Deutsche Bank : Pillar 3 Report Q1 2023

Deutsche Bank

Pillar 3 Report

as  of March 31, 2023

Content

3 Regulatory framework

1. Basis of Presentation

1. Basel 3 and CRR/CRD
2. MREL and TLAC

4 ICAAP, ILAAP and SREP

4 Key metrics

1. Key metrics of own funds and eligible liabilities
2. 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

1. Development of credit risk RWA
2. Counterparty credit risk (CCR)

1. CCR exposures development
2. Market risk

11 Own funds requirements for market risk under the IMA

1. Development of market risk RWA
2. Liquidity risk

1. Qualitative information on LCR

1. 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).

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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.

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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%

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