Deutsche Bank
Annual Report
2020
Deutsche Bank
Annual Report 2020
Deutsche Bank
Management Board in the reporting year:
Deutsche Bank
Financial Summary
Group financial targets
Post-tax return on average tangible shareholders' equity1
Adjusted costs ex. transformation charges, in € bn.2
Cost/income ratio3
Common Equity Tier 1 capital ratio
Leverage ratio (fully loaded)
Statement of Income
Total net revenues, in € bn.
Provision for credit losses, in € bn.
Total noninterest expenses, in € bn.
Profit (loss) before tax, in € bn.
Profit (loss), in € bn.
Profit (loss) attributable to Deutsche Bank shareholders, in € bn.
Balance Sheet
Total assets, in € bn.
Net assets (adjusted), in € bn.
Loans (gross of allowance for loan losses), in € bn.
Average Loans (gross of allowance for loan losses), in € bn.
Deposits, in € bn.
Allowance for loan losses, in € bn.
Shareholders’ equity, in € bn.
Resources
Risk-weighted assets, in € bn.
Thereof: Operational Risk RWA, in € bn.
Leverage exposure, in € bn.
Tangible shareholders' equity (Tangible book value), in € bn.4
Liquidity reserves in € bn.
Employees (full-time equivalent)
Branches
Ratios
Post-tax return on average shareholders’ equity1
Provision for credit losses as % of average loans, in bps
Loan-to-deposit ratio
Leverage ratio (phase-in)
Liquidity coverage ratio
2020
2019
0.2 %
19.9
88.3 %
13.6 %
4.7 %
24.0
1.8
21.2
1.0
0.6
0.1
(10.9) %
21.6
108.2 %
13.6 %
4.2 %
23.2
0.7
25.1
(2.6)
(5.3)
(5.7)
Dec 31, 2020
Dec 31, 2019
1,325
963
432
438
568
4.8
55
329
69
1,078
49
243
84,659
1,891
0.2 %
41
76.0 %
4.8 %
145 %
1,298
946
434
419
572
4.0
56
324
73
1,168
50
222
87,597
1,931
(9.5) %
17
75.8 %
4.3 %
141 %
Per Share information
Basic earnings per share
Diluted earnings per share
Book value per basic share outstanding4
Tangible book value per basic share outstanding4
1 Based on profit (loss) attributable to Deutsche Bank shareholders after AT1 coupon. For further information, please refer to “Supplementary Information (Unaudited): Non-
€ 0.07
€ 0.07
€ 26.04
€ 23.19
€ (2.71)
€ (2.71)
€ 26.37
€ 23.41
GAAP Financial Measures” of this report.
2 The reconciliation of adjusted costs is provided in section “Supplementary Information (Unaudited): Non-GAAP Financial Measures/ Adjusted costs” of this document.
3 Total noninterest expenses as a percentage of net interest income before provision for credit losses, plus noninterest income.
4 For further information please refer to “Supplementary Information (Unaudited): Non-GAAP Financial Measures” of this report.
Due to rounding, numbers presented throughout this document may not sum precisely to the totals provided and percentages may not precisely reflect the absolute figures.
Content
Deutsche Bank Group
II
V
VII
XIV
XVII
Letter from the Chairman of the Management Board
Management Board
Report of the Supervisory Board
Supervisory Board
Strategy
1 — Combined Management Report
4
34
41
52
166
214
215
219
221
225
225
Operating and financial review
Outlook
Risks and opportunities
Risk report
Compensation report
Sustainability
Employees
Internal control over financial reporting
Information pursuant to section 315a (1) of the German Commercial
Code and explanatory report
Corporate governance statement pursuant to sections 289f and 315d
of the German Commercial Code
Standalone parent company information (HGB)
2 — Consolidated Financial Statements
233
234
235
236
238
240
274
281
333
391
Consolidated statement of income
Consolidated statement of comprehensive income
Consolidated balance sheet
Consolidated statement of changes in equity
Consolidated statement of cash flows
Notes to the consolidated financial statements
Notes to the consolidated income statement
Notes to the consolidated balance sheet
Additional notes
Confirmations
3 — Corporate Governance Statement /
Corporate Governance Report
402
417
417
418
421
Management Board and Supervisory Board
Reporting and transparency
Related party transactions
Auditing and controlling
Compliance with the German Corporate Governance Code
4 — Supplementary Information
427
435
436
437
Non-GAAP financial measures
Declaration of backing
Group five-year record
Imprint / publications
Deutsche Bank Group
II
V
VII
Letter from the Chairman of the
Management Board
Management Board
Report of the Supervisory Board
XIV Supervisory Board
XVII Strategy
Deutsche Bank
Annual Report 2020
Letter from the Chairman of the Management Board
Management Board in the reporting year:
Letter from the Chairman of the Management Board
Dear Shareholders,
2020 was a year that confronted the world with health, social and economic challenges that we could hardly have imagined.
At the same time, our bank was in the middle of a fundamental transformation.
However, we mastered these twin challenges better than expected. We are ahead of our strategic transformation plan. We
have achieved all of our objectives over the past year. We recorded a pre-tax profit of more than 1 billion euros and net profit
of 624 million euros. In other words, we have been able to more than offset the significant strains of the pandemic and ongoing
burdens relating to our transformation.
With hindsight, this demonstrates that our repositioning launched in summer 2019 was not only the right strategy, but that we
also proceeded to implement it rigorously. Last year, we increased our revenues by 4 percent at Group level and by 6 percent
in our Core Bank. Two factors drove this: firstly, we focused on business areas where we had a leading position. Secondly,
as we demonstrated in this crisis, we are relevant to our clients, including corporates and sovereigns who had increased
financing demands or private clients who wanted to secure their assets or needed flexibility on their loans.
Businesses demonstrate their strengths during the crisis
Across all our divisions, we have shown we are both flexible and resilient.
In our Corporate Bank revenues fell in 2020 by two percent, but when adjusted for exchange rate effects remained in line
with last year. We largely offset the revenue impact from interest rate headwinds as we entered into new pricing agreements
relating to accounts, with almost 80 billion euros of client deposits by the end of 2020. We are also making progress in our
identified growth areas, namely in the Asia-Pacific region where we increased revenues by 4 percent when adjusted for ex-
change rate effects, and in payments globally where volumes with our fintech, ecommerce and platform clients grew by 20
percent.
At the same time, we have also helped companies through the COVID-19 crisis, for example, we managed applications for
more than 12 billion euros of government-sponsored loans in Germany and answered more than 250,000 inquiries to our
Coronavirus Helpdesk.
Our Investment Bank increased its revenues last year by one third. Major drivers were the significant financing needs of
many corporates and sovereigns and the corresponding associated market activity, which we were well positioned to capture.
In Debt Capital Markets last year, Deutsche Bank helped clients raise a record 1.7 trillion euros, an increase of 43 percent
year-on-year. At the same time we gained market share and we outperformed the market in revenue growth in all four quarters
in our Origination & Advisory (O&A) business.
In Fixed Income & Currencies (FIC), we achieved double-digit revenue growth in every quarter and full year revenues were
up 28 percent year-on-year, as clients are re-engaging with us across business lines. In FIC we also gained market share in
the second half of the year.
All of this makes us confident that a substantial portion of our revenue performance will prove to be sustainable, even if
markets are set to normalise somewhat this year.
In our Private Bank net revenues declined by 1 percent in 2020, but were stable if adjusted for specific items. We were able
to offset low interest rates by, among other things, increasing fee income due to net inflows of 16 billion euros into investment
products. In our International Private Bank we benefited from having continuously recruited client advisers over recent years.
We also originated net new client loans of 13 billion euros. New mortgages for energy-efficient homes totalled 4 billion euros,
an increase of almost 30 percent year-on-year.
We also expanded our digital offerings. In 2020 the number of users and logins for the German private banking business
mobile app increased by 35 percent.
We also had a successful year in Asset Management. Assets under management rose to an all-time high of 793 billion euros.
This was mainly due to net inflows of 30 billion euros. Almost one-third of this went into sustainable investment products,
making us particularly well positioned in this growing area.
II
Deutsche Bank
Annual Report 2020
Letter from the Chairman of the Management Board
Management Board in the reporting year:
While revenues fell slightly, DWS managed to keep its management fees broadly stable, despite the margin pressure in the
industry and to significantly improve its adjusted cost-income ratio to 64 percent.
Transformation on track despite the pandemic
Thanks to our discipline, we have made further progress on costs throughout our bank, achieving our target of reducing
adjusted costs excluding transformation costs and reimbursable Prime Finance expenses to 19.5 billion euros last year. By
this measure, our cost base was almost 4.5 billion euros lower than in 2017 and we have reduced adjusted costs, excluding
transformation charges and bank levies year-on-year for 12 consecutive quarters. To achieve our 2022 target, we must now
reduce adjusted costs by a further 2.8 billion euros, which will require ongoing discipline as well as process and technology
improvements. However, given our track record, we are confident that we will maintain our rigorous execution.
We also invested in technology last year. During the COVID-19 crisis, our IT systems have proven they are stable, powerful
and highly flexible. There were times when more than 70 percent of our global staff were working from home and they did so
successfully.
We also made progress with our major technology projects. We sold our subsidiary Postbank Systems as part of merging the
IT systems in our Private Bank in Germany. Our partnership with Google Cloud is another major step forward, as we look to
work with the world’s leading technology group to move our IT infrastructure into a modern and efficient environment, so that
we can focus on designing innovative products for our clients and to constantly expand our digital offerings.
Moreover, we have continued to strengthen our controls, spending approximately 2 billion euros in this area over the last two
years. However, it is also clear that our controls have to continue to improve. In a world that is increasingly digital and complex,
the demands on banks are growing day by day and we need to be prepared. Our Non-Financial Report 2020 contains more
details on these topics.
Credit loss provisions increased, as expected, accounting for 1.8 billion euros for the full year, in line with the guidance we
gave as early as April 2020. This is a reflection of our very solid loan book and our conservative risk management. Our
Common Equity Tier 1 (CET1) ratio of 13.6 percent at year-end was higher than expected. This was in part due to regulatory
changes resulting from the coronavirus crisis, as well as our Capital Release Unit being able to reduce its risk-weighted assets
faster than planned, at a lower cost than expected. Since the end of 2018, we have reduced our leverage exposure in the
Capital Release Unit by roughly 75 percent and our risk-weighted assets by more than 50 percent. Therefore, we continue to
have the financial strength to be a reliable partner for our clients.
These figures reflect our employees’ successful efforts, for which the Management Board and the Group Management Com-
mittee are very thankful. Our teams around the world have delivered and continue to deliver exemplary performance. We are
seeing support within the bank grow to levels we have not seen for some time. 79 percent of staff support our strategy that is
10 percentage points higher than in the preceding year. Almost 90 percent are convinced that we are navigating the crisis well
and our staff’s loyalty is the highest it has been since 2012.
It is particularly important to note that we fundamentally changed the way we work. Our results would not have been possible
if we had not put our clients further at the centre of our strategy and activities. In our home market, clients’ trust in our brand
has reached the highest level in eight years.
We are also seeing enormous momentum developing around the topic of sustainability, where we made good progress in
2020. In May, we set our target for 2025 of 200 billion euros in financing and assets under management which meet strict
environmental, social and governance (ESG) standards. With 46 billion euros last year, we exceeded our first interim target
by more than 100 percent. Our Non-Financial Report 2020 also contains more details on our efforts in sustainability.
Outlook: on track for sustainable profitability
A little over 18 months after the announcement of our new strategy, we have completed the most intense of our transformation
phases. After these six quarters, we have already accounted for 85 percent of the transformation-related effects that we
expected for the period up to 2022. This means we can now focus even more on our clients.
This provides a solid foundation on which to build the next phase of our transformation this year, a phase in which we focus
on sustainable profitability. This will require growth, while remaining disciplined on cost and capital and working consistently
to strengthen our controls and processes. We know that we still have work to do, but we also know that we are on the right
track.
Challenges will continue to emerge during 2021, not least because the fight against the pandemic continues. Nevertheless,
we expect economic activity to return in many markets that are important for our business, especially with the roll out of
III
Deutsche Bank
Annual Report 2020
Letter from the Chairman of the Management Board
Management Board in the reporting year:
vaccination programmes. We had a strong start to 2021; however, we continue to expect Investment Bank revenues to decline
year-on-year as industry volumes and volatility normalize from very high levels of activity in 2020. This is expected to result in
marginally lower group revenues year-on-year before growth resumes in 2022 in line with the projections given at our Investor
Deep Dive in December. At the same time, we expect loan loss provisions to decrease slightly in 2021 and to decline further
in 2022.
And we continue to see opportunities for the coming years. We are well positioned for an economic environment in which
financing demands remain high, wealth preservation and global trade become more complex and sustainability rapidly gains
in importance. The economy is facing major upheavals and we are being called on to support and help shape its transfor-
mation. We are ideally positioned to do so and to benefit from these global trends.
We are well on track to achieving a post-tax return on equity of 8 percent in 2022. Our aim is to achieve this sustainably, in
both senses of the word, and we remain firmly committed to our plans to return 5 billion euros of capital to our shareholders
from 2022.
To do so, we must continue along this path, the path towards a bank that is sustainably profitable and that is even better
positioned to be relevant for our clients, the economy and society.
Best regards,
Christian Sewing
Chief Executive Officer of Deutsche Bank AG
Frankfurt am Main, March 2021
IV
Management Board
Christian Sewing, * 1970
since January 1, 2015
Chairman of the Management Board
Karl von Rohr, * 1965
since November 1, 2015
President
Fabrizio Campelli, * 1973
since November 1, 2019
Chief Transformation Officer
Frank Kuhnke, * 1967
since January 1, 2019
Chief Operating Officer
Bernd Leukert, * 1967
since January 1, 2020
Chief Technology, Data and Innovation Officer
Stuart Lewis, * 1965
since June 1, 2012
Chief Risk Officer
James von Moltke, * 1969
since July 1, 2017
Chief Financial Officer
Alexander von zur Mühlen, * 1975
since August 1, 2020
Regional CEO for Asia Pacific
Christiana Riley, * 1978
since January 1, 2020
Regional CEO for America
Prof. Dr. Stefan Simon, * 1969
since August 1, 2020
Chief Administrative Officer
Management Board in the reporting year:
Christian Sewing
Chairman of the Management Board
Karl von Rohr
President
Fabrizio Campelli
Frank Kuhnke
Bernd Leukert
(since January 1, 2020)
Stuart Lewis
James von Moltke
Alexander von zur Mühlen
(since August 1, 2020)
Christiana Riley
(since January 1, 2020)
Stefan Simon
(since August 1, 2020)
Werner Steinmüller
(until July 31, 2020)
V
Deutsche Bank GroupDeutsche BankAnnual Report 2020Deutsche Bank Group Deutsche Bank
Annual Report 2020
Management Board
Management Board in the reporting year:
Dear Shareholders,
Deutsche Bank’s 150th anniversary year turned out quite differently than we could ever have imagined. Nevertheless, or
perhaps precisely because of this, the 151st year of its existence has shown that your Deutsche Bank is on the right track.
The bank has successfully met the challenges posed by the Covid-19 crisis to date. Not only that, it has also been able to help
its clients and the economy to better cope with the fallout from the pandemic. Deutsche Bank managed to finish this extraor-
dinary year with a profit.
All of this proves that we have succeeded in recent years in making Deutsche Bank more stable and resilient than it had been
for a long time. And that the Management Board not only laid the right foundations with the strategy announced in 2019 but
has also rigorously implemented the transformation.
In the past year, the bank hit all interim targets. Importantly, these were targets management set itself prior to the onset of the
pandemic. The Supervisory Board and its committees actively supported the bank’s transformation during a total of 63 meet-
ings.
This year, too, management needs to continue to execute its strategy just as rigorously in order to fully achieve its ambitions
for 2022. These include the objective of resuming the distribution of capital to you, our shareholders.
To this end, we will build on the cost discipline of recent years and the strengthened positions of all our businesses. Deutsche
Bank is well placed to support its clients on the trends that will shape the economy over the coming years – first and foremost,
the transformation to a digital and sustainable economy.
With regard to sustainable finance and ESG investments, Deutsche Bank made significant progress last year, ranging from
announcing quantifiable targets to embedding this priority even deeper at the Management Board level. Our Non-Financial
Report 2020 contains full details as well as extensive information on how the bank has been extending and improving its
control systems and how it manages its non-financial risks.
These topics now make up a sizeable share of the Supervisory Board’s work, something you can read more about in the
Report of the Supervisory Board below. We know these topics are also important to you, our shareholders, as we can see
from the questions regularly asked at our Annual General Meeting.
Unfortunately, it was not possible to convene in person at the Festhalle in Frankfurt last year. Of course, our virtual AGM could
never fully replace that face-to-face dialogue, but we made every effort to keep this first meeting of its kind as interactive as
possible. For instance, we published our speeches eight days before the event in order to give our shareholders the oppor-
tunity to ask questions or respond. We also invited shareholders to submit advance contributions relating to agenda items,
which we then published on our website for all shareholders to see.
This year too, I very much regret that the pandemic will still prevent us from holding a physical AGM. Deutsche Bank will,
however, utilise the wealth of experience gained from hosting and participating in digital events over the past year to make
our second virtual AGM an even more interactive and shareholder-friendly experience. We will inform you of the details in
your invitation.
One of the most important topics at this year’s meeting will be the Management Board compensation system. Our compensa-
tion framework was last approved by the AGM in 2017, and this year shareholders will once again be asked to approve it in
order to comply with the Act on the Implementation of the Second Shareholder Rights Directive. We have taken this as an
opportunity to further develop the compensation framework, which has proven itself in principle. In the interest of good gov-
ernance and sustainable development, the framework now places a greater focus on ESG objectives. Furthermore, we would
like to make sure that our compensation criteria become even more transparent and consistent than before. We also want to
create more scope for payment in Deutsche Bank shares, which will align Management Board members’ interests with share-
holders’ interests even more rigorously.
With a view to the AGM in 2022, when my second term as Supervisory Board Chairman ends and where I do not intend to
stand for re-election, I stepped down from my position as Chairman of the Nomination Committee in July 2020. That committee
is now chaired by Mayree Clark. Our intention is to ensure an orderly transition in the interest of good corporate governance.
As regards the composition of the Supervisory Board, our primary objective remains to ensure representation by individuals
with a wide range of experience and expertise in order to be able to advise and monitor the Management Board on all key
issues. Two members who were new to the Supervisory Board last year have been playing their part here: Sigmar Gabriel,
who brings with him not only experience in politics but also a deep knowledge of sustainability issues, and Theodor Weimer,
whose expertise is based on a decades-long career in international finance. Diversity on the Supervisory Board also remains
a priority for us, with individuals of different gender, age, nationality and ethnic background. Our bank’s Management Board,
VI
Deutsche Bank
Annual Report 2020
Report of the Supervisory Board
Management Board in the reporting year:
however, currently fails to meet our own target for the proportion of women in its ranks. This is something that we will focus
on in particular when making future appointments.
As usual, the following Report of the Supervisory Board contains information on how actively the Supervisory Board has been
supporting the bank as well as the key issues we worked on in 2020.
Report of the Supervisory Board
The Supervisory Board performed the tasks assigned to it by law, regulatory requirements, Articles of Association and Terms
of Reference.
The Management Board reported to us regularly, without delay and comprehensively on business policies and strategy, in
addition to other fundamental issues relating to the company’s management and culture, corporate planning and control, as
well as compliance and compensation systems. It reported to us on the financial development, earnings and risk situation, the
bank’s risk, liquidity and capital management, the appropriate technical and organizational resources as well as events that
were of significant importance to the bank. We were involved in decisions of fundamental importance, for example, regarding
the cooperation with Google. As in previous years, the Management Board provided, upon our request, enhanced reporting
on several topic areas. Thus, the Management Board reported to us regularly on the prevention of money laundering and the
controls for this. We regularly and intensively deliberated on these matters, also with experts and together with the Manage-
ment Board. The Supervisory Board Chairman and the five other committee chairs maintained regular contact with the Man-
agement Board between the meetings. They also consulted each other on the agendas of the various meetings of the com-
mittees they chair and discussed topics of key strategic importance to the bank. Regular discussions concerning upcoming
decisions were also held between the Chairman of the Supervisory Board, the chairs of the Supervisory Board committees
and the Management Board.
There were a total of 63 meetings of the Supervisory Board and its committees. Due to the COVID-19 pandemic, most of the
meetings were held as video conferences. When necessary, resolutions were passed by circulation procedure between the
meetings.
Meetings of the Supervisory Board in plenum
The Supervisory Board held eight meetings in plenum in the 2020 financial year, where it addressed all topics with a special
relevance for the bank.
In particular, we also attached a special importance to the effective implementation of the bank’s strategy in 2020, and we
again took sufficient time at all our meetings to deliberate on strategic matters with the Management Board. At our meetings,
we regularly addressed the development of the bank’s business, which is influenced by a dynamic regulatory and competitive
environment, along with the related priorities. Furthermore, we regularly addressed the Management Board’s report on the
bank’s sustainability, Environmental, Social and Governance (ESG) initiatives as well as the developments in litigation cases
and regulatory proceedings of significant importance to the bank.
At our meeting on January 29, we analyzed the differences between the plan and actual figures for 2019, along with their
underlying reasons. Furthermore, we confirmed the Management Board’s preliminary proposal, also in consideration of the
regulatory requirements for capital funding, not to pay a dividend. We addressed the strategic financial and capital plan at the
Group level for the years 2020-2024 and discussed a progress report on the processes for the prescribed reviewing of our
customers (Know-Your-Customer (KYC)). We approved the report, prepared by the Nomination Committee, on the assess-
ment to be performed annually of the Management Board and the Supervisory Board in accordance with Section 25d of the
German Banking Act (KWG) for the year 2019. Furthermore, we addressed the draft of the Corporate Governance Statement,
reviewed the independence of the individual Supervisory Board members, and determined that the Supervisory Board has an
adequate number of independent members. In addition, we adopted the diversity concept for the composition of the Manage-
ment Board and the Supervisory Board. Following a review of the appropriateness of the compensation system for the Man-
agement Board – and while taking the recommendations of the Compensation Control Committee into account as well as in
consultation with the bank’s Compensation Officer and independent external compensation experts – we determined the level
of the variable compensation for the Management Board members for the 2019 financial year. We also discussed the possible
topics of the Supervisory Board training measures in the ongoing financial year.
At our meeting on March 19, after the Management Board’s reporting and a discussion with the auditor, and based on the
Audit Committee’s recommendation, we approved the Consolidated Financial Statements and Annual Financial Statements
for 2019, which did not report a profit. The Management Board presented to us the structuring of the compensation systems,
the Human Resources Report for 2019, the effects until then of the COVID-19 pandemic on the bank and regulatory topics.
VII
Deutsche Bank
Annual Report 2020
Report of the Supervisory Board
Management Board in the reporting year:
We addressed the topics for the General Meeting, approved the proposals for the agenda and the procedures for shareholders’
rights and agreed to conduct it as a virtual General Meeting.
At an extraordinary meeting on April 30, the Management Board reported to us on the macroeconomic situation as well as the
capital market’s reaction to the published results for the quarter. Furthermore, the Management Board informed us of the
current status of planning for the General Meeting and of current regulatory topics.
At our meeting on May 15, we discussed all of the topics of the pending General Meeting with the Management Board. Fur-
thermore, we noted the report of the Management Board on changes in the regional advisory councils in Germany in accord-
ance with Section 8 of the Articles of Association and addressed regulatory and legal topics.
On July 30, the Management Board reported to us on the capital market’s reactions to the results of the first half of the year.
The Management Board additionally informed us of the results of the staff survey and the implementation of the requirements
based on the Shareholder Rights Directive, and we deliberated on the current investigations of Group Audit. The Management
Board also reported to us on how the bank intends to create the conditions and structures necessary for “agile” working
methods. The bank’s Anti-Money Laundering Officer presented the Anti-Money Laundering Report 2019, which we discussed.
At the meeting held on September 24 and 25, we intensively addressed the bank’s strategy and transformation.
On October 29 and 30, we then addressed in detail the strategic targets and priorities relating to the bank’s individual business
divisions as well as their implementation. Together with the Chairman of the Management Board and the Management Board
member responsible for Human Resources, we discussed succession planning for the Management Board. Furthermore, we
addressed regulatory requirements and topics. In addition, we approved objectives for the composition of the Supervisory
Board, including the profile of skills and expertise and the diversity concept for the Supervisory Board, which are presented in
the Corporate Governance Statement in accordance with Sections 289f and 315d of the German Commercial Code (HGB).
At the last meeting of the year on December 17, we discussed the report of the Management Board on the prevention of
money laundering and the related controls. The Management Board also reported to us on the feedback received on our
investor day, which we call the “Investor Deep Dive”. The Management Board discussed with us the significant milestones of
the planning process 2021-2025. Furthermore, we addressed Management Board and Supervisory Board compensation.
Committees of the Supervisory Board
The members of the individual committees along with the changes in their composition in 2020 are specified in the Corporate
Governance Statement in the Annual Report.
The Chairman’s Committee held nine meetings in 2020. It regularly handled the preparations for our Supervisory Board meet-
ings and took care of ongoing matters between the meetings. The Chairman’s Committee issued the approval of current and
former Management Board members’ acceptance of mandates, honorary offices or special tasks outside of Deutsche Bank
Group. The Committee also took note of the mandates of the Supervisory Board members as well as their time commitments.
The Chairman’s Committee prepared the decisions of the Supervisory Board on matters of corporate governance.
At its nine meetings, the Risk Committee dealt with the current and future overall risk appetite and strategy of the bank, in
particular with regard to credit, liquidity, refinancing, interest rate, country, market and operational risks. It intensively ad-
dressed the financial and non-financial risks of the bank, their identification and their management as well as the measures to
reduce them.
In 2020, one of the focal points of the Committee’s work was on assessing whether the bank’s risk appetite is in alignment
with its strategy and the conditions in client business. With regard to emerging markets, foreign exchange, rates, private
banking and non-financial risk management, the Committee focused in particular on model risks, vendor risks and product
controls. Furthermore, with regard to risk management, it intensively addressed the organizational structure of the Risk area
and the data architecture. In addition, the Committee addressed the effects of the compensation framework on the bank’s
capital, risk, liquidity and profitability situation.
Due to the outbreak of the COVID-19 pandemic in the spring of 2020, the Committee very intensively addressed the changed
risk environment and its impacts on the bank as well as the measures subsequently taken by the bank. These measures
addressed the effects on the bank’s capital, risk, liquidity and profitability situation while also taking into account, among other
things, adverse scenarios within the framework of internal stress testing. The Committee addressed in detail the impacts of
the pandemic on the credit and market risk profiles and non-financial risks, including in the operating and IT infrastructure.
The Audit Committee held eight meetings in 2020. The Audit Committee supported us in monitoring the financial reporting
process and intensively addressed the Annual Financial Statements and Consolidated Financial Statements, the interim and
earnings reports as well as the Annual Report on Form 20-F for the U.S. Securities and Exchange Commission. With regard
VIII
Deutsche Bank
Annual Report 2020
Report of the Supervisory Board
Management Board in the reporting year:
to the accounting process, the Audit Committee also supported us with the accounting-related effects of the bank’s transfor-
mation and the COVID-19 pandemic and in this context in particular with the recognition of the provision for credit losses. The
Committee also dealt with, among other things, the valuation of financial instruments and the bank’s pension obligations as
well as tax-related topics. The Audit Committee had the Management Board report regularly on the “available distributable
items” and the capacity to service the coupons on the Additional Tier 1 capital instruments.
The Audit Committee monitored the effectiveness of the risk management system, in particular with regard to the internal
control system and Group Audit, while also taking into account the impacts from the COVID-19 pandemic and the bank’s
transformation. This also covered, among other things, the reporting on the further development of controls to combat money
laundering and to prevent financial crime, transaction surveillance, the three lines of defense model and the key initiatives for
the continued strengthening of the risk management system and the internal control system. The Audit Committee was kept
up-to-date on the work of Group Audit, its audit plan and its resources. It addressed measures taken by the Management
Board to remediate deficiencies identified by the auditor, Group Audit and regulatory authorities and regularly received updates
on the status and progress in this context and on the remediation of identified deficiencies.
The Audit Committee resolved to approve the recommendation to be made to the Supervisory Board and afterwards to the
General Meeting that Ernst & Young be appointed as the independent statutory auditor. In this context, the deliberations took
into account the results of the review of independence, which did not identify indications for an apprehension of bias or for a
risk to independence. The Committee also discussed the proposal for the fee agreement to be reached with the auditor for
the 2020 financial year. The Audit Committee dealt with the measures to prepare for the audit of the Annual Financial State-
ments and Consolidated Financial Statements for 2020, specified its own areas of focus for the audit and approved a list of
permissible non-audit services. The Audit Committee was regularly provided with reports when accounting firms, including the
auditor, were engaged for non-audit-related services. The Committee also addressed the key audit matters presented in the
auditor’s report, the separate Non-Financial Report as well as the Non-Financial Statement. Ernst & Young reported to the
Audit Committee on the quality of the financial statements audit as well, so that the Committee could assess this on the basis
of suitable indicators.
The Head of Group Audit as well as representatives of the auditor also attended all of the ordinary meetings, however, with
the exception of the agenda items relating specifically to the auditor.
The Nomination Committee met seven times. It addressed, in particular, issues related to succession and appointments while
taking into account statutory and regulatory requirements, and it nominated specific candidates for the Management Board
and Supervisory Board. The Nomination Committee reviewed the training plan for the Management Board for the year 2020.
Furthermore, it supported us in implementing the requirements of the European Banking Authority (EBA) Guidelines on Inter-
nal Governance, in developing an objective to promote the under-represented gender on the Management Board as well as
a strategy for achieving this, and in reviewing the Management Board’s principles for selecting and appointing persons to the
upper management levels and in the recommendations made to the Management Board in this context.
The Committee also supported us in the implementation of potential improvements identified through the assessment carried
out in 2019 and intensively prepared the assessment of the Supervisory Board and Management Board for the year 2020 at
several meetings and in discussions with the Management Board members. Further details concerning this are given in the
Corporate Governance Statement.
The Compensation Control Committee met seven times in 2020. It monitored the appropriate structuring of the compensation
systems for employees, and in particular for material risk takers and the heads of control functions. In addition, it addressed
the Compensation Report for the 2019 financial year, the Compensation Officer’s Compensation Control Report and the Re-
port in accordance with Section 12 of the Remuneration Ordinance for Institutions (InstitutsVergV) on the appropriateness of
the compensation system for the members of the Management Board, which concluded that the compensation systems are
appropriately structured and in accordance with the requirements of the InstitutsVergV. The Committee concurred with this
assessment.
The Compensation Control Committee submitted proposals to us regarding the compensation of the Management Board, in
consideration of the targets and objectives agreed for the 2020 financial year, as well as proposals for the targets and objec-
tives for the Management Board for the 2021 financial year. The Committee supported us in monitoring if the internal control
areas and all other material areas were involved in the structuring of the compensation systems and assessed, together with
the Risk Committee, the effects of the compensation systems and the variable compensation for the 2020 financial year on
the risk, capital and liquidity situation. The Management Board reported to the Compensation Control Committee on the pro-
cedures for identifying material risk takers and Group-level material risk takers as well as for determining and allocating the
total amount of variable compensation for the bank’s employees, while taking into account, in particular, affordability. The
Committee also addressed the Management Board and Supervisory Board compensation systems in preparation for the pro-
posals to the General Meeting.
IX
Deutsche Bank
Annual Report 2020
Report of the Supervisory Board
Management Board in the reporting year:
At its meetings, the Compensation Control Committee received reports on the Management Board’s communications with the
regulatory authorities on compensation topics and changes in the regulatory framework relating to compensation. It addressed
the structuring of the individual components of variable compensation of employees for the 2020 financial year as well as the
plan rules. Furthermore, the Management Board reported on measures relating to the ex post risk adjustment of compensation
decisions and on the procedure for determining the occurrence of disbursement conditions. The Compensation Control Com-
mittee also reviewed the occurrence of the disbursement conditions for current and former members of the Management
Board.
The Integrity Committee met five times in 2020. The meeting scheduled for the month of March was cancelled due to the
COVID-19 pandemic. At every meeting, the Committee addressed cultural topics, the revision of the Consequence Manage-
ment policies and procedures as well as litigation cases and other material legal disputes. The discussions with the Manage-
ment Board on corporate culture focused on, among other things, the handling of leaks to the media and their effects on the
bank as well as the timely remediation of regulatory findings and obligations. At every meeting, the Management Board re-
ported on Consequence Management in the bank and the progress made in revising the program as well as the disciplinary
decisions and measures taken. The Integrity Committee discussed with the Management Board litigation cases with the high-
est risks and other material legal disputes. It addressed not only broad-ranging topic areas, such as money laundering, but
also individual cases, such as Cum-Ex and Business Development Consultants, as well as significant internal investigations.
Furthermore, the Integrity Committee had reports submitted to it regularly on the bank’s interactions with its monitors from the
regulatory authorities as well as the challenges and progress made within the framework of remediation management.
The Integrity Committee addressed the governance and preventive compliance controls in the bank’s individual business
regions (Asia-Pacific, Europe and Africa, the USA as well as the UK and Ireland).
In May, the Integrity Committee conducted a discussion with the Management Board on the bank’s strategy for Environmental,
Social and Governance (ESG) issues.
The Strategy Committee met four times. At its meetings, the Committee handled in particular the ongoing implementation of
the bank’s new strategic alignment, which was adopted in 2019, as well as the underlying transformation initiatives. It regularly
received reports from the Management Board Chairman and the Chief Transformation Officer on the current status of pro-
gress. Within the framework of its addressing individual corporate and business divisions, the Committee dealt with the exe-
cution of the strategy in the private client business including the IT strategy, with the Global Financing & Credit Trading division
in the Investment Bank as well as with the bank’s strategies for North America and for Asia.
The Technology, Data and Innovation Committee met six times. At its meetings, the Committee addressed the IT strategy and
IT architecture at the Group-wide level, and also within the individual corporate divisions of the bank. In this context, it also
focused on the cloud efforts of the bank, addressed the application landscape, the monitoring of important IT metrics, as well
as topics of IT security and cybersecurity. In addition, this also covered the mitigation and management of IT risks, in particular
with regard to the technological challenges relating to system stability and the technical prerequisites for Business Continuity
Planning in light of the COVID-19 pandemic. At the meetings, the Management Board reported on the bank’s global data
management strategy, along with the related defined targets and objectives and the status of their implementation. Further-
more, the Committee deliberated with the Management Board on the budget and implementation planning of key IT projects
for the 2021 financial year as well as on the tracking of the benefits achieved through past IT projects. In addition, the Com-
mittee addressed the bank’s initiatives on innovation.
