognized during the reporting period was € 46 million in 2022 and € 0 million in 2021
Allowance for credit losses for financial assets at amortized cost subject to impairment increased by € 100 million or 2 % in 2022, driven by Stages 1 and 2:
–
Stage 1 allowances
increased by
€ 93 million
or
21 %
, driven by a deteriorating macroeconomic environment.
–
Stage 2 allowances
increased by
€ 94 million
or
18 %
due to a deterioration of the macroeconomic outlook.
–
Stage 3 allowances
decreased by
€ 87 million
or
2 %
, mainly driven by reductions due to non-performing portfolio sales in Private Bank, which were partly offset by new provisions in Investment Bank and Corporate Bank.
Financial assets at amortized cost by business division
1
Gross Carrying Amount numbers per business division are reported after a reallocation of cash balances from business divisions to Corporate & Other.
1
Gross Carrying Amount numbers per business division are reported after a reallocation of cash balances from business divisions to Corporate & Other
2
Prior year’s comparatives aligned to presentation in the current year
Financial assets at amortized cost by industry sector
The below table provides an overview of the Group’s asset quality by industry and is based on the NACE code of the counterparty. NACE (Nomenclature des Activités Économiques dans la Communauté Européenne) is a standard European industry classification system.
Financial assets at amortized cost by region
Financial assets at amortized cost by rating class
The Group’s existing commitments to lend additional funds to debtors with Stage 3 financial assets at amortized cost amounted to € 816 million as of December 31, 2023, and € 621 million as of December 31, 2022.
Collateral held against financial assets at amortized cost in Stage 3
1
Stage 3 consists here only of non-POCI assets
In 2023, collateral and guarantees held against financial assets at amortized cost in Stage 3 increased by € 1 billion, or 21 % mainly driven by Investment Bank and Private Bank.
Due to full collateralization the Group did not recognize an allowance for credit losses against financial assets at amortized cost in Stage 3 for € 408 million in 2023 and € 916 million in 2022.
Modified assets at amortized cost
A financial asset is considered modified when its contractual cash flows are renegotiated or otherwise modified. Renegotiation or modification may or may not lead to derecognition of the old and recognition of the new financial instrument. This section covers modified financial assets that have not been derecognized.
Under IFRS 9, when the terms of a Financial Asset are renegotiated or modified and the modification does not result in derecognition, a gain or loss is recognized in the income statement as the difference between the original contractual cash flows and the modified cash flows discounted at the original effective interest rate (EIR). For modified financial assets the determination of whether the asset’s credit risk has increased significantly reflects the comparison of:
–
The remaining lifetime probability of default (PD) at the reporting date based on the modified terms; with
–
The remaining lifetime PD estimated based on data at initial recognition and based on the original contractual terms.
The following table provides the overview of modified financial assets at amortized cost in the reporting periods broken down into IFRS 9 stages.
Modified Assets at Amortized Cost
In 2023, the bank has observed the increase of € 1.2 billion in modified assets at amortized cost due to client related modifications, driven by a single large client in Private Bank and the CRE portfolio in Investment Bank and Corporate Bank. The latter were granted with no modification loss.
In 2023, the Group has not observed any amounts of modified assets that have been upgraded to Stage 1. The bank has not observed any subsequent re-deterioration of those assets into Stages 2 and 3.
In 2022, the Group has observed immaterial amounts of modified assets that have been upgraded to Stage 1. The bank has not observed any subsequent re-deterioration of those assets into Stages 2 and 3.
Financial assets at fair value through other comprehensive income
The fair value of financial assets at fair value through other comprehensive income (FVOCI) subject to impairment under IFRS 9 was € 36 billion at December 31, 2023, compared to € 32 billion at December 31, 2022. Allowance for credit losses against these assets remained at very low levels (€ 48 million as of December 31, 2023 and € 69 million as of December 31, 2022). Due to immateriality no further breakdown is provided for financial assets at FVOCI.
Off-balance sheet lending commitments and guarantee business
The following tables provide an overview of the nominal amount and credit loss allowance for the Group’s off-balance sheet financial asset class broken down into stages as per IFRS 9 requirements.
