Deutsche Bank : Pillar 3 Report Q3 2019

Deutsche Bank

Pillar 3 Report

as  of September 30, 2019

Content

3 Regulatory Framework

1. Introduction
2. Basel 3 and CRR / CRD

1. TLAC and European MREL (SRMR / BRRD)
2. ICAAP, ILAAP and SREP

1. Prudential measures fornon-performing exposure
2. Capital requirements

1. Article 438(c-f) CRR - Overview of capital requirements
2. Credit risk exposure and credit risk mitigation

in the internal-rating-based approach

7 Quantitative information on the use of the IRB approach

1. Article 438 (d) CRR - Development of credit risk RWA
2. Counterparty credit risk (CCR)

1. Article 438 (d) CRR - Development of Counterparty Credit Risk RWA
2. Market risk

9 Own funds requirements for market risk under the IMA

9 Article 455 (e) CRR - Regulatory capital requirements for market risk

11 List of tables

Deutsche Bank	Regulatory framework
Pillar 3 Report as of September 30, 2019	Basel 3 and CRR/CRD

Regulatory framework

Introduction

This Report provides Pillar 3 disclosures on the consolidated level of Deutsche Bank Group as required by the global regulatory

framew ork for capital and liquidity, established by the Basel Committee	on Banking Supervision, also know n as Basel 3. On
European level these are implemented in the disclosure requirements	as laid dow n in Part Eight of the "Regulation (EU)

575/2013 on prudential requirements for credit institutions and investment firms" (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") w hich have been lastly amended w ith the Regulation (EU) 2019/876 and Directive (EU) 2019/878. Germany implemented the CRD disclosure requirements into national law in Section 26a of the German Banking Act ("Kreditw esengesetz" or "KWG"). Further disclosure guidance has been provided by the

European	Banking Authority ("EBA") in its "Final Report on the Guidelines on Disclosure Requirements under Part	Eight of
Regulation	(EU) No 575/2013" ("EBA Guideline", EBA/GL/2016/11, version 2*). The information provided in this Pillar	3 Report
is unaudited.

Due to rounding, numbers presented throughout this document may not add up precisely to the totals w e provide and percentages may not precisely reflect the absolute figures.

Basel 3 and CRR/CRD

In the European Union, the Basel 3 capital framew ork is implemented by the amended versions of CRR and CRD. As a single rulebook the CRR is directly applicable to credit institutions and investment firms in the European Union and provides the

grounds for the determination of regulatory	capital requirements, regulatory ow n funds, leverage and liquidity as w ell as other
relevant regulations. In addition, the CRD	w as implemented into German law by means of further amendments to the KWG

and the German Solvency Regulation (SolvV) and accompanying regulations. Jointly, these law s and regulations represent

the regulatory framew ork applicable	in Germany.
Regarding the regulatory minimum	capital requirements the CRR/CRD lays the foundation for the calculation of risk w eighted
assets for credit risk, including	counterparty credit risk, credit valuation adjustments, market risk and operational risk.
In January 2019, Regulations	(EU)	2017/2401 and 2017/2402 introduced changes to the methodology	for determining RWAs
for new securitizations originated on or after January 1, 2019. All securitization transactions originated	before this date remain

subject to the rules introduced by CRR/CRD as applicable until December 31, 2018 and w ill be subject to the new framew ork on January 1, 2020.

With the recent amendments to the CRR/CRD various changes are introduced to the credit risk RWA framew ork becoming applicable in June 2021. These relate to the applicable risk w eights for banking book investments in collective investment undertakings or the replacement of the mark-to-market method to determine the exposure value for derivatives that are not in scope of the internal model method by a new standardized approach to determine counterparty credit risk (SA-CCR).

A further core element of the CRR/CRD framew ork is the development and maintenance of a high quality capital base w hich

should primarily consist of Common	Equity Tier 1 (CET 1). The CET	1 minimum capital requirement applicable to the Group
is 4.5 % of risk-w eighted assets. In	addition to this minimum capital	requirement, various capital buffer requirements w ere

phased in starting 2016 and are fully effective from 2019 onw ards.