Meetings of the Mediation Committee, established pursuant to the provisions of Germany’s Co-Determination Act (MitbestG),
were not necessary.
X
Deutsche Bank
Annual Report 2020
Report of the Supervisory Board
Management Board in the reporting year:
Participation in meetings
Due to the COVID-19 pandemic, meetings were conducted mostly by video conference. The Supervisory Board members
participated in the meetings of the Supervisory Board and of the committees in which they were members as follows:
Achleitner
Blomeyer-Bartenstein
Bsirske
Clark
Duscheck
Eschelbeck
Gabriel
Garrett-Cox
Heider
Klee
Mark
Platscher
Polaschek
Rose
Schütz
Szukalski
Thain
Trogni
Valcárcel
Weimer
Winkeljohann
Meetings
(incl.
committees)
63
22
35
28
23
14
11
8
17
14
20
21
43
26
19
17
12
27
25
9
34
Meetings
(plenary
sessions)
8
8
8
8
8
8
7
4
8
8
8
8
8
8
8
8
8
8
8
4
8
Participation
(plenary
sessions)
8
8
8
8
8
8
7
4
8
8
8
8
8
7
8
8
8
8
8
4
8
Meetings
(committees)
55
14
27
20
15
6
4
4
9
6
12
13
35
18
11
9
4
19
17
5
26
Participation
(committees)
54
13
26
20
15
6
4
4
9
6
12
13
35
15
11
7
4
19
17
5
26
Participation
in %
(all meetings)
98
95
97
100
100
100
100
100
100
100
100
100
100
85
100
88
100
100
100
100
100
Corporate Governance
The composition of the Supervisory Board and its committees is in accordance with the requirements of the German Banking
Act (KWG) as well as regulatory governance standards. The suitability of each individual member was assessed both internally
by the Nomination Committee and externally by the European Central Bank, and determined and monitored continually by the
Joint Supervisory Team (JST) and the Nomination Committee. The suitability assessment covers the expertise, reliability and
time available of each individual member. In addition, there was an assessment of the knowledge, skills and experience of the
Supervisory Board in its entirety that are necessary for the performance of its tasks (collective suitability).
The Chairman of the Supervisory Board and the chairpersons of all the committees are independent in accordance with the
applicable Terms of Reference as amended from time to time. They coordinated their work continually and consulted each
other regularly and – as required – on an ad hoc basis between the meetings in order to ensure the exchange of information
necessary to capture and assess all relevant case matters and risks in the performance of their tasks. The cooperation in the
committees was marked by an open and trustful atmosphere.
The committee chairpersons reported regularly at the meetings of the Supervisory Board on the work of the individual com-
mittees. Regularly before the meetings of the Supervisory Board, the representatives of the employees and the representatives
of the shareholders conducted preliminary discussions separately. Before or at the end of the meetings of the Supervisory
Board and its committees, discussions were regularly held in “Executive Sessions” without the participation of the Management
Board.
Based on individual recommendations from the committees responsible for issuing them, we determined that Dr. Paul Achleit-
ner, Dr. Dagmar Valcárcel, Dr. Theodor Weimer and Professor Dr. Norbert Winkeljohann are financial experts in accordance
with the definition of the implementation rules of the U.S. Securities and Exchange Commission issued pursuant to Section
407 of the Sarbanes-Oxley Act of 2002 as well as Section 100 (5) and Section 107 (4) of Germany’s Stock Corporation Act
(AktG) and Section 25d (9) of the German Banking Act (KWG). Dr. Paul Achleitner and Dr. Dagmar Valcárcel were specified
by name as compensation experts in accordance with Section 25d (12) of the German Banking Act (KWG). Furthermore, we
confirmed the independence, as defined by U.S. regulations, of all members of the Audit Committee. Based on the assessment
of our shareholder representatives, the Supervisory Board is considered to have an adequate number of independent mem-
bers on the shareholder representatives’ side.
Dr. Achleitner and the chairpersons of the committees regularly held discussions with representatives of key regulators and
informed them about the work of the Supervisory Board and its committees and about the cooperation with the Management
Board.
XI
Deutsche Bank
Annual Report 2020
Report of the Supervisory Board
Management Board in the reporting year:
During the 2020 financial year, Dr. Paul Achleitner, in his capacity as Chairman of the Supervisory Board, conducted discus-
sions together with the bank’s Investor Relations Department with investors, proxy advisors and shareholders’ associations.
Governance and strategy topics from the Supervisory Board’s perspective were the subject of the discussions. These included
questions of appointments, the bank’s control processes, Management Board compensation and the bank’s ESG strategy.
At several meetings of the Nomination Committee and of the Supervisory Board in plenum, we addressed the assessment
prescribed by law of the Management Board and the Supervisory Board for the 2020 financial year. This also comprises the
self-assessment according to the German Corporate Governance Code. The final discussion of the results took place at the
Supervisory Board meeting in plenum on February 3, 2021, and the results were set out in a final report. For further information,
we refer to the section “Self-assessment of the work of the Supervisory Board and of its committees” in the Corporate Gov-
ernance Statement.
One topic area in which we do not yet meet our own standards as a bank is gender diversity at senior management levels.
The Supervisory Board intensified its advising of the Management Board in this context in 2020 and stepped up this drive
under the leadership of Michele Trogni.
The Declaration of Conformity pursuant to Section 161 of the Stock Corporation Act (AktG), which we had last issued with the
Management Board in October 2019, was reissued in October 2020. The text of the Declaration of Conformity, along with a
comprehensive presentation of the bank’s corporate governance, can be found in the Annual Report 2020 and on the bank’s
website at https://www.db.com/ir/en/documents.htm. Our Declarations of Conformity since 2007 are also available there, in
addition to the currently applicable versions of the Terms of Reference for the Supervisory Board and its committees as well
as for the Management Board.
Training and further education measures
The members of the Supervisory Board completed the training and further education measures required for their tasks on
their own. Furthermore, numerous further education measures were conducted for the work of the Supervisory Board in ple-
num and of its committees to maintain and expand the required specialized knowledge. The topics comprised, among others,
the products and services of an investment bank, risk management and valuation mechanisms, technological innovations,
bank regulatory law as well as internal communications and investor relations.
For the new members that joined the Supervisory Board, extensive induction courses tailored to them individually were devel-
oped and carried out to facilitate their induction into office.
Conflicts of Interest and their handling
Dr. Paul Achleitner, Gerd Alexander Schütz and Professor Dr. Norbert Winkeljohann did not participate in the Supervisory
Board’s voting on resolutions for the General Meeting that related to them.
Annual financial statements, consolidated financial statements, and the com-
bined separate Non-financial report
For the first time, EY audited the Annual Financial Statements, including the accounting and the Combined Management
Report for the Annual Financial Statements and Consolidated Financial Statements for the 2020 financial year and issued in
each case an unqualified audit opinion on March 8, 2021. The Auditor’s Reports were signed jointly by the Auditors Mr. Barth
and Mr. Lösken. Both of them signed the Auditor’s Report for the Annual Financial Statements and Consolidated Financial
Statements for the first time.
Furthermore, EY performed a limited assurance review in the context of the combined separate Non-Financial Report as well
as the Non-Financial Statement (Non-Financial Reporting) and in each case issued an unqualified opinion.
The Audit Committee examined the documents for the Annual Financial Statements 2020 and Consolidated Financial State-
ments 2020 as well as the Non-Financial Reporting 2020 at its meeting on March 9, 2021. The representatives of EY provided
the final report on the audit results. The Chairman of the Audit Committee reported to us on this at the meeting of the Super-
visory Board. Based on the recommendation of the Audit Committee, and after inspecting the Annual Financial Statements
and Consolidated Financial Statements documents as well as the documents for the Non-Financial Reporting – following an
extensive discussion on the Supervisory Board as well as with the representatives of the auditor – we noted the results of the
audits with approval. We determined that, also based on the final results of our inspections, there are no objections to be
raised.
XII
Deutsche Bank
Annual Report 2020
Report of the Supervisory Board
Management Board in the reporting year:
Today, we approved the Annual Financial Statements and Consolidated Financial Statements prepared by the Management
Board. The Annual Financial Statements are thus established.
Personnel issues
Sigmar Gabriel was appointed as member of the Supervisory Board by way of court order on March 11, 2020, until the con-
clusion of the Ordinary General Meeting in 2020. At the General Meeting 2020, Sigmar Gabriel, Dr. Dagmar Valcárcel and Dr.
Theodor Weimer were each elected for the period until the conclusion of the General Meeting that resolves on the ratification
of the acts of management for the 2024 financial year. Katherine Garrett-Cox resigned from office effective as of the end of
the General Meeting 2020. Stephan Szukalski resigned from his mandate as of December 31, 2020. His successor since
January 1, 2021, is the substitute member elected to replace him, Stefan Viertel.
After the responsible regulatory authorities had notified Deutsche Bank AG in writing that no objections existed to their Man-
agement Board appointments, Christiana Riley and Bernd Leukert became members of the Management Board on January
1, 2020. Professor Dr. Stefan Simon became a member of the Management Board on August 1, 2020. At the meeting on April
30, we appointed Alexander von zur Mühlen as successor as of August 1, 2020, to Werner Steinmüller, who left the Manage-
ment Board as of July 31, 2020. In January 2020, we resolved to extend the Management Board appointments of Stuart Lewis,
for three years until May 31, 2023, and of James von Moltke, for three years until June 30, 2023.
We thank the members of the Management Board and Supervisory Board who left last year for their dedicated work and their
constructive assistance to the company during the past years.
We would also like to thank the bank’s employees for their great personal dedication.
Frankfurt am Main, March 11, 2021
The Supervisory Board
Dr. Paul Achleitner
Chairman
XIII
Supervisory Board
Dr. Paul Achleitner
– Chairman
Munich
Germany
Detlef Polaschek*
– Deputy Chairman
Essen
Germany
Ludwig Blomeyer-
Bartenstein*
Bremen
Germany
Frank Bsirske*
Isernhagen
Germany
Mayree Carroll Clark
New Canaan
USA
Jan Duscheck*
Berlin
Germany
Dr. Gerhard Eschelbeck
Cupertino
USA
Sigmar Gabriel
since March 11, 2020
Goslar
Germany
Katherine Garrett-Cox
until May 20, 2020
Brechin, Angus
United Kingdom
Michele Trogni
Riverside
USA
Dr. Dagmar Valcárcel
Madrid
Spain
Stefan Viertel*
since January 1, 2021
Kelkheim im Taunus
Germany
Dr. Theodor Weimer
since May 20, 2020
Wiesbaden
Germany
Prof. Dr. Norbert
Winkeljohann
Osnabrück
Germany
Timo Heider*
Emmerthal
Germany
Martina Klee*
Frankfurt am Main
Germany
Henriette Mark*
Munich
Germany
Gabriele Platscher*
Braunschweig
Germany
Bernd Rose*
Menden
Germany
Gerd Alexander Schütz
Vienna
Austria
Stephan Szukalski*
until December 31, 2020
Ober-Mörlen
Germany
John Alexander Thain
Rye
USA
* Employee representatives
XIV
Deutsche Bank GroupDeutsche BankAnnual Report 2020Deutsche Bank Group Committees
Committees
Chairman’s Committee
Audit Committee
Integrity Committee
Dr. Paul Achleitner
– Chairman
Frank Bsirske*
Detlef Polaschek*
Prof. Dr. Norbert Winkeljohann
Nomination Committee
Mayree Carroll Clark
– Chairperson
(since July 1, 2020)
Dr. Paul Achleitner
– Chairman (until June 30, 2020)
Member (since July 1, 2020)
Frank Bsirske*
Detlef Polaschek*
Gerd Alexander Schütz
(until January 28, 2021)
Prof. Dr. Norbert Winkeljohann
(since February 3, 2021)
Prof. Dr. Norbert Winkeljohann
– Chairman
Dr. Dagmar Valcárcel
– Chairperson
Dr. Paul Achleitner
Dr. Paul Achleitner
Katherine Garrett-Cox
(until May 20, 2020)
Henriette Mark*
Gabriele Platscher*
Detlef Polaschek*
Bernd Rose*
Dr. Dagmar Valcárcel
Dr. Theodor Weimer
(since July 1, 2020)
Risk Committee
Mayree Carroll Clark
– Chairman
Dr. Paul Achleitner
Ludwig Blomeyer-Bartenstein*
Jan Duscheck*
Stephan Szukalski*
(until December 31, 2020)
Michele Trogni
Stefan Viertel*
(since January 1, 2021)
Prof. Dr. Norbert Winkeljohann
Ludwig Blomeyer-Bartenstein*
Sigmar Gabriel
(since March 11, 2020)
Katherine Garrett-Cox
(until March 11, 2020)
Timo Heider*
Gabriele Platscher*
Compensation Control
Committee
Dr. Paul Achleitner
– Chairman
Frank Bsirske*
Dr. Gerhard Eschelbeck
(since February 3, 2021)
Detlef Polaschek*
Bernd Rose*
(since July 1, 2020)
Gerd Alexander Schütz
(from July 1, 2020 until February 1, 2021)
Dr. Dagmar Valcárcel
(since July 1, 2020)
* Employee representatives
XV
Deutsche BankAnnual Report 2020 Strategy Committee
John Alexander Thain
– Chairman
Dr. Paul Achleitner
Frank Bsirske*
Mayree Carroll Clark
Timo Heider*
Henriette Mark*
Detlef Polaschek*
Michele Trogni
Technology, Data and
Innovation Committee
Michele Trogni
– Chairperson
Dr. Paul Achleitner
Jan Duscheck*
Dr. Gerhard Eschelbeck
Martina Klee*
Bernd Rose*
Mediation Committee
Dr. Paul Achleitner
– Chairman
Frank Bsirske*
Detlef Polaschek*
Prof. Dr. Norbert Winkeljohann
* Employee representatives
XVI
Deutsche Bank GroupDeutsche BankAnnual Report 2020Deutsche Bank Group Deutsche Bank
Annual Report 2020
Strategy
Committees
Strategy
In July 2019, we announced a strategic transformation of Deutsche Bank, designed to significantly improve sustainable returns
to shareholders. This strategy is underpinned by four specific objectives. First, to refocus Deutsche Bank around four core
businesses, focusing on key areas of strength and on more predictable revenue sources while exiting business areas unlikely
to produce adequate returns. Second, to reduce our adjusted costs and improve the efficiency and effectiveness of our infra-
structure. Third, to reinvigorate the leadership and spirit of the bank by enabling faster decision-making, increasing discipline
in execution and unleashing Deutsche Bank’s entrepreneurial culture. Finally, we established the Capital Release Unit to
liberate capital consumed by low return assets and businesses that earn insufficient returns or that are no longer core to our
strategy, by winding those down in an economically rational manner.
Progress towards our strategic transformation
In July 2019, we identified the transformation steps that we would take by the end of 2022. In 2020, we made substantial
progress regarding our strategic transformation notwithstanding the challenges associated with the protracted COVID-19 pan-
demic. By the end of 2020, we had put 85 % of these transformation related costs behind us. We have continued to deliver
against all our financial targets and milestones in 2020, supported by our ongoing disciplined execution of our strategic agenda.
In addition, in 2020 we signed a multi-year partnership with Google Cloud which will help transform our IT infrastructure into
a more efficient cloud-based environment. We completed the legal entity merger of DB Privat- und Firmenkundenbank AG
into Deutsche Bank AG and launched the International Private Bank (IPB) by combining Wealth Management and Private &
Commercial Business International into one unit. We announced our decision to reduce Deutsche Bank’s branded network
from around 500 to approximately 400 branches in Germany and the sale of Postbank Systems AG, which is intended to lead
to a reduction in future stranded costs. In the Private Bank, we agreed balance of interest agreements with our workers council
in Germany, which will allow us to further rationalize our head office and operations functions in Germany. We have extended
our insurance partnerships with Talanx and Zurich Insurance Group to sustainably optimize our insurance offerings for our
customers and to strengthen our sources of fee income. The creation of our German Business Banking unit in the Corporate
Bank will help us serve our 800,000 small business clients.
Our delivery record is setting us up for the next phase of our transformation which will focus on ensuring sustainable profitability
by growing our businesses while maintaining cost discipline as well as risk and balance sheet management and control.
Sustaining revenue growth in our Core Bank
Our strategic transformation is designed to refocus our Core Bank around market leading businesses, which operate in grow-
ing markets with attractive return potential. Our Core Bank comprises our four core operating divisions, namely the Corporate
Bank, the Investment Bank, the Private Bank, and Asset Management, together with the segment Corporate & Other.
Our Corporate Bank is our ‘global Hausbank’ combining a strong home market with a network across 151 countries, Our
refocused Investment Bank is a top global player in fixed income and financing where we have demonstrated our strengths in
2020. In addition, we have a focused Origination & Advisory business, including a leading position in Debt Capital Markets.
Our Private Bank is the leader in our home market, has strong positions in major European countries and a global Wealth
Management franchise. Another leading business in our home market is our asset manager, DWS.
Revenues in our Core Bank of € 24.3 billion and for Group € 24 billion in 2020 increased by 6 % and 3.7 % respectively
compared to the prior year. We acknowledge there are additional headwinds we are facing, compared to the original assump-
tions we made at the time of our strategy announcement in 2019. The most significant of these is the lower interest rate
environment, which continues to pose a risk to our revenues, as the movements in forward interest rate curves has reduced
our revenue forecasts through 2022. We expect that our refocused business model across the Core Bank can offset some of
these challenges, as we focus on growing our market share with our top institutional, corporate and retail clients.
The Corporate Bank made progress in offsetting the impact of interest rate headwinds, including the implementation of deposit
repricing measures. The Investment Bank’s performance momentum experienced in the first half of 2020 continued into the
second half of the year. Revenues grew as a result of continued client re-engagement and further progress on our strategic
objectives, underpinned by strong market conditions, and in part by the partnership with the Corporate Bank. The Private Bank
offset the interest rate headwinds and the negative impacts of the COVID-19 pandemic with growth in volumes across loans,
investment and insurance products. In Asset Management, DWS continued to see strong inflows in its core focus areas,
including inflows through its strategic partners and into its Environmental, Social and Governance (ESG) funds.
XVII
Deutsche Bank
Annual Report 2020
Strategy
Committees
Continuing to deliver on cost reduction targets
We continued to be highly focused on costs. In 2020, noninterest expenses were € 21.2 billion, a year-over-year decrease of
€ 3.9 billion or 15 %. Adjusted costs excluding transformation charges and expenses eligible for reimbursement related to
Prime Finance were € 19.5 billion, a year over year reduction of € 2 billion or 9 %, thus meeting our near-term objective of
adjusted costs excluding transformation charges and expenses eligible for reimbursement related to Prime Finance of
€ 19.5 billion in 2020.
During the next phase of our transformation we expect further savings from central and divisional measures, some of these
as responses to COVID-19, for example from an examination of our real estate footprint and lower travel costs. In addition,
we plan to focus on tackling costs in our Capital Release Unit. We have therefore tightened our adjusted cost target excluding
transformation charges for 2022 to € 16.7 billion, revised from € 17 billion.
Continued balance sheet reductions in the Capital Release Unit
The Capital Release Unit (CRU) was created in July 2019. The CRU’s principal objectives are to liberate capital consumed by
low return assets and businesses that earn insufficient returns or activities that are no longer core to our strategy by liberating
capital in an economically rational manner. In addition, the CRU is focused on reducing costs.
In 2020, the CRU continued to execute its asset reduction program and to work towards the migration of Deutsche Bank’s
Prime Finance and Electronic Equities clients, while reducing cost.
Risk weighted assets were € 34 billion at the end of the fourth quarter of 2020, representing an € 11 billion reduction from the
fourth quarter of 2019. Leverage exposure was € 72 billion at the end of the fourth quarter of 2020, representing a € 55 billion
reduction from the fourth quarter of 2019.
From time to time client transactions can be transferred from the Capital Release Unit to the Investment Bank within the Core
Bank to preserve franchise client relationships. These transfers are effected on an arm’s length equivalent basis between
segments. In 2020, such transactions totalled € 1.5 billion of Risk Weighted Assets and € 4.6 billion of Leverage Exposure
excluding leverage allocations.
For the full year 2020, noninterest expenses in the CRU declined by € 1.5 billion or 43 % versus the prior year, reflecting lower
service cost allocations, lower transformation charges and lower restructuring and severance charges. In the same period,
adjusted costs excluding transformation charges declined by € 0.9 billion or 33 % versus the prior year, reflecting lower service
cost allocations, lower compensation and lower non-compensation costs such as professional fees and market data.
Through the year, further simplification of the division’s infrastructure was achieved through decommissioning of applications
and closing of books and cost centers.
Conservative balance sheet management
We remain committed to managing our balance sheet conservatively as we execute on our strategic transformation and nav-
igate through the COVID-19 pandemic. At the end of 2020, the CET1 ratio was 13.6 %, 4 basis points lower compared to last
year and 316 basis points above the regulatory CET1 requirements, principally driven by lower than anticipated credit risk
weighted assets (RWAs) and benefits from regulatory measures including the EU’s ‘Quick Fix’ to Capital Requirement Regu-
lation (CRR Quick fix). For 2022, we remain committed to maintaining our CET1 ratio above 12.5 %.
The CRR Quick fix, the ECB’s decision to temporarily exclude certain eligible central bank exposures from the Leverage
calculation due to the COVID-19 pandemic, was a benefit to the Leverage ratio (fully loaded). These factors led to an increase
in the Leverage ratio (fully loaded) to 4.7 % by the end of 2020. Without the Quick fix adjustment our Leverage ratio (fully
loaded) was 4.3 %. As we plan to offset the additional interest rate headwinds with revenue opportunities we have updated
our 2022 Leverage ratio target to 4.5 %, still comfortably above regulatory requirements.
Liquidity reserves increased by € 21 billion year-over-year to € 243 billion at the end of 2020, mainly as a result deposit growth,
participation in Central Bank liquidity facilities as well as continued deleveraging of CRU. The Liquidity Coverage Ratio rose
to 145 % in the year 2020, a surplus to regulatory requirements of € 66 billion.
We believe that our risk levels are conservative with Value-at-Risk (VaR) in our Group at € 46 million at the end of 2020, based
on the Historical Simulation Model implemented in the fourth quarter of 2020.
Provisions for credit losses were in line with our expectations at 41 basis points as a percentage of average loans for the full
year 2020. Provisions for credit losses in 2020 were impacted by the COVID-19 pandemic and had a negative effect on our
Expected Credit Loss (ECL) estimates and we expect these factors to continue in 2021. For 2022, we expect provisions for
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credit losses of between 25 to 30 basis points as a percentage of average loans, as the economy recovers and provision
levels normalize. We remain committed to our stringent underwriting standards and our tight risk management framework.
Further details on the calculation of ECL is provided in the section ‘Risk Report’ in the Annual Report 2020.
Our Sustainability strategy
Sustainability has become a central component of the bank’s strategy, which we set in July 2019. Since then we have made
significant progress in embedding sustainability into our business practices, focusing on the following four dimensions: sus-
tainable finance; policies & commitments; our own operations and through leadership and engagement. In 2020, we set a
target of achieving € 200 billion in sustainable financing and ESG investment by year-end 2025 (excluding asset under man-
agement managed by our Asset Management).
In 2020, we further improved our sustainability governance structure by establishing a Sustainability Committee. The commit-
tee, chaired by our Chief Executive Officer (CEO), began its work in late October, 2020 and meets once a month. While the
Sustainability Committee is the highest decision-making forum for all major sustainability initiatives, the Sustainability Council
– established in 2018 – remains an important governance body. It does preparatory work for the Sustainability Committee’s
decisions, coordinates their implementation, and oversees the work streams aligned to the four dimensions of our sustainability
strategy. The Council is composed of executives from across all four business divisions as well as all infrastructure functions
and also meets on a monthly basis.
Our Supervisory Board and our Management Board reinforced the bank’s sustainability ambition by tying our top-level exec-
utives’ compensation to further non-financial criteria from 2021 onwards. The awards have been extended with several ESG
objectives such as the volumes for sustainable financing and ESG investments and reducing own power consumption in our
buildings. A sustainability rating index comprising five large rating agencies will also be considered in the Short-term Awards.
Per the Shareholder Rights Directive II we will publish and propose amendments to the Management Board’s compensation
framework to the 2021 Annual General Meeting.
– For the first time, we have published quantifiable targets for expanding our sustainable business activities. By the end of
2025, the Bank plans to increase its volume of sustainable financing plus its portfolio of ESG investments under manage-
ment to over € 200 billion. We have also defined annual growth targets. We will report annually on our overall progress
toward the € 200 billion target.
– Following the announcement of our sustainable finance target, we established a Sustainable Finance Framework. The
Framework defines comprehensive rules for classifying our financing offers and products as sustainable and is aligned to
the Green and Social Bond Principles of the International Capital Market Association as well as towards the EU Taxonomy.
– We are continuously growing our involvement in sustainable finance. According to Dealogic, in 2020, we partnered with a
number of global clients to support their sustainable bond transactions, such as green, social, sustainability, and sustaina-
bility-linked bonds. We helped our clients raise more than € 83 billion of funding in sustainable bond instruments, of which
Deutsche Bank underwrote almost € 16 billion. We climbed the League Table for Euro-denominated sustainable bonds
and finished the year in sixth place, making us one of the fastest growing players in this strategic market.
– Furthermore, in June 2020 we successfully placed our first green bond. It was issued under our Green Bond Framework,
which is based on the Green Bond Principles of the International Capital Market Association (ICMA) as well as on the latest
guidance on the EU Taxonomy developed by the European Union's Technical Expert Group on Sustainable Finance. The
framework enables us to finance green assets, including loans to and investments in companies, assets, and projects
relating to renewable energy, energy efficiency, and sustainable buildings.
– We have made significant progress with our rules and policies. We have adopted the Equator Principles and strengthened
our Fossil Fuel Policy. We intend to end our global business activities with regard to financing as well as capital market
transactions in coal mining by 2025 at the latest.
– Our strengthened Fossil Fuel Policy will also support our commitment to align our credit portfolios with the goals of the
Paris Agreement, which we entered by joining the German financial sector’s collective commitment to climate action in
June this year.
– We committed to expanding the use of electricity from renewable sources for our own operations from approximately 80 %
currently, to 100 % by 2025 globally.
We remain committed to working on all dimensions of our sustainability strategy and increasing our sustainable product and
services offerings.
Impact of COVID-19 on our financial targets and client franchise
The COVID-19 pandemic has led to changes in the macroeconomic and fiscal environment. These changes have impacted
Deutsche Bank’s operating environment, as changes to customer behavior have impacted transaction volumes and associ-
ated management of capital and risk. We remain prudent in our approach to risk management, with a CET1 ratio of 13.6 %, a
Leverage ratio of 4.7 % and a Liquidity Coverage Ratio of 145 %, € 66 billion above our regulatory requirement.
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The current economic environment is expected to continue and to result in pressures on the bank’s capital ratios and financial
performance. In particular, the COVID-19 related downside risks dominated our macroeconomic business environment in 2020
and remained elevated over the year-end. Also, 2020 has finished with significant GDP contraction across major economies
compared to 2019. On that basis, we continue to see downside risks throughout the global economy, as ongoing regional and
national lockdowns impact macro-economic activity on a global basis.
Despite these challenges, we believe we have implemented high risk management standards in our businesses. We have
continued to make progress against our key transformation objectives, while continuing to serve our clients‘ financing needs.
In addition, we have been the most active bank in the German program for government-sponsored loans (KfW).
We recognize that going forward, execution risks of our strategy have risen due to the prolonged macro-economic uncertainty
from the impact of COVID-19. However, the strength of our businesses and our refocused business model are expected to
support offsetting these headwinds. We remain committed to working towards our targets for a Post-tax Return on Average
Tangible Equity of 8 % for the Group and of above 9 % for the Core Bank by 2022.
Our financial targets
Our key financial targets are:
Financial Targets for 2022
– Post-tax Return on Average Tangible Equity of 8 % for the Group
– Post-tax Return on Average Tangible Equity of more than 9 % for the Core Bank
– Adjusted costs excluding transformation charges of € 16.7 billion
– Cost income ratio of 70 %
– Common Equity Tier 1 capital ratio of above 12.5 %
– Leverage ratio (fully loaded) of ~4.5 %
The COVID-19 pandemic and its impact on the global economy may affect our ability to meet our financial targets, as its
ultimate impact remains difficult to predict.
Adjusted costs, Adjusted costs excluding transformation charges, Adjusted costs excluding transformation charges and ex-
penses eligible for reimbursement related to Prime Finance, Post-tax Return on Average Tangible Equity as well as Leverage
ratio (fully loaded) are non-GAAP financial measures. Please refer to “Supplementary Information (Unaudited): Non-GAAP
Financial Measures” of this report for the definitions of such measures and reconciliations to the IFRS measures on which
they are based.
Our businesses
This section should be read in conjunction with the section Deutsche Bank: Our Organization in the Operating and Financial
Review in the Annual Report 2020.
Corporate Bank
Corporate banking is at the core of our business. Firstly, our capabilities in Cash Management, Trade Finance and Lending,
as well as Foreign Exchange, the latter delivered in close collaboration with the Investment Bank, enable us to serve core
needs of our corporate clients. As a leading bank serving German corporates domestically and abroad, we help clients in
optimizing their working capital and liquidity, securing global supply chains and distribution channels and managing their risks.
Secondly, we act as a specialized provider of services to Financial Institutions, offering Correspondent Banking, Trust and
Agency as well as Securities Services. Finally, we provide business banking services to approximately 800,000 clients in
Germany, business banking covers small corporates and entrepreneur clients and offers a largely standardized product suite.
We have defined a number of specific initiatives to capitalize on our core competencies across these different areas and grow
our revenues to achieve our targets.
In 2020, we made significant progress on all of these targets despite the COVID-19 pandemic. We have re-priced more than
€ 40 billion of deposits in order to pass on negative interest rates, bringing the total amount of deposits under charging agree-
ments to about € 78 billion. We continued working towards the target of doubling the fees we generate from platforms,
FinTechs and eCommerce clients over the next two years. We have also grown Rates and Foreign Exchange revenues -
booked in Investment Bank - with our corporate clients, in particular in the U.S. and Asia Pacific, and increased our revenues
in Asia Pacific despite declining interest rates in the region. In Germany, we have materially completed the integration of our
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commercial and corporate banking activities, combining under one umbrella our operations for business clients with all the
products and services of our Deutsche Bank, Postbank and FYRST brands.
We aim to continue working towards our target for the Post-tax Return on Average Tangible Shareholders’ Equity of 11 – 12 %
in 2022. Firstly, we will re-price further deposits, both in our Cash Management franchise and with domestic German corporate
clients, in order to offset the impact of negative interest rates in Europe. Implementation of deposit charging agreements is
materially within our control and relies on our disciplined execution. Building on 2020 achievements, our initiatives also include
to further grow our business with platforms, FinTechs and eCommerce payment providers. We also aim to offer a full suite of
advisory and financing solutions for corporate treasurers. In addition , we intend to continue to expand our business in Asia
and finally to enhance our offering for small German businesses. Parts of corporate banking, especially payments, are expe-
riencing a high degree of innovation and disruption driven by high-paced technology developments and the emergence of new
competitors. We intend to make targeted investments in new growth areas, including asset as a service and merchant pay-
ments, where we see market opportunity and believe to have a competitive advantage. As we grow our business with clients
globally, we intend to continue to apply sound risk management principles in order to maintain the high quality of our loan
portfolio and strict lending standards.
We also aim to significantly advance our provision of sustainable financing solutions for our clients. In 2020, we developed
distinct sustainable finance product strategies, integrated ESG into client coverage models, rolled-out global employee train-
ings on ESG and started integrating Deutsche Bank’s newly defined Sustainable Finance Framework into our Corporate
Bank’s core systems and processes. In our strategic measures, we want to support our clients’ ESG transformation. Building
on our knowledge of the needs of corporate treasurers, strong product offerings across all our business divisions, deep un-
derstanding of EU sustainable finance regulation and standards as well our global network, we intend to help our clients
become ESG-compliant around the world.
Investment Bank
In 2020, the Investment Bank (IB) continued with the implementation of the outlined strategic priorities: delivering sustainable
revenue growth; client franchise improvements; limited financial resource increases; and reduction of the cost base. In each
of these areas, the IB successfully delivered tangible results, all while navigating the immediate reaction following the COVID-
19 pandemic in March and April 2020. The result was a significant improvement in the Return on Tangible Equity for the IB.
IB’s strategy will continue to focus upon the core priorities, building on the franchise’s key strengths and optimizing where
possible to work towards a future Return on Tangible Equity target of between 9.5 % to 10.5 %.
Within Fixed Income and Currencies (FIC), the strategic transformation of key businesses that has been underway since 2019
will continue. Our leading Financing business will focus upon maintaining disciplined risk management across the diversified
portfolio, with the deployment of resources into targeted sectors, such as Asset Backed Securities. The FIC businesses ex-
cluding Financing will build upon the substantial progress made in 2020 by continuing to deliver franchise improvements and
ensure the sustainability of revenue growth. In Credit trading, we continue the rebuilding of our Credit Flow franchise in Europe
and U.S. by expanding our product suite, while we further develop our e-trading capabilities, with a focus upon a more targeted
client set. In Foreign Exchange (FX), technology development remains a key priority to maintain competitive advantage, in
addition to targeting under-penetrated client groups and further enhancing the partnership with the Corporate Bank (CB). In
Rates, the franchise will continue to focus upon automation and digitalization of flow, deeper investment in e-channels and
turnaround of specific EMEA businesses. The Global Emerging Markets (GEM) organizational structure and leadership of the
GEM business are now in place and further product development and enhanced e-pricing and execution tools (particularly in
Central and Eastern Europe Middle East and Africa and Latin America) will be aligned with increased alignment with the
Corporate Bank (CB).
The strategic transformation of the FIC business will be reinforced by our FIC reengineering program, which is intended to
enable us to materially improve client experience, eliminate complexity and manual processes, and as a result lower costs
and enhance the control environment.
In Origination and Advisory (O&A), we intend to continue to focus on a targeted client set, increasing the level of intensity with
which we cover clients. Investments will be focused upon coverage of growth sectors where the Bank has a competitive
advantage in the Advisory business, such as Healthcare, Consumer, Industrials, real estate, gaming, lodging and leisure
sector and Technology Media & Telecom as well as strategic growth opportunities for incremental cross-border activity. In
Equity Capital Markets (ECM), we plan to continue to offer a full underwriting and distribution capability in US and EMEA and
targeted in APAC. Our Debt Origination business plans to continue to target areas of strength, further building the franchise,
ensuring efficient risk distribution and resource optimization, in addition to future growth areas, such as ESG.