Development of nominal amount in the current reporting period
Development of nominal amount in the previous reporting period
Development of allowance for credit losses in the current reporting period
1
The above table breaks down the impact on provision for credit losses from movements in financial assets including new business, transfers due to changes in creditworthiness and changes in models
2
Allowance for credit losses does not include allowance for country risk amounting to € 9 million as of December 31, 2023
Development of allowance for credit losses in the previous reporting period
1
The above table breaks down the impact on provision for credit losses from movements in financial assets including new business, transfers due to changes in creditworthiness and changes in models
2
Allowance for credit losses does not include allowance for country risk amounting to € 9 million as of December 31, 2022
Legal claims
Assets subject to enforcement activity consist of assets, which have been fully or partially written off and the Group still continues to pursue recovery of the asset. Such enforcement activity comprises for example cases where the bank continues to devote resources (e.g. our Legal Department/CRM workout unit) towards recovery, either via legal channels or third party recovery agents. Enforcement activity also applies to cases where the Bank maintains outstanding and unsettled legal claims. This is irrespective of whether amounts are expected to be recovered and the recovery timeframe. It may be common practice in certain jurisdictions for recovery cases to span several years.
Amounts outstanding on financial assets that were written off during the reporting period and are still subject to enforcement activity amounted to € 334 million in fiscal year 2023, mainly in Corporate Bank. In 2022, legal claims amounted to € 175 million, mainly in Corporate Bank and Private Bank.
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Asset Quality Forborne Assets [text block] | Renegotiated and forborne assets at amortized costs For economic or legal reasons the bank might enter into a forbearance agreement with a borrower who faces or will face financial difficulties in order to ease the contractual obligation for a limited period of time. A case-by-case approach is applied for corporate clients considering each transaction and client-specific facts and circumstances. For consumer loans the bank offers forbearances for a limited period of time, in which the total or partial outstanding or future instalments are deferred to a later point of time. However, the amount not paid including accrued interest during this period must be re-compensated at a later point of time. Repayment options include distribution over residual tenor, a one-off payment or a tenor extension. Forbearances are restricted and depending on the economic situation of the client, the Group’s risk management strategies and the local legislation. In case a forbearance agreement is entered into, an impairment measurement is conducted as described below, an impairment charge is taken if necessary and the loan is subsequently recorded as impaired. In the Group’s management and reporting of forborne assets at amortized costs, the bank follows the EBA definition for forbearances and non-performing loans (Implementing Technical Standards (ITS) on Supervisory reporting on forbearance and non-performing exposures under article 99(4) of Regulation (EU) No 575/2013). Once the conditions mentioned in the ITS are met, the Group reports the loan as being forborne; removes the asset from the bank’s forbearance reporting, once the discontinuance criteria in the ITS are met (i.e., the contract is considered as performing, a minimum two year probation period has passed, regular payments of more than an insignificant aggregate amount of principal or interest have been made during at least half of the probation period, and none of the exposures to the debtor is more than 30 days past-due at the end of the probation period). Forborne financial assets at amortized cost Dec 31, 2023 Dec 31, 2022 Performing Non-performing Totalforborneloans atamortizedcost Performing Non-performing Totalforborneloans atamortizedcost in € m. Stage 1 Stage 2 Stage 1 Stage 2 Stage 3 Stage 1 Stage 2 Stage 1 Stage 2 Stage 3 German 426 2,356 0 7 812 3,600 729 1,563 0 21 1,066 3,379 Non-German 639 4,399 0 194 3,632 8,864 1,254 3,139 60 13 3,299 7,764 Total 1,065 6,755 0 201 4,444 12,464 1,983 4,702 60 34 4,365 11,143 Development of forborne financial assets at amortized cost in € m. Dec 31, 2023 Dec 31, 2022 