Further capital components considered for regulatory purposes are Additional Tier 1 (AT1) and Tier 2 (T2) capital. How ever, for these certain transitional arrangements are still in place w hich w ere introduced by the CRR/CRD applicable until June 26, 2019. Capital instruments that no longer qualify as AT1 or T2 capital under these fully loaded rules are subject to grandfathering rules during the transitional period and are being phased out from 2013 to 2022 w ith their recognition capped at 40 % in 2018, 30 % in 2019 and the cap decreasing by ten percentage points every year thereafter.

We present in this report certain figures based on our definition of ow n funds (applicable for Additional Tier 1 capital and Tier 2 capital and figures based thereon, including Tier 1 capital and Leverage Ratio) on a "fully loaded" basis. The term "fully loaded" is defined as excluding the transitional arrangements for ow n funds introduced by the CRR/CRD applicable until June 26, 2019. How ever, it reflects the latest transitional arrangements introduced by the amendments to the CRR/CRD applicable from June 27, 2019.

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Deutsche Bank	Regulatory framework
Pillar 3 Report as of September 30, 2019	TLAC and European MREL (SRMR/BRRD)

The CRR/CRD requires banks to calculate and disclose a regulatory leverage ratio that is generally based on the accounting value as the relevant exposure measure for assets. Specific regulatory exposure measures apply to derivatives and securities financing transactions as w ell as off-balance sheet exposures and must be added to determine the total leverage exposure. With effect from June 2021 the leverage exposure measure w ill be modified, e.g. the exposure measure for derivatives is determined based on a new standardized approach for counterparty credit risk and pending settlement receivables may be netted w ith pending settlement payables subject to further requirements, and a minimum leverage ratio requirement of 3 % is introduced. From January 1, 2022 an additional leverage ratio buffer requirement of 50 % of the applicable G-SIB buffer rate applies. It is currently expected that this additional requirement equals 0.75 %.

The CRR/CRD framew ork further defines liquidity standards. The Liquidity Coverage Ratio (LCR) aims to measure a bank's short-term resilience to a severe liquidity stress scenario during a stress period of 30 calendar days. Detailed rules for the calculation of the LCR are set out in the Commission Delegated Regulation 2015/61. The binding minimum liquidity coverage ratio is set to 100 % since 2018.

The Net Stable Funding Ratio (NSFR) requires banks to maintain a stable funding profile in relation to their on- and off-balance sheet exposures. The CRR/CRD requires banks to calculate and disclose certain items requiring and providing stable funding. With effect from June 2021 a minimum Net Stable Funding Ratio of 100 % is introduced.

There are continuous improvements and additional regulatory guidance provided w ith regard to the interpretations of the CRR/CRD rules and related binding Technical Standards are still in preparation or not yet available in their final version. Thus, w e w ill continue to refine our assumptions and models in line w ith evolution of our as w ell 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, our CRR/CRD measures may not be comparable w ith similarly labeled measures used by our competitors as our competitors' assumptions and estimates regarding such implementation may differ from ours.

TLAC and European MREL (SRMR/BRRD)

The key change regarding the amendments to CRR that is applicable from June 27, 2019 relates to the introduction of a total loss-absorbing capacity ("TLAC") requirement w hich implements the internationally agreed TLAC standard as documented in the Financial Stability Board's (FSB) TLAC term sheet in Europe.

Global Systemically Important Institutions (G-SIIs) in Europe now need to have at least 16 % plus the combined buffer requirement of their Risk Weighted Assets (RWA) or 3 % of their Leverage Ratio Exposure (LRE) as TLAC. The requirement w ill increase to 18 % plus the combined buffer requirement of RWA or 3.75 % of LRE starting 2022.

Banks in the European Union are also required to meet at all times a minimum requirement for ow n funds and eligible liabilities

("MREL")	w hich ensures that banks have sufficient loss absorbing capacity in resolution to avoid recourse to taxpayers' money .
Relevant	law s 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 Abw icklungsgesetz, "SAG").

MREL is determined on a case-by-case basis by the resolution authority in line w ith guidance provided by Commission Delegated Regulation (EU) 2016/1450. The Single Resolution Board ("SRB") as Deutsche Bank's resolution authority has issued further MREL policies clarifying how the SRB w ill exercise its discretion under the above European law s in setting MREL and in determining eligible liabilities. MREL is expressed as a percentage of Total Liabilities and Ow n Funds ("TLOF") .