The strategy of IB is underpinned by a controlled approach to capital deployment, continued effort on reducing the cost base
and a focus on control improvements. In addition, we aim to further eliminate inefficiencies in our funding costs in 2021 and
beyond.
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Finally, ESG remains a priority across all our business lines, as we develop market leading sustainable finance capabilities
and a range of derivative solutions. Significant progress was made in 2020 in transaction volumes across Debt Origination
and FIC Financing, with innovative hedging and investment product solutions also delivered. In our strategic initiatives, we are
targeting continued growth, with an expansion of the client-base for both origination and distribution.
Private Bank
Private Bank (PB) covers private, wealth and commercial clients across more than 60 countries and operates through two
distinct business units: Private Bank Germany (PB GY) and the International Private Bank (IPB). At the Investor Deep Dive in
December 2020, we detailed that our divisional targets for 2022 are to contribute revenues of € 8.3 billion to the Group despite
interest rate headwinds and to reduce our cost base by € 0.8 billion within the next two years. Higher revenues and lower cost
are key drivers as we work towards a Return on Tangible Equity of around 8 to 9 % in 2022.
PB GY is Germany’s leading retail bank with two highly complementary brands, Deutsche Bank and Postbank, serving ap-
proximately 19 million clients. We target clients who are seeking advisory solutions with Deutsche Bank offerings and those
looking for convenience through the Postbank offerings. In cooperation with Deutsche Post DHL AG, we also offer postal and
parcel services in the Postbank branches. We renewed our insurance partnerships with Talanx and Zurich Insurance Group
and will extend the offering to both Deutsche Bank and Postbank clients starting in 2023. Within PB GY, the transformation is
well on track. In 2020, we successfully completed the merger of Deutsche Bank Privat- und Firmenkundenbank AG into
Deutsche Bank AG, consolidating the retail business of both brands into one legal entity. Additionally, at the end of 2020, we
completed the sale of Postbank Systems AG to Tata Consultancy Services to simplify the unit’s IT infrastructure. In addition,
balance of interest negotiations were completed to further streamline the head office functions of the unit. The corresponding
restructuring process will begin in early 2021 and is scheduled to be completed by the end of 2022.
To sustain revenues, PB GY focuses on growth in investment and lending products, on an increasing share of revenues from
direct sales channels (e.g. by leveraging its market leading mobile banking app) and is continuously reviewing and adjusting
its price position across relevant products. With regard to the unit’s cost optimization, PB GY is continuing to implement its
consolidation and transformation program, which represents a central cornerstone of the Group’s overall strategic realignment.
In particular, cost savings will be achieved through consolidating Postbank’s IT infrastructure into one joint IT system. In
addition, PB GY is further optimizing its distribution network by reducing the branch network and self-service infrastructure of
DB and Postbank brand. Moreover, PB GY is targeting significant headcount reduction across central functions in order to
realize the overall cost target.
In 2020, we combined Wealth Management (WM) and the Private and Commercial Business International to create the Inter-
national Private Bank . IPB serves the holistic needs of 3 million clients and has a unique client proposition, especially for
family entrepreneurs, Ultra High Net Worth Individuals (UHNWI) and affluent customers. While IPB’s core scalable business
is located in continental Europe, it also has a fast growing franchise in Asia and the Middle East, and operates a specialized
UHNW franchise in the U.S. In Personal Banking, we serve our clients, primarily in Italy and Spain, acting as a source of
potential clients for Private Banking and Wealth Management. We intend the combination of our internationally focused Private
Bank businesses to allow us to develop our market share within and across markets, as well as to drive synergies to scale the
business. The most prominent and immediate strategic opportunity was the merger of the Wealth Management and Private
Banking activities, which brought a number of quick wins on cost, by combining platforms, products, operations and manage-
ment. It also delivered revenue opportunities such as leveraging WM products for Private Banking clients and deploying WM
capabilities in new markets such as Belgium. The next step is to unlock further growth potential by more closely aligning our
WM and SME Business Banking offerings, starting in Italy and Spain. Additionally in 2020, we continued to selectively invest
in our business by enhancing our product and core banking platforms as well as hiring front-office employees. As a result, we
saw an increase in net inflows in our broader range of investment products as well as our newly launched Strategic Asset
Allocation (SAA) solutions.
Going forward, we aim to grow business through our focus on entrepreneurial families as well as through our continued con-
version of deposits and non-invested assets into investment solutions. We intend to roll out our flagship SAA solution to the
whole domestic client base in Italy, Spain and Belgium and plan to launch an ESG-compliant offering. We plan to continue to
focus the combined business on our target client segments and drive cost efficiencies through optimizing our branch network
and head office functions. We intend to enhance our digital capabilities and increase the use of automation and agile IT
solutions.
In 2020, the Private Bank further strengthened its focus on sustainability by defining ESG targets for 2025 and commenced
various initiatives in this area. PB GY, for example, developed a specific taxonomy for classification of ESG-compliant mort-
gage lending. In IPB, we integrated ESG into our investment platform and launched ESG-enhanced wealth mandates.
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Asset Management
We are a leading asset manager with over € 790 billion in assets under management. With approximately 3,930 employees
operating globally, we provide a range of traditional and alternative investment capabilities to clients worldwide. Our investment
offerings span all major asset classes including equity, fixed income, cash and multi asset as well as alternative and passive
investments. Our product offerings are distributed through our single global distribution network, while also leveraging third-
party distribution channels. We serve a diverse base of retail and institutional investors worldwide, with a strong presence in
our home market in Germany. Our clients include government institutions, corporations and foundations as well as millions of
individual investors.
The asset management industry is evolving, with greater competition, continued margin pressure, and technological disruption
amid heightened geopolitical tensions and increased market volatility. As a result, Asset Management (AM) has implemented
a number of strategic initiatives to support our medium-term targets and aim to continue delivering shareholder value through
net flows, cost discipline and dividend distributions. We believe our diverse range of well-performing products and investment
solutions give us a strong basis for growing assets and profitability. We responded rapidly to the COVID-19 pandemic by
implementing robust business continuity management and changed the way we work without compromising our commitment
to clients or shareholders. At the same time, we have continued execution on our strategic agenda during 2020, making
significant progress in all areas of our business. We have simplified our global business structure to become even more client-
centric, flexible, efficient and effective.
Our target is to make ESG and sustainability a key strategic focus of both our fiduciary and corporate activities. We expect
sustainability and sustainable investments to become the driving force behind successful asset management over the coming
years. Demand for ESG investment products has risen significantly, we have responded to this demand by launching new
innovative products and offering ESG-versions of existing funds, resulting in significant inflows to these products in 2020.
COVID-19 has amplified ESG as the pandemic’s fallout reinforces the need to build our economy on a more responsible and
sustainable basis. Our aim is to become a leading ESG-integrated asset manager, which requires ESG to be embedded in
everything we do. In our strategic measures, we aim to increase our focus on smart ESG integration across the investment
platform, extending our Group Sustainability Office, and to continue to embed ESG into all of our corporate activities.
Cost control continues to be fundamental to execute on our business strategy and ensure high shareholder value creation.
We continue investing in our business and infrastructure functions and our plan for the future is to shift away from our complex
legacy IT infrastructure towards a leading IT infrastructure that is more efficient and more appropriate for an asset manage-
ment business. We aim to build a standalone operating model that delivers a sustainably low adjusted cost-income ratio, while
supporting commercial success and driving agility.
A key strategic focus is to continue delivering consistent investment outperformance across strategies that align with the
increasingly sophisticated demands of our clients. We are evolving our innovation process to match our solutions to client
requirements. We unified our Investment Division in 2020, which now encompasses all liquid and illiquid investment strategies.
Furthermore, we established a unified Systematic Investment Solutions function, which combines our Passive and Quant
capabilities in a single investment unit.
Our strategy targets growth in specific product lines and regions, especially Asia. As part of our regional strategy optimization,
we aim to focus on developing and nurturing strategic alliances. In Asia, we are continuing to work closely with our partners
Nippon Life and Harvest Fund Management to explore new business opportunities in the region. Furthermore, we have ex-
tended our strategic partnership with Zurich Insurance Group in the unit-linked retail business in Germany until 2032. We plan
to continue to invest in digital capabilities to accelerate our readiness to compete in a rapidly evolving industry. Our growth
commitment into digitization and technology is further underlined by our ongoing strategic partnerships.
We will also continue working towards our target for the Post-tax Return on Average Tangible Shareholders’ Equity of above
20% for 2022.
AM has prioritized execution and delivery in 2020, making significant progress in all areas of its business. We have continued
our efforts to become a leading ESG-integrated asset manager. We made meaningful progress in order to reach our ambitions,
including the appointment of a Group Sustainability Officer, introduced an ESG smart Integration process and formed of a new
ESG Advisory Board. Product innovation has been a key focus, as reflected by the majority of our new ESG-focused product
launches in 2020. In 2020, we maintained a strict cost discipline, helping us to achieve an adjusted cost-income ratio of 66.6
% for AM. This was achieved through our accelerated efficiency initiatives, focusing on making our workforce more efficient,
strategic vendor management and reviewing our real estate portfolio in all locations. We established a standalone Product
Division in 2020, which operates globally with responsibility for the entire product life-cycle, and will enable a more agile and
innovative approach to product development while retaining a clear focus on client needs, product quality, time-to-market and
profitability along the product life cycle. Organic growth remains a top priority for AM, and we have continued to increase our
focus on the targeted asset classes of Passive and Alternatives, as well as strengthening our strategic partnerships, resulting
in net inflows of 4 % of assets under management (based on beginning of year AuM).
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1
Combined
Management Report
4
4
7
12
30
32
Operating and financial review
Executive summary
Deutsche Bank Group
Results of operations
Financial position
Liquidity and capital resources
34 Outlook
41
Risks and opportunities
Risk report
52
Risk and capital overview
54
Risk and capital framework
58
68
Risk and capital management
111 Risk and capital performance
166 Compensation report
168 Management Board compensation report
199
211
Employee compensation report
Compensation system for Supervisory Board
members
214 Sustainability
215 Employees
219
Internal control over financial reporting
221
225
Information pursuant to Section 315a (1)
of the German Commercial Code and
explanatory report
Corporate governance statement pursuant
to sections 289f and 315d of the German
Commercial Code
225
Standalone parent company
information (HGB)
Deutsche Bank
Annual Report 2020
Operating and financial review
Executive summary
Operating and financial review
The following discussion and analysis should be read in conjunction with the Consolidated Financial Statements and the
related notes to them. Our Operating and Financial Review includes qualitative and quantitative disclosures on Segmental
Results of Operations and Entity Wide disclosures on Net Revenue Components as required by International Financial Re-
porting Standard (IFRS) 8, “Operating Segments”. For additional Business Segment disclosure under IFRS 8 please refer to
Note 4 “Business Segments and Related Information” of the Consolidated Financial Statements. Forward-looking statements
are disclosed in our Outlook section.
Executive summary
The Global Economy
Economic growth (in %)¹
Global Economy
2020²
(3.3)
2019
3.0
Main driver
The COVID-19 pandemic led to unprecedented GDP declines in almost all countries in
2020 with few historical precedents though recovery in many regions progressed faster
than expected. In spite of this, the historic economic disruptions caused by the COVID-
19 pandemic will still have lingering effects in the months ahead, and this may be pro-
tracted by widespread vaccination delays. By the end of 2020 resurgence of COVID-19
cases has been observed in some regions, and several countries have moved to re-
impose containment measures.
Of which:
Industrialized countries
0.6
1.3
4.0
1.6
(5.1)
(5.0)
(2.1)
(6.8)
U.S. Economy
Emerging markets
Eurozone Economy
Of which: German economy
Industrialized countries responded to the COVID-19 pandemic with extensive fiscal and
monetary support measures. They benefited from comparatively low borrowing costs.
Economic activity improved faster than expected after the slump in the first half of the
year, although second wave of infections slowed the recovery.
Emerging markets had a demanding and fairly divergent entry point into the COVID-19
crisis, in terms of policy capacity and medical infrastructure. As a result and as expected,
the growth shock in some countries was more pronounced and persistent. However, the
slump was followed by a strong recovery, albeit divergent across regions.
Following a sharp contraction in the first half of 2020, the Eurozone economy rebounded
strongly. Households and businesses were supported by expanded fiscal policy
measures and the European Central Bank’s expansionary monetary policy, which pro-
vided favourable financial conditions. At the beginning of the fourth quarter, a second
wave of COVID-19 infections gained momentum and required renewed containment
measures. A trade deal between the EU and the UK was finally agreed in December.
The economic slump in the first half of 2020 was historic, but the end of most lockdown
restrictions in the second quarter resulted in a stronger-than-expected recovery. In the
wake of massive fiscal support measures, the short-time work scheme helped to curb the
rise in unemployment and strengthened household incomes. Nevertheless, rising
COVID-19 infections created headwinds for economic momentum in the last quarter of
2020.
The U.S. economy experienced a massive contraction in the second quarter, followed by
a stronger than expected recovery. The unemployment rate climbed to new record highs,
but the labour market improved again as the recovery progressed. A strong second wave
of COVID-19 in combination with delayed additional fiscal stimulus constrained the re-
covery. The Federal Reserve Bank (the “Fed”) acted quickly and aggressively to keep
funds flowing freely in money and credit markets.
Economic activity recovered faster than expected in the third quarter. During a second
wave of COVID-19 infections in summer, the government did not declare a nationwide
state of emergency and instead tried to support economic activity. The Bank of Japan
kept an accommodative policy stance, while paying attention to policy side effects. With
maintained fiscal stimulus, there was less pressure on the Bank of Japan to ease.
The rebound from the COVID-19-driven plunge in economic activity has been stronger
than anticipated. China, Japan and other north Asian economies have been relatively
successful in controlling the virus and returning to or toward pre-virus levels of activity.
Asian central banks have reached the limits of conventional stimulus through interest rate
cuts.
The continued V-shaped recovery led to an expansion of the Chinese economy in 2020,
reflecting the robust industrial sector and a faster-than-expected recovery in services ac-
tivity, with real estate and transport services outperforming. This mainly contributed to the
global recovery.
1 Annual Real GDP Growth (% YoY). Sources: National Authorities unless stated otherwise.
2 Sources: Deutsche Bank Research.
3 Including China, India, Indonesia, Republic of Korea, and Taiwan, ex Japan.
Of which: Chinese Economy
Japanese Economy
Asian Economy³
(4.9)
(1.0)
(3.5)
2.3
0.3
5.2
6.0
2.2
4
Deutsche Bank
Annual Report 2020
Operating and financial review
Executive summary
The Banking Industry
Growth year-over-year (in %)
Eurozone
Corporate
Lending
5.5
Retail
Lending
3.2
Corporate
Deposits
18.6
Retail
Deposits
7.5
Of which: Germany
4.1
4.7
13.3
6.1
Dec 31, 2020
Main driver
Corporate loan growth was sharply higher year over year due to
the recession, but has stabilized in recent months. Retail lending
maintains momentum. The pandemic triggered a dramatic accel-
eration in corporate deposit growth, the strongest since the start
of the monetary union in 1999, household deposits also ex-
panded at the fastest pace since the financial crisis.
After an initial spike, corporate loan growth has slowed to its low-
est level in three years as companies are flush with liquidity, and
the strongest expansion in corporate deposits on record. Growth
in retail loans overall and in mortgages particularly has plateaued
at the highest level on record, while consumer lending is stagnat-
ing. Household deposits are rising the most since the financial
crisis.
U.S.
7.4
(2.9)
21.41
China
13.0
14.2
10.8
1 Total U.S. deposits as segment breakdown is not available.
21.41 Following an exceptional surge in corporate loans at the begin-
ning of the pandemic, volumes are shrinking now and year over
year growth has come down to near the pre-crisis pace. Over the
course of the crisis, household lending turned from robust growth
to the sharpest contraction since the aftermath of the financial
crisis. The current crisis has also caused momentum in total de-
posits to accelerate from a substantial increase to extraordinary
speed, where it has recently stabilized.
Retail lending (and deposit-taking) have maintained their dy-
namic expansion, while corporate lending (and deposit-taking)
have picked up to a similar level.
13.8
2020 was a very strong year for investment banking. Debt capital markets broke previous records across the board, including
with regard to investment grade, high yield and sovereign issuances. Similarly, equity capital markets reached an all-time high,
driven by follow-on transactions and convertibles, while the Initial Public Offering (“IPO”) market was also very strong. Mergers
& acquisitions (M&A) activity slumped in the first half of 2020 but posted the strongest second half of 2020 on record, leading
to only modestly lower announced deal volumes in the full year compared to 2019 and still a solid result in total. Investment
banking fee income surged to a new record, driven by the U.S. and China, whereas Europe lagged behind slightly. Equity
trading volumes were far higher than a year ago, especially in the U.S., while fixed income trading saw a moderate uptick and
derivatives were flat.
Deutsche Bank performance
Deutsche Bank reported a profit before tax of € 1 billion for the full year 2020, remained on track to achieve key milestones in
its transformation journey, including a significant reduction in costs, and to build a firm foundation for sustainable profitability
despite significant strains of the global COVID-19 pandemic. Significant profit growth in the re-focused Core Bank more than
offset the costs of transformation-related effects together with elevated provisions for credit losses. Our businesses made
considerable progress against its strategic objectives driving visible franchise improvements and revenue growth while main-
taining strict cost and risk discipline. Strong capital and liquidity reserves enabled Deutsche Bank to resolutely support clients
during 2020.
Deutsche Bank reported a net profit of € 624 million in 2020. Pre-tax profit was € 1 billion in 2020 after absorbing transformation
charges of € 490 million and restructuring and severance expenses of € 688 million. The Core Bank, which excludes the
Capital Release Unit, reported a pre-tax profit of € 3.2 billion in 2020 versus € 536 million in 2019. Adjusting for transformation
charges of € 328 million, restructuring and severance expenses of € 671 million and specific revenue items of negative
€ 38 million, pre-tax profit in the Core Bank would have been € 4.2 billion, up 52 % versus 2019 on a comparable basis.
Revenues excluding specific items, Adjusted costs, Adjusted costs excluding transformation charges, Adjusted costs exclud-
ing transformation charges and expenses eligible for reimbursement related to Prime Finance, Adjusted profit (loss) before
tax, Post-tax return on average tangible shareholders’ equity and Net Assets (adjusted) are non-GAAP financial measures.
Please refer to “Supplementary Information (Unaudited): Non-GAAP Financial Measures” of this annual report for the defini-
tions of such measures and reconciliations to the IFRS measures on which they are based.
5
Deutsche Bank
Annual Report 2020
Operating and financial review
Executive summary
Group Key Performance Indicators
Near-term operating performance
Post-tax return on average tangible shareholders’ equity¹
Adjusted costs excl. transformation charges2
Employees3
Status end of 2020
0.2 %
€ 19.9 bn
84,659
Status end of 2019
(10.9) %
€ 21.6 bn
87,597
Capital performance
Common Equity Tier 1 capital ratio4
Leverage ratio (fully loaded)4
1 Based on profit (loss) attributable to Deutsche Bank shareholders after AT1 coupon. For further information, please refer to “Supplementary Information (Unaudited): Non-
13.6 %
4.7 %
13.6 %
4.2 %
GAAP Financial Measures” of this annual report.
2 Excluding transformation charges but including expenses of € 360 million eligible for reimbursement related to Prime Finance. For further information, please refer to “Supple-
mentary Information (Unaudited): Non-GAAP Financial Measures” of this annual report.
3 Internal full-time equivalents.
4 Further detail on the calculation of this ratio is provided in the Risk Report.
Net revenues were € 24 billion in 2020, an increase of € 864 million, or 4 % compared to 2019. The main drivers for the
increase were significantly higher revenues in Investment Bank (IB) driven by benefits of underlying market activity and strong
client engagement following our strategic re-positioning which more than offset the negative contribution from valuation and
timing differences in Corporate and Others (C&O) and de-risking impacts in the Capital Release Unit (CRU). Net revenues in
the Core Bank increased by 6 % to € 24.3 billion on a reported basis. Net revenues in the Corporate Bank (CB) of € 5.1 billion
decreased 2 % year-on-year driven by interest rate headwinds partially offset by positive effects from deposit repricing. Net
revenues in the Investment Bank (IB) increased by 32 % to € 9.3 billion in 2020, driven by higher revenues in Fixed Income &
Currency (FIC) Sales & Trading as well as Origination & Advisory business reflecting supportive market conditions and market
share gains in key areas. Full-year net revenues in the Private Bank (PB) were € 8.1 billion, down 1 % year-on-year reflecting
a negative impact related to the sale of Postbank Systems AG. Excluding specific items, net revenues in the Private Bank
remained essentially flat as growth in loan volumes and fee income, including benefits of deposit repricing measures partly
compensated for the negative impacts from COVID-19 and interest rate headwinds. Net revenues in Asset Management (AM)
of € 2.2 billion decreased by 4 % compared to the prior year due to absence of performance fees from Multi Asset and
Alternatives recognized in 2019. Management fees remained stable as positive impacts of client flows and market develop-
ment offset the industry-wide margin compression. Revenues in Corporate and Other (C&O) were negative € 530 million
compared to positive € 147 million in the prior year reflecting an unfavorable impact from valuation and timing differences
driven by the negative mark-to-market impact of hedging activities in connection with the bank’s funding arrangements.
Provision for credit losses was € 1.8 billion in 2020, an increase of € 1.1 billion, or 148 %, compared to 2019, 41 basis points
of average loans, for the full year. The increase was largely due to the effects of the COVID-19 pandemic on the economy.
Noninterest expenses were € 21.2 billion in 2020, a decrease of € 3.9 billion or 15 %, from 2019. The decrease includes
absence of 2019 transformation-related goodwill impairments of € 1.0 billion as well as decreases in transformation charges
by € 655 million, litigation expenses by € 315 million and restructuring and severance expenses by € 118 million. Adjusted
costs excluding transformation charges were € 19.9 billion, down 8 % compared to the prior year and in line with our target of
€ 19.5 billion for 2020 if adjusted for € 360 million expenses eligible for reimbursement related to Prime Finance. The year-
on-year decrease reflects workforce reductions of over 2,900 full-time equivalents during 2020 as well as disciplined expense
management and positive impact of currency translation effects.
Profit before tax was € 1.0 billion in 2020 compared to a loss of € 2.6 billion in 2019, mainly driven by significant higher
revenues in Investment Bank in 2020, absence of 2019 transformation-related goodwill impairments as well as decreases in
transformation charges, litigation expenses, restructuring and severance expenses and in adjusted costs excluding transfor-
mation charges reflecting workforce reductions, disciplined expense management and positive impact of currency translation
effects. These were partly offset by increased levels of provision for credit losses largely due to the effects of the COVID-19
pandemic on the economy.
Income tax expense was € 397 million in 2020, compared to € 2.6 billion in the prior year. The effective tax rate in 2020 was
39 % .
The Bank reported a net profit of € 624 million in 2020, compared to a net loss of € 5.3 billion in 2019. This was driven by the
abovementioned strong revenue performance in Investment Bank, absence of 2019 transformation-related goodwill impair-
ments as well as decreases in transformation charges, litigation expenses, restructuring and severance expenses and in
adjusted costs excluding transformation charges reflecting workforce reductions, disciplined expense management and posi-
tive impact of currency translation effects. Valuation adjustments on deferred tax assets decreased from € 2.8 billion in 2019
to € 37 million in 2020. These positive effects were partly offset by increased levels of provision for credit losses.
The Common Equity Tier 1 (CET 1) capital ratio was 13.6 % at the end of 2020, unchanged compared to 2019. The leverage
ratio improved from 4.2 % in 2019 to 4.7% at the end of 2020 on a fully loaded basis. The leverage ratio on a phase-in basis
improved from 4.3 % in 2019 to 4.8 % in 2020.
6
Deutsche Bank
Annual Report 2020
Operating and financial review
Deutsche Bank Group
Deutsche Bank Group
Deutsche Bank: Our organization
Headquartered in Frankfurt am Main, Germany, we are the largest bank in Germany and one of the largest financial institutions
in the world, as measured by total assets of € 1,325 billion as of December 31, 2020. As of that date, we had 84,659 full-time
equivalent internal employees and operated in 59 countries with 1,891 branches, of which 68 % were located in Germany.
We offer a wide variety of investment, financial and related products and services to private individuals, corporate entities and
institutional clients around the world.
As of December 31, 2020, we were organized into the following segments:
– Corporate Bank (CB)
– Investment Bank (IB)
– Private Bank (PB)
– Asset Management (AM)
– Capital Release Unit (CRU)
– Corporate & Other (C&O)
We refer to CB, IB, PB, AM and C&O as our Core Bank.
In addition, Deutsche Bank has a country and regional organizational layer to facilitate a consistent implementation of global
strategies.
We have operations or dealings with existing and potential customers in most countries in the world. These operations and
dealings include working through:
– subsidiaries and branches;
– representative offices; and
– one or more representatives assigned to serve customers.
In 2018, we successfully completed the merger of Deutsche Bank Privat- und Geschäftskunden AG and Deutsche Postbank
AG to form DB Privat- und Firmenkundenbank AG. Subsequently, in 2020, DB Privat- und Firmenkundenbank AG was merged
into Deutsche Bank AG. The mergers are an important step towards significant cost reductions, mainly from eliminating infra-
structure functions and governance tasks that were executed specifically for the individual legal entity. With this step, refinanc-
ing and administrative expenses will be reduced and corporate governance simplified. The mergers also lay the foundation
for integrated technology solutions, including the migration of Postbank’s systems to Deutsche Bank’s IT infrastructure in 2022
and the decommissioning of legacy applications is planned for 2023. The aim is to simplify what has been a complex IT
environment, resulting in greater efficiency and improved technology for a more seamless client experience.
Management Structure
The Management Board has structured the Group as a matrix organization, comprising Corporate Divisions and Infrastructure
Functions operating in legal entities and branches across geographic locations.
The Management Board is responsible for the management of the company in accordance with the law, the Articles of Asso-
ciation and the Terms of Reference for the Management Board with the objective of creating sustainable value in the interests
of the company. It considers the interests of shareholders, employees and other company-related stakeholders. The Manage-
ment Board manages Deutsche Bank Group in accordance with uniform guidelines; it exercises general control over all Group
companies.
The Management Board decides on all matters prescribed by law and the Articles of Association and ensures compliance with
the legal requirements and internal guidelines (compliance). It also takes the necessary measures to ensure that adequate
internal guidelines are developed and implemented. The Management Board's responsibilities include, in particular, the bank’s
strategic management and direction, the allocation of resources, financial accounting and reporting, control and risk manage-
ment, as well as corporate control and a properly functioning business organization. The members of the Management Board
are collectively responsible for managing the bank’s business.
The allocation of functional responsibilities to the individual members of the Management Board is described in the Business
Allocation Plan for the Management Board, which sets the framework for the delegation of responsibilities to senior manage-
ment below the Management Board. The Management Board endorses individual accountability of senior position holders as
opposed to joint decision-taking in committees. At the same time, the Management Board recognizes the importance of having
comprehensive and robust information across all businesses in order to take well informed decisions and established, the
7
Deutsche Bank
Annual Report 2020
Operating and financial review
Deutsche Bank Group
“Group Management Committee” which aims to improve the information flow across the corporate divisions and between the
corporate divisions and the Management Board along with the Infrastructure Committees, Business Executive Committees
and Regional Committees. The Group Management Committee is a senior platform, which is not required by the German
Stock Corporation Act, and is composed of all Management Board members, the most senior business representatives as
well as the Head of Group Panning & Performance Management to exchange information and discuss business, growth and
profitability.
Corporate Bank
Corporate Division Overview
The Corporate Bank (CB) comprises Global Transaction Banking as well as Commercial Banking in Germany. The division is
primarily focused on serving corporate clients, including the German “Mittelstand”, larger and smaller sized commercial and
business banking clients in Germany as well as multinational companies. It is also a partner to financial institutions with regards
to certain Transaction Banking services. Global Transaction Banking consists of four businesses Cash Management, Trade
Finance & Lending, Trust & Agency Services and Securities Services. Commercial Banking provides integrated expertise and
a holistic product offering across the Deutsche Bank and Postbank brands in Germany.
Commencing from first quarter of 2021, the Corporate Bank will report revenues based on three client segments: Institutional
Client Services, Corporate Treasury Services and Business Banking. Institutional Client Services comprises of Cash Manage-
ment for Institutional clients, Trust and Agency Services, as well as Securities Services. Corporate Treasury Services provides
the full suite of Trade Finance and Lending, as well as Corporate Cash Management for large and mid-sized corporate clients.
Business Banking covers small corporates and entrepreneur clients and offers a largely standardized product suite.
In CB, we have made one significant capital divestiture since January 1, 2018. In early October 2017, Deutsche Bank Group
signed a binding agreement to sell its Alternative Fund Services business, a unit of the Global Transaction Banking division,
to Apex Group Limited. The transaction was completed in the second quarter of 2018.There have been no significant capital
expenditures since January 1, 2018.
Products and Services
The Corporate Bank is a global provider of risk management solutions, cash management, lending, trade finance, trust and
agency services as well as securities services. Focusing on the finance departments of corporate and commercial clients and
financial institutions in Germany and across the globe, our holistic expertise and global network allows us to offer integrated
solutions.
In addition to the Corporate Bank product suite, our Coverage teams provide clients with access to the expertise of the Invest-
ment Bank.
Distribution Channels and Marketing
The global Coverage function of the Corporate Bank focuses on international Large Corporate Clients and is organized into
two units: Coverage and Risk Management Solutions. Coverage includes multi-product generalists covering headquarter level
and subsidiaries via global, regional and local coverage teams. Risk Management Solutions includes Foreign Exchange,
Emerging Markets and Rates product specialists. This unit is managed regionally in APAC, Americas and EMEA to ensure
close connectivity to our clients.
Commencing from the first quarter 2021, Corporate clients in Germany will be served out of two units: Corporate Treasury
Services and Business Banking. Corporate Treasury Services covers mid and large corporate clients across two brands,
Deutsche Bank and Postbank, and offers the whole range of solutions across cash, trade financing, lending and risk manage-
ment for the corporate treasurer. Business Banking covers small corporates and entrepreneur clients and offers a largely
standardized product suite and selected contextual-banking partner offerings (e.g. accounting solutions).
8
Deutsche Bank
Annual Report 2020
Operating and financial review
Deutsche Bank Group
Investment Bank
Corporate Division Overview
The Investment Bank (IB) combines Deutsche Bank’s Fixed Income, Currency (FIC) Sales & Trading and, Origination & Ad-
visory, as well as Deutsche Bank Research. It focuses on its traditional strengths in financing, advisory, fixed income and
currencies, bringing together wholesale banking expertise across coverage, risk management, sales and trading, Investment
Banking and infrastructure. This enables IB to align resourcing and capital across our client and product perimeter to effectively
serve the Bank’s clients.
In IB we made one significant capital divestiture since January 1, 2018. In April 2019, Tradeweb closed its initial public offering.
Tradeweb is a financial services company that builds and operates over-the-counter (OTC) marketplaces for trading fixed
income products and derivatives. Deutsche Bank Group has had an economic interest in Tradeweb since 2007 and partici-
pated in the initial public offering and several subsequent secondary offerings, alongside other large bank shareholders by
selling a portion of its holdings. There have been no significant capital expenditures since January 1, 2018.
Products and Services
FIC Sales & Trading brings together an institutional sales force and research with trading and structuring expertise across
Foreign Exchange, Rates, Credit and Emerging Markets. The FIC Sales & Trading business enables Deutsche Bank to re-
spond to increasing automation, regulatory expectations as well as client demand for standardization and transparency in
transaction execution across fixed income and currencies.
Origination and Advisory is responsible for our debt origination business, mergers and acquisitions (M&A), and a focused
equity advisory and origination platform. It is comprised of regional and industry-focused coverage teams, co-led from the
bank’s hubs in Europe, the U.S. and Asia Pacific, that facilitates the delivery of a range of financial products and services to
the bank’s corporate clients.
Distribution Channels and Marketing
Coverage of the IB’s clients is provided by the Institutional Client Group, which houses our debt sales team, and the Investment
Banking Coverage team within Origination & Advisory. Both teams work in conjunction with our Risk Management Solutions
team in the Corporate Bank, covering capital markets and Treasury solutions. The close cooperation between these groups
help to create enhanced synergies leading to increased cross selling of products/solutions to our clients.
Private Bank
Corporate Division Overview
In the Private Bank (PB), we serve personal and private clients, wealthy individuals, entrepreneurs and families. In our inter-
national businesses we also focus on commercial clients. We are organized along two business divisions: Private Bank Ger-
many and International Private Bank. Our product range includes payment and account services, credit and deposit products
as well as investment advice including a range of Environmental, Social and Governance (ESG) products. We offer our cus-
tomers both the coverage of all basic financial needs as well as individual, tailor-made solutions.
PB made one significant capital divestiture since January 1, 2018. In November 2020, Deutsche Bank AG signed an agree-
ment to sell its share in Postbank Systems AG to Tata Consultancy Services (TCS). The transaction was closed after regula-
tory and governmental approvals on December 31, 2020. There have been no significant capital expenditures since January 1,
2018.
Products and Services
In our Private Bank Germany division, we pursue a differentiated, customer-focused approach with two strong and comple-
mentary main brands: Deutsche Bank and Postbank. With our Deutsche Bank brand we focus on providing our private cus-
tomers with banking and financial products and services that include sophisticated and individual advisory solutions. The focus
of our Postbank brand remains on providing our retail customers with standard products and daily retail banking services. In
cooperation with Deutsche Post DHL AG, we also offer postal and parcel services in the Postbank brand branches.
In the International Private Bank we also have a differentiated, customer-focused approach with two client segments. The
“IPB Personal Banking” client segment covers the retail and affluent customers as well as small businesses in Italy, Spain,
Belgium and India, providing them with banking and other financial services. The client segment “Private Banking and Wealth
Management” covers high-net-worth and ultra-high-net-worth clients globally as well as small and medium-sized corporate
clients and private banking clients in Italy, Spain, Belgium and India. We support our clients in planning, managing and invest-
ing their wealth, financing their personal and business interests and servicing their institutional and corporate needs. In addi-
tion, we offer a range of Environmental, Social and Governance (ESG) products across our discretionary portfolio manage-
ment and advisory platform. These products enable our clients to invest in line with their values and according to specified
ESG strategies, scores and exclusionary criteria. We also provide institutional-type services for sophisticated clients and com-
plement our offerings by closely collaborating with the Investment Bank, the Corporate Bank and Asset Management.