Balance beginning of period 11,143 13,741 Classified as forborne during the year 4,007 3,196 Transferred to non-forborne during the year (including repayments) (2,500) (5,899) Charge-offs (80) (142) Exchange rate and other movements (106) 248 Balance end of period 12,464 11,143 Forborne assets at amortized cost increased by € 1.3 billion, or 12% in 2023. This was driven by the increase in Investment Bank. Forborne assets at amortized cost decreased by € 2.6 billion, or 19% in 2022. This was driven by the reduction in the COVID-19 related forbearance measures, which was partly offset by an increase in Investment Bank and Corporate Bank. | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Asset Quality Collateral [text block] | Collateral Obtained The Group obtains collateral on the balance sheet only in certain cases by either taking possession of collateral held as security or by calling upon other credit enhancements. Collateral obtained is made available for sale in an orderly fashion or through public auctions, with the proceeds used to repay or reduce outstanding indebtedness. Generally, the bank does not occupy obtained properties for its business use. Collateral Obtained during the reporting period in € m. 2023 2022 Commercial real estate 0 2 Residential real estate1 3 1 Other 11 0 Total collateral obtained during the reporting period 14 4 1 Carrying amount of foreclosed residential real estate properties amounted to € 30 million as of December 31, 2023 and € 62 million as of December 31, 2022 The collateral obtained, as shown in the table above, excludes collateral recorded as a result of consolidating securitization trusts under IFRS 10. In 2023 and 2022, the Group obtained € 0 million of collateral related to these trusts. | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Trading Market Risk Exposures [Abstract] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Value-at-Risk Metrics of Trading Units of Deutsche Bank Group [text block] | The tables and graph below present the Historic Simulation value-at-risk metrics calculated with a 99% confidence level and a one-day holding period for the Group’s trading units. Value-at-Risk of Trading Units by Risk Type¹ Total Diversificationeffect Interest raterisk Credit spreadrisk Equity pricerisk Foreign exchangerisk² Commodity pricerisk in € m. 2023 2022 2023 2022 2023 2022 2023 2022 2023 2022 2023 2022 2023 2022 Average 40.7 44.0 (46.3) (43.3) 27.5 29.4 38.6 35.4 7.8 11.4 12.1 9.7 0.9 1.5 Maximum 74.3 71.4 (21.2) (21.7) 40.1 48.1 68.4 58.7 14.9 21.7 17.4 15.0 2.8 4.3 Minimum 23.2 24.9 (64.9) (67.1) 15.7 13.4 21.9 19.3 4.5 5.4 8.2 5.8 0.2 0.3 Period-end 39.0 38.3 (31.9) (43.3) 20.3 26.0 28.4 35.0 11.0 6.4 10.9 13.6 0.3 0.5 1 Figures for 2023 as of December 31, 2023. Figures for 2022 as of December 31, 2022 2 Includes value-at-risk from gold and other precious metal positions | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Regulatory Measures Incremental Risk Charge [text block] | For regulatory reporting purposes, the incremental risk charge for the respective reporting dates represents the higher of the spot value at the reporting dates, and their preceding 12-week average calculation. Average, Maximum and Minimum Incremental Risk Charge of Trading Units (with a 99.9% confidence level and one-year capital horizon)1,2,3 Total Credit Trading Global Rates Emerging Markets Other in € m. 2023 2022 2023 2022 2023 2022 2023 2022 2023 2022 Average 563.3 319.0 (15.0) 54.5 363.4 137.0 228.1 110.2 (13.2) 17.4 Maximum 904.6 414.0 121.4 130.6 892.5 305.0 349.9 332.4 32.0 51.2 Minimum 330.3 272.4 (130.9) (33.2) 198.7 53.2 122.4 39.3 (80.6) (31.7) Period-end 570.3 291.2 90.8 11.6 198.7 161.9 284.5 100.2 (3.6) 17.4 1 Amounts show the bands within which the values fluctuated during the 12-weeks preceding December 31, 2023 and December 31, 2022, respectively 2 Business line breakdowns have been updated for 2023 reporting to better reflect the current business structure 3 All liquidity horizons are set to 12 months | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Disclosure of Nontrading Market Risk Exposure [text block] | Non-trading Market Risk Exposures Economic Capital Usage for Non-trading Market Risk The following table shows the Non-trading Market Risk economic capital usage by risk type: Economic Capital Usage by risk type. Economic capital usage in € m. Dec 31, 2023 Dec 31, 2022 Interest rate risk 2,980 1,752 Credit spread risk 60 29 Equity and Investment risk 1,044 841 Foreign exchange risk 1,273 1,460 Pension risk 1,106 803 Guaranteed funds risk 59 82 Total non-trading