Instruments w hich qualify for TLAC and MREL are ow n funds (Common Equity Tier 1, Additional Tier 1 and Tier 2) as w ell as 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) w hile this is not required for MREL (e.g. senior preferred bonds).

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Deutsche Bank	Regulatory	framework
Pillar 3 Report as of September 30, 2019	Prudential	measures for non-performing exposure

ICAAP, ILAAP and SREP

The lnternal Capital Adequacy Assessment Process ("ICAAP") as stipulated in Pillar 2 of Basel 3 requires banks to identify and assess risks, maintain sufficient capital to face these risks and apply appropriate risk management techniques to maintain adequate capitalization. Our 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 w hich the Group is exposed, by monitoring and measuring these risks, and by maintaining tools and resources to manage and mitigate these risks.

In accordance w ith 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 w hich the institution is or might be exposed; (b) risks the institution poses to the financial system; and (c) risks revealed by stress testing.

Prudential measures for non-performing exposure

In April 2019 the EU published final regulations for a prudential backstop for non-performing loans, w hich w ill result in a deduction from CET 1 capital w hen a minimum loss coverage requirement is not met. We expect first impacts on our CET 1 ratio in 2021, as these rules apply to new ly originated assets after application date and foresee a tw o year grace period before the defined backstop requirements apply.

In addition, in March 2018 ECB published its "Addendum to the ECB Guidance to banks on non-performing loans: supervisory expectations for prudential provisioning of non-performing exposures". This guidance is applicable to all new ly defaulted loans after April 1, 2018 and, similar to the EU rules, it requires banks to take measures in case a minimum impairment coverage requirement is not met. Within the annual SREP discussions ECB may impose Pillar 2 measures on banks in case ECB is not confident w ith measure taken by the individual bank. In line w ith the ECB guidance w e do not expect an impact earlier than in the third quarter of 2020.

In its 2019 SREP letter, ECB asks us to apply ECB's non-performing backstop requirements to the stock of Non-Performing Loans starting year end 2020. Similar to the Addendum to the ECB Guidance to banks on non-performing loans this measure w ill be evaluated as part of the annual SREF process.

The aforementioned ECB's "Addendum to the ECB Guidance to banks on non-performing loans: supervisory expectations for prudential provisioning of non-performing exposures" provides in Appendix 7 disclosure recommendations for non-performing loans ("NPLs") to be considered in the banks Pillar 3 report starting year end 2018. In agreement w ith ECB, w e are providing Templates 1, 3 and 4 of the EBA Guidelines on disclosure of non-performing and forborne exposures (EBA/GL/2018/10) published on December 17, 2018 to address the key disclosure recommendations of ECB's Addendum to the ECB Guidance on NPLs (Appendix 7).

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Deutsche Bank	Capital requirements
Pillar 3 Report as of September 30, 2019	Article 438 (c-f) CRR - Overview of capital requirements

Capital requirements

Article 438 (c-f) CRR - Overview of capital requirements

The table below show s RWA and regulatory capital requirements broken dow n by risk types and model approaches compared to the previous quarter-end.