9
Deutsche Bank
Annual Report 2020
Operating and financial review
Deutsche Bank Group
Distribution Channels and Marketing
We pursue an omni-channel approach and our customers can flexibly choose between different possibilities to access our
services and products.
Our distribution channels include our branch networks in Private Bank Germany and International Private Bank, supported by
customer call centers and self-service terminals as well as advisory centers of the Deutsche Bank brand in Germany, Italy
and Spain, which supplement our branch network and our digital offerings. We also offer online and mobile banking including
our Digital Platform, through which we provide a transaction platform for banking, brokerage and self-services, combined with
a multi-mobile offering for smartphones and tablets. We also have collaborations with self-employed financial advisors and
other sales and cooperation partners. For our private banking and wealth management client segment we have a distinct client
coverage team approach with Relationship and Investment Managers supported by Client Service Executives assisting clients
with wealth management services and open-architecture products. In addition, in Germany, Deutsche Oppenheim Family
Offices AG provides family office services, discretionary funds and advisory solutions.
The expansion of digital capabilities remains a strong focus across our businesses. We will continue to optimize our omni-
channel mix in the future in order to provide our customers with the most convenient access to our products and services.
Asset Management
Corporate Division Overview
With over € 790 billion of assets under management as of December 31, 2020, the asset management division (DWS) is one
of the world’s leading asset management organizations. DWS serves a diverse client base of retail and institutional investors
worldwide, with a strong presence in our home market in Germany. These clients include government institutions, corporations
and foundations as well as individual investors.
Deutsche Bank retains 79.49% ownership interest in DWS and asset management remains a core business for the group.
The shares of DWS are listed on the Frankfurt stock exchange.
There have been no significant capital expenditures or divestitures since January 1, 2018, other than the partial initial public
offering (IPO) of DWS Group GmbH & Co. KGaA.
Products and Services
DWS’s investment offerings span all major asset classes including equity, fixed income, cash and multi asset as well as
alternative investments. Our alternative investments include real estate, infrastructure, private equity, liquid real assets and
sustainable investments. We also offer a range of passive investments. In addition, DWS’s solution strategies are targeted to
client needs that cannot be addressed by traditional asset classes alone. Such services include insurance and pension solu-
tions, asset-liability management, portfolio management solutions, asset allocation advisory, structuring and overlay. Our deep
environmental, social and governance focus complement each other when creating targeted solutions for our clients.
Distribution Channels and Marketing
DWS’s product offerings are distributed across EMEA (Europe, Middle East and Africa), the Americas and Asia Pacific through
a single global distribution network. DWS also leverages third-party distribution channels, including Deutsche Bank Group.
Capital Release Unit
The Capital Release Unit (CRU) was created in July 2019. The CRU’s principal objectives are to liberate capital consumed by
low return assets and businesses that earn insufficient returns or activities that are no longer core to our strategy by liberating
capital in an economically rational manner. In addition, the CRU is focused on reducing costs.
BNP Paribas and Deutsche Bank have signed a master transaction agreement to provide continuity of service to Deutsche
Bank’s Prime Finance and Electronic Equities clients. Under the agreement Deutsche Bank will continue to operate the plat-
form until clients can be migrated to BNP Paribas, which is expected to occur by the end of 2021.
In addition, in the restated financials of the CRU division, we recorded the following significant capital divestitures since Jan-
uary 1, 2018:
In December 2017, the Group entered into an agreement to sell its Polish Private & Commercial Banking business, excluding
its foreign currency denominated retail mortgage portfolio, together with DB Securities S.A., to Santander Bank Polska. The
transaction was successfully completed in the fourth quarter 2018.
In March 2018, Deutsche Bank Group entered into an agreement to sell the retail banking business in Portugal to ABANCA
Corporación Bancaria S.A. The parties closed the transaction in the first half of 2019.
10
Deutsche Bank
Annual Report 2020
Operating and financial review
Deutsche Bank Group
Infrastructure
The Infrastructure functions perform control and service activities for the businesses, including tasks relating to Group-wide,
cross-divisional resource-planning, steering and control, as well as tasks relating to risk, liquidity and capital management.
The Infrastructure functions are organized into the following areas of responsibility of our senior management:
– Finance, Tax, Treasury, Investor Relations
– Risk, Compliance, Anti Financial Crime
– Legal, Group Governance, Data Privacy, Government & Regulatory Affairs
– Technology, Data and Innovation
– Operations and Corporate Services
– HR and Transformation
Infrastructure also includes Communications & Corporate Social Responsibility and Group Audit which report to the Chief
Executive Officer.
Costs originating in the Infrastructure functions are currently allocated to the corporate divisions based on planned allocations,
with the exception of technology development costs which will be charged to Divisions based on actual expenditures during
2021. The current cost allocation methodology is being replaced with a Driver based cost management (DBCM) framework.
This new methodology links the services provided by the Infrastructure functions to the businesses which consume them
thereby creating enhanced transparency regarding the drivers for the costs which are being charged and facilitate the identi-
fication of cost reduction opportunities.
Significant Capital Expenditures and Divestitures
Information on each Corporate Division’s significant capital expenditures and divestitures for the last three financial years has
been included in the above descriptions of the Corporate Divisions.
Since January 1, 2020, there have been no public takeover offers by third parties with respect to our shares and we have not
made any public takeover offers for our own account in respect of any other company’s shares.
11
Deutsche Bank
Annual Report 2020
Operating and financial review
Results of operations
Results of operations
Consolidated results of operations
You should read the following discussion and analysis in conjunction with the Consolidated Financial Statements.
Condensed Consolidated Statement of Income
in € m.
(unless stated otherwise)
Net interest income
Provision for credit losses
Net interest income after provision for credit losses
Commissions and fee income¹
Net gains (losses) on financial assets/liabilities at
fair value through profit or loss¹
Net gains (losses) on financial assets at fair value
through other comprehensive income
Net gains (losses) on financial assets at amortized
cost
Net income (loss) from equity method investments
Other income (loss)
Total noninterest income
Total net revenues²
Compensation and benefits
General and administrative expenses
Impairment of goodwill and other intangible assets
Restructuring activities
Total noninterest expenses
Profit (loss) before tax
Income tax expense (benefit)
Profit (loss)
Profit (loss) attributable to noncontrolling interests
Profit (loss) attributable to Deutsche Bank share-
holders and additional equity components
Profit (loss) attributable to additional equity com-
ponents
Profit (loss) attributable to Deutsche Bank share-
holders
2020 increase (decrease)
from 2019
2019 increase (decrease)
from 2018
2020
11,526
1,792
9,734
9,424
2019
13,749
723
13,026
9,520
2018
13,316
525
12,791
10,039
in € m.
(2,223)
1,068
(3,292)
(96)
in %
(16)
148
(25)
(1)
in € m.
433
199
235
(519)
in %
3
38
2
(5)
2,465
193
1,209
2,271
N/M
(1,015)
(84)
323
260
317
63
24
(57)
(18)
324
120
(154)
12,503
22,237
10,471
10,259
0
485
21,216
1,021
397
624
129
0
110
(668)
9,416
22,441
11,142
12,253
1,037
644
25,076
(2,634)
2,630
(5,265)
125
2
219
215
12,000
24,791
11,814
11,286
0
360
23,461
1,330
989
341
75
324
10
515
3,087
(205)
(671)
(1,993)
(1,037)
(159)
(3,860)
3,655
(2,233)
5,888
4
N/M
9
(77)
33
(1)
(6)
(16)
(100)
(25)
(15)
N/M
(85)
N/M
3
(2)
(109)
(883)
(2,585)
(2,350)
(672)
966
1,037
283
1,615
(3,965)
1,641
(5,606)
50
(78)
(50)
N/M
(22)
(9)
(6)
9
N/M
79
7
N/M
166
N/M
68
495
(5,390)
267
5,885
N/M
(5,657)
N/M
382
328
319
53
16
9
3
113
(5,718)
(52)
5,831
N/M
(5,666)
N/M
N/M – Not meaningful
1 For further detail please refer to Note 1 “Significant Accounting Policies and Critical Accounting Estimates” of this annual report.
2 After provision for credit losses.
Net Interest Income
in € m.
(unless stated otherwise)
Total interest and similar in-
come
Total interest expenses
Net interest income
Average interest-earning as-
sets1
Average interest-bearing liabili-
ties1
Gross interest yield2
Gross interest rate paid3
Net interest spread4
Net interest margin5
2020
2019
2018
in € m.
in %
in € m.
in %
2020 increase (decrease)
from 2019
2019 increase (decrease)
from 2018
17,806
25,208
24,718
(7,401)
6,280
11,526
11,458
13,749
11,402
13,316
(5,178)
(2,223)
(29)
(45)
(16)
489
56
433
920,444
956,362
990,670
(35,918)
(4)
(34,307)
685,830
1.82 %
0.76 %
1.06 %
1.25 %
714,716
2.53 %
1.47 %
1.07 %
1.44 %
745,904
2.39 %
1.38 %
1.00 %
1.34 %
(28,886)
(0.72) ppt
(0.71) ppt
(0.01) ppt
(0.19) ppt
(4)
(28)
(48)
(1)
(13)
(31,188)
0.14 ppt
0.09 ppt
0.06 ppt
0.09 ppt
2
0
3
(3)
(4)
6
6
6
7
ppt – Percentage points
Prior period comparatives for gross interest income and gross interest expense have been restated. € 59 million and € 75 million for year ended December 31, 2019 and De-
cember 31, 2018 were restated. Additionally, € 124 million was reclassified from trading Income to interest expense for year ended December 31, 2018.
1 Average balances for each year are calculated in general based upon month-end balances. Prior period comparatives for 2019 have been restated.
2 Gross interest yield is the average interest rate earned on our average interest-earning assets.
3 Gross interest rate paid is the average interest rate paid on our average interest-bearing liabilities.
4 Net interest spread is the difference between the average interest rate earned on average interest-earning assets and the average interest rate paid on average interest-
bearing liabilities.
5 Net interest margin is net interest income expressed as a percentage of average interest-earning assets.
12
Deutsche Bank
Annual Report 2020
Operating and financial review
Results of operations
2020
Net interest income was € 11.5 billion in 2020 compared to € 13.7 billion in 2019, a decrease of € 2.2 billion, or 16 %. The
decrease was primarily driven by lower interest rates and unfavorable movements in foreign exchange rates. These negative
effects were partly offset by improved volumes and client flows in Investment Bank as well as positive effects from deposit
repricing in Corporate Bank. Interest income included € 43 million related to EU government grants under the Targeted Longer-
Term Refinancing Operations II (TLTRO II) program in 2020, whereas 2019 included € 93 million under this program. In
addition, interest income for the year 2020 included € 86 million, which were related to EU government grants under the
Targeted Longer-Term Refinancing Operations III (TLTRO III) program. Overall, the bank’s net interest margin declined by
19 basis points compared to the prior year to 1.25 % in 2020.
2019
Net interest income was € 13.7 billion in 2019 compared to € 13.3 billion in 2018, an increase of € 433 million, or 3 %. The
increase was primarily driven by a € 24 billion, or 6%, growth in average loan volumes, lower volumes of negative yielding
deposits with banks and central banks, mainly in Germany, as well as a favorable interest rate development in the U.S. in the
first half of 2019. These positive effects were partly offset by lower interest income associated with discontinued business
activities following the execution of the bank’s transformation strategy announced in July 2019. Interest income included
€ 93 million related to EU government grants under the Targeted Longer-Term Refinancing Operations II (TLTRO II) program,
which remained unchanged compared to 2018. Overall, the bank’s net interest margin improved by 9 basis points compared
to the prior year to 1.44 % in 2019.
Net Gains (Losses) on Financial Assets/Liabilities at Fair Value through Profit or Loss
in € m.
(unless stated otherwise)
Trading income
Net gains (losses) on non-trading
financial assets mandatory at fair value
through profit or loss
Net gains (losses) on financial
assets/liabilities designated at fair value
through profit or loss
Total net gains (losses) on financial
assets/liabilities at fair value through
profit or loss
2020
2,230
2019
197
2018
(72)
in € m.
2,033
in %
N/M
in € m.
269
in %
N/M
2020 increase (decrease)
from 2019
2019 increase (decrease)
from 2018
276
377
212
(102)
(27)
165
78
(40)
(381)
1,069
341
(89)
(1,449)
N/M
2,465
193
1,209
2,271
N/M
(1,015)
(84)
N/M – Not meaningful
€ 124 million was reclassified from trading income to net interest income for year ended December 31, 2018.
2020
Net gains on financial assets/liabilities at fair value through profit or loss were € 2.5 billion in 2020, compared to € 193 million
in 2019. The increase of € 2.3 billion was primarily driven by mark-to-market impacts on derivatives as well as positive impacts
from overall strategic repositioning in IB resulting in strong client flows and benefits from increased market volatility. This was
further benefited by positive effects from interest rate hedges in C&O, which did not fully compensate the negative effects of
the lower interest rates in Net Interest Income. This overall increase was partly offset by a negative impact from de-risking in
Capital Release Unit (CRU).
2019
Net gains on financial assets/liabilities at fair value through profit or loss were € 193 million in 2019, compared to € 1.2 billion
in 2018. The decrease of € 1.0 billion, or 84 %, was primarily driven by the non-recurrence of revenues associated with
discontinued business activities following the execution of the bank’s transformation strategy announced in July 2019, negative
mark-to-market impacts as well as de-risking in the Capital Release Unit (CRU).
Net Interest Income and Net Gains (Losses) on Financial Assets/Liabilities at Fair Value through
Profit or Loss
Our trading and risk management activities include interest rate instruments and related derivatives. Under IFRS, interest and
similar income earned from trading instruments and financial instruments designated at fair value through profit or loss (i.e.,
coupon and dividend income) and the costs of funding net trading positions are part of net interest income. Our trading activ-
ities can periodically shift income between net interest income and net gains (losses) on financial assets/liabilities at fair value
through profit or loss depending on a variety of factors, including risk management strategies.
In order to provide a more business-focused discussion, the following table presents net interest income and net gains (losses)
on financial assets/liabilities at fair value through profit or loss by corporate division.
13
Deutsche Bank
Annual Report 2020
Operating and financial review
Results of operations
in € m.
(unless stated otherwise)
Net interest income
Total net gains (losses) on financial assets/liabilities
at fair value through profit or loss
Total net interest income and net gains (losses) on
financial assets/liabilities at fair value through profit or loss
Breakdown by Corporate Division:1
Corporate Bank
Investment Bank
Private Bank
Asset Management
Capital Release Unit
Corporate & Other
Total net interest income and net gains (losses) on
financial assets/liabilities at fair value through profit or loss
2020
2019
2018
11,526 13,749 13,316
in € m.
(2,223)
in %
(16)
in € m.
433
in %
3
2020 increase (decrease)
from 2019
2019 increase (decrease)
from 2018
2,465
193
1,209
2,271
N/M
(1,015)
(84)
13,991 13,942 14,524
48
0
(582)
(4)
2,935
7,196
4,623
(98)
(33)
(632)
2,709
5,444
4,946
87
155
602
2,562
5,273
5,017
(88)
1,442
318
226
1,751
(323)
(185)
(188)
(1,233)
8
32
(7)
N/M
N/M
N/M
147
171
(71)
175
(1,287)
284
6
3
(1)
N/M
(89)
89
13,991 13,942 14,524
48
0
(582)
(4)
N/M – Not meaningful
Prior year segmental information presented in the current structure
€ 124 million was reclassified from trading income to net interest income for year ended December 31, 2018.
1 This breakdown reflects net interest income and net gains (losses) on financial assets/liabilities at fair value through profit or loss only. For a discussion of the corporate divi-
sions’ total revenues by product please refer to Note 4 “Business Segments and Related Information”.
2020
Total net interest income and net gains (losses) on financial assets/liabilities at fair value through profit or loss were € 14.0 bil-
lion in 2020, compared to € 13.9 billion in 2019, an increase of € 48 million. This was primarily due to mark-to-market impacts
on derivatives as well as positive impacts from overall strategic repositioning in IB resulting in strong client flows and benefits
from increased market volatility, deposit repricing measures in CB and PB and growth in loan volumes in PB. In C&O, mark-
to-market impacts from interest rate hedging activities did not fully compensate the negative effects of the lower interest rates.
This was further offset by continued negative impact of the low interest rate environment on deposit margins in PB and de-
risking costs in CRU. Net interest income and net gains (losses) on financial assets/liabilities at fair value through profit or loss
in AM also decreased compared to the prior year reflecting an unfavorable impact from the valuation of consolidated guaran-
teed mutual funds which has a corresponding offset in Other Income.
2019
Total net interest income and net gains (losses) on financial assets/liabilities at fair value through profit or loss were € 13.9 bil-
lion in 2019, compared to € 14.5 billion in 2018, a decrease of € 582 million, or 4 %. The decrease was primarily driven by the
CRU reflecting the non-recurrence of revenues associated with discontinued business activities, negative mark-to-market
impacts as well as de-risking costs. In PB, total net interest income and net gains (losses) on financial assets/liabilities at fair
value through profit or loss decreased versus the prior year mainly due to the continued negative impact of the low interest
rate environment on deposit margins and negative mark-to-market impacts from interest rate hedging activities. This was
offset by positive mark-to-market impacts in C&O and by growth in loan volumes in IB, CB and PB. Net interest income and
net gains (losses) on financial assets/liabilities at fair value through profit or loss in AM also increased compared to the prior
year reflecting a favorable impact from the valuation of consolidated guaranteed mutual funds which has a corresponding
offset in Other Income.
Provision for Credit Losses
2020
Provision for credit losses was € 1.8 billion in 2020, an increase of € 1.1 billion, or 148 % compared to 2019. This increase
was primarily driven by negative impacts from COVID-19 related impairments. The net increase of provisions for credit losses
on performing assets includes a management overlay to flatten the high amplitudes of the standard model on forward looking
information in the COVID-19 crisis and an additional management overlay to account for remaining uncertainties in the macro-
economic outlook. Provision for credit losses was 41 basis points of average loans reflecting the high quality of the bank’s
loan book. Please refer to the sections “Segment Results of Operations” and “Risk Report” for further details on provision for
credit losses.
2019
Provision for credit losses was € 723 million in 2019, an increase of € 199 million, or 38 %, compared to 2018. The return to
a more normalized level was a result of the overall weakened macroeconomic environment with a number of specific events
across all segments as well as lower releases and recoveries compared to the prior year. Provision for credit losses in 2019
included a net positive effect of € 18 million arising from changes in estimates of € 183 million, stemming from model refine-
ments and the annual recalibration of the forward looking information in our IFRS 9 model, which offset a negative impact of
€ 165 million from the update of macroeconomic variables. Provision for credit losses was 17 basis points of average loans
reflecting the bank’s strong underwriting standards and risk management as well as the low-risk nature of our portfolios. Please
refer to the sections “Segment Results of Operations” and “Risk Report” for further details on provision for credit losses.
14
Deutsche Bank
Annual Report 2020
Operating and financial review
Results of operations
Remaining Noninterest Income
in € m.
(unless stated otherwise)
Commissions and fee income1
Net gains (losses) on financial assets at fair value
through other comprehensive income
Net gains (losses) on financial assets at amortized
cost
Net income (loss) from equity method investments
Other income (loss)
Total remaining noninterest income
1 includes:
Commissions and fees from fiduciary activities:
Commissions for administration
Commissions for assets under management
Commissions for other securities business
Total
Commissions, broker’s fees, mark-ups on securities
underwriting and other securities activities:
Underwriting and advisory fees
Brokerage fees
Total
Fees for other customer services
Total commissions and fee income
N/M – Not meaningful
2020
9,424
2019
9,520
2018
10,039
in € m.
in %
in € m.
(96)
(1)
(519)
in %
(5)
2020 increase (decrease)
from 2019
2019 increase (decrease)
from 2018
323
260
317
63
24
(57)
(18)
324
120
(154)
10,038
0
110
(668)
9,222
2
219
215
10,792
324
10
515
816
N/M
9
(77)
9
(2)
(109)
(883)
(1,570)
(78)
(50)
N/M
(15)
347
3,208
341
3,896
327
3,298
317
3,943
303
3,130
290
3,724
1,625
637
2,262
3,266
9,424
1,501
637
2,137
3,440
9,520
1,629
936
2,565
3,751
10,039
19
(90)
24
(47)
125
0
125
(174)
(96)
6
(3)
7
(1)
8
0
6
(5)
(1)
24
168
27
219
(128)
(299)
(427)
(311)
(519)
8
5
9
6
(8)
(32)
(17)
(8)
(5)
Commissions and fee income
2020
Commissions and fee income was € 9.4 billion in 2020, a decrease of € 96 million, or 1 %, compared to 2019. The decrease
included € 174 million lower fees for other customer services in Corporate Bank mainly driven by reduced economic activities.
Commissions for assets under management decreased by € 90 million in AM mainly due to absence of performance fees from
Multi Asset and Alternatives recognized in 2019. Underwriting and advisory fees increased by € 125 million mainly driven by
increased activity and market share gains in debt market as well as an increase in global fee pool and issuances in equities.
Brokerage fees have remained flat year-over-year mainly as the negative impact from discontinued business activities in CRU
following the execution of the bank’s transformation strategy announced in July 2019 was fully compensated by higher com-
mission and fee income in PB from investment and insurance products including benefits form re-pricing measures.
2019
Commissions and fee income was € 9.5 billion in 2019, a decrease of € 519 million, or 5 %, compared to the prior year. The
decrease included € 427 million lower underwriting and advisory fees as well as brokerage fees, primarily in the CRU, asso-
ciated with discontinued business activities following the execution of the bank’s transformation strategy announced in July
2019. Fees for other customer services declined by € 311 million primarily driven by a reduction in the global fee pool and
issuances, lower leveraged loan fees and capital markets fees. These decreases were partly offset by higher commissions
for assets under management in AM, mainly driven by a non-recurring alternatives and multi asset performance fee recognized
in 2019.
Net gains (losses) on financial assets at fair value through other comprehensive income
2020
Net gains on financial assets at fair value through other comprehensive income were € 323 million in 2020, an increase of €
63 million, or 24 % compared to 2019 driven mainly by higher gains from the sale of bonds and securities from our strategic
liquidity reserve.
2019
Net gains on financial assets at fair value through other comprehensive income were € 260 million in 2019, a decrease of
€ 57 million, or 18 % compared to 2018 driven mainly by lower gains from sale of the municipal bonds in the U.S., government
bonds and securities from our strategic liquidity reserve.
Net gains (losses) on financial assets at amortized cost
2020
Net gains (losses) on financial assets at amortized cost were € 324 million in 2020 and nil in 2019, driven by sale of assets
out of Hold-to-collect portfolio in 2020 as part of our strategy for managing the interest rate risk in the banking book.
15
Deutsche Bank
Annual Report 2020
Operating and financial review
Results of operations
2019
Net gains (losses) on financial assets at amortized cost were nil in 2019 and € 2 million in 2018, which primarily included the
impact from the early redemption of certain bonds.
Net income (loss) from equity method investments
2020
Net gains from equity method investments were € 120 million in 2020 compared to € 110 million in 2019, an increase of € 10
million, or 9 %.
2019
Net gains from equity method investments were € 110 million in 2019 compared to € 219 million in 2018, a decrease of
€ 109 million, or 50 %, primarily due to the absence of a prior year gain from the valuation of an investment and lower equity
pickup from Huarong Rongde Asset Management Company Limited.
Other income (loss)
2020
Other income (loss) was € (154) million in 2020 compared to € (668) million in 2019. The improvement was driven by positive
impacts associated with hedge ineffectiveness along with fair value hedge accounting adjustments. Furthermore, other income
includes a positive impact from a valuation adjustment on liabilities of guaranteed mutual funds in AM that offsets a negative
impact from the valuation of consolidated guaranteed mutual funds in net gains (losses) on financial assets/liabilities at fair
value through profit or loss.
2019
Other income (loss) was € (668) million in 2019 compared to € 215 million in 2018. The decrease was driven by the impact of
hedge ineffectiveness together with bond sales and fair value hedge accounting adjustments following the unwinding of the
municipal bond portfolio in the U.S. in 2018. The decrease was also impacted by the absence of a prior year gain from the
sale of real estate assets in 2018 and lower positive impacts from workout activities related to legacy positions in Sal. Oppen-
heim in 2019. Furthermore, other income includes a negative impact from a valuation adjustment on liabilities of guaranteed
mutual funds in AM that offsets a positive impact from the valuation of consolidated guaranteed mutual funds in net gains
(losses) on financial assets/liabilities at fair value through profit or loss.
Noninterest Expenses
in € m.
(unless stated otherwise)
Compensation and benefits
General and administrative expenses¹
Impairment of goodwill and other intangible
assets
Restructuring activities
Total noninterest expenses
N/M – Not meaningful
1 includes:
Information Technology2
Occupancy, furniture and equipment
expenses3
Regulatory, tax & insurance3,4
Professional services5
Banking Services and outsourced operations5
Market Data and Research services2
Travel expenses
Marketing expenses
Other expenses6
Total general and administrative expenses
2020 increase (decrease)
from 2019
2019 increase (decrease)
from 2018
2020
10,471
10,259
2019
11,142
12,253
2018
11,814
11,286
in € m.
(671)
(1,993)
in %
in € m.
(6)
(16)
(672)
966
0
485
21,216
1,037
644
25,076
0
360
23,461
(1,037)
(159)
(3,860)
(100)
(25)
(15)
1,037
283
1,615
in %
(6)
9
N/M
79
7
3,862
5,011
4,043
(1,150)
(23)
968
24
1,724
1,407
982
962
376
76
174
696
10,259
1,693
1,440
1,143
967
421
256
251
1,071
12,253
1,698
1,570
1,323
960
415
288
299
690
11,286
31
(33)
(161)
(5)
(46)
(180)
(77)
(374)
(1,993)
2
(2)
(14)
(0)
(11)
(70)
(31)
(35)
(16)
(5)
(130)
(180)
6
7
(32)
(48)
381
966
(0)
(8)
(14)
1
2
(11)
(16)
55
9
2 Prior year numbers have been restated to reflect the shift of telecommunications expenses from (communications) and market data & research services expenses to infor-
mation technology expenses
3 Prior year numbers have been restated to reflect the shift of insurance premium expenses from occupancy, furniture and equipment expenses to regulatory, tax & insurance
expenses
4 Includes bank levy of € 633 million in 2020, € 622 million in 2019 and € 690 million in 2018.
5 Prior year numbers have been restated to reflect the shift of other outsourced operations expenses from professional services expenses to banking services and outsourced
operations expenses
6 Includes litigation related expenses of € 158 million in 2020, € 473 million in 2019 and € 88 million in 2018. See Note 27 “Provisions”, for more detail on litigation
Compensation and benefits
2020
Compensation and benefits decreased by € 671 million, or 6 %, to € 10.5 billion in 2020 compared to € 11.1 billion in 2019.
The decrease was primarily driven by lower fixed compensation expenses resulting from workforce reductions.
16
Deutsche Bank
Annual Report 2020
Operating and financial review
Results of operations
2019
Compensation and benefits decreased by € 672 million, or 6 %, to € 11.1 billion in 2019 compared to € 11.8 billion in 2018.
The decrease was primarily driven by lower fixed and variable compensation expenses which reflects overall affordability and
performance at the Group level and the reduction in headcount.
General and administrative expenses
2020
General and administrative expenses decreased by € 2 billion, or 16 %, to € 10.3 billion in 2020 compared to € 12.3 billion in
2019. The decrease was driven by € 655 million lower transformation charges as 2019 included higher software impairments
and higher litigation expenses. Apart from these, general and administrative expenses further decreased compared to the
prior year following a disciplined cost management with reductions across all major cost categories including IT expenses due
to lower software amortization and a reduction of IT service expenses, professional service fees mainly reflecting a reduction
in external workforce expenses as well as travel and marketing expenses.
2019
General and administrative expenses increased by € 966 million, or 9 %, to € 12.3 billion in 2019 compared to € 11.3 billion
in 2018. The increase was driven by € 1.1 billion transformation charges mainly related to the impairment of software and real
estate assets, as well as higher litigation expenses. Excluding these effects, general and administrative expenses decreased
compared to the prior year following a disciplined cost management with reductions across all major cost categories except
IT expenses, which remained essentially stable during 2019, reflecting Deutsche Bank’s commitment to continue spending on
technology and controls in line with its transformation strategy.
Impairment of goodwill and other intangible assets
2020
No impairment charges were reported for 2020. Impairment of goodwill and other intangible assets of € 1.0 billion was reported
in 2019. The announcement of the strategic transformation in July 2019 triggered the impairment review of Deutsche Bank’s
goodwill. A worsening macro-economic outlook, including interest rate curves, industry-specific market growth corrections, as
well as the impact related to the implementation of the transformation strategy resulted in the full impairment of the Wealth
Management goodwill of € 545 million in PB and the GTB & CF goodwill of € 492 million in CB in the second quarter 2019.
2019
Impairment of goodwill and other intangible assets was € 1.0 billion in 2019 as aforementioned.
Restructuring
2020
Expenses for restructuring activities were € 485 million in 2020 compared to € 644 million in 2019. The decrease was primarily
due to higher costs related to the execution of the bank’s transformation strategy in 2019.
2019
Expenses for restructuring activities were € 644 million in 2019 compared to € 360 million in 2018. The increase was primarily
related to the execution of the bank’s transformation strategy which led to new provisions in all segments in 2019.
Income Tax Expense
2020
Income tax expense in 2020 was € 397 million compared to € 2.6 billion in 2019. The effective tax rate in 2020 was 39 %.
2019
Income tax expense in 2019 was € 2.6 billion compared to € 989 million in 2018. The effective tax rate of (100) % (2018: 74 %)
mainly resulted from € 2.8 billion transformation related deferred tax assets valuation adjustments and non-deductible goodwill
impairments.
Net profit (loss)
2020
Net profit in 2020 was € 624 million, compared to a net loss of € 5.3 billion in the prior year. The increase in net profit was
primarily driven by strong revenue performance in Investment Bank, absence of 2019 transformation-related goodwill impair-
ments as well as decreases in transformation charges, litigation expenses, restructuring and severance expenses and in
adjusted costs excluding transformation charges reflecting workforce reductions, disciplined expense management and posi-
tive impact of currency translation effects. Valuation adjustments on deferred tax assets decreased from € 2.8 billion in 2019
to € 37 million in 2020. These positive effects were partly offset by increased levels of provision for credit losses.
2019
The net loss was € 5.3 billion in 2019, compared to a net income of € 341 million in the prior year, primarily driven by the
aforementioned € 2.8 billion transformation related deferred tax assets valuation adjustments, € 1.0 billion impairment of
17
Deutsche Bank
Annual Report 2020
Operating and financial review
Results of operations
goodwill, € 1.1 billion of transformation charges, mainly impairments of software and real estate assets, as well as restructuring
and severance expenses of € 805 million.
Segment results of operations
The following is a discussion of the results of our business segments. See Note 4 “Business Segments and Related Infor-
mation” to the consolidated financial statements for information regarding:
– changes in the format of our segment disclosure and
– the framework of our management reporting systems.
The Group’s segment reporting follows the organizational structure as reflected in its internal management reporting systems,
which are the basis for assessing the financial performance of the business segments and for allocating resources to the
business segments. The criterion for segmentation into divisions is our organizational structure as it existed at December 31,
2020. Prior period comparables were restated due to changes in the divisional structure.
in € m.
(unless stated otherwise)
Net revenues1
Provision for credit losses
Noninterest expenses
Compensation and benefits
General and administrative expenses
Impairment of goodwill and other intangible
assets
Restructuring activities
Total noninterest expenses
Noncontrolling interests
Profit (loss) before tax
Cost/income ratio
Assets2
Additions to non-current assets
Risk-weighted assets
Leverage exposure (fully loaded)3
Average allocated shareholders' equity
Post-tax return on average shareholders’
equity4
Post-tax return on average tangible share-
holders’ equity4
1 includes:
Net interest income
Net income (loss) from equity method
investments
2 includes:
Equity method investments
Corporate
Bank
5,145
366
Investment
Bank
9,283
688
1,064
3,126
0
28
4,218
0
561
82 %
1,906
3,493
0
14
5,413
11
3,171
58 %
Private
Bank
8,126
711
2,884
4,242
0
413
7,539
0
(124)
93 %
237,497
10
57,288
273,795
9,904
573,673
4
128,487
476,261
22,943
296,637
485
77,074
307,746
11,521
Asset
Manage-
ment
2,229
2
740
764
0
22
1,527
157
544
68 %
9,453
32
9,997
4,695
4,760
2020
Capital
Release Unit
(225)
29
Corporate &
Other
(530)
(3)
Total
Consolidated
24,028
1,792
168
1,774
0
5
1,947
(0)
(2,201)
N/M
197,667
0
34,415
71,726
6,205
3,709
(3,140)
10,471
10,259
0
3
572
(169)
(930)
N/M
10,333
2,891
21,690
29,243
0
0
485
21,216
0
1,021
88 %
1,325,259
3,423
328,951
1,078,268
55,332
3 %
9 %
(1) %
8 %
(26) %
N/M
4 %
10 %
(2) %
21 %
(27) %
N/M
0 %
0 %
2,882
3,325
4,475
3
69
22
399
23
60
1
63
304
61
9
67
781
11,526
1
4
120
901
N/M – Not meaningful
3 The Group leverage exposure is presented excluding certain Euro-based exposures facing Eurosystem central banks based on the ECB-decision (EU) 2020/1306 and after
having obtained permission from the ECB. The segmental leverage exposures are presented without that deduction.
4 The post-tax return on average tangible shareholders’ equity and average shareholders’ equity at the Group level reflects the reported effective tax rate for the Group, which
was 39 % for the year ended December 31, 2020. For the post-tax return on average tangible shareholders’ equity and average shareholders’ equity of the segments, the
Group effective tax rate was adjusted to exclude the impact of permanent differences not attributed to the segments, so that the segment tax rates were 28 % for the year
ended December 31, 2020. For further information, please refer to “Supplementary Information (Unaudited): Non-GAAP Financial Measures” of this annual report.
18
Deutsche Bank
Annual Report 2020
Operating and financial review
Results of operations
in € m.