market risk portfolios 6,523 4,968 The economic capital figures do take into account diversification benefits between the different risk types. Economic Capital Usage for Non-trading Market Risk totaled € 6.5 billion as of December 31, 2023, which is € 1.6 billion above the economic capital usage at year-end 2022. The increase in economic capital was predominantly driven by additional interest rate risk positions taken to mitigate downside risk to the Group’s net interest income, higher risk related to behavioral modelling assumption for our non-maturity deposit portfolio and a higher market risk contribution from our defined benefit pension plans. – Interest rate risk; economic capital charge for interest rate risk in the banking book, including gap risk, basis risk and option risk, such as the risk of a change in client behavior embedded in modelled non-maturity deposits or prepayment risk; in total the economic capital usage for December 31, 2023 was € 3.0 billion , compared to € 1.8 billion for December 31, 2022 – Credit spread risk; economic capital charge for portfolios in the banking book subject to credit spread risk; economic capital usage was € 60 million as of December 31, 2023, versus € 29 million as of December 31, 2022 – Equity and Investment risk; economic capital charge for equity risk from a structural short position in the bank’s own share price arising from the Group’s equity compensation plans, and from the non-consolidated investment holdings, such as strategic investments and alternative assets the economic capital usage was € 1.0 billion as of December 31, 2023, compared to € 841 million as of December 31, 2022 – Foreign exchange risk; foreign exchange risk predominantly arises from the Group’s structural position taken to immunize the sensitivity of the bank’s capital ratio against changes in the exchange rates. The economic capital usage was € 1.3 billion as of December 31, 2023, versus € 1.5 billion as of December 31, 2022 – Pension risk; this risk arises from the Group’s defined benefit obligations, including interest rate risk and inflation risk, credit spread risk, equity risk and longevity risk. The economic capital usage was € 1.1 billion as of December 31, 2023, compared to € 803 million as of December 31, 2022 – Guaranteed funds risk; economic capital usage was € 59 million as of December 31, 2023, versus € 82 million as of December 31, 2022 | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Disclosure of Liquidity Risk Exposure [Abstract] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Funding Diversification Performance [text block] |
Funding Diversification
In 2023, total external funding increased by € 12.0 billion from € 963.3 billion at December 31, 2022 to € 975.3 billion at December 31, 2023. Funding from the Corporate Bank has increased by € 1.5 billion, whereas deposits in the Private Bank have decreased by € 9.6 billion. For both divisions, there has been a shift from sight to term deposits. The unsecured Wholesale Funding portfolio increased by € 11.4 billion, thereof € 2.5 billion from Investment Bank deposits. In addition, Capital Markets and Equity increased by € 10.1 billion driven by an increase of € 4.2 billion in Equity and € 5.9 billion in long-term Debt Issuances. Secured funding and shorts have been overall stable compared to December 31, 2022 with reductions from the repayment of TLTRO (Targeted Longer-Term Refinancing Operations) of € 18.7 billion as well as a decrease of € 6.6 billion in trading liabilities has been offset by an increase of € 23.9 billion in repurchase operations.
Composition of External Funding Sources
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Other Customers includes fiduciary deposits, X-markets notes and margin/Prime Brokerage cash balances (shown on a net basis)
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Reference: Reconciliation to total balance sheet of € 1317.3 billion (€ 1,344.2 billion): Derivatives & settlement balances € 266.5 billion (€ 296.5 billion), add-back for netting effect for margin/Prime Brokerage cash balances (shown on a net basis) € 40.2 billion (€ 50.4 billion), other non-funding liabilities € 35.4 billion (€ 34.1 billion) for December 31, 2023 and December 31, 2022, respectively
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- Definition The disclosure of the credit risk exposure. Credit risk exposure is the credit risk inherent in an entity’s financial assets and commitments to extend credit. Reference 1: http://www.xbrl.org/2003/role/disclosureRef
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