EU OV1 - Overview of RWA

						Sep 30, 2019				Jun 30, 2019
				a1		b1		a2		b2
						Minimum				Minimum
		in € m.		RWA		capital		RWA		capital
			requirements			requirements
	1	Credit risk (excluding CCR)	176,166	14,093	177,184	14,175
		of which:
Art 438(c)(d)	2	The standardized approach	17,900	1,432	18,212	1,457
Art 438(c)(d)	3	The f oundation IRB (FIRB) approach	3,826	306	3,728	298
Art 438(c)(d)	4	The adv anced IRB (AIRB) approach	147,013	11,761	148,115	11,849
Art 438(d)	5	Equity IRB under the simple risk-weighted approach or the IMA		7,428		594		7,129		570
Art 107	6	Counterparty credit risk (CCR)
Art 438(c)(d)				31,890	2,551	32,320	2,586
		of which:
Art 438(c)(d)	7	Mark to market	4,835	387	4,119	330
Art 438(c)(d)	8	Original exposure	0	0	0	0
	9	The standardized approach	0	0	0	0
	9a	Financial collateral comprehensiv e method (f or SFTs)	2,023	162	2,704	216
	10	Internal model method (IMM)	18,839	1,507	18,823	1,506
Art 438(c)(d)	11	Risk exposure amount f or contributions to the def ault f und of a CCP	377	30	454	36
Art 438(c)(d)	12	Credit Valuation Adjustment (CVA)		5,816		465		6,219		498
Art 438(e)	13	Settlement risk		41		3		269		22
Art 449(o)(i)	14	Securitization exposures in the banking book (af ter the cap)	12,052	964	10,763	861
		of which:
	15	IRB approach	10,156	812	8,833	707
		of which:
	16	IRB superv isory f ormula approach (SFA)	4,738	379	4,820	386
	17	Internal assessment approach (IAA)	0	0	0	0
	18	Standardized approach		1,897		152		1,930		154
	19	Market risk	31,367	2,509	29,033	2,323
		of which:
	20	Standardized approach	3,427	274	3,702	296
	21	IMA	27,940	2,235	25,331	2,026
Art 438(e)	22	Large exposures		0		0		0		0
Art 438(f )	23	Operational risk		78,540		6,283		84,195		6,736
		of which:
	24	Basic indicator approach	0	0	0	0
	25	Standardized approach	0	0	0	0
	26	Adv anced measurement approach	78,540	6,283	84,195	6,736
Art 437(2),	27	Amounts below the thresholds f or deduction (subject to 250 % risk
48,60		weight)		13,923		1,114		13,115		1,049
Art 500	28	Floor adjustment		0		0		0		0
	29	Total	343,979	27,518	346,878	27,750

Our RWA w ere € 344.0 billion as of September 30, 2019, compared to € 346.9 billion as of June 30, 2019. The decrease of € 2.9 billion w as primarily driven by RWA for operational and credit risk partly offset by increased RWA for market risk and securitizations in the banking book. The overall OR RWA decrease of € 5.7 billion w as mainly driven by tw o model refinements, w hich linked the use of external loss data closer to the bank's business footprint and improved the use of risk appetite metrics in the capital model. Another driver w as the reflection of our new business structure. Credit risk RWA (excluding CCR) decreased by € 1.0 billion as a result of favorable parameter developments in our Investment Bank and our Corporate Bank, partly offset by increased business volumes in our core business. The market risk RWA increase of € 2.3 billion primarily resulted from increases in the stressed Value at Risk component. The RWA for securitizations in the banking book increased by € 1.3 billion primarily due to new securitization positions.

The movements of RWA for the specific risk types are discussed further dow n in this report for credit risk in section "Article 438 (d) CRR - Development of credit risk RWA" on page 7, for counterparty credit risk in section "Article 438 (d) CRR - Development of CCR RWA" on page 8 and for market risk in section "Article 455 (e) CRR - Regulatory capital requirements for market risk" on page 9.

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Deutsche Bank	Credit risk exposure and credit	risk mitigation in the internal-rating-based approach
Pillar 3 Report as of September 30, 2019	Quantitative information on the	use of the IRB approach

Credit risk exposure and credit risk mitigation in the internal-rating-based approach

Quantitative information on the use of the IRB approach

Article 438 (d) CRR - Development of credit risk RWA

The follow ing table provides an analysis of key drivers for RWA movements observed for credit risk, excluding counterparty credit risk, to the extent covered in IRB approaches in the current and previous reporting period. It also show s the corresponding movements in capital requirements, derived from the RWA by an 8 % capital ratio.

EU CR8 - RWA flow statement of credit risk exposures under the IRB approach

			Three months	ended Sep 30, 2019		Three months	ended Jun 30, 2019
			a			b		a			b
						Capital					Capital
	in € m.		RWA			requirements		RWA			requirements
1	Credit risk RWA opening balance		151,842			12,147		145,046			11,604
2	Book size		(1,691)			(135)		7,039			563
3	Book quality		(2,157)			(173)		(401)			(32)
4	Model updates	624	50	1,355	108
5	Methodology and policy		0			0		0			0
6	Acquisitions and disposals		0			0		(300)			(24)
7	Foreign exchange mov ements		2,220			178		(896)			(72)
8	Other		0			0		0			0
9	Credit risk RWA closing balance	150,838	12,067	151,842	12,147

Organic changes in our portfolio size and composition are considered in the category "Book size". The category "Book quality" mainly represents the effects from portfolio rating migrations, loss given default, model parameter recalibrations as w ell as collateral coverage and netting activities. "Model updates" include model refinements and advanced model roll out. RWA movements resulting from externally, regulatory-driven changes, e.g. applying new regulations, are considered in the "Methodology and policy" section. "Acquisition and disposals" is reserved to show significant exposure movements w hich can be clearly assigned to new businesses or disposal-related activities. Changes that cannot be attributed to the above categories are reflected in the category "Other".