(unless stated otherwise)
Net revenues1
Provision for credit losses
Noninterest expenses
Compensation and benefits
General and administrative expenses
Impairment of goodwill and other intangible
assets
Restructuring activities
Total noninterest expenses
Noncontrolling interests
Profit (loss) before tax
Cost/income ratio
Assets2
Additions to non-current assets
Risk-weighted assets
Leverage exposure (fully loaded)
Average allocated shareholders' equity
Post-tax return on average shareholders’
equity3
Post-tax return on average tangible share-
holders’ equity3
1 includes:
Net interest income
Net income (loss) from equity method
investments
2 includes:
Equity method investments
Corporate
Bank
5,244
284
Investment
Bank
7,019
109
1,073
3,165
492
137
4,867
0
92
93 %
1,983
4,237
0
169
6,389
20
502
91 %
Private
Bank
8,206
344
2,990
4,481
545
126
8,142
(0)
(279)
99 %
228,663
9
58,808
270,647
10,464
501,774
1
116,552
432,254
23,052
270,334
215
74,032
282,575
11,729
2019
Asset
Manage-
ment
2,332
1
Capital
Release Unit
217
(14)
Corporate &
Other
147
0
Total
Consolidated
23,165
723
832
851
359
2,898
3,906
(3,380)
11,142
12,253
0
29
1,711
152
468
73 %
9,936
27
9,527
4,643
4,821
0
143
3,400
1
(3,170)
N/M
259,224
0
45,874
126,905
10,105
0
40
566
(173)
(247)
N/M
27,743
1,069
19,223
51,016
0
1,037
644
25,076
0
(2,634)
108 %
1,297,674
1,322
324,015
1,168,040
60,170
0 %
1 %
(2) %
7 %
(23) %
N/M
(10) %
0 %
1 %
(3) %
18 %
(24) %
N/M
(11) %
2,633
2,707
4,804
(39)
3
66
32
412
14
82
49
276
85
12
90
3,559
13,749
1
4
110
929
N/M – Not meaningful
Prior year segmental information presented in the current structure
3 The post-tax return on average tangible shareholders’ equity and average shareholders’ equity at the Group level reflects the reported effective tax rate for the Group, which
was (100) % for the year ended December 31, 2019. For the post-tax return on average tangible shareholders’ equity and average shareholders’ equity of the segments, the
Group effective tax rate was adjusted to exclude the impact of permanent differences not attributed to the segments, so that the segment tax rates were 28 % for the year
ended December 31, 2019. For further information, please refer to “Supplementary Information (Unaudited): Non-GAAP Financial Measures” of this annual report.
in € m.
(unless stated otherwise)
Net revenues1
Provision for credit losses
Noninterest expenses
Compensation and benefits
General and administrative expenses
Impairment of goodwill and other intangible
assets
Restructuring activities
Total noninterest expenses
Noncontrolling interests
Profit (loss) before tax
Cost/income ratio
Assets2
Additions to non-current assets
Risk-weighted assets3
Leverage exposure (fully loaded)
Average allocated shareholders' equity
Post-tax return on average shareholders’
equity4
Post-tax return on average tangible share-
holders’ equity4
1 includes:
Net interest income
Net income (loss) from equity method
investments
2 includes:
Equity method investments
Corporate
Bank
5,278
142
Investment
Bank
7,561
70
1,063
2,787
0
32
3,882
0
1,254
74 %
2,175
4,134
0
199
6,509
24
958
86 %
Private
Bank
8,520
349
3,059
4,448
0
49
7,556
(0)
616
89 %
216,163
13
60,305
257,921
10,927
458,464
2
122,662
413,631
22,629
270,150
303
67,180
287,760
12,397
2018
Asset
Manage-
ment
2,187
Capital
Release Unit
1,911
(1)
(36)
Corporate &
Other
(142)
1
Total
Consolidated
25,316
525
787
929
547
2,742
4,183
(3,754)
11,814
11,286
0
19
1,735
85
368
79 %
10,030
43
10,365
5,044
4,837
0
62
3,351
1
(1,404)
N/M
370,090
1
72,133
280,638
11,704
0
(1)
428
(109)
(461)
N/M
23,240
1,286
17,789
27,933
115
0
360
23,461
0
1,330
93 %
1,348,137
1,647
350,432
1,272,926
62,610
8 %
2 %
3 %
5 %
(9) %
N/M
(0) %
9 %
3 %
4 %
14 %
(9) %
N/M
(0) %
2,419
2,209
4,905
(51)
416
3,417
13,316
3
63
157
406
2
78
41
240
10
87
6
5
219
879
N/M – Not meaningful
Prior year segmental information presented in the current structure
3 Risk-weighted assets are based upon CRR/CRD 4 fully-loaded.
19
Deutsche Bank
Annual Report 2020
Operating and financial review
Results of operations
4 The post-tax return on average tangible shareholders’ equity and average shareholders’ equity at the Group level reflects the reported effective tax rate for the Group, which
was 74 % for the year ended December 31, 2018. For the post-tax return on average tangible shareholders’ equity and average shareholders’ equity of the segments, the
Group effective tax rate was adjusted to exclude the impact of permanent differences not attributed to the segments, so that the segment tax rates were 28 % for the year
ended December 31, 2018. For further information, please refer to “Supplementary Information (Unaudited): Non-GAAP Financial Measures” of this annual report.
Corporate Bank
in € m.
(unless stated otherwise)
Net revenues
Global Transaction Banking
Commercial Banking
Total net revenues
Provision for credit losses
Noninterest expenses
Compensation and benefits
General and administrative expenses
Impairment of goodwill and other intangible assets
Restructuring activities
Total noninterest expenses
Noncontrolling interests
Profit (loss) before tax
Total assets (in € bn)1
Loans (gross of allowance for loan losses, in € bn)
Employees (full-time equivalent)
2020 increase (decrease)
from 2019
2019 increase (decrease)
from 2018
2020
2019
2018
in € m.
in %
in € m.
in %
3,698
1,447
5,145
366
1,064
3,126
0
28
4,218
0
561
237
114
7,368
3,810
1,433
5,244
284
1,073
3,165
492
137
4,867
0
92
229
119
7,712
3,908
1,370
5,278
142
1,063
2,787
0
32
3,882
0
1,254
216
114
7,653
(112)
14
(98)
82
(9)
(40)
(492)
(108)
(649)
0
469
9
(5)
(345)
(3)
1
(2)
29
(1)
(1)
N/M
(79)
(13)
N/M
N/M
4
(4)
(4)
(98)
63
(34)
142
10
378
492
105
986
0
(1,162)
13
5
60
(3)
5
(1)
100
1
14
N/M
N/M
25
N/M
(93)
6
5
1
N/M – Not meaningful
Prior year segmental information presented in the current structure
1 Segment assets represent consolidated view, i.e., the amounts do not include intersegment balances
2020
Profit before tax of the Corporate Bank was € 561 million for the full year 2020, up from € 92 million in 2019. This increase
was mainly driven by the non-recurrence of an impairment of goodwill in the prior year and lower restructuring activities. Ad-
justed for transformation charges, restructuring and severance expenses, goodwill impairments and specific revenue items,
profit before tax was € 714 million, 20% below the prior year, mainly driven by lower revenues and higher credit loss provi-
sions in 2020.
Full year net revenues were € 5.1 billion, or € 5.2 billion excluding a loss on sale of Postbank Systems AG, 2% lower year-
over-year despite a challenging interest rate environment and other macro-economic headwinds.
Global Transaction Banking net revenues of € 3.7 billion were €112 million or 3% lower compared to € 3.8 billion in the prior
year, as interest rate headwinds were partly offset by deposit repricing, balance sheet management initiatives and ECB tier-
ing as well as portfolio rebalancing actions. Cash Management revenues were slightly lower, as interest rate and currency
translation headwinds were partly offset by deposit repricing, ECB tiering and balance sheet management initiatives. Trade
Finance and Lending revenues were essentially flat year-on-year. Securities Services and Trust and Agency Services reve-
nues were significantly lower, mainly due to interest rate reductions in the U.S. and in Asia.
Commercial Banking net revenues of € 1.4 billion increased by 1% or 2% excluding a € 16 million loss on sale of Postbank
Systems AG compared to 2019, as interest rate headwinds were offset, mainly from deposit re-pricing.
Provision for credit losses was €366 million, up € 82 million year-on-year, mainly as a result of idiosyncratic events.
Non-interest expenses were € 4.2 billion, 13% lower compared to € 4.9 billion in the prior year, which included an impair-
ment of goodwill in the second quarter and higher restructuring charges. Adjusted costs ex-transformation charges of € 4.0
billion were down 2% year-on-year, reflecting non-compensation cost reduction initiatives, workforce reduction and the posi-
tive impact of currency translation effects.
2019
Profit before tax of the Corporate Bank was € 92 million for the full year 2019, compared to € 1.3 billion in the prior year. The
year-on-year decrease was driven by higher general and administrative expenses, including transformation charges, an im-
pairment of goodwill as well as higher restructuring costs. Adjusted for transformation charges, restructuring and severance
expenses, goodwill impairments and specific revenue items, profit before tax was € 894 million in 2019.
Net revenues for the full year 2019 were € 5.2 billion, 1% lower compared to the prior year.
Global Transaction Banking reported net revenues of € 3.8 billion in 2019, a decrease of € 98 million, or 3 %, compared to
€ 3.9 billion in the prior year. Cash Management revenues were essentially flat as the negative impact from a lower interest
20
Deutsche Bank
Annual Report 2020
Operating and financial review
Results of operations
rate environment was largely compensated by the positive effects from a shift in the currency mix of deposits from Euro to
higher-yielding US dollar deposits as well as the implementation of ECB tiering in the fourth quarter of 2019. Trade Finance
revenues increased slightly as growth in the flow business following a good performance specifically in Asia and Germany
offset a slowdown in structured products. Revenues in Trust & Agency Services slightly increased driven by higher net interest
revenues and commissions and fees. Securities Services revenues were significantly lower as a result of a change in business
perimeter following the disposal of the Alternative Funds Services business including a related gain on disposal in 2018, further
non-recurring items in 2018 and the exit of the Equities business in 2019.
Net revenues in Commercial Banking were € 1.4 billion, an increase of € 63 million or 5 % compared to the prior year driven
by a slightly higher net interest income following growth in loan volume and higher commission and fee income mainly as a
result of repricing measures. These effects more than offset the adverse impact of the low interest rate environment.
Provision for credit losses was € 284 million, an increase from € 142 million in 2018, a year with an exceptionally low level of
provisions by historical standards. The increase reflects the weakened macroeconomic environment and geopolitical uncer-
tainties with a small number of specific events and lower releases and recoveries.
Noninterest expenses in 2019 were € 4.9 billion, an increase of € 986 million or 25 % compared to € 3.9 billon in the prior
year, driven by the execution of the transformation strategy, which triggered an impairment of goodwill, higher restructuring
costs and transformation charges mainly related to IT impairments in 2019. Furthermore, costs were negatively impacted by
changes in internal cost allocations following the resegmentation in 2019.
Adjusted costs excluding transformation charges were € 4.1 billion, up 7 % year-on-year. The increase reflects higher spend
on controls and technology, as well as the aforementioned changes in allocation of costs of internal services.
Investment Bank
in € m.
(unless stated otherwise)
Net revenues
Fixed Income, Currency (FIC) Sales & Trading
Debt Origination
Equity Origination
Advisory
Origination & Advisory
Other
Total net revenues
Provision for credit losses
Noninterest expenses
Compensation and benefits
General and administrative expenses
Impairment of goodwill and other intangible assets
Restructuring activities
Total noninterest expenses
Noncontrolling interests
Profit (loss) before tax
Total assets (in € bn)1
Loans (gross of allowance for loan losses, in € bn)
Employees (full-time equivalent)
2020 increase (decrease)
from 2019
2019 increase (decrease)
from 2018
2020
2019
2018
in € m.
in %
in € m.
in %
7,088
1,542
379
277
2,198
(3)
9,283
688
1,906
3,493
0
14
5,413
11
3,171
574
69
4,258
5,525
1,119
149
370
1,638
(144)
7,019
109
1,983
4,237
0
169
6,389
20
502
502
75
4,351
5,644
1,146
197
458
1,801
117
7,561
70
2,175
4,134
0
199
6,509
24
958
458
65
4,623
1,563
423
231
(93)
560
142
2,265
579
(76)
(744)
0
(155)
(975)
(8)
2,669
72
(6)
(93)
28
38
155
(25)
34
(98)
32
N/M
(4)
(18)
N/M
(92)
(15)
(41)
N/M
14
(8)
(2)
(119)
(27)
(48)
(88)
(163)
(261)
(542)
38
(192)
103
0
(30)
(121)
(4)
(456)
43
10
(273)
(2)
(2)
(24)
(19)
(9)
N/M
(7)
54
(9)
2
N/M
(15)
(2)
(18)
(48)
9
16
(6)
N/M – Not meaningful
Prior year segmental information presented in the current structure
1 Segment assets represent consolidated view, i.e., the amounts do not include intersegment balances
2020
Profit before tax was € 3.2 billion in 2020, an increase of € 2.7 billion compared to the prior year. The increase was mainly
driven by significantly higher revenues, as well as lower general and administrative expenses and restructuring, partly offset
by significantly higher provisions for credit losses.
Net revenues were € 9.3 billion in 2020, an increase of € 2.3 billion or 32 % compared to 2019.
Revenues in FIC Sales & Trading were € 7.1 billion, an increase of € 1.6 billion or 28 %. Rates revenues were significantly
higher, with the business benefitting from the impact of strategic repositioning, in addition to strong client flows and market
conditions. Foreign Exchange revenues were significantly higher, driven by the increased market volatility, specifically in the
first half of the year and strength in derivatives. Revenues from Credit Trading were lower driven by the adverse credit market
conditions in the first quarter, though the business recovered well in the second half of the year. Revenues in Emerging
21
Deutsche Bank
Annual Report 2020
Operating and financial review
Results of operations
Markets were significantly higher, with all three regions up versus the prior year. Revenues in Financing were lower, with the
business also affected by the adverse credit market in the first quarter, in addition to lower revenues from sectors impacted
by the COVID-19 pandemic.
Origination and Advisory net revenues were € 2.2 billion, a € 560 million or 34 % increase compared to the prior year. Debt
Origination revenues were € 1.5 billion, significantly higher than the prior year driven principally by increased activity and
market share gains in Investment Grade Debt. Equity Origination revenues of € 379 million were also significantly higher,
reflecting a record industry fee pool and DB’s strength in the Special Purpose Acquisition Company market. Advisory revenues
of € 277 million were significantly lower in a reduced fee pool environment which was impacted by the COVID-19 pandemic.
Other revenues were negative € 3 million, compared to negative € 144 million in 2019. The year–on-year increase was mate-
rially driven by a small gain of € 6 million relating to the impact of DVA on certain derivative liabilities versus a loss of € 140
million in 2019.
Provision for credit losses was € 688 million or 89 basis points of average loans, an increase of € 579 million or 74 basis points
primarily driven by COVID-19 related impairments.
Noninterest expenses in 2020 were € 5.4 billion, a decrease of € 975 million or 15 % compared to the prior year, reflecting
lower adjusted costs, reduced restructuring and severance and lower litigation. Adjusted costs excluding transformation
charges decreased by 9 % driven by disciplined expense management and lower service cost allocations.
2019
Profit before tax was € 502 million in 2019, a decrease of € 456 million or 48 % compared to the prior year. The decrease was
mainly driven by lower revenues, higher provisions for credit losses as well as higher general and administrative expenses,
partly offset by lower compensation and benefits. The setup of the division during the second half of 2019 following Deutsche
Bank’s strategic transformation announcement created a short-term negative revenue impact and drove transformation
charges that impacted the full year profitability. Adjusted for transformation charges, restructuring and severance expenses
as well as specific revenue items, profit before tax in 2019 was € 929 million, compared to € 924 million in 2018.
Net revenues were € 7.0 billion in 2019, a decrease of € 543 million or 7 % compared to 2018.
Revenues in FIC Sales & Trading were € 5.5 billion, a decrease of € 119 million or 2 %. Rates revenues were slightly lower,
with the business impacted in the short term by the operational set up of the division. Foreign Exchange revenues were lower,
largely driven by the continued low market volatility. Credit revenues were higher driven by a strong performance in flow
trading and increased net interest income due to higher loan balances, partially offset by lower revenues in distressed debt.
Revenues in Emerging Markets were higher as a result of significantly improved performance in flow trading.
Origination and Advisory net revenues were € 1.6 billion, a € 163 million or 9 % decrease compared to the prior year. Debt
Origination revenues were € 1.1 billion, essentially flat compared to the prior year as higher revenues in both High Yield and
Investment Grade bonds were offset by a decline in leveraged loans. Advisory revenues of € 370 million were lower in a
reduced fee pool environment. Equity Origination revenues of € 149 million were significantly lower, reflecting our repositioned
franchise.
Other revenues were negative € 144 million, compared to a gain of € 117 million in 2018. The year–on-year decrease was
driven by a loss of € 140 million (2018: a gain of € 126 million) relating to the impact of DVA on certain derivative liabilities.
Provision for credit losses was € 109 million, an increase of € 38 million compared to the prior year, however, provisions
remained at 15 basis points of average loans, or relatively low levels, reflecting the bank’s strong underwriting standards and
risk management.
Noninterest expenses in 2019 were € 6.4 billion, a decrease of € 121 million or 2 % compared to the prior year, despite € 211
million of transformation charges. Adjusted costs excluding transformation charges decreased by 6 % driven by reduction in
front office employees and related compensation, lower service cost allocations and disciplined management of non-compen-
sation costs.
22
Deutsche Bank
Annual Report 2020
Operating and financial review
Results of operations
Private Bank
in € m.
(unless stated otherwise)
Net revenues:
Private Bank Germany
International Private Bank
IPB Personal Banking1
IPB Private Banking2 and Wealth Management
Total net revenues
Of which:
Net interest income
Commissions and fee income
Remaining income
Provision for credit losses
Noninterest expenses:
Compensation and benefits
General and administrative expenses
Impairment of goodwill and other intangible assets
Restructuring activities
Total noninterest expenses
Noncontrolling interests
Profit (loss) before tax
Total assets (in € bn)3
Loans (gross of allowance for loan losses, in € bn)
Assets under Management (in € bn)4
Net flows (in € bn)
Employees (full-time equivalent)
2020 increase (decrease)
from 2019
2019 increase (decrease)
from 2018
2020
2019
2018
in € m.
in %
in € m.
in %
4,992
3,134
830
2,304
8,126
4,475
3,048
603
711
2,884
4,242
0
413
7,539
0
(124)
297
237
493
16
29,945
5,070
3,137
869
2,267
8,206
4,804
2,865
537
344
2,990
4,481
545
126
8,142
(0)
(279)
270
227
482
4
31,599
5,320
3,200
888
2,312
8,520
4,905
2,788
827
349
3,059
4,448
0
49
7,556
(0)
616
270
216
446
(2)
32,437
(78)
(3)
(39)
37
(80)
(329)
183
66
367
(106)
(240)
(545)
287
(603)
1
155
26
10
11
12
(1,654)
(2)
(0)
(5)
2
(1)
(7)
6
12
107
(4)
(5)
N/M
N/M
(7)
N/M
(56)
10
5
2
N/M
(5)
(251)
(64)
(19)
(44)
(314)
(101)
77
(290)
(5)
(69)
34
545
76
586
(0)
(895)
0
11
36
7
(838)
(5)
(2)
(2)
(2)
(4)
(2)
3
(35)
(2)
(2)
1
N/M
155
8
N/M
N/M
0
5
8
N/M
(3)
N/M – Not meaningful
Prior year segmental information presented in the current structure
1 Including small businesses in Italy, Spain and India.
2 Including small & mid caps in Italy, Spain and India.
3 Segment assets represent consolidated view, i.e., the amounts do not include intersegment balances.
4 We define assets under management as (a) assets we hold on behalf of customers for investment purposes and/or (b) client assets that are managed by us. We manage
assets under management on a discretionary or advisory basis, or these assets are deposited with us. Deposits are considered assets under management if they serve in-
vestment purposes. In the Private Bank Germany, IPB Personal Banking and IPB Private Banking, this includes time deposits and savings deposits. In IPB Wealth Manage-
ment, it is assumed that all customer deposits are held with us primarily for investment purposes.
2020
In 2020, the Private Bank continued the implementation of its strategic agenda. Results were impacted by transformation-
related effects of € 642 million including € 520 million restructuring and severance expenses as well as € 122 million transfor-
mation charges, which were the main reason for a reported pre-tax loss of € 124 million in 2020. Adjusted for these transfor-
mation-related effects and for specific revenue items as mentioned in the Non-GAAP Financial Measures section of this report,
profit before tax was € 493 million in 2020 compared to adjusted profit before tax of € 507 million in the prior year. Higher
provision for credit losses and higher litigation charges were largely offset by cost reductions.
Net revenues of € 8.1 billion in 2020 declined by € 80 million, or 1 %, compared to 2019, mainly reflecting lower positive
contributions from specific revenue items which included in 2020 a negative impact of € 88 million euros related to the sale of
Postbank Systems AG. Excluding specific revenue items, revenues remained at prior year level as growth in volumes and
higher commission and fee income compensated headwinds from the low interest rate environment and the COVID-19 pan-
demic.
In the Private Bank Germany, net revenues of € 5.0 billion declined by € 78 million, or 2 %, year-on-year. Revenues excluding
the impact related to Postbank Systems AG were stable compared to 2019. Ongoing headwinds from lower interest rates and
COVID-19 were offset by growth in loan revenues and higher commission and fee income from investment products, insurance
products and from repricing measures.
Net revenues in the International Private Bank (IPB) of € 3.1 billion remained essentially flat compared to the prior year. IPB’s
client segment Private Banking and Wealth Management achieved net revenues of € 2.3 billion in 2020, an increase of € 37
million, or 2 %, compared to 2019. Headwinds from lower interest rates and COVID-19 and negative impacts from foreign
currency translation were more than offset by business growth in investment products and lending reflecting benefits from
previous hiring. Net revenues in the Personal Banking client segment declined by € 39 million, or 5 %, to € 830 million in 2020.
The decline was mainly due to negative impacts from deposit margin compression and COVID-19.
Provision for credit losses amounted to € 711 million in 2020 compared to € 344 million in 2019. The increase was mainly due
to negative impacts from the COVID-19 pandemic as well as higher benefits in 2019 from portfolio sales and model refine-
ments. Furthermore the increase was also related to the growth in the loan business.
23
Deutsche Bank
Annual Report 2020
Operating and financial review
Results of operations
Noninterest expenses of € 7.5 billion declined by € 603 million, or 7 %, compared to 2019. The positive year-on-year impact
from the non-recurrence of a goodwill impairment of € 545 million in 2019 was largely offset by € 296 million higher transfor-
mation-related effects driven by higher restructuring and severance expenses reflecting initiatives related to the execution of
the strategic agenda as well as € 104 million higher litigation charges.
Adjusted costs excluding transformation charges of € 6.8 billion reduced by € 459 million, or 6 %, compared to 2019. The
decline was mainly attributable to cost reduction initiatives and synergies from efficiency measures including workforce reduc-
tions. PB’s internal workforce declined to below 30,000 at year end 2020.
Assets under Management of € 493 billion increased by € 11 billion compared to December 31, 2019. The increase was
mainly attributable to € 16 billion net inflows and € 6 billion market appreciation, in part offset by a € 9 billion negative impact
from foreign exchange rate movements. Net inflows of € 16 billion during 2020 were almost entirely in investment products.
2019
In 2019, Private Bank reported a loss before tax of € 279 million, compared to a profit before tax of € 616 million in 2018. The
decrease was attributable to lower gains from asset sales as well as an aggregate impact of approximately € 900 million
related to the execution of the transformation strategy in 2019. This included an impairment of € 545 million for the full write-
down of Wealth Management‘s goodwill, transformation charges of € 190 million, comprised mainly of software and real estate
impairments as well as restructuring and severance costs. Adjusted for these charges as well as specific revenue items, profit
before tax improved, despite ongoing headwinds from the low interest rate environment, from € 360 million in 2018 to € 507
million in 2019, supported by volume growth in loans and assets under management as well as incremental cost synergies
related to the merger of the German businesses completed in 2018.
Net revenues were € 8.2 billion in 2019 a decrease of € 314 million, or 4 %, compared to 2018 driven by the absence of a €
156 million gain from a property sale in 2018 and lower positive impacts from workout activities in Sal. Oppenheim. Excluding
these items, revenues remained essentially flat compared to 2018 as growth in volumes and fee income partly compensated
the headwinds from the low interest rate environment.
Net revenues in the Private Bank Germany of € 5.1 billion declined by € 251 million, or 5 %, year-on-year mainly following
lower asset sale gains including a € 156 million gain from a property sale in 2018. The ongoing headwinds from the low interest
rate environment were partly offset by growth in loan revenues. Lower revenues from postal services subsequent to a contract
alignment were more than offset by higher revenues from investment products as well as higher fee income from current
accounts reflecting repricing measures.
In the International Private Bank (IPB), net revenues of € 3.1 billion declined by € 64 million, or 2 %, compared to 2018 driven
by a € 107 million lower impact from workout activities related to legacy positions in Sal. Oppenheim. Net revenues in IPB
Private Banking and Wealth Management of € 2.3 billion declined by € 44 million, or 2 %, driven by the aforementioned lower
impact from net revenues relating to Sal. Oppenheim workout activities. Excluding this effect, net revenues remained essen-
tially flat compared to the prior year period. Higher loan revenues as well as higher fee income following higher assets under
management compensated the negative impact from the ongoing low interest rate environment on deposits. Net revenues in
IPB Personal Banking of € 869 million declined by € 19 million, or 2 %. Higher loan revenues compensated the negative
impact from the ongoing low interest rate environment. Revenue growth in investment products and repricing measures related
to current accounts largely offset the negative impact of a change in the treatment of loan fees in Italy and the non-recurrence
of benefits from smaller asset sales.
Provision for credit losses of € 344 million, or 15 basis points of loans, remained essentially flat compared to 2018 reflecting
the conservative nature of our portfolios, strong underwriting standards and also a positive impact from portfolio sales and
model refinements. These positive impacts offset the increase in provision for credit losses in line with the growth in our loan
businesses.
Noninterest expenses were € 8.1 billion, an increase of € 586 million, or 8 %, compared to 2018. The increase included the
aforementioned aggregated impact of approximately € 900 million related to the impairment of goodwill, transformation related
charges as well as restructuring and severance expenses.
Adjusted costs excluding transformation charges were € 7.3 billion, a decrease of 3 % compared to 2018, reflecting strict cost
discipline as well as executed reorganization measures including incremental cost synergies related to the merger of the
German businesses.
Assets under Management of € 482 billion increased by € 36 billion compared to December 31, 2018. The increase was
mainly attributable to € 31 billion of market appreciation, € 4 billion net inflows and € 2 billion of foreign exchange rate move-
ments. Net inflows of € 4 billion during 2019 were primarily in investment products.
24
Deutsche Bank
Annual Report 2020
Operating and financial review
Results of operations
Asset Management
in € m.
(unless stated otherwise)
Net revenues
Management Fees
Performance and transaction fees
Other
Total net revenues
Provision for credit losses
Noninterest expenses
Compensation and benefits
General and administrative expenses
Impairment of goodwill and other intangible assets
Restructuring activities
Total noninterest expenses
Noncontrolling interests
Profit (loss) before tax
Total assets (in € bn)1
Assets under Management (in € bn)
Net flows (in € bn)
Employees (full-time equivalent)
2020 increase (decrease)
from 2019
2019 increase (decrease)
from 2018
2020
2019
2018
in € m.
in %
in € m.
in %
2,136
90
3
2,229
2
740
764
0
22
1,527
157
544
9
793
30
3,926
2,141
201
(10)
2,332
1
832
851
0
29
1,711
152
468
10
768
25
3,925
2,115
91
(19)
2,187
(1)
787
929
0
19
1,735
85
368
10
664
(23)
4,022
(5)
(111)
13
(103)
1
(92)
(87)
0
(6)
(185)
5
76
(0)
25
5
1
(0)
(55)
N/M
(4)
59
(11)
(10)
N/M
(22)
(11)
4
16
(5)
3
N/M
0
26
111
9
146
2
45
(78)
0
10
(23)
68
99
(0)
103
48
(97)
1
122
(48)
7
N/M
6
(8)
N/M
51
(1)
80
27
(1)
16
N/M
(2)
N/M – Not meaningful
Prior year segmental information presented in the current structure
1 Segment assets represent consolidated view, i.e., the amounts do not include intersegment balances.
2020
In 2020 the market conditions were impacted by the global COVID-19 pandemic. All major equity indices traded at significantly
lower levels in the second quarter, with a recovery in most markets by year end, and with the U.S. dollar depreciating against
the Euro. Overall net flows were positive combined with a growth in Assets under Management.
In 2020 AM reported a profit before tax of € 544 million, an increase of € 76 million or 16 % compared to € 468 million in the
prior year, primarily driven by lower expenses. Adjusted for transformation charges as well as restructuring and severance
expenses, profit before tax was € 586 million in 2020 compared to € 539 million in 2019.
Net revenues were € 2.2 billion, a decrease of € 103 million or 4 % compared to the prior year.
Management fees were € 2.1 billion in 2020, essentially flat compared to the prior year as effects from the positive market
performance and growth in Passive were partly offset by declining management fee margins.
Performance and transaction fees of € 90 million in 2020 were significantly lower by € 111 million or 55 % compared to the
full year 2019, predominantly due a non-recurring Alternatives and a Multi Asset performance fee recognized in 2019.
Other revenues were € 3 million compared to negative € 10 million in 2019 with both years negatively impacted by the fair
value of guaranteed products, combined with lower investment income, higher contribution from investment in Harvest Fund
Management Co Limited and lower treasury funding charges in 2020.
Noninterest expenses were € 1.5 billion, a decrease of € 185 million, or 11 % compared to the prior year, driven by a decline
in variable compensation, and efficiency initiatives combined with pandemic related savings such as travel and entertainment
and marketing costs. Noninterest expenses were also lower as the prior year included transformation charges relating to a
real estate impairment.
Adjusted costs excluding transformation charges were € 1.5 billion in 2020, a decrease of € 159 million, or 10 % compared to
€ 1.6 billion in 2019 as lower compensation expenses were supported by lower non-compensation costs.
Assets under Management were € 793 billion, an increase of € 25 billion, or 3 %, versus December 31, 2019. The increase
was driven by € 30 billion net inflows and € 24 billion related to favorable market development, mainly coming from the second
half of 2020, partly offset by negative € 26 billion foreign exchange effects. The net inflows were primarily driven by Passive
and Cash, and further supported by Alternatives. ESG dedicated funds continued to attract strong net inflows.
The following table provides the development of Assets under Management during 2020, broken down by product type as well
as the respective management fee margins:
25
Deutsche Bank
Annual Report 2020
Operating and financial review
Results of operations
in € bn.
Balance as of December 31, 2019
Inflows
Outflows
Net Flows
FX impact
Performance
Other
Balance as of December 31, 2020
Management fee margin (in bps)
Active
Equity
Active
Fixed
Income
Active
Multi
Asset
96
21
(19)
2
(2)
3
(1)
97
72
234
47
(54)
(7)
(9)
7
(6)
220
13
58
16
(18)
(2)
(0)
1
1
59
34
Active
SQI
71
19
(22)
(3)
(0)
1
1
69
28
Active
Cash
57
503
(483)
20
(4)
0
2
75
4
Passive
Alternatives
156
85
(68)
17
(7)
13
0
179
19
Assets under
Management
768
703
(673)
30
(26)
24
(3)
793
28
96
12
(8)
4
(3)
(2)
(1)
93
50
2019
In 2019 the market conditions were less volatile compared to 2018, helping to improve investor risk appetite. All major equity
indices traded at higher levels in 2019 and the U.S. dollar appreciated against the Euro. Overall market conditions were more
favorable compared to 2018, with positive effects on net inflows and significant growth in Assets under Management.
In 2019 AM reported a profit before tax of € 468 million, an increase of € 99 million or 27 % compared to € 368 million in the
prior year, primarily driven by significantly higher performance fees. Adjusted for transformation charges as well as restructur-
ing and severance expenses, profit before tax was € 539 million in 2019 compared to € 413 million in 2018.
Net revenues were € 2.3 billion, an increase of € 146 million or 7 % compared to the prior year.
Management fees were € 2.1 billion in 2019, essentially flat compared to the prior year as effects from the positive market
performance and growth in Passive and Alternatives were partly offset by declining management fee margins.
Performance and transaction fees of € 201 million in 2019 significantly increased by € 111 million or 122 % compared to the
full year 2018, mainly driven by a non-recurring Alternatives and a Multi Asset performance fee recognized in 2019.
Other revenues were € 10 million negative compared to negative € 19 million in 2018 with both years impacted by the fair
value of guarantees for the guaranteed products.
Noninterest expenses were € 1.7 billion, a decrease of € 23 million, or 1 % compared to the prior year. General and adminis-
trative expenses were lower driven by a significant decline in professional service fees, marketing cost and the absence of
litigation expenses relating to a sold legacy business, partially offset by transformation charges relating to a real estate im-
pairment. Compensation and benefits were higher mainly driven by performance related compensation.
Adjusted costs excluding transformation charges were € 1.6 billion in 2019, a slight decrease of € 13 million, or 1 % compared
to € 1.7 billion in 2018 as higher compensation expenses were offset by savings in professional service fees and marketing
expenses.
Assets under Management were € 768 billion, an increase of € 103 billion, or 16 %, versus December 31, 2018. The increase
was driven by € 74 billion related to favorable market development, € 25 billion net inflows and € 7 billion resulting from positive
foreign exchange effects. The net inflows were primarily in the targeted growth areas of Passive, Alternatives and Multi Asset
products. The development in Assets under Management was also impacted by the outperformance of flagship funds and
targeted strategies, an increase in the number of funds rated 4 or 5 stars by Morningstar and product innovations.
The following table provides the development of Assets under Management during 2019, broken down by product type as well
as the respective management fee margins:
in € bn.
Balance as of December 31, 2018
Inflows
Outflows
Net Flows
FX impact
Performance
Other
Balance as of December 31, 2019
Management fee margin (in bps)
Active
Equity
Active
Fixed
Income
Active
Multi
Asset
77
15
(17)
(2)
0
20
(1)
96
76
227
58
(66)
(8)
3
13
(1)
234
12
46
16
(9)
7
0
5
(0)
58
35
Active
SQI
63
20
(18)
2
0
8
(2)
71
27
Active
Cash
58
447
(449)
(2)
1
1
(0)
57
4
Passive
Alternatives
Assets under
Management
664
642
(617)
25
7
74
(3)
768
30
81
20
(11)
9
1
4
1
96
54
112
65
(46)
19
1
23
1
156
22
26
Deutsche Bank
Annual Report 2020
Operating and financial review
Results of operations
Capital Release Unit
in € m.