The decrease in RWA for credit risk exposures under the IRB approach by 0.7 % or € 1.0 billion since June 30, 2019 is primarily driven by the decrease in the category "Book quality", w hich is driven by favorable parameter updates and the category "Book size" as a result of reduction of business activities in our Capital Release Unit. This w as partly offset by parameter updates in our Private Bank show n in the category "Model updates" and FX related credit risk RWA increases.

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Deutsche Bank	Counterparty credit risk (CCR)
Pillar 3 Report as of September 30, 2019	Article 438 (d) CRR - Development of CCR RWA

Counterparty credit risk (CCR)

Article 438 (d) CRR - Development of CCR RWA

The follow ing table provides an analysis of key drivers for RWA movements observed for counterparty credit risk exposures calculated under the internal model method (IMM) in the current and previous reporting period. It also show s the corresponding movements in capital requirements, derived from the RWA by an 8 % capital ratio.

EU CCR7 - RWA flow statement of counterparty credit risk exposures under the internal model method

			Three months	ended Sep 30, 2019		Three months	ended Jun 30, 2019
			a			b		a			b
						Capital					Capital
	in € m.		RWA			requirements		RWA			requirements
1	Counterparty credit risk RWA under the IMM opening balance		18,823			1,506		20,087			1,607
2	Book size		(750)			(60)		(1,011)			(81)
3	Book quality		9			1		(24)			(2)
4	Model updates	318	25	0	0
5	Methodology and policy		0			0		0			0
6	Acquisitions and disposals		0			0		0			0
7	Foreign exchange mov ements		439			35		(229)			(18)
8	Other		0			0		0			0
9	Counterparty credit risk RWA under the IMM closing balance	18,839	1,507	18,823	1,506

Organic changes in our portfolio size and composition are considered in the category "Book size". The category "Book quality" mainly represents the effects from portfolio rating migrations, loss given default, model parameter recalibrations as w ell as collateral coverage and netting activities. "Model updates" include model refinements and model roll out. RWA movements resulting from externally, regulatory-driven changes, e.g. applying new regulations, are considered in the "Methodology and policy" section. "Acquisition and disposals" show s significant exposure movements w hich can be clearly assigned to new

businesses or disposal-related activities. Changes that cannot	be attributed to the above categories are reflected in the
category "Other".
The RWA for counterparty credit risk exposures under the IMM	is largely flat w ith marginal	increase since June 30, 2019 as
the decrease in category	"Book size" reflecting reduced business activities mainly in our Capital Release Unit	is offset by
increased RWA from the	category "Model updates" as a result of unfavorable parameter	updates to our SFT	portfolio in

addition to FX related increases.

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Deutsche Bank	Market risk
Pillar 3 Report as of September 30, 2019	Own funds requirements for market risk under the IMA

Market risk

Own funds requirements for market risk under the IMA

Article 455 (e) CRR - Regulatory capital requirements for market risk

The follow ing table EU MR2-B provides an analysis of key drivers for movements observed for market risk RWA covered by internal models (i.e. value-at-risk, stressed value-at-risk, incremental risk charge and comprehensive risk measure) in the current and previous reporting period. It also show s the corresponding movements in capital requirements, derived from the RWA by an 8 % capital ratio.