(unless stated otherwise)
Net revenues
Provision for credit losses
Noninterest expenses
Compensation and benefits
General and administrative expenses
Impairment of goodwill and other intangible assets
Restructuring activities
Total noninterest expenses
Noncontrolling interests
Profit (loss) before tax
Total assets (in € bn)1
Employees (full-time equivalent)
2020 increase (decrease)
from 2019
2019 increase (decrease)
from 2018
2020
(225)
29
2019
217
(14)
2018
1,911
(36)
in € m.
(442)
43
in %
N/M
N/M
in € m.
(1,694)
22
168
1,774
0
5
1,947
(0)
(2,201)
198
482
359
2,898
0
143
3,400
1
(3,170)
259
621
547
2,742
0
62
3,351
1
(1,404)
370
1,540
(191)
(1,124)
0
(139)
(1,453)
(1)
970
(62)
(139)
(53)
(39)
N/M
(97)
(43)
N/M
(31)
(24)
(22)
(188)
156
0
81
49
1
(1,766)
(111)
(919)
in %
(89)
(61)
(34)
6
N/M
131
1
136
126
(30)
(60)
N/M – Not meaningful
Prior year segmental information presented in the current structure
1 Segment assets represent consolidated view, i.e., the amounts do not include intersegment balances
2020
CRU incurred a loss before tax of € 2.2 billion in 2020, compared to a loss before tax of € 3.2 billion in 2019. This improvement
versus the prior year was mainly driven by lower general and administrative expenses, lower compensation and benefits,
lower restructuring costs that more than offset the loss of revenues from the exit of the equities trading business.
Net revenues were negative € 225 million, a decrease of € 442 million compared to 2019. Negative revenues in 2020 represent
a full year of executing the strategy and were driven by de-risking, funding and hedging costs, partly offset by Prime Finance
cost recovery. The prior year included six months of operating revenue before the CRU formation.
Provision for credit losses were € 29 million, compared to a release of € 14 million in 2019. While the net release in 2019 was
dominated by a small number of specific events across several portfolios, 2020 saw additional provisions driven by the legacy
shipping portfolio.
Noninterest expenses were € 1.9 billion, a reduction of € 1.5 billion or 43 % compared to the prior year. Consistent with our
strategy, 2020 saw significantly lower restructuring costs of € 5 million compared to € 143 million incurred in the prior year.
Similarly, CRU incurred significantly lower transformation costs, with € 162 million incurred in 2020, compared to transfor-
mation charges of € 510 million in 2019, mainly related to impairments of software.
Adjusted costs excluding transformation charges were € 1.7 billion, a decrease of € 861 million, or 33 % compared to 2019
following lower compensation and benefits costs across both fixed and variable compensation and reduced non-compensation
costs mainly driven by lower professional fees as well as communication and data services.
Leverage exposure was € 72 billion, € 8 billion ahead of the euro year-end target of € 80 billion. This represents a full-year
reduction of 43% versus € 127 billion at the end of 2019.
Risk weighted assets (RWAs) were € 34 billion at the end of 2020, € 4 billion below the year-end target of € 38 billion. This
represents a full year reduction of € 11 billion, of which € 10 billion from Credit and Market Risk or a 48 % reduction from the
prior year period.
2019
CRU incurred a loss before tax of € 3.2 billion in 2019, compared to a loss before tax of € 1.4 billion in 2018. However,
management actions enabled the division to significantly reduce risk-weighted assets and leverage exposure in line with the
strategy. The increase in loss over the prior year was mainly driven by lower revenues, higher restructuring costs and higher
general and administrative expenses partly offset by lower compensation and benefits and provision for credit losses.
Net revenues were € 208 million, a decrease of € 1.7 billion or 89 % compared to 2018. Revenues were impacted by the
decision in the third quarter to exit Equity trading, the closing of the transaction in the first half of 2019 to sell the retail banking
business in Portugal and costs associated with de-risking of assets. Revenues in Prime Finance were significantly lower
compared to the prior year reflecting lower average balances during the year and reduced margins. Revenues included a loss
of € 116 million from specific items relating to model parameter updates and DVA.
Provision for credit losses was a € 14 million release in 2019 compared to a release of € 36 million in the prior year. While the
net release in 2018 was mainly driven by sales activities in our retail and shipping business, 2019 was dominated by a small
number of specific events across several portfolios.
27
Deutsche Bank
Annual Report 2020
Operating and financial review
Results of operations
Noninterest expenses were € 3.4 billion, an increase of € 49 million or 1 % compared to the prior year. 2019 included restruc-
turing expenses of € 143 million, an increase of € 81 million compared to the prior year and transformation charges of € 510
million, mainly related to impairments of software.
Adjusted costs excluding transformation charges were € 2.6 billion, a decrease of € 725 million, or 22 % compared to the prior
year following lower compensation and benefits costs across both fixed and variable compensation and reduced non-com-
pensation costs mainly driven by lower professional fees as well as communication and data services.
Leverage exposure was € 127 billion at the end of 2019, € 13 billion ahead of the 2019 target. This represents a full-year
reduction of 55% versus € 281 billion at the end of 2018.
Risk weighted assets (RWAs) were € 46 billion at the end of 2019, € 6 billion below the year-end target of € 52 billion, and
down by 36% versus € 72 billion at the end of 2018.
Corporate & Other (C&O)
in € m.
(unless stated otherwise)
Net revenues
Provision for credit losses
Noninterest expenses
Compensation and benefits
General and administrative expenses
Impairment of goodwill and other intangible assets
Restructuring activities
Total noninterest expenses
Noncontrolling interests
Profit (loss) before tax
Employees (full-time equivalent)
N/M – not meaningful
Prior year segmental information presented in the current structure
2020 increase (decrease)
from 2019
2019 increase (decrease)
from 2018
2020
(530)
(3)
2019
147
0
2018
(142)
1
in € m.
(678)
(4)
in %
N/M
N/M
in € m.
289
(0)
3,709
(3,140)
0
3
572
(169)
(930)
4,183
(3,754)
0
(1)
428
(109)
(461)
38,680 39,389 41,463
3,906
(3,380)
0
40
566
(173)
(247)
(197)
240
0
(38)
6
3
(684)
(709)
(5)
(7)
N/M
(93)
1
(2)
N/M
(2)
(277)
374
0
41
138
(64)
215
(2,074)
in %
N/M
(84)
(7)
(10)
N/M
N/M
32
58
(47)
(5)
2020
C&O reported a loss before tax of € 930 million in 2020 compared to a loss before tax of € 247 million in 2019, a loss increase
of € 684 million, mainly driven by a negative contribution from valuation and timing differences in 2020 after a positive contri-
bution in the prior year.
Net revenues were negative € 530 million in 2020, compared to € 147 million in 2019. Revenues related to valuation and
timing differences were negative € 85 million in 2020, compared to € 573 million in 2019. This was driven by the negative
mark-to-market impact of hedging activities in connection with the bank’s funding arrangements, against the backdrop of
tightening spreads on Deutsche Bank funding issuances leading to lower funding costs. Net revenues relating to funding and
liquidity were negative € 235 million in 2020, versus negative € 204 million in 2019.
Noninterest expenses were € 572 million in 2020, an increase of € 6 million, or 1 %, compared to 2019. 2020 noninterest
expenses included € 168 million higher than planned infrastructure expenses which are retained in C&O, compared to € 65
million lower than planned infrastructure expenses in 2019 as well as transformation charges primarily reflecting the bank’s
accelerated rationalization of its real estate footprint. Litigation expenses amounted to a credit of € 67 million in 2020, reflecting
a net provision release, compared to expenses of € 238 million in 2019. Expenses associated with shareholder activities as
defined in the OECD Transfer Pricing guidelines not allocated to the business divisions were € 403 million in 2020, down 15
% compared to 2019. In 2019 positive effects were recognized from the release of legacy balances.
Noncontrolling interests are deducted from the profit before tax of the divisions and reversed in C&O. These amounted to €
169 million in 2020, compared to € 173 million in 2019, mainly related to DWS.
2019
C&O reported a loss before tax of € 247 million in 2019 compared to a loss before tax of € 461 million in 2018, a decrease of
47 %, mainly driven by higher positive effects from valuation and timing differences and by higher reversals of noncontrolling
interests, mainly related to DWS, deducted from profit before tax of the divisions in 2019.
Net revenues were € 147 million in 2019, compared to negative € 142 million in 2018. Revenues related to valuation and
timing differences were € 573 million in 2019, compared to € 107 million in 2018 driven by the positive mark-to-market impact
of hedging activities in connection with the bank’s funding arrangements. Net revenues relating to funding and liquidity were
negative € 204 million in 2019, down from negative € 87 million in 2019 mainly due to the implementation of a new internal
28
Deutsche Bank
Annual Report 2020
Operating and financial review
Results of operations
Funds Transfer Pricing framework in the third quarter of 2019. Costs related to the introduction of the new framework are held
in C&O while the new framework is phased in.
Noninterest expenses were € 566 million in 2019, an increase of € 138 million, or 32 %, compared to 2018, mainly driven by
litigation expenses of € 238 million in 2019, compared to € 52 million in 2018. Expenses associated with shareholder activities
as defined in the OECD Transfer Pricing guidelines not allocated to the business divisions increased from € 422 million in
2018 to € 476 million in 2019. In addition, positive effects from the release of legacy balances were also recognized in the
third quarter of 2019 in noninterest expenses.
Noncontrolling interests are deducted from the profit before tax of the divisions and reversed in C&O. The increase from € 109
million reversed noncontrolling interests in 2018 to € 173 million in 2019 was mainly related to higher profits in DWS.
29
Deutsche Bank
Annual Report 2020
Operating and financial review
Financial position
Financial position
Assets
in € m.
(unless stated otherwise)
Cash, central bank and interbank balances
Central bank funds sold, securities purchased under resale agreements and
securities borrowed
Financial assets at fair value through profit or loss
Of which: Trading assets
Of which: Positive market values from derivative financial instruments
Of which: Non-trading financial assets mandatory at fair value through profit
and loss
Financial assets at fair value through other comprehensive income
Loans at amortized cost
Remaining assets
Of which: Brokerage and securities related receivables
Total assets
Dec 31, 2020
Dec 31, 2019
175,339
147,228
8,533
527,941
107,929
343,455
14,229
530,713
110,875
332,931
76,121
55,834
426,995
130,617
74,564
1,325,259
86,901
45,503
429,841
130,161
63,401
1,297,674
Absolute
Change
28,111
(5,696)
(2,772)
(2,946)
10,524
(10,779)
10,331
(2,846)
457
11,163
27,585
Change
in %
19
(40)
(1)
(3)
3
(12)
23
(1)
0
18
2
Liabilities and Equity
in € m.
(unless stated otherwise)
Deposits
Central bank funds purchased, securities sold under repurchase
agreements and securities loaned
Financial liabilities at fair value through profit or loss
Of which: Trading liabilities
Of which: Negative market values from derivative financial instruments
Of which: Financial liabilities designated at fair value through profit or loss
Other short-term borrowings
Long-term debt
Remaining liabilities
Of which: Brokerage and securities related payables
Total liabilities
Total equity
Total liabilities and equity
Dec 31, 2020
Dec 31, 2019
568,031
572,208
Absolute
Change
(4,177)
Change
in %
(1)
4,241
419,199
44,316
327,775
46,582
3,553
149,163
118,876
79,810
1,263,063
62,196
1,325,259
3,374
404,448
37,065
316,506
50,332
5,218
136,473
113,795
71,287
1,235,515
62,160
1,297,674
867
14,751
7,250
11,269
(3,750)
(1,665)
12,690
5,082
8,524
27,548
37
27,585
26
4
20
4
(7)
(32)
9
4
12
2
0
2
Movements in assets and liabilities
As of December 31, 2020, the total balance sheet of € 1.3 trillion slightly increased by € 27.6 billion (or 2.1 %) compared to
year-end 2019.
Key drivers for the overall movement were increases in cash, central bank and interbank balances by € 28.1 billion, primarily
driven by funds received from the third TLTRO refinancing program of the ECB recognized in long-term debt, the sale of
selected hold-to-collect assets and a decrease in securities purchased under resale agreements and securities borrowed.
Brokerage and securities related receivables increased by € 11.2 billion, largely by an increase in cash margin receivables of
€ 9.6 billion resulting primarily from higher derivative positions. This increase in remaining assets was largely offset by a de-
crease of € 10.7 billion from the sale of hold-to-collect assets. Brokerage and securities related payables similarly increased
by € 8.5 billion primarily from cash margin payables as a result of higher derivative positions, contributing to the overall in-
crease of € 5.1 billion in remaining liabilities.
Positive and negative market values of derivative financial instruments increased by € 10.5 billion and € 11.3 billion, respec-
tively, primarily in foreign exchange products in the U.S.
Financial assets at fair value through other comprehensive income increased by € 10.3 billion, mainly driven by sovereign
bond purchases as part of managing our strategic liquidity reserve.
Central bank funds sold, securities purchased under resale agreements and securities borrowed measured at amortized costs
and under non-trading financial assets mandatory at fair value through profit and loss decreased by € 13.8 billion, driven by
managed reductions in the wake of unfavourable market conditions as well as matured trades. Corresponding liabilities de-
creased by € 1.3 billion.
30
Deutsche Bank
Annual Report 2020
Operating and financial review
Financial position
Trading liabilities increased by € 7.3 billion, mainly attributable to support market making activities in cash and derivative
products. Trading assets decreased by € 2.9 billion, primarily driven from the wind-down of positions in the Capital Release
Unit.
Deposits decreased by € 4.2 billion, primarily driven by a reduction in Corporate Bank deposits reflecting our targeted initia-
tives to pro-actively manage liabilities, partially offset by a modest increase in Private Bank sight deposits.
Loans at amortized cost decreased by € 2.8 billion, primarily driven by foreign exchange movements, partially offset by loan
growth in Germany.
The overall movement of the balance sheet included a decrease of € 47.6 billion due to foreign exchange rate movements,
mainly driven by a weakening of the U.S. Dollar against the Euro. The effects from foreign exchange rate movements are
embedded in the movement of the balance sheet line items discussed in this section.
Liquidity
Liquidity reserves amounted to € 243 billion as of December 31, 2020 (compared to € 222 billion as of December 31, 2019).
We maintained a positive liquidity stress result as of December 31, 2020 (under the combined scenario).
Equity
Total equity as of December 31, 2020, was up by € 37 million compared to December 31, 2019. This change was driven by a
number of factors which altogether had an offsetting effect, including the issuance of new additional equity components (Ad-
ditional Tier 1 securities, treated as equity according to IFRS) of € 1.2 billion on February 11, 2020, the net income attributable
to Deutsche Bank shareholders of € 495 million, unrealized net gains of financial assets at fair value through other compre-
hensive income of € 233 million, as well as remeasurement gains related to defined benefit plans of € 223 million, net of tax.
These factors were almost offset by a negative impact from foreign currency translation of € 1.7 billion, net of tax, mainly
resulting from the weakening of the U.S. dollar against the Euro and coupons paid on additional equity components of
€ 349 million..
Own funds
Our CRR/CRD Common Equity Tier 1 (CET 1) capital as of December 31, 2020 increased by € 0.6 billion to € 44.7 billion,
compared to € 44.1 billion as of December 31, 2019. The CRR/CRD Risk-weighted assets (RWA) increased by € 4.9 billion to €
329.0 billion as of December 31, 2020, compared to € 324.0 billion as of December 31, 2019. Due to the increased CRR/CRD
CET 1 capital and CRR/CRD RWA, the CRR/CRD CET 1 capital ratio as of December 31, 2020 remains unchanged at 13.6%
compared to December 31, 2019.
Our CRR/CRD Tier 1 capital as of December 31, 2020 amounted to € 51.5 billion, consisting of a CRR/CRD CET 1 capital of €
44.7 billion and CRR/CRD Additional Tier 1 (AT1) capital of € 6.8 billion. The CRR/CRD Tier 1 capital was € 1.0 billion higher
than at the end of December 31, 2019, driven by an increase in CRR/CRD CET 1 capital of € 0.6 billion and an increase in
CRR/CRD AT1 capital of € 0.5 billion since year end 2019. The CRR/CRD Tier 1 capital ratio as of December 31, 2020 increased
to 15.7% compared to 15.6% as of December 31, 2019.
Our CRR/CRD Total Regulatory capital as of December 31, 2020 amounted to € 58.5 billion compared to € 56.5 billion at the end
of December 31, 2019. The CRR/CRD Total capital increase was driven by an increase in CRR/CRD Tier 1 capital of € 1.0 billion
and an increase in CRR/CRD Tier 2 capital of € 1.0 billion since year end 2019. The CRR/CRD Total capital ratio as of December
31, 2020 increased to 17.8% compared to 17.4% as of December 31, 2019.
31
Deutsche Bank
Annual Report 2020
Operating and financial review
Liquidity and capital resources
Liquidity and capital resources
For a detailed discussion of our liquidity risk management, see our Risk Report.
Credit ratings
Deutsche Bank is rated by Moody’s Deutschland GmbH (“Moody’s”), S&P Global Ratings UK Limited (“S&P”), Fitch Ratings
– a branch of Fitch Ratings Ireland Limited (“Fitch”), and DBRS Ratings GmbH. (“DBRS Morningstar”, together with Moody’s,
S&P and Fitch, the “Rating Agencies”).
Moody’s, Fitch and DBRS are established in the European Union and have been registered in accordance with Regulation
(EC) No 1060/2009 of the European Parliament and of the Council of September 16, 2009, as amended, on credit rating
agencies (“CRA Regulation”). With respect to S&P, the credit ratings are endorsed by S&P’s office in Ireland (S&P Global
Ratings Europe Limited) in accordance with Article 4(3) of the CRA Regulation.
Credit Ratings Development
The rating agencies recognize the constant execution progress the bank has made towards its targets over the course of
2020, specifically the improvement in profitability and contained credit loss provisions, despite the challenging macro-eco-
nomic environment. This was reflected in the latest outlook upgrades by S&P, Moody’s and Fitch.
On 26th February 2021, S&P raised its outlook on Deutsche Bank to positive from negative highlighting the bank’s improved
resilience and disciplined execution of its transformation strategy with 85 % of the transformation now completed. The Agency
also raised its ratings on Deutsche Bank's Additional Tier 1 securities by one notch to BB- from B+. In April 2020, S&P had
revised Deutsche Bank’s outlook to negative from stable on deepening COVID-19 risks.
On 25th January 2021, Fitch raised its outlook on Deutsche Bank’s ratings to positive from negative highlighting the progress
on transformation as the key driver for this two-step improvement. Overall, the impact of the pandemic on the bank’s financial
performance and strategy has been manageable so far. Better than expected revenue momentum in the core businesses
offset interest rate headwinds and elevated credit provisions.
This rating action followed a series of actions by Fitch earlier in the year. On 28th May 2020, the agency affirmed Deutsche
Bank’s ratings and changed the outlook to negative, resolving its Credit Watch Negative assignment from 27th March 2020.
On 12th October 2020 Fitch upgraded Deutsche Bank’s Additional Tier 1 securities to BB- from B+ reflecting the banks im-
proved capitalization and buffers above regulatory requirements.
On 3rd November 2020, Moody’s affirmed its ratings of Deutsche Bank and changed its outlook to stable from negative.
Effective execution and steady underlying progress towards its medium-term targets have helped Deutsche Bank improve
earnings stability, reduce capital and leverage exposure consumption as well as its reliance on wholesale funding.
All Agencies will closely monitor further progress made towards the bank’s 2022 targets, with a focus on prudent risk man-
agement, strong asset quality and further improvements in profitability. In the short-term, the Agencies continue to see exe-
cution challenges..
Potential Impacts of Ratings Downgrades
Deutsche Bank calculates both the contractual and hypothetical potential impact of a one-notch and two-notch downgrade by
the rating agencies (Moody’s, Standard & Poor’s and Fitch) on its liquidity position, and includes this impact in its daily liquidity
stress test and Liquidity Coverage Ratio calculations. The LCR and liquidity stress test results by scenario are disclosed
separately.
In terms of contractual obligations, the hypothetical impact on derivative liquidity stress outflows of a one-notch downgrade
across the three Rating Agencies Moody’s, Standard & Poor’s and Fitch amounts to approximately € 0.4 billion, mainly driven
by increased contractual derivatives funding and/or margin requirements. The hypothetical impact of a two-notch downgrade
amounts to approximately € 0.4 billion, mainly driven by increased contractual derivatives funding and/or margin requirements.
The above analysis assumes a simultaneous downgrade by the three rating agencies Moody’s, Standard & Poor’s and Fitch
that would consequently reduce Deutsche Bank’s funding capacity in the stated amounts. This specific contractual analysis
feeds into the bank’s idiosyncratic liquidity stress test scenario.
32
Deutsche Bank
Annual Report 2020
Operating and financial review
Liquidity and capital resources
The actual impact of a downgrade to Deutsche Bank is unpredictable and may differ from potential funding and liquidity impacts
described above.
Selected rating categories
Senior preferred/
Deposits¹
Senior
non-preferred²
Counterparty
Risk
A3
–
BBB+ (dcr)
A (high)
Short-term rating
P-2
A-2
F2
R-1 (low)
Moody’s Investors Service, New York
Standard & Poor’s, New York
Fitch Ratings, New York
DBRS, Toronto
1 Defined as senior unsecured bank rating at Moody‘s, senior unsecured debt at Standard & Poor’s, senior preferred debt rating at Fitch and senior debt rating at DBRS. All
Baa3
BBB-
BBB
BBB (high)
A3
BBB+
BBB+
A (low)
agencies provide separate ratings for deposits and ‘senior preferred’ debt, but at the same rating level.
2 Defined as junior senior debt rating at Moody's, as senior subordinated debt at Standard & Poor’s and as senior non-preferred debt at Fitch and DBRS.
Each rating reflects the view of the rating agency only at the time the rating was issued, and each rating should be separately
evaluated and the rating agencies should be consulted for any explanations of the significance of their ratings. The rating
agencies can change their ratings at any time if they believe that circumstances so warrant. The long-term credit ratings should
not be viewed as recommendations to buy, hold or sell Deutsche Bank’s securities.
Tabular disclosure of contractual obligations
Cash payment requirements outstanding as of December 31, 2020.
Contractual obligations
in € m.
Long-term debt obligations¹
Trust preferred securities1,2
Long-term financial liabilities designated at fair value
through profit or loss3
Future cash outflows not reflected in the measure-
ment of Lease liabilities4
Lease liabilities1
Purchase obligations
Long-term deposits¹
Other long-term liabilities
Total
Total
159,425
1,345
3,501
5,971
4,566
4,209
24,018
1,279
204,313
1 Includes interest payments.
2 Contractual payment date or first call date.
3 Long-term debt and long-term deposits designated at fair value through profit or loss.
4 For further detail please refer to Note 22 “Leases”.
Less than 1 year
1–3 years
3–5 years
61,783
1,345
367
50
699
500
0
419
65,163
36,206
0
727
330
902
1,825
8,585
117
48,692
Payment due
by period
30,366
0
More than 5 years
31,070
0
1,090
461
902
899
5,223
202
39,141
1,316
5,130
2,064
985
10,210
541
51,316
Purchase obligations for goods and services include future payments for, among other things, information technology services
and facility management. Some figures above for purchase obligations represent minimum contractual payments and actual
future payments may be higher. Long-term deposits exclude contracts with a remaining maturity of less than one year. Under
certain conditions future payments for some long-term financial liabilities designated at fair value through profit or loss may
occur earlier. See the following notes to the consolidated financial statements for further information: Note 5 “Net Interest
Income and Net Gains (Losses) on Financial Assets/Liabilities at Fair Value through Profit or Loss”, Note 22 “Leases”, Note 26
“Deposits” and Note 30 “Long-Term Debt and Trust Preferred Securities”.
33
Deutsche Bank
Annual Report 2020
Outlook
The Global Economy
Outlook
The Global Economy
The Global Economy Outlook
2021²
2020
Economic growth (in %)¹
Global Economy
GDP
Inflation
Of which:
Industrialized countries
GDP
Inflation
Emerging markets
GDP
Inflation
Eurozone Economy
GDP
Inflation
Of which: German econ-
omy
GDP
Inflation
U.S. Economy
GDP
Inflation
Japanese Economy
GDP
Inflation
Asian Economy³
GDP
Inflation
6.3
2.9
5.0
1.6
7.1
3.7
5.6
1.0
4.0
1.3
5.9
2.4
1.5
0.2
8.8
2.3
(3.3)
2.7
Main driver
In 2021, the course of the COVID-19 pandemic and the progress made with regards to vaccina-
tions will have a significant impact on the development of global economic activities. Since the
beginning of 2021, a number of economies have been facing a resurgence of the pandemic.
Highly effective and broadly available vaccines could drive economic recovery, as upgraded eco-
nomic growth expectations indicate. The pace of this recovery will vary significantly across coun-
tries depending on access to vaccines and available government support.
(5.1)
0.7
With expansive monetary policy, the central banks of industrialized countries continue to be very
supportive. As high immunization levels are not expected to be reached by the second half of
2021, additional fiscal support is expected to help limit the economic impact to households and
corporates from COVID-19 measures reinstated in the beginning of 2021. Industrial countries are
expected to benefit from robust global trade.
(2.1)
3.9
In emerging markets, vaccines are expected to become more widely available in the course of
2021. Economies with low economic activity levels and relatively high reliance on domestic de-
mand, as in most Latin American countries, are expected to particularly benefit. A gradual recov-
ery of the travel industry is expected to further support economic recovery, especially in Asia.
Global economic recovery will be an important driver for exchange rate developments in emerging
markets.
(6.8)
0.2
(5.0)
0.4
The start of the vaccination programs in Eurozone economies in 2021 is expected to support the
recovery of economic activity, which is expected to return to pre-COVID-19 levels by the end of
2021 due to the expected recovery of the global manufacturing cycle. The continuation of Eu-
rope's temporary stimulus measures depends in part on the pace of the economic recovery as
the EU Recovery Fund is not expected to disburse proceeds until the second half of 2021 and the
European Central Bank (ECB) not expected to revisit the monetary policy stance until the end of
the third quarter of 2021, six months before the scheduled expiry for the Pandemic Emergency
Purchase Program (PEPP) net purchases.
After an expected weak first quarter of 2021 following renewed COVID-19 containment measures,
German GDP growth is expected to pick up strongly over the course of the year. The pre-pan-
demic output level are expected to be reached in the second half of 2021. Exports are expected
to remain the main driver for the output, mainly due to recovery of global trade and declining
uncertainty in trade policy. In 2021, Germany will face political transition as both a federal election
and multiple state elections will take place during the year.
(3.5)
1.2
The new Biden administration is likely to deliver another tranche of fiscal support in 2021. A joint
infrastructure program and tax reform bill is expected to be passed late in the year. U.S. real GDP
is expected to return to its pre-pandemic level in the second half of 2021 and to converge towards
the pre-pandemic growth path by the end of 2021. A meaningful upgrade to growth and the labor
market is expected to pull forward a tapering of the Federal Reserve Bank’s Quantitative Easing
to the end of 2021.
(4.9)
0.0
Japan is expected to achieve a high level of vaccination only by the end of the first half of 2021,
given the limited supplies of COVID-19 vaccines. Inflation could be impacted by government pol-
icy and remain subdued. The government and the Bank of Japan (BoJ) have become more
aligned on coordinating policy, which may deepen further in 2021.
(1.0)
3.1
Positive news on COVID-19 vaccines have improved growth prospects for Asian economies.
China and South Korea may reach high immunization levels and thus a full normalization of eco-
nomic activity before the fourth quarter of 2021. Most Asian emerging economies are expected to
follow a quarter or two later. Central banks will be in focus not so much for their rate setting, but
for their ability to backstop government bonds and offset appreciation pressure on Asian curren-
cies.
Positive economic momentum is expected to continue in the first half of 2021, supported by
stronger external demand. This will set the stage for fiscal and monetary policy exit by the second
half of the year. The People’s Bank of China (PBOC) policy objectives for 2021 have shifted to
more structural issues. The tightening of real estate lending is expected to send a strong policy
signal. Borrowing by local governments is likely to be constrained, which will slow infrastructure
investments.
Of which: Chinese Econ-
omy
GDP
Inflation
10.0
1.5
2.3
2.5
The outlook for the global economy and banking industry in the following chapter reflects our general expectations regarding future economic and industry developments. Eco-
nomic assumptions used in our models are laid out separately in the respective sections.
1 Annual Real GDP Growth (% YoY). Sources: National Authorities unless stated otherwise
2 Sources: Deutsche Bank Research
3 Including China, India, Indonesia, Republic of Korea and ex Japan
There are a number of risks to our global economic outlook. Ongoing challenges from COVID-19 and scope for further lock-
downs in 2021 could considerably dampen economic momentum. Growing government debt burdens could also impact the
broader Eurozone economy. Trade tensions including upcoming trade negotiations between the U.S. and the European Union
(EU) could negatively impact the global economic outlook. Additionally, rising geopolitical tensions, particularly in the Middle
East could create further uncertainty.
34
Deutsche Bank
Annual Report 2020
Outlook
The Deutsche Bank Group
The Banking Industry
The outlook for the global banking industry in 2021 will continue to be impacted by the COVID-19 pandemic and the onset of
an economic recovery. A number of trends which have dominated the banking business in 2020 could reverse. Overall, bank
profitability is expected to recover from the large declines seen in 2020 as declining loan loss provisions are expected to more
than offset the revenue headwinds.
Low interest rates are likely to continue to impact net interest income, with a greater impact in the U.S. given the more recent
declines in interest rates than in Europe where rates have been more stable at lower levels. Net interest income is also likely
to be negatively impacted by a slowdown in loan growth particularly in the corporate sector given companies’ strong liquidity
levels in both Europe and the U.S. In China, banks may benefit from the early containment of the pandemic and the more
advanced economic recovery.
Fee and commission income is expected to be impacted by a series of factors. Firstly, financing volumes may decrease, which
could impact capital markets actively. Secondly, stock market valuations could continue to rise due to ultra-loose monetary
policy, benefiting asset management fees. Finally, very low interest rates could also trigger an increase in M&A activity.
Provisions for credit losses are expected to decline from the high levels recorded in 2020. The pace of decline is likely to be
faster in the U.S. where provisions were built earlier in the crisis than in Europe where provisioning has been more gradual.
Where applicable, banks both in the U.S. and Europe are also expected to resume share buybacks and dividend payments,
respectively, which had been suspended by supervisors last year.
The United Kingdom (UK) has now left the European Union (EU) and the immediate future of their economic relationship is
governed by a trade agreement, which does not cover cross-border financial services. Such services will be governed by
either local regulatory requirements or ad-hoc agreements between regulatory bodies in the two jurisdictions. The Bank of
England and the UK Financial Conduct Authority (FCA) have signed a Memorandum of Understanding (MOU) with the Euro-
pean Securities and Markets Authority (ESMA) concerning the supervision of market infrastructure entities. Similar agree-
ments are expected to follow this year, particularly a MOU establishing a structured framework for regulatory cooperation and
the process for adoption, suspension and withdrawal of equivalence decisions. To date, only two time-limited equivalence
decisions have been made by the EU, which address UK central counterparties, expiring June 30, 2022, and UK central
securities depositories, expiring June 30, 2021.
European policymakers will be discussing changes to prudential and resolution regulation aimed at implementing the Final
Basel III package, with particular focus on risk models. The legislative proposal is expected to be issued during the first half
of 2021, with negotiation for the final package to take several years.
The Deutsche Bank Group
In July 2019, we announced a strategic transformation of Deutsche Bank to re-focus on delivering sustainable profitability and
improved returns for our shareholders. The macroeconomic, fiscal and regulatory environment has however changed since
as a result of the COVID-19 pandemic. This changed environment impacted and may further impact our results of operations,
capital ratios and the capital plan that underlies our targets.
Despite the challenges associated with the COVID-19 pandemic, we intend to continue executing our strategy in a disciplined
manner in 2021 and beyond, by focusing on improving sustainable profitability by growing revenues in our Core Bank while
remaining disciplined on costs and capital.
Our key performance indicators are shown in the table below:
Key Performance Indicators
Key Performance Indicators
Group Post-tax Return on Average Tangible Equity1
Core Bank Post-tax Return on Average Tangible Equity2
Adjusted costs3
Cost income ratio4
Common Equity Tier 1 capital ratio5
Leverage ratio (fully loaded)6
1 Based on Net Income attributable to Deutsche Bank shareholders. For further information, please refer to “Supplementary Information (Unaudited): Non-GAAP Financial
€ 19.5 bn
88.3 %
13.6 %
4.7 %
0.2 %
4.0 %
Dec 31, 2020
Target KPI
2022
8.0 %
Above 9.0 %
€ 16.7 bn
70.0 %
Above 12.5 %
~4.5 %
Measures” of this report.
35
Deutsche Bank
Annual Report 2020
Outlook
The Deutsche Bank Group
2 Based on Core Bank Net Income attributable to Deutsche Bank shareholders. For further information, please refer to “Supplementary Information (Unaudited): Non-GAAP
Financial Measures” of this report.
3 Adjusted costs excluding transformation charges and expenses eligible for reimbursement related to Prime Finance. For further information, please refer to “Supplementary
Information (Unaudited): Non-GAAP Financial Measures” of this report.
4 Noninterest expenses as a percentage of total net revenues, which are defined as net interest income before provision for credit losses plus noninterest income.
5 Further detail on the calculation of this ratio is provided in the Risk Report.
6 On September 17, 2020, ECB announced its decision to exercise its regulatory discretion declaring exceptional circumstances. This measure allows banks to exclude certain
eligible central bank balances from the leverage exposure. Banks will benefit from the relief measure until June 27, 2021, when CRR2 comes into force. Leverage Ratio ex-
cluding this effect was 4.3 % as at December 31, 2020.
We are focused on achieving our 2022 financial targets, principally the Post-tax Return on Average Tangible Shareholders’
Equity of 8 % for the Group and above 9 % for our Core Bank. In 2021, we intend to build on the progress made in 2020
including some targeted investments principally in our German IT integration.
In 2021, Group and Core Bank revenues are expected to be marginally lower compared to the prior year. In the Investment
Bank, we expect revenues to decline as industry volumes and volatility normalize from the elevated levels in 2020. Growth in
volumes and fee income in the Corporate Bank and Private Bank is expected to be offset by the ongoing interest rate head-
winds. In Asset Management, revenues are expected to be slightly higher as a result of performance and transaction fees as
well as lesser or positive impact from the fair value of guarantees.
We aim to further reduce adjusted costs excluding transformation charges and expenses eligible for reimbursement related
to Prime Finance in 2021. The decline is expected to result mainly from the run-rate impact of measures already in place as
well as execution of further reductions principally in our Infrastructure functions and Private Bank. We plan incremental invest-
ments of approximately € 300 million in 2021, principally in our German IT integration. We expect transformation-related effects
of approximately € 1 billion in 2021. Execution on our 2021 cost reduction measures and investment plans are consistent with
our updated € 16.7 billion adjusted costs excluding transformation charges target in 2022, revised from € 17 billion. Our
adjusted costs target for 2022 includes assumptions for contributions to the Single Resolution Fund (SRF) of approximately
€ 0.4 billion in 2022. Our SRF assumptions assume no change in the Single Resolution Board’s (SRB) original target fund
size of € 55 billion. An increase in the SRB’s overall target fund size would negatively impact our adjusted costs excluding
transformation charges target accordingly. These impacts apply equally if funds of the SRB were used in connection with
resolution measures or assets held by the SRF declined in value and must be replenished to reach the target level or if
assumptions for contributions to deposit guarantee schemes change.
We expect provisions for credit losses to be slightly lower in 2021 compared to the previous year but to remain elevated
compared to the pre-COVID-19 periods. For 2022, we expect provision for credit losses of between 25 to 30 basis points as
a percentage of average loans as the global economy recovers and provision levels normalize. Further detail on the calculation
of expected credit losses (ECL) is provided in the section ‘Risk Report’ in this report.
We expect our Common Equity Tier 1 ratio (CET 1 ratio) in 2021 to be negatively impacted by pending supervisory decisions
and rule changes leading to slightly increasing Risk-weighted assets (RWA) with a negative impact of approximately 80 basis
points on our CET 1 ratio. Otherwise, RWA are expected to be essentially flat with selective growth in our Core Bank and small
reduction from asset disposals and continued de-risking in the Capital Release Unit. Our Common Equity Tier 1 capital is
expected to remain essentially flat. The CET1 ratio is expected to remain above 12.5 % in 2021.
We expect an increase in our Leverage exposure in June 2021 as the temporary exclusion of certain Eurosystem central bank
balances expires. We expect Leverage exposure in the Capital Release Unit to benefit from the completion of the transfer of
our Prime Finance platform to BNP Paribas by year-end 2021. Leverage exposure reductions in the Capital Release Unit are
expected to support selective business deployment in our Core bank. As a result, Leverage exposure is expected to be higher
by year-end 2021 compared to year-end 2020. Our Tier 1 capital is expected to grow moderately. Consequently we expect
our Leverage ratio to be slightly lower by year-end 2021 compared to year-end 2020. We remain committed to our Leverage
ratio target of 4.5 % by year-end 2022.
Execution against our 2022 financial targets should position us to begin returning capital to shareholders through dividends
and share buybacks from 2022, in respect of the financial year 2021, subject to regulatory approvals. Our dividend payments
are subject to our ability to report sufficient levels of distributable profits under our standalone financial statements in accord-
ance with German accounting rules (HGB) for the respective fiscal year. While we announced that no dividend payment will
be proposed for the financial year 2020, we aim to free up capital for distribution from 2022 and expect to return € 5 billion
capital to shareholders over time.
By the nature of our business, we are involved in litigation, arbitration and regulatory proceedings and investigations in Ger-
many and in a number of jurisdictions outside Germany, especially in the U.S. Such matters are subject to many uncertainties.
While we have resolved a number of important legal matters and made progress on others, we expect the litigation and
enforcement environment to remain challenging. Net litigation charges in 2020 were lower than 2019 levels, to some extent
due to matters progressing at a slower pace than expected, which in part was the result of the COVID-19 pandemic. For 2021,
and with a caveat that forecasting litigation charges is subject to many uncertainties, we expect litigation charges, net, to
exceed the levels experienced in 2020.
36
Deutsche Bank
Annual Report 2020
Outlook
Our Business Segments
Adjusted costs, Adjusted costs excluding transformation charges, Adjusted costs excluding transformation charges and ex-
penses eligible for reimbursement related to Prime Finance, Post-tax Return on Average Tangible Equity as well as Leverage
ratio (fully loaded) are non-GAAP financial measures. Please refer to “Supplementary Information (Unaudited): Non-GAAP
Financial Measures” of this report for the definitions of such measures and reconciliations to the IFRS measures on which
they are based.
Our Business Segments
Corporate Bank
For Corporate Bank (CB), we expect the macro-economic environment in 2021 to remain challenging as a result of the COVID-
19 pandemic and continued interest rate headwinds as a result of the further deterioration of the interest rate environment in
the first quarter of 2020. However, the Corporate Bank has been able to largely mitigate these headwinds in 2020 and kept
revenues essentially flat by executing on its strategic objectives.
In 2021, we expect Corporate Bank revenues to be essentially flat compared to the prior year as our strategic growth initiatives
and benefits from the ECB’s TLTRO III program are expected to offset the impacts of COVID-19 pandemic and the challenging
interest rate environment. For Global Transaction Banking, we expect revenues in 2021 to stay essentially flat compared to
the prior year, with revenues in Cash Management essentially flat as the benefits of deposit repricing as well as fee income
growth from our payments-related projects are expected to offset negative effects of interest rate reductions in the U.S. and
Asia-Pacific in the first quarter of 2020. Trade Finance and Lending revenues are expected to be slightly higher reflecting
additional revenues from new lending, benefits from the ECB’s TLTRO III program and an expected recovery of global busi-
ness activity in the second half of the year. Securities Services revenues are expected to be slightly lower in 2021 driven by
the roll-off of specific client mandates and the absence of episodic items recorded in the prior year. Trust and Agency Services
revenues are expected to be essentially flat supported by business growth in both the corporate trust and depositary receipts
businesses, partially offset by negative effects of interest rate cuts in the U.S. and Asia-Pacific in the first quarter of 2020.
Commercial Banking revenues are expected to be essentially flat as repricing actions, lending initiatives, the widening of our
non-banking offering and benefits from the ECB’s TLTRO III program are expected to offset the headwinds of the negative
interest rate environment.
We expect provision for credit losses for the Corporate Bank in 2021 to be lower as a result of the absence of idiosyncratic
events in the prior year and the improved macroeconomic outlook.
Noninterest expenses for 2021 are expected to be slightly lower primarily reflecting lower levels of non-operating costs. Ad-
justed costs excluding transformation charges are expected to stay essentially flat reflecting continuous cost discipline across
direct expenses and internal service cost allocations. We plan to continue to focus on regulatory compliance, know-your-client
(KYC) and client on-boarding process enhancement, system stability and control and conduct.
For 2021, we expect risk-weighted assets in the Corporate Bank to be higher driven by internal model changes in alignment
with regulatory requirements, as well as growth of our lending activities.
Risks to our outlook include potential impacts on our business model from macroeconomic and global geopolitical uncertainty
including uncertainty around duration of and recovery from the COVID-19 pandemic. In addition, uncertainty around central
bank policies (e.g. the interest rate environment), ongoing regulatory developments (e.g. the finalization of the Basel III frame-
work), event risks and levels of client activity may also have an adverse impact.
Investment Bank
We expect IB revenues to be lower in 2021 compared to the prior year. Macroeconomic and market conditions for the Invest-
ment Bank (IB) continue to be uncertain in 2021. 2020 was a very strong year for the IB, driven by our refocused strategy and
client re-engagement driving sustainable increases in revenues, which we expect to continue in 2021. However, the division
also benefited from the increased volatility and client activity driven by the COVID-19 pandemic, which we do not expect to
recur this year.
We expect Sales and Trading (FIC) revenues to be lower in 2021 compared to 2020. Rates and Global Emerging Markets are
both expected to continue to build on the success their refocused businesses had in 2020, while our FX business is expected
to benefit from development in technology and enhanced partnership with the Corporate Bank (CB). In Credit Trading we will
look to develop the product suite further, with a focus upon a more targeted client set, while our Financing business will focus
on disciplined risk management and targeted resource deployment. However, we do not expect Sales and Trading (FIC) to
37
Deutsche Bank
Annual Report 2020
Outlook
Our Business Segments
benefit from the extreme COVID-19 related volatility seen in the first half of last year and as a result, impacting the year over
year comparison.
In Origination & Advisory, we expect revenues to be lower in 2021 compared to 2020. We expect our Debt Origination business
to build on the successes seen in 2020 in Investment Grade debt, while our Leveraged Loan business is expected to benefit
from a further reopening of the leveraged loan market. In Equity Origination we will continue to offer a full underwriting and
distribution capability and will look to maintain our strength in the Special Purpose Acquisition Company market. In Advisory,
investments will be focused upon coverage of growth sectors where the bank has a competitive advantage. However the
industry Origination & Advisory fee pool is expected to reduce in 2021 as the market returns to more normalized levels and
as a result, impacting the year over year comparison.
We expect provision for credit losses for the Investment Bank in 2021 to be lower than in the prior year, though still at elevated
levels, due to the ongoing impact of the COVID-19 pandemic.
Noninterest expenses in the Investment Bank in 2021 are expected to be broadly flat compared to the previous year. Adjusted
cost excluding transformation charges are also planned to be essentially flat. Reductions are expected from the full-year run-
rate impact of headcount actions in 2020 and lower non-compensation costs. However, this is expected to be offset by in-
creases to non-operating expenses which benefited from provision releases in 2020.
For 2021, we expect risk-weighted assets in the IB to be slightly higher, driven by Credit Risk RWA resulting from regulatory
inflation. The underlying business growth is expected to be broadly flat for the year.
There are several risks to our outlook in 2021, with the biggest likely to be the uncertainty caused by the ongoing COVID-19
pandemic. The relative success of the various vaccination roll outs across the globe could well have positive or adverse
impacts. Increasing levels of default risks, a continued Euro exchange rate appreciation and a soft U.S. dollar could also slow
economic recovery. Central bank policies and ongoing regulatory developments also pose risks, while challenges such as
event risks and levels of client activity may also have an adverse impact.
Private Bank
For the Private Bank (PB), we assume that the interest rate environment remains challenging and the COVID-19 pandemic is
expected to further impact the levels of our credit loss provisioning in 2021. At the same time, our plans assume a gradual
normalization of the market environment and client activity throughout 2021.
Net revenues in 2021 are expected to remain essentially flat compared to 2020 with continued headwinds from the low interest
rate environment offset by business growth and selected re-pricing measures.
Revenues for Private Bank Germany are expected to remain essentially flat compared to 2020. Continued headwinds from
deposit margin compression and a lower contribution from central treasury allocations are expected to be mitigated by contin-
ued growth in the loan businesses, higher fee income from investment and insurance products as well as by continued efforts
to implement pricing changes.
In the International Private Bank (IPB), we expect revenues to be essentially flat year over year with headwinds from the lower
interest rate environment and lower contribution from the workout of legacy positions in Sal. Oppenheim, expected to be
mitigated by continued business growth in investment and loan products and the benefits from targeted hiring with a focus on
the IPB Private Banking and Wealth Management customer segment.
We expect to continue to grow our new business volumes in a normalizing market environment. The development of overall
Assets under Management volumes will be highly dependent on market parameters including FX rates and we expect them
to be slightly higher compared to 2020 in a normalizing environment.
Provision for credit losses in the Private Bank are expected to be slightly higher in 2021 reflecting the continued uncertainty
around extent, duration and market spillover related to the COVID-19 pandemic as well as selected growth in our loan books.
This reflects also our expectation regarding our customers’ ability to pay after leaving legislative and non-legislative moratoria.
RWAs are expected to be higher in 2021 as a result of the implementation of regulatory changes to improve consistency of
internal risk models in the industry and the growth in our loan book.
Noninterest expenses in Private Bank are expected to be slightly lower in 2021 than in 2020, mainly due to lower transfor-
mation related impacts. Synergies from the execution of our transformation objectives are expected to increase further in 2021
and are expected to be offset in part by inflationary effects and continued targeted investments. As a result, we expect adjusted
costs excluding transformation charges to remain essentially flat in 2021.
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Deutsche Bank
Annual Report 2020
Outlook
Our Business Segments
Risks to our outlook include potential impacts on our business model from macroeconomic uncertainties, including uncertainty
around duration of and recovery from COVID-19 pandemic, increasing pressure on interest rates in the Eurozone, slower
economic growth in our major operating countries and lower client activity. Client activity could be impacted by market uncer-
tainties including higher than expected volatility in equity and credit markets. The implementation of regulatory requirements
including consumer protection measures and delays in the implementation of our strategic projects could also have a negative
impact on our revenues and costs.
Asset Management
We believe that due to its diverse range of investments and solutions, Asset Management (AM) is well positioned to grow
market share amid the industry growth trends, supported by our broad distribution reach, global footprint and digital capabili-
ties. However, wider industry challenges such as fee compression, rising costs of regulation, competitive dynamics and the
economic impact of the COVID-19 pandemic are likely to remain. In the face of these challenges, we intend to focus on
innovative and sustainable products and services where we can differentiate and best serve clients, while also maintaining a
disciplined cost approach.
Given the current economic climate, and the trends we have observed in recent quarters, we expect the revenue environment
to remain challenging in the year 2021 amid ongoing margin pressure together with the low interest rate environment.
As a result, full year 2021 revenues in AM are expected to be slightly higher compared to 2020. Management fees are assumed
to remain essentially flat year-over-year as we expect that positive effects resulting from both net inflows and favorable market
development during the second half of 2020 will be partly offset by continued fee compression. Performance and transaction
fees are expected to be slightly higher compared to 2020. Other revenues are expected to be significantly higher, mainly from
a projected improvement in the fair value of guarantees.
To ensure our business is well protected against potential revenue headwinds, we remain committed to actively managing
our costs in 2021 to maintain a relatively stable adjusted cost-income ratio. As a result we expect noninterest expenses and
adjusted costs excluding transformation charges to be slightly higher compared to 2020.
We expect Assets under Management at the end of 2021 to be slightly higher compared to the end of 2020, driven by net
flows. In 2021, we expect sustained net inflows into targeted growth areas of passive and alternative investments, further
enhanced by strategic alliances and product innovations, including further ESG offerings.
Risks to our outlook include macro-economic and market conditions, growth prospects and continued economic impact from
COVID-19 pandemic, which could adversely affect our business, results of operations or strategic plans. Elevated levels of
economic and political uncertainty worldwide, and protectionist and anti-trade policies, could have unpredictable conse-
quences in the economy, market volatility and investors’ confidence, which may lead to declines in business and could affect
our revenues and profits. In addition, the evolving regulatory framework could lead to unforeseen regulatory compliance costs
and possible delays in the implementation of our efficiency measures, which could adversely impact our cost base.
Capital Release Unit
In 2021, the Capital Release Unit (CRU) intends to continue to execute our defined asset reduction programs and the transition
of Deutsche Bank’s Prime Finance and Electronic Equities clients and staff, while continuing to align cost reductions to asset
disposals.
We expect that CRU will continue to report negative revenues in 2021. These will be driven by de-risking impacts, funding
costs, hedging costs and mark to market impacts and will be partially offset by positive revenues related to the reimbursement
of Prime Finance operating costs and a modest income from loan portfolios.
Noninterest expenses for 2021 are expected to be lower than in 2020. Adjusted costs excluding transformation charges are
expected to be lower driven by lower service cost allocations, lower non-compensation costs and lower compensation costs.
Further expense management initiatives in 2021 are focused on reduction of business-aligned infrastructure expenditure re-
sulting from exited businesses and locations, headcount reductions and reduction of non-compensation spend.
For 2021, we will continue to execute towards the RWA and Leverage Exposure targets laid out in the December 2020 Investor
Deep Dive. We expect RWA to be lower year over year and Leverage exposure to be significantly lower. However, we expect
CRU to see additional leverage exposure in the first half of 2021 due to incremental Central Liquidity Reserve allocations, as
we noted in the Investor Deep Dive and from the implementation of the Standardized Approach to Counterparty Credit Risk
(SA-CCR).
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Deutsche Bank
Annual Report 2020
Outlook
Our Business Segments
We plan to also continue with the transition of our Prime Finance and Electronic Equities staff, clients, and related positions.
We expect this transition to conclude by the end of 2021, resulting in lower costs, revenue, Leverage exposure and RWA.
Risks to our outlook include that the speed and cost of our asset reductions could be affected by adverse developments or
market uncertainties, including from COVID-19, higher than expected volatility in equity and credit markets and lack of coun-
terparty appetite. Delays to the implementation of our expense management initiatives could have an adverse impact on our
cost base. The transition of Prime Finance and Electronic Equities is dependent upon the readiness of the acquirer, which
therefore represents a risk to our client/staff transition timeline. We continue to carefully monitor the legal and regulatory
environment as it relates to the foreign currency denominated mortgage portfolio in Poland. Adverse judicial or regulatory
developments could have a negative impact on the portfolio.
Corporate & Other
In 2021, Corporate & Other will continue to be impacted by valuation and timing differences on positions that are economically
hedged but do not meet the accounting requirements for hedge accounting. It will also include infrastructure expenses asso-
ciated with shareholder activities as defined in the OECD Transfer Pricing Guidelines, which are not business specific. There
will be certain transitional costs held centrally in Corporate & Other relating to changes in our internal funds transfer pricing
(‘FTP’) framework, as well as costs linked to legacy activities relating to the merger of the DB Privat- und Firmenkundenbank
AG into Deutsche Bank AG. We expect to retain around € 250 million in total related to these funding costs in Corporate &
Other in 2021.
Additionally, Corporate & Other will continue to be impacted by any difference between planned and actual allocations as
Infrastructure expenses are allocated to the corporate divisions based on our expense plan, with the exception of technology
development costs which will be charged based on actual expenditures. Corporate & Other also includes the reversal of non-
controlling interests, mainly related to DWS, which are deducted from profit or loss before tax of the divisions.
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Deutsche Bank
Annual Report 2020
Risks and opportunities
Risks
Risks and opportunities
The following section focuses on future trends or events that may result in downside risk or upside potential from what we
have anticipated in our “Outlook”.
Our aspirations are subject to various external and internal factors. Timely and complete achievement of our strategic aspira-
tions may be adversely impacted by the reduced revenue-generating capacities of some of our core businesses in the current
challenging macro-economic and market environment, in particular in light of the COVID-19 pandemic, the ongoing headwinds
posed by regulatory reforms and/or the effects on us of legal and regulatory proceedings. Additionally, materialisation of risks,
whether individually or simultaneously, might (inter alia) lead to reduced profitability negatively affecting capital accretion and
dividend capacity. In contrast, improved macroeconomic and market conditions, our focussed business strategy and the on-
going benefits of digitalisation may generate opportunities for the Bank.
The COVID-19 pandemic has and can affect many different areas of the bank, both with respect to risks and opportunities,
driving significant levels of fluctuation in the results of our operations, strategic plans and targets, as well as our share price.
Risks
Macroeconomic and market conditions
If growth prospects, the interest rate environment and competition in the financial services industry worsen compared to our
expectations, this could adversely affect our business, results of operations or strategic plans.
Since early 2020 our macroeconomic business and operating environment has been dominated by the COVID-19 pandemic.
Following the severe GDP contractions observed across major advanced economies in 2020, we expect economic recovery
to unfold in the course of 2021 as COVID-19 vaccination becomes more available and additional fiscal stimulus is provided in
the United States (U.S.) and European Union (EU) economies in particular.
However, we continue to see significant downside risks in the short-term economic outlook from the protracted waves of
COVID-19 infections, the emergence of new, supposedly more infections COVID-19 strains, and resumed lockdown re-
strictions. The pandemic continues to create a climate of uncertainty which has significantly impacted economies and our
operations. Though most countries have approved vaccines for public use and begun vaccination programs, there remains
some uncertainty about their effectiveness on certain groups of the population, as well as doubt about the speed at which
vaccinations can be rolled out across populations, and this skepticism will likely continue for some time. Furthermore, with
respect to the phased delivery and availability of vaccines across the globe, the underlying recovery rate may vary from country
to country and therefore affect creditworthiness of counterparties and drive elevated default risk throughout the year. Addi-
tionally, new lockdown measures with types, durations, and intensities that are not fully predictable could outweigh any poten-
tial upside from the vaccines.
Due to the largely unprecedented nature of the COVID-19 crisis, forecast uncertainty will probably remain unusually high for
quite some time. As a bank, our working assumption remains that lagging effects of the recession caused by the COVID-19
pandemic will continue to unfold in 2021 and that the low interest rate environment in the Eurozone will persist for several
quarters at least.
During 2020, we observed a worsening of the creditworthiness of certain portfolios due to the deterioration of the overall
economic situation, which is also reflected in our increased level of loan loss provisions. If the situation continues to worsen,
it may lead to additional rating declines among our clients, further increasing loan losses as well as potential client drawdowns
of credit facilities (as observed earlier in 2020) which in turn would lead to an increase in capital requirements and liquidity
demands. Higher volatility in financial markets could lead to increased margin calls both inbound and outbound. The bank
regularly utilises collateralized loan obligations (CLO) and credit default swaps (CDS) to manage concentration risk. However
this may not be sufficient to fully offset potential credit losses.
Policy measures taken by central banks and governments are helping to mitigate some of the short-term impacts. Numerous
countries have introduced debt moratoria for private clients and small businesses, as well as supporting measures such as
state-backed credit programs for corporates. Additionally, several institutions have put private moratoria in place to support
their clients. Customers could apply for all of these moratoria during a given application phase while the measure, depending
on the respective moratoria, could run over a longer time period (mostly up to three or six months, sometimes even longer).
In some countries, like Germany, the private and state moratoria have expired. Other countries, like Italy, have extended their
state moratoria for small and medium-sized enterprises and corporates until June 2021.
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Deutsche Bank
Annual Report 2020
Risks and opportunities
Risks
While we currently observe no material adverse impact from the expired moratoria, withdrawal of support measures coupled
with a significant increase in corporate and sovereign debt levels as a result of the crisis is likely to mean that defaults and
credit losses will remain elevated over the course of 2021 with an ongoing dispersion both between and within sectors. The
bank will continue to monitor relevant portfolios with regards to the upcoming expiry of the remaining moratoria and signs of
credit deterioration.
The COVID-19 pandemic has intensified the “lower for longer” interest rate environment. This has resulted in further pressure
on bank interest margins and a prolonged period of low interest rates in the Eurozone could materially affect our profitability
and balance sheet deployment. While our revenues are particularly sensitive to interest rates, given the size of our loan and
deposit books denominated in Euros, the low interest rate environment can also impact other balance sheet positions which
are accounted at fair value. Interest rates remain negative for certain risk-free instruments, especially German government
bonds.
The low interest rate environment has also supported elevated market valuations across risk assets as investors search for
yield, with the technology sector in particular focus. In recent weeks this has included concerted action from retail investors
resulting in a short squeeze across selected assets. These trends raises the risk of a significant price correction which may
potentially be triggered by delays to vaccine rollout, lower vaccine efficacy and / or an increase in interest rates. Risks are
amplified by high debt levels, a lack of liquidity in some areas of the market and an easing of global underwriting standards.
Adverse market conditions, unfavourable prices and volatility including material movements in foreign exchange rates (and
resulting translation effects) as well as cautious investor and client sentiment may in the future materially and adversely affect
our revenues and profits as well as the timely and complete achievement of our strategic aspirations and targets.
If the COVID-19 vaccine roll-out continues, and boosted by massive monetary and fiscal policy support, the expected eco-
nomic recovery and reflation is subject to significant upside over the medium term. This could in turn lead consumer price and
asset price inflation in major advanced economies to accelerate substantially faster than anticipated. Whilst this could create
some upside potential for our business activity levels and net interest income, a disorderly sharp increase in bond yields could
trigger a downward correction to equities and other highly valued risk asset markets. While it is likely that central banks would
act to contain market volatility, potential increases in short-term interest rates and rapid curtailment of quantitative easing
programs could lead to the materialisation of a number of risks, such as the widening of credit spreads, which could impact
trading results. In addition, we could see increased counterparty credit exposure on derivatives, increased credit risks on
highly leveraged clients and emerging markets with external imbalances as well as inflation risk on pension fund assets.
With the new US administration, the risk of escalatory global trade and technology disputes may have declined, but trade,
technology and broader geopolitical tensions between key trading partners (especially between the U.S. and China), are likely
to persist and the tariffs and other punitive measures put in place by the Trump administration may only slowly be reversed.
This could continue to undermine global growth and trade volumes. Supply-chain disruptions could lead to a slowdown in
global production, with Germany and emerging markets (China in particular) being hit especially hard, potentially leading to
declines in business levels and losses across our businesses.
A substantial proportion of the assets and liabilities on our balance sheet comprise financial instruments that we carry at fair
value. As a result of such changes, we have incurred losses in the past, and may incur further losses in the future. We are
exposed to risks related to movements from foreign exchange rates, most notably related to the USD and GBP.
Similarly, liquidity risk could arise from lower value and marketability of assets, as these would affect the amount of proceeds
available for covering cash outflows during a stress event. Additional haircuts may be incurred on top of any already impaired
asset values. Moreover, securities might lose their eligibility as collateral necessary for accessing central bank facilities, as
well as their value in the repo/wholesale funding market. As such, a debt crisis would directly affect the bank’s liquidity position.
The aforementioned external developments can impact our revenue generating capabilities, while market declines and vola-
tility could also negatively impact the value of financial instruments and cause us to incur losses.
We are exposed to pension risks which can materially impact the measurement of our pension obligations, including interest
rate, inflation and longevity risks that can materially impact our earnings.
If multiple key downside risks simultaneously materialize and/or occur in combination with a more pronounced economic
slowdown, the negative impact on our business environment could be more severe than currently expected.
Political risks
We currently see several political and geopolitical risks and events which could negatively affect our business environment,
including weaker economic activity, financial market corrections or a lower interest rate level.
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Deutsche Bank
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Risks and opportunities
Risks
In case of a potentially severe escalation, political risks stemming for instance from the deep divide in US society observed
around the Presidential elections or from the populist movements in major European Union member states could have unpre-
dictable consequences for the financial system and the economy more broadly, potentially leading to declines in business
levels, write-downs of assets and losses across our businesses. We currently see only low probabilities of severe escalation
of these political risks, however our ability to protect ourselves against these risks is limited.
The COVID-19 pandemic has so far not resulted in any further political fragmentation in the Eurozone with ample central bank
liquidity provisions, the availability of EU financial support and the agreement of the € 750 billion Recovery Fund supporting
the medium-term economic outlook of countries hit hardest by the pandemic through the disbursement of grants and loans.
The Recovery Fund will also help to mitigate against the risk of upward pressure on government bond yields in those countries.
Brexit uncertainty and associated economic downside risks have declined as the UK and the EU agreed on a Trade and
Cooperation Agreement shortly before the UK left the EU’s single market and customs union at the end of the transition period
on December 31, 2020. However, significant uncertainty remains as negotiations between the UK and the EU on their future
relationship will continue in 2021, especially with regard to financial and other services not extensively covered by the existing
deal. A no-deal Brexit has been the base scenario for our dedicated Brexit program to ensure readiness in the event a no-
deal Brexit were to materialize. This would have included utilizing well-established Crisis Management procedures. Although
a Brexit trade deal has been agreed, uncertainty still remains while the details of the deal are being assessed, including
aspects for Financial Services. We have applied for authorization from the Prudential Regulation Authority and Financial Con-
duct Authority, our UK regulators, to continue to undertake regulated activity in the UK (previously undertaken pursuant to the
European Passport provisions) in case of a no-deal outcome. Despite our Brexit preparations, failure to gain authorization as
a Third Country Branch in 2021 could adversely affect our business, results of operations or strategic plans. Also, without
equivalence between EU and UK regimes for Financial Services we will be restricted in our ability to provide financial services
to and from the UK.
Tensions between the United States and China have continued to increase across a wide range of areas, including the au-
tonomy of Hong Kong, human rights, cybersecurity, and other areas. The United States has imposed sanctions, export re-
strictions, and investment restrictions on Chinese companies and officials, and China has imposed more limited sanctions on
U.S. companies and officials and introduced a framework for blocking regulations aimed at extraterritorial enforcement of
sanctions. While it is too early for us to predict the impacts of these escalating measures on our business or our financial
targets, these could be material and adverse.
Other geopolitical risks which could negatively impact our business environment include tensions in the South China Sea and
between the US and China over Taiwan as well as the potential for escalation in the Middle East over Iran’s nuclear program
following recent steps towards higher uranium enrichment levels.
Following the U.S. presidential transition Congressional enquiries seeking us to produce information may intensify and could
result in a negative impact on Deutsche Bank’s reputation.
Strategy
Preserving a CET 1 ratio above 12.5 % is a key element of our strategy and our commitments to regulators. Our capital ratio
development reflects, among other things: the operating performance of our core businesses; the extent of our restructuring
and transformation costs; costs relating to potential litigation and regulatory enforcement actions; the progress we make in
deleveraging the Capital Release Unit; growth in the balance sheet usage of the core businesses; changes in our tax and
pension accounts; impacts on Other Comprehensive Income; and changes in regulation and regulatory technical standards.
We may also have difficulties selling businesses or assets at favourable prices or at all and may experience material losses
from these assets and other investments irrespective of market developments.
With the announcement of a series of measures to restructure our operations on July 7, 2019, including the creation of the
Capital Release Unit, we face transformation risks associated with the disposal and wind down of assets as well as the delivery
of the cost reduction program aimed at improving long-term profitability and returns. Following the announcement, additional
controls and processes have been established and a dedicated governance structure, including the appointment of a Chief
Transformation Officer to the Management Board, are now in place to capture and track risks arising from the transformation
process. Although we are currently fully on track to achieve our targets and execute our strategy, we could still face material
and adverse impacts on our business activities, including material losses if we fail to appropriately identify risks or implement
additional controls as required.
Moreover, if we miss our publicly communicated targets, incur losses, including further impairments and provisions, experience
low profitability or an erosion of our capital base and broader financial condition, our results of operations and share price may
be materially and adversely affected. Where such targets reflect also commitments to regulators, missing them may also
trigger action from such regulators.
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Deutsche Bank
Annual Report 2020
Risks and opportunities
Risks
The Group enters into contracts and letters of intent in connection with its transformation strategy as well as in the ordinary
course of business. When these are preliminary in nature or conditional, the Group is exposed to the risk that they do not
result in execution of the final agreement or consummation of the proposed arrangement, putting associated benefits with
such agreements at risk.
The operating environment could worsen significantly or our assumptions and controls over any of the aforementioned items
could vary significantly from our current expectations. The COVID-19 pandemic and its continuing impact on the global econ-
omy may affect our ability to meet our financial targets. We continually plan and adapt to the changing situation but continue
to run the risk that we may be materially adversely affected by a protracted downturn in local, regional or global economic
conditions that are harming specific sectors of various economies and in turn could impact our core businesses. In that situa-
tion, we would need to take action to ensure we meet our minimum capital objectives. These actions or measures may result
in adverse effects on our business, results of operations or strategic plans and targets.
The COVID-19 pandemic reduced the rate of regular employee attrition by around 30% versus historical levels, creating a
more challenging context to the Group headcount and cost targets and increasing the cost of involuntary severance arrange-
ments. This also limited the opportunity to redeploy talented employees within the bank whose roles were made redundant.
Requests from regulators to demonstrate moderation in the levels of compensation that we can offer may put the Group at a
disadvantage in attracting and retaining talented employees.
All of the above could have a material impact on our CET 1 ratio. It is therefore possible that we will fall below our CET 1 target
of at least 12.5 % in upcoming periods.
Liquidity and funding risks
Our liquidity, business activities and profitability may be adversely affected by an inability to access wholesale funding markets
or funds from our subsidiaries or to sell assets during periods of market-wide or firm-specific liquidity constraints. Issues such
as these could arise due to circumstances unrelated to our businesses and therefore outside our control, such as disruptions
in the financial markets. Alternatively, circumstances specific to us could adversely impact our business such as reluctance of
our counterparties or the market to finance our operations due to perceptions about potential outflows resulting from litigation
or regulatory proceedings or actual or perceived weaknesses in our businesses, business model or strategy or resilience to
counter negative economic and market conditions.
The liquidity position may be impacted by Deutsche Bank-specific negative press coverage and increase the franchise risk
faced by the organization. Deterioration of our brand perception may lead to reduced funding contributions as clients seek to
move their deposits elsewhere. This situation could be exacerbated where we have unmitigated exposure to concentration
risk due to a lack of funding diversification, particularly where funding sources are a flight risk during periods of stress.
Wider financial market issues could lead to customers requiring liquidity when supply is limited. Clients may be forced to draw
down on facilities to meet working capital requirements. This situation may arise in a financial stress or an economic recession
event where there is an acute shortage of liquidity.
Our credit spread levels are sensitive to adverse rating actions and any future downgrade could bring our non-preferred credit
rating into the non-investment grade category. This could materially and adversely affect our funding costs, the willingness of
customers to continue to do business with us and significant aspects of our business model. Moreover, under some contracts
to which we are a party, a downgrade could require us to post additional collateral, lead to terminations of contracts with
accompanying payment obligations for us or give counterparties additional remedies, all of which would lead to liquidity out-
flows. Additional, intraday funding risks may arise to the extent that any of these outflows coincide with timing mismatches
between incoming receipts of cash and outgoing payment obligations, including any payments made to Financial Market
Utilities to ensure timely execution of Deutsche Bank’s intraday clearing and settlement activities.
Our ability to transact FX trades may be reduced when there are issues in the FX market or where counterparties are con-
cerned about our ability to fulfil agreed transaction terms and therefore seek to limit their exposure to us. Additionally, increased
FX mismatch may lead to increased collateral outflows where the euro (our local currency) materially depreciates against
other major currencies.
The Net Stable Funding Ratio (NSFR) will become a regulatory requirement for Deutsche Bank Group, including the parent
entity Deutsche Bank AG as of June 28 2021. NSFR shall apply to other subsidiaries across the group subject to local regu-
latory requirements. Upon the introduction of the ratio as a binding minimum requirement, we expect both the Group and its
subsidiaries for which it applies to be above the regulatory minimum.
While our Liquidity Coverage Ratio remained above the regulatory minimum during 2020, the risk of future waves of COVID-
19 and a deeper and more protracted economic recession may put pressure on liquidity metrics in 2021 and lead to liquidity
44
Deutsche Bank
Annual Report 2020
Risks and opportunities
Risks
and funding outflows. At the same time, this may temporarily impact our cost of funding and therefore adversely affect our
profitability.