EU MR2-B - RWA flow statements of market risk exposures under the IMA

											Three months ended Sep 30, 2019
			a	b		c		d		e		f		g
									Compre-
	in € m.	VaR	SVaR		IRC		hensive		Other		Total RWA		Total capital
			risk measure				requirements
1	Market Risk RWA opening balance¹		4,835		13,787		6,709		0		0		25,331		2,026
1a	Regulatory adjustment²		(3,616)	(10,109)	(1,525)	0	0	(15,250)	(1,220)
1b	RWA at the prev ious quarter-end (end of
	the day )³		1,219		3,678		5,184		0		0		10,081		806
2	Mov ement in risk lev els		266		309		425		0		0		1,000		80
3	Model updates/changes		3		(103)		0		0		0		(99)		(8)
4	Methodology and policy		0		0		0		0		0		0		0
5	Acquisitions and disposals	0		0	0	0	0	0	0
6	Foreign exchange mov ements		0		0		0		0		0		0		0
6a	Market data changes and recalibrations		(189)		0		0		0		0		(189)		(15)
7	Other	0		0		0		0		0		0		0
8a	RWA at the end of the reporting period
	(end of the day )³	1,300		3,884	5,609	0	0	10,794	863
8b	Regulatory adjustment²		3,898		11,696		1,553		0		0		17,147		1,372
8	Market Risk RWA closing balance¹	5,199		15,580	7,162	0	0	27,940	2,235

1Represents RWA at previous and current reporting period quarter end.

2Indicates the difference between RWA and RWA (end of day) at the beginning and end of period.
3For a given component	(e.g. VaR) it refers to the RWA that would be computed if the previous or current quarter end snapshot figure of the component determines the quarter
end RWA, as opposed	to a 60-day average for regulatory purposes.
													Three months ended Jun 30, 2019
				a	b		c		d		e			f		g
										Compre-							Total capital
										hensive
	in € m.			VaR		SVaR		IRC		risk measure		Other			Total RWA		requirements
1	Market Risk RWA opening balance¹		4,570		14,696		7,179		0		0			26,445		2,116
1a	Regulatory adjustment²	(3,517)	(11,546)	(193)	0	0	(15,256)	(1,220)
1b	RWA at the prev ious quarter-end (end of
	the day )³			1,053		3,150	6,986	0	0	11,189	895
2	Mov ement in risk lev els		80		528		(1,802)		0		0			(1,194)		(96)
3	Model updates/changes		0		0		0		0		0			0		0
4	Methodology and policy		0		0		0		0		0			0		0
5	Acquisitions and disposals		0		0		0		0		0			0		0
6	Foreign exchange mov ements		0		0		0		0		0			0		0
6a	Market data changes and recalibrations	87		0		0		0		0			87		7
7	Other			0		0		0		0		0			0		0
8a	RWA at the end of the reporting period
	(end of the day )³			1,219		3,678		5,184		0		0			10,081		806
8b	Regulatory adjustment²		3,616		10,109		1,525		0		0			15,250		1,220
8	Market Risk RWA closing balance¹	4,835		13,787	6,709	0	0	25,331	2,026

1Represents RWA at previous and current reporting period quarter end.

2	Indicates the difference between RWA and RWA (end of day) at the beginning and end of period.
3	For a given component	(e.g. VaR) it refers to the RWA that would be computed if the previous or current quarter end snapshot figure of the component determines the quarter
	end RWA, as opposed	to a 60-day average for regulatory purposes.

The market risk RWA movements due to position changes are represented in line "Movement in risk levels". Changes to our market risk RWA internal models, such as methodology enhancements or risk scope extensions, are included in the category of "Model updates/changes". In the "Methodology and policy" category w e reflect regulatory driven changes to our market risk RWA models and calculations. Significant new businesses and disposals w ould be assigned to the line item "Acquisition and disposals". The impacts of "Foreign exchange movements" are only calculated for comprehensive risk measure. For the other

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Deutsche Bank	Market risk
Pillar 3 Report as of September 30, 2019	Own funds requirements for market risk under the IMA

measures this is captured in "Movements in risk levels". Changes in market data levels, volatilities, correlations, liquidity and ratings are included under the "Market data changes and recalibrations" category.

As of September 30, 2019 the RWA for market risk w as € 31.4 billion. The IMA (Internal Models Approach) components of this totaled € 27.9 billion, w hich w as an increase of € 2.6 billion since June 30, 2019 driven by increases coming from stressed value-at-risk and incremental risk charge.

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Deutsche Bank	List of tables
Pillar 3 Report as of September 30, 2019

List of tables
EU OV1 - Overview of RWA ........................................................................................................................................................................	6
EU CR8 - RWA flow statement of credit risk exposures under the IRB approach ...................................................................................................	7
EU CCR7 - RWA flow statement of counterparty credit risk exposures under the internal model method .................................................................	8
EU MR2-B - RWA flow statements of market risk exposures under the IMA ........................................................................................................	9

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