Regulatory supervisory reforms, assessments and proceedings
Although regulatory reforms have been selectively delayed in order to support banks’ efforts to more easily manage the im-
pacts from COVID-19 and provide financing to the real economy, the regulatory reforms enacted and proposed in response
to weaknesses identified during the last financial crisis together with the increased regulatory scrutiny and discretion – for
example, extensive new regulations governing our derivatives activities, compensation, bank levies, deposit protection includ-
ing in the event that a compensation case is ascertained, data protection or a possible financial transaction tax – will impose
material costs on us, create significant uncertainty and may adversely affect our business plans as well as our ability to execute
our strategic plans in the medium-term. Those changes that require us to make significant contributions to resolution funds
and deposit guarantee schemes, to maintain increased capital may significantly affect our business model, financial condition
and results of operation as well as the competitive environment generally. The amounts of these requirements are difficult and
often impossible to predict. Two future changes which will impact our business are the implementation of Final Basel III reforms
and Brexit. Implementation of both changes are however still heavily debated in all key jurisdictions by policymakers. We
currently expect our capital requirements to increase in 2024 from the implementation of Final Basel III in the EU, in particular
from higher risk weights for our exposure in most risk areas. We expect a further increase in risk-weights for our exposures
from 2028/2029 from the introduction of the new output floor included in Final Basel III. Regulatory reforms in respect of
resolvability or resolution measures may also impact our business operations. In addition, regulatory changes may impact
how key entities are funded which could affect how businesses operate and negatively impact results. Regulatory actions may
also require us to change our business model or result in some business activities becoming unviable.
Regulators can also impose capital surcharges or regulatory adjustments, for example, as a result of the regular Supervisory
Review and Evaluation Process (SREP). Such adjustments may, for example, reflect additional risks posed by deficiencies in
our control environment, or come as a result of supervisory inspections concerning the treatment of specific products or trans-
actions. This includes conclusions the ECB draws from regulatory stress tests conducted by the EBA or the ECB. The ECB
evaluates each bank’s performance from a qualitative angle to inform the decision on the level of Pillar 2 Requirement and a
quantitative outcome which is one aspect when assessing the level of Pillar 2 Guidance. The European Central Bank (ECB)
has already used these powers in its SREP decisions in the past and it may continue to do so to address findings from onsite
inspections. In extreme cases, they can even suspend certain activities or our permission to operate within their jurisdictions
and impose monetary fines for failures to comply with rules applicable to us. As the ECB did not issue any new SREP decision
in 2020, the 2019 SREP decision continues to apply.
Action has been taken by regulators in Europe and in other regions to provide targeted and temporary flexibility from elements
of the prudential framework to avoid unintended pro-cyclical effects. For instance at the European level, changes made to the
Leverage Ratio include, allowing the netting of pending settlements payables and receivables and the temporary exclusion of
cash held in Eurozone central banks. In addition, a limited and temporary off-set for market risk Risk Weighted Assets (RWA)
increases was introduced, where excesses relative to modelled outcomes would previously have given rise to increased cap-
ital requirements, without any off-set.
Furthermore, implementing enhanced controls may result in higher regulatory compliance costs that could offset or exceed
efficiency gains. Regulators may disagree with our interpretation of specific regulatory requirements when interpretative mat-
ters are discussed as part of our ongoing regulatory dialogue or in the context of supervisory exams. An example of unantici-
pated increase of control could be the risk that local regulators require a major DB legal entity to ring-fence liquidity held locally
and, in turn, limit the redeployment of liquidity to other affiliates. Changes in rule interpretations can have a material impact on
the treatment of positions for Pillar 1 regulatory purposes. Similarly, the evolving interpretations of the European Banking
Authority (EBA) on the Capital Requirements Regulation (CRR) can also negatively impact our regulatory capital, leverage or
liquidity ratios.
Regulators and central banks have set the goal of improving the robustness of financial benchmarks, especially interest rate
benchmarks. As a result of this initiative, the ongoing availability of the London Interbank Offered Rate (“LIBOR”), and other
benchmarks (together “IBORs”) is uncertain. Some reforms are already effective (such as the recent Central Counterparties
(CCP) switch to Secured Overnight Financing Rate (SOFR) discounting from Fed Funds) while others are still to be imple-
mented or are under consideration. For example, the administrator of LIBOR consulted, in December 2020, on its intention to
cease publication of GBP, CHF, JPY, EUR and certain USD settings after December 31, 2021, and additionally, to cease
publication of the remaining USD LIBOR settings after June 30 2023. These reforms may cause IBORs to perform differently
than in the past, or to disappear entirely, or have other consequences, which cannot be fully anticipated. Regulators such as
FCA and CFTC have strongly urged market participants to transition to alternative risk-free rates (“RFRs”). As of October 2,
2019, the administrator of EONIA has changed the way it calculates EONIA, so that it is now based on the “€STR” or “euro
short-term rate”; nonetheless, EONIA is scheduled to cease to exist as of January 3, 2022. In 2019, EURIBOR was reformed
to comply with the EU financial benchmarks regulation, and continues to be available.
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Deutsche Bank
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Risks
A material portion of our assets and liabilities, including financial instruments we trade and other transactions and services we
are involved in, have interest rates linked to IBORs that may be subject to potential reform or discontinuation, requiring us to
prepare for such change and for a potential transition to “risk-free-rates” (RFRs where relevant. The discontinuation of these
IBORs and the transition to RFRs pose a variety of risks to us, including risks of market disruption with associated market and
liquidity risks, litigation risk, accounting and tax risks and operational risks. Depending on how these matters and the related
risks develop, along with the adequacy of the response of the industry, the market, regulators and how Deutsche Bank react
to them, the reform and discontinuation of IBORs and transition to RFRs could have adverse effects on our business, results
of operations, capital requirements and profitability. Also, as discounting methodologies for interest rate derivatives continue
to change, including the recent USD related transition from Federal Funds Rate to SOFR, our consolidated income statement
may be impacted accordingly. As part of the transition, we may also face operational or financial risks if not all systems and
processes dependencies on IBOR availability are identified and remediated. A dedicated IBOR program is in place to manage
the transition.
More broadly, initiatives to reform existing benchmarks and our participation in them, including as benchmark submitter, could
potentially expose us to legal, reputational and other risks. In particular, legal and compliance risk (including conduct risk) may
arise due to the operational risks of participating in a benchmark submission, either as part of a panel with the requirement to
use models and potentially exercise expert judgement or as provider of transactions data to a benchmark administrator.
While we continue to develop and implement our approach to climate risk assessment and management and promote the
integration of climate-related factors across our entire platform, both rapidly changing regulatory as well as stakeholder de-
mands may materially affect our business, results of operations or strategic plans if we fail to adopt or implement our measures
to transition to a low-carbon economy.
Legal and regulatory enforcement proceedings and tax examinations
We are subject to a number of legal and regulatory enforcement proceedings and investigations as well as tax examinations.
The outcome of these proceedings is difficult to estimate and may substantially and adversely affect our planned results of
operations, financial condition and reputation. If these matters are resolved on terms that are more adverse to us than we
expect, in terms of their costs or necessary changes to our businesses, or if related negative perceptions concerning our
business and prospects and related business impacts increase, we may not be able to achieve our strategic objectives or we
may be required to change them.
Compliance and Anti-Financial Crime risks
Combatting financial crime and complying with applicable laws and regulations is vital to ensuring the stability of banks, such
as Deutsche Bank, and the integrity of the international financial system.
Our anti-money laundering (AML) and know-your-client (KYC) processes and controls, aimed at preventing misuse of our
products and services to commit financial crime, continue to be subject of regulatory reviews, investigations and enforcement
actions in a number of jurisdictions. We continually seek to enhance the efficacy of our internal control environment and
improve our infrastructure to revised regulatory requirements and to close gaps identified by us and/or by regulators and
monitors.
Gaps identified by enforcement actions often include common themes. With a clear commitment to strengthen our global and
bank-wide approach to financial crime risk management, a global, Management Board driven, financial crime program is
overseeing our remediation activities.
Furthermore, our compliance controls and surveillance processes, as well as other internal control processes that are aiming
at ensuring the proper conduct of our businesses and services as well at preventing market abuse, insider dealing and conduct
breaches are from time to time subject to regulatory reviews and/or inquiries in certain jurisdictions.
Risk management policies, procedures and methods as well as operational risks
Although we have devoted significant resources to develop our risk management policies, procedures and methods, including
with respect to market, credit, liquidity, operational as well as reputational and model risk, they may not be fully effective in
mitigating our risk exposures in all economic or market environments or against all types of risk, including risks that we fail to
identify or anticipate. Where we use these models to calculate risk-weighted assets for regulatory purposes, potential defi-
ciencies may also lead regulators to impose a recalibration of input parameters or a complete review of the model.
We may face operational risks arising from failures in our internal control environment or errors in the performance of our
processes, e.g. in transaction processing, as well as loss of business continuity, which may disrupt our business and lead to
46
Deutsche Bank
Annual Report 2020
Risks and opportunities
Risks
material losses. At the same time, we may also face risks of material losses or reputational damage if services third parties
facilitate are not provided as agreed or in line with our internal standards.
As a global bank, Deutsche Bank is often in the news. Deutsche Bank conducts its media dialogue through official teams,
however, members of the media sometimes approach Deutsche Bank staff outside of these channels and DB internal infor-
mation, including confidential matters have been subject to external news media coverage. Leaks to the media can have
severe consequences for Deutsche Bank, particularly when they involve inaccurate statements, rumours, speculation or un-
sanctioned opinions. This can result in financial consequences such as the loss of confidence or business with clients and
may impact the bank’s share price or our capital instruments by undermining investor confidence. While we have processes
in place to manage these risks, our ability to protect ourselves against these risks is limited.
In addition, we are also exposed to conduct risk, comprising risks relating to inappropriate business practices, including selling
products that are not suitable for a particular customer, fraud, unauthorized trading and failure to comply with applicable
regulations, laws and internal policies. For example an employee’s misconduct reflecting fraudulent intent may lead to not only
material losses but also reputational damage.
From an operational perspective, and despite the business continuity and crisis management policies currently in place, the
COVID-19 pandemic, unexpected developments such as the emergence of new mutations of the virus and resulting rapid
changes in government responses may continue to have an adverse impact on our business activities. The move across
global industries to conduct business from home and away from primary office locations continues to put pressure on business
practices, the demand on our technology infrastructure and also the risk of cyber-attacks which could lead to technology
failures, security breaches, unauthorized access, loss or destruction of data or unavailability of services, as well as increase
the likelihood of conduct breaches. Any of these events could result in litigation or result in a financial loss, disruption of our
business activities and liability to our customers, regulatory scrutiny, government intervention or damage to our reputation. At
the same time the cost to us of managing these cyber, information security and other risks remains high. Delays in the imple-
mentation of regulatory requirements, including consumer protection measures and of our strategic projects could also have
a negative impact on our revenues and costs, while a return of higher market volatility has led and could continue to lead to
increased demand on markets surveillance monitoring and processing. Our vendors and service providers are facing similar
challenges with the risk that these counterparties could be unable to fulfil their contractual obligations, putting the benefits we
seek to obtain from such contracts at risk.
In order to manage financial and non-financial risk impacts of COVID-19, Deutsche Bank is utilizing dedicated governance
structures including Global and Regional Crisis Management. More broadly and where relevant, additional controls and pro-
cesses have been established including additional reporting to ensure relevant senior stakeholders including the Management
Board are up-to-date. We expect a demanding year 2021 from a risk management perspective.
Third party risk
Third parties are integral to the successful daily operation of any financial services firm, including Deutsche Bank. The use of
and dependence upon third parties in the sector has increased over the years, in support of our business and operations,
necessitating a corresponding increase in capabilities to manage them.
The nature of what we use third parties for has also evolved and now includes more fundamental aspects of services and
infrastructure such as the Cloud. This in itself represents different risks and requires more robust risk assessments, appropri-
ate contracting and ongoing oversight commensurate with relevant risks. It has also led to an understandable, steady increase
in regulation and regulatory scrutiny over how we manage their third parties.
Deutsche Bank has a well-established approach to Third Party Risk Management; from a clear policy and procedure through
to centralised risk process for businesses to use when engaging with external vendors. However, services provided by third
parties pose risks to us comparable to those we bear when we perform the services ourselves, and we remain ultimately
responsible for the services our third parties provide. We depend on our third parties to conduct their delivery of services in
compliance with applicable laws, regulations and in accordance with the contractual terms and service levels they have agreed
with us. If our third parties do not conduct business in accordance with these standards, we may be exposed to material losses
and could be subject to regulatory action or litigation as well as be exposed to reputational damage. More generally, if a third
party relationship does not meet our expectations, we could be exposed to financial risks, such as the costs and expenses
associated with migration of the services to another third party and business and operational risks related to the transition,
and we could fail to achieve the benefits we sought from the relationship. In order to mitigate such risks, we continue to
enhance our internal control environment and improve our infrastructure to meet revised regulatory requirements and to close
any gaps identified by us and/or by regulators and or their nominated monitors.
47
Deutsche Bank
Annual Report 2020
Risks and opportunities
Risks
Impairment of goodwill and other intangible assets
Goodwill is reviewed annually for impairment or more frequently if there are indications that impairment may have occurred.
Other intangible assets are recognized separately from goodwill when they are separable or arise from contractual or other
legal rights and their fair value can be measured reliably. These assets are tested for impairment or their useful lives reaffirmed
at least annually. This includes the testing in relation to software impairments.
The determination of the recoverable amount in the impairment assessment of non-financial assets requires estimates based
on quoted market prices, prices of comparable businesses, present value or other valuation techniques, or a combination
thereof, necessitating management to make subjective judgments and assumptions. These estimates and assumptions could
result in significant differences to the amounts reported if underlying circumstances were to change. Impairments of goodwill
and other intangible assets have had and may have a material adverse effect on our profitability and results of operations.
Pension obligations
We sponsor a number of post-employment benefit plans on behalf of our employees, including defined benefit plans. To the
extent that the factors that drive our pension liabilities move in a manner adverse to us, or that our assumptions regarding key
variables prove incorrect, or that our funding of our pension liabilities does not sufficiently hedge those liabilities, we could be
required to make additional contributions or be exposed to actuarial or accounting losses in respect of our pension plans.
Deferred tax assets
We recognize deferred tax assets for future tax consequences attributable to temporary differences between the financial
statement carrying amounts of existing assets and liabilities and their respective tax bases, unused tax losses and unused tax
credits. To the extent that it is no longer probable that sufficient taxable income will be available to allow all or a portion of our
deferred tax assets to be utilized, we must reduce the carrying amounts. This accounting estimate related to the deferred tax
assets depends upon underlying assumptions, such as assumptions about the historical tax capacity and profitability infor-
mation as well as forecasted operating results based upon approved business plans, that can change from period to period
and requires significant management judgment. Each quarter, we re-evaluate our estimate related to deferred tax assets,
including our assumptions about future profitability. Reductions in the amount of deferred tax assets from a change in estimate
have had and may in the future have material adverse effects on our profitability, equity and financial condition.
Technology and innovation
Digital Innovation offers market entry opportunities for new competitors such as cross-industry entrants, global high tech com-
panies or financial technology companies. We therefore expect our businesses to have an increased need for investment in
digital product and process resources to mitigate the risk of a potential loss of market share. In addition, with increasing levels
of digitization, and the continually evolving threat landscape related to information security, the ubiquitous access to banking
services via social networks, mobile devices and the advent of new computing techniques, cyber-attacks could lead to tech-
nology failures, security breaches, unauthorized access, loss, destruction of data or unavailability of services or inaccessibility
of systems of data.
To be able to respond to market developments and client needs faster and more flexibly, the bank has decided to migrate in-
scope applications to the public Cloud through a strategic partnership with Google Cloud. This partnership with Google is a
major milestone in the Banks’ digital journey and shows a commitment to embrace new technologies such as Cloud. The
objective is to enhance client experience through improved system resiliency and security as well as reducing the cost ineffi-
ciencies of running legacy platforms. Such a major technology migration requires robust governance and planning, including
required allocation of funding, to manage the risk of security and stability issues. Additionally, there is significant regulatory
focus on this program. Also, as with any external service providers, the bank must ensure the highest standards of data privacy
and security controls to safeguard client and bank information. Failure to do so can compromise client trust, lead to financial
losses and, in severe cases, regulatory penalties, litigation and the obligation to compensate individuals for damage.
As part of our obligation to help maintain a stable and resilient global financial system, we continue to invest in security risk
mitigation. Of particular importance in 2020 was the continued focus on addressing the following main threats: financial theft,
data disclosure, and service disruption along with compliance risk, system misuse, asset destruction, and data distortion. The
bank continually reviewed and – where necessary – modified its layered defence, investigated and remediated information
security vulnerabilities, working systematically to fend off evolving threats. We aim to build information security controls into
every layer of technology, including identity, data, infrastructure, devices and applications. This layered approach shall provide
end-to-end protection as well as multiple opportunities to detect, prevent, respond to, and recover from cyber threats.
48
Deutsche Bank
Annual Report 2020
Risks and opportunities
Opportunities
We may face operational risks arising from failures in our control environment including errors in the performance of our
processes or security controls, as well as loss of data, which may disrupt our business and lead to material losses. At the
same time, we may also face risks of material losses or reputational damage if services are not provided as agreed or in line
with our internal standards.
Additionally, the lack of a comprehensive data approach in our customer lifecycle management can put customer experience
and regulatory reviews at risk. Any of these events could involve us in litigation or cause us to suffer financial loss, disruption
of our business activities, liability to our customers, government intervention or damage to our reputation, whereas the cost of
managing these cyber and information security risks remains high. In particular risks arising from non-compliance with KYC
while on-boarding customers and additional risks of AFC and AML downstream of the customer lifecycle, could be mediated
by a coherent data approach which is currently in the process of being developed. Furthermore we also face challenge with
respect to embracing and incorporating new, disruptive technologies in conjunction with existing technological architecture in
order to ensure industry standards of information security and customer experience.
Major technology transformations in our business areas are executed via dedicated initiatives. The benefits of these include
IT and business cost reduction, control improvements, revenue growth through provision of new client features or targeted
client growth. The associated program execution risks, including resource shortage, extended implementation timelines or
impact of the change related activity on the control environment or functionality issues in the upgraded applications or under-
lying technology are carefully managed to partially mitigate the risk of not fully achieving expected benefits.
Opportunities
Macroeconomic and market conditions
Should economic conditions, such as GDP growth or levels of unemployment, the interest rate environment and competitive
conditions in the financial services industry improve beyond forecasted levels, this could lead to increasing revenues, that may
only be partially offset by additional costs, thus improving both profit before taxes, net profit and the cost-income ratio directly
and subsequently improving regulatory measures, such as CET 1 and the leverage ratio.
Higher inflation and interest rate levels could present a number of opportunities for us across all our divisions, such as in-
creased revenues from higher trading flows amid private, corporate and institutional customers repositioning their portfolios,
net interest income gains as well as, higher margins on lending across our balance sheet.
A substantial proportion of the assets and liabilities on our balance sheet comprise financial instruments that we carry at fair
value, with changes in fair value recognized in our income statement. As a result of such changes, we may realise gains in
the future.
If market conditions, price levels, volatility and investor sentiment develop better than expected, this may also positively impact
our revenues, profits and our costs of lending. Similarly, if we experience higher levels of customer demand and market share
than anticipated, this may also positively affect our results of operations.
In the event of faster delivery times and increased availability of vaccines across the globe, the underlying recovery rate may
accelerate across countries and lead to the easing of lockdowns. This could drive a pickup in cross border trade, increased
business and client activity and therefore lead to additional revenue potential. Certain industries may benefit more from the
recovery, in particular industries that have been more significantly impacted by the pandemic could see a more rapid recovery,
thus resulting in additional business opportunities for us.
Regulatory change
Regulatory change can encourage banks to provide better products or services that can offer opportunities for differentiation
in the marketplace. For example, as reporting standards continue to develop for sustainable finance, the market may evolve
to embrace sustainable finance initiatives more broadly. As clients and the market adopt sustainable finance related initiatives,
we may have the opportunity to further differentiate the bank by enhancing the services provided to its clients.
Strategy
Our strategy seeks to enable us to materially improve returns to shareholders over time and deploy our balance sheet and
other resources to the highest return activities consistent with our client franchise and risk appetite. The implementation of our
strategy may create further opportunities if implemented to a greater extent or under more favourable conditions than antici-
pated. If businesses and processes improve beyond our planning assumptions and cost efficiencies can be realized sooner
49
Deutsche Bank
Annual Report 2020
Risks and opportunities
Opportunities
or to a greater extent than forecasted, this could also positively impact our results of operations. The progress could be further
stimulated if markets react favourably to DB’s performance in this area, for example leading to a rating upgrade by one of the
Rating Agencies. This could in turn reduce funding costs and further amplify the Bank’s profitability.
With our announcement on July 7, 2019, we are placing greater focus on those areas of core strengths that are fundamental
for our clients. Focus remains on growth across our four core businesses and on continuing to leverage opportunities in the
market to continue to dispose of assets no longer core to our strategy through our Capital Release Unit. In an increasingly
globalised world, DB’s global reach, deep local presence and closely inter-connected businesses provide a solid platform for
clients to utilise.
By investing in our areas of core strengths we expect to pursue our strategy of targeted growth. Within the Corporate Bank
we seek to continue to grow revenues in our home market of Germany but also expanding into Asia-Pacific and leveraging
payments businesses in particular to capture the value chain. The Investment Bank continues to be a global leader in fixed
income and financing products, and we are focused on retaining the market share captured in 2020 and stabilizing the fran-
chise while reducing costs. For the Private Bank, our focus remains on German retail, international retail and business clients,
and on seeking growth predominantly within advisory areas. With the creation of the International Private Bank we aim to
provide a more seamless wealth management to Private Bank clients. Asset Management, comprising the DWS legal entities,
have set a strategy to pursue with targeted growth, particularly in Europe to cement leading asset manager status and also in
Asia and anticipate launching new products in high margin growth areas and responsible investing.
We continue to focus on sustainability throughout the bank and have seen opportunities for growth in this space across all our
core businesses as our clients’ response to climate change gains further traction. In May 2020, we set ourselves the target of
reaching €200 billion in sustainable finance volumes cumulatively by 2025, given strong client appetite this is a key opportunity
and area of investment for years to come. As part of the broader efforts to develop a risk appetite strategy to manage climate
risk, we see opportunities to support our clients, for example, in developing credible decarbonisation strategies and support
their transition.
Individuals and institutions, including clients and non-clients of ours, increasingly view environmental, social and governance
risks and opportunities as significant for long-term returns and we believe this to become a key differentiator in the years to
come. Interest in dedicated drivers of ESG services such as inclusion of ESG factors in the investment processes or decision
making process for awarding business mandates across our businesses is growing. As such, we plan to develop and provide
financial products or investment possibilities that can help both us and our clients to achieve our common ESG goals. Also, in
order to advance our holistic ESG strategy, DWS has recently established an advisory body who will actively advise on the
acceleration of DWS’ ESG strategy. More broadly, advancing our ESG activities can lead to both additional revenues oppor-
tunities but also an improved brand and stakeholder perception of us.
As well as freeing up financial resources, RWA and leverage exposure, the Capital Release Unit is also helping to lower the
liquidity demand of the bank. As such this can have an impact on the P&L by lowering the liquidity costs for the Group.
At the same time, we may benefit from opportunities to grow our market share and client base in the Core Bank, especially in
Europe and in our German home market, supporting clients where peers have retreated and supporting the economy by
ensuring corporates have the necessary working capital to manage though the crisis.
The COVID-19 pandemic has also impacted the bank’s cost structure. While in the short term we were required to equip
branches and office buildings with anti-infection supplies, we are now assessing options to sustainably reduce costs including
real estate cost through continued higher levels of working from home, which has generally been positively received by em-
ployees and can help accelerate our cost saving initiatives. Certain cost categories have been positively impacted by COVID-
19 temporarily, such as Travel & Entertainment and Marketing & Events.
Technology and innovation
Digital Innovation offers various revenue opportunities to increase monetization on existing customers and acquire new cus-
tomer groups by expanding our own portfolio of products and engaging in product partnerships with third parties, thereby
potentially benefiting from a shorter time-to-market. Market trends such as the platform economy, matching internal and ex-
ternal products with customer demands and transacting through one central platform, and open banking provide a clear op-
portunity for us to position ourselves as a strong player in these ecosystems. The goal is to develop an ecosystem of compre-
hensive services, with different components developed by different firms for areas like the retail deposit marketplace, auto-
mated financial planning services (robo-advisor), or insurance recommendation services leveraging DB’s banking platform.
Furthermore, we have an opportunity to expand our data capabilities, to improve personalized services for a better customer
experience as well as to embrace disruptive technologies such as artificial intelligence to build out our service offering. Our
global reach allows us to scale products quickly and efficiently across geographies. In this context Deutsche Bank officially
signed as day-1 member the GAIA-X foundation (a project aimed to develop common requirements for a European data
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Deutsche Bank
Annual Report 2020
Risks and opportunities
Opportunities
infrastructure) to strongly support GAIA objectives to enable a trusted data space in Europe and enhance data sharing cross
industries and countries.
To drive change, accelerate the adoption of technologies into the bank and monetize on the above-mentioned market oppor-
tunities, the Bank has created the Technology, Data and Innovation (TDI) division. While general digitalization and innovation
activities happen within the business lines, this new centralized approach enables us to address key strategic challenges in a
focused set-up, drive a culture of engineering and innovation and invest in mid to long term digital services and new business
models.
On the cost side, digitization offers our divisions an opportunity for significant efficiency gains. By investing in digital applica-
tions such as digital client self-boarding, front-to-back processes can be automated and the productivity increased. Develop-
ment of strong data capabilities should enhance our ability to make accurate predictions about client and market behaviour,
reducing fraud and pricing products more efficiently, while complying with regulatory obligations using latest technologies. To
ensure the best privacy and security guarantees as well as mitigate risks while working with data, DB has launched an internal
Data Privacy Engineering initiative. Again, the new TDI organization is intended to serve as a focal point to accelerate selected
strategic initiatives and to bring overall cost down.
Deutsche Bank and Google Cloud have finalized a strategic multi-year partnership to accelerate the bank’s transition to the
Cloud, which will offer Deutsche Bank direct access to world-class data science, artificial intelligence and machine learning
that should result in, e.g., improved risk analytics and advanced security solutions to protect clients’ accounts but also
Deutsche Bank by improving our Anti Financial Crime capabilities, e.g. by enhancing KYC capabilities and Transaction Mon-
itoring solutions.
The COVID-19 pandemic also brings potential opportunities including accelerating the process of digitalization across various
industries, enabling the bank to provide a faster service to customers through emerging digital touchpoints as well as the
opportunity to co-innovate and support clients with their investment in digitalization projects and strategies. Both of these
strengthen our client relationships and drive additional business.
51
Risk Report
53
54
54
55
56
58
58
59
62
62
64
65
66
Introduction
Risk and capital overview
Key risk metrics
Overall risk assessment
Risk profile
Risk and capital framework
Risk management principles
Risk governance
Risk appetite and capacity
Risk and capital plan
Stress testing
Risk measurement and reporting systems
Recovery and resolution planning
Risk and capital management
Capital management
Resource limit setting
Risk identification and assessment
Credit risk management and asset quality
68
68
68
69
69
93 Market risk management
99
104
108 Business (strategic) risk management
108 Model risk management
109 Reputational risk management
110 Risk concentration and risk diversification
Operational risk management
Liquidity risk management
111 Risk and capital performance
111 Capital, leverage ratio, TLAC and MREL
127 Credit risk exposure
149
152 Nontrading market risk exposures
154 Operational risk exposure
155
Trading market risk exposures
Liquidity risk exposure
Deutsche Bank
Annual Report 2020
Introduction
Disclosures according to principles and recommendations of the Enhanced Disclosure Task Force
(EDTF)
Introduction
Disclosures in line with IFRS 7
The following Risk Report provides qualitative and quantitative disclosures about credit, market and other risks in line with the
requirements of International Financial Reporting Standard 7 (IFRS 7) Financial Instruments: Disclosures. It also considers
the underlying classification and measurement and impairment requirements in IFRS 9 with further details to be found in the
“Credit Risk Management and Model” section, in the “Asset quality” section, in the “Credit risk mitigation” section and in Note 1
“Significant accounting policies and critical accounting estimates” to the consolidated financial statements. Information which
forms part of and is incorporated by reference into the financial statements of this report is marked by a grey shading through-
out this Risk report.
Disclosures according to Pillar 3 of the Basel 3 Capital Frame-
work
Most disclosures according to Pillar 3 of the Basel 3 Capital Framework, which are implemented in the European Union by
the Regulation (EU) No 575/2013 on prudential requirements for credit institutions and investment firms (Capital Requirements
Regulation or CRR), including recent amendments; and supported by EBA Implementing Technical Standards or the “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*) and related guidelines applicable to Pillar 3 disclosures, are published in our additional Pillar 3
Report, which can be found on our website. In cases where disclosures in this Risk Report also support Pillar 3 disclosure
requirements these are highlighted by references from the Pillar 3 Report into the Risk Report.
For year-end 2020, we introduced for the first time a framework to determine the prudential provisioning of non-performing
exposures as a Pillar 2 measure in accordance with ECB guidance. Furthermore, Regulation (EU) 2019/876 introduces that
certain software assets do not have to be deducted from CET1 items, instead the concept of a prudential amortization is
applied. In addition Regulation (EU) 2019/876 introduces a different treatment of subsidiaries and participations that are only
consolidated under IFRS. For these entities we now apply an at-equity treatment, instead of an at-cost treatment.
Disclosures according to principles and recommendations of
the Enhanced Disclosure Task Force (EDTF)
In 2012 the Enhanced Disclosure Task Force (“EDTF”) was established as a private sector initiative under the auspices of the
Financial Stability Board (“FSB”), with the primary objective to develop fundamental principles for enhanced risk disclosures
and to recommend improvements to existing risk disclosures. As a member of the EDTF we adhere to the disclosure recom-
mendations in this Risk Report and also in our additional Pillar 3 report.
53
Deutsche Bank
Annual Report 2020
Risk and capital overview
Key risk metrics
Risk and capital overview
Key risk metrics
The following selected key risk ratios and corresponding metrics form part of our holistic risk management across individual
risk types. The Common Equity Tier 1 Ratio (CET 1), Economic Capital Adequacy Ratio (ECA), Leverage Ratio (LR), Total
loss absorbing capacity (TLAC), Minimum Requirement for Own Funds and Eligible Liabilities (MREL), Liquidity Coverage
Ratio (LCR), and Stressed Net Liquidity Position (sNLP) serve as high level metrics and are fully integrated across strategic
planning, risk appetite framework, stress testing (except LCR, TLAC and MREL), and recovery and resolution planning prac-
tices, which are reviewed and approved by our Management Board at least annually. The CET 1, LR, Leverage Exposure,
TLAC, MREL, LCR and Risk-Weighted-Assets ratios and metrics, which are regulatory defined, are based on the Regulation
(EU) No 575/2013 on prudential requirements for credit institutions and investment firms (Capital Requirements Regulation or
“CRR”) and the directive 2013/36/EU on access to the activity of credit institutions and the prudential supervision of credit
institutions and investment firms (Capital Requirements Directive or “CRD”), including recent amendments. MREL is based
on the Single Resolution Mechanism (SRM) regulation as well as respective communication by the Single Resolution Board
(SRB). ECA, Economic Capital and sNLP are Deutsche Bank-specific internal risk metrics in addition to the above described
regulatory metrics.
Common Equity Tier 1 Ratio
31.12.2020
31.12.2019
Economic Capital Adequacy Ratio
31.12.2020
31.12.2019
Leverage Ratio (fully-loaded)
31.12.2020
31.12.2019
Total loss absorbing capacity (TLAC)
31.12.2020 (Risk Weighted Asset based)
31.12.2020 (Leverage Exposure based)
31.12.2019 (Risk Weighted Asset based)
31.12.2019 (Leverage Exposure based)
Liquidity Coverage Ratio
31.12.2020
31.12.2019
Total Risk-Weighted Assets
31.12.2020
31.12.2019
Total Economic Capital
31.12.2020
31.12.2019
Leverage Exposure
31.12.2020
31.12.2019
€ 329.0 bn
€ 324.0 bn
€ 28.6 bn
€ 29.2 bn
€ 1,078 bn
€ 1,168 bn
Minimum requirement for own funds and eligible liabilities (MREL)
10.67 %
31.12.2020
11.57 %
31.12.2019
13.6 %
13.6 %
179 %
163 %
4.7 %
4.2 %
31.94 %
9.74 %
34.67 %
9.62 %
145 %
141 %
Stressed Net Liquidity Position (sNLP)
31.12.2020
31.12.2019
€ 43.0 bn
€ 24.3 bn
For further details please refer to sections “Risk profile”, “Risk appetite and capacity”, “Risk and capital plan”, “Stress testing”,
“Recovery and resolution planning”, “Risk and capital management”, “Capital, leverage ratio, TLAC and MREL” (for phase-in
and fully loaded figures), “Liquidity coverage ratio”, and “Stress testing and scenario analysis”.
54
Deutsche Bank
Annual Report 2020
Risk and capital overview
Overall risk assessment
Overall risk assessment
Key risk types as reflected in Deutsche Bank’s risk type taxonomy include credit risk (including default, migration, transaction,
settlement, exposure, country, mitigation and concentration risks), market risk (including interest rate, foreign exchange, eq-
uity, credit spread, commodity and cross-asset risks), liquidity risk (including short term liquidity and funding risk), business
risk (including strategic and tax risk), cross risk, reputational risk and operational risk (with important sub-categories like com-
pliance, legal, model, information security & technology, fraud, and money laundering risks). We manage the identification,
assessment and mitigation of top and emerging risks through an internal governance process and the use of risk management
tools and processes. Our approach to identification and impact assessment aims to ensure that we mitigate the impact of
these risks on our financial results, long-term strategic goals and reputation. Please refer to the section "Risk and capital
management" for detailed information on the management of our material risks.
As part of our regular analysis, sensitivities of the key portfolio risks are reviewed using bottom-up risk assessment, comple-
mented by top-down macro-economic and political scenario analysis. This two-pronged approach allows us to capture risk
drivers that have an impact across our risk portfolios and business divisions as well as those relevant to specific portfolios.
Since early 2020 our macroeconomic business and operating environment has been dominated by the coronavirus pandemic,
and the associated downside risks remained elevated over year-end. Following the severe GDP contractions observed across
major advanced economies in 2020, we expect economic recovery to unfold in the course of 2021 as effective COVID-19
vaccination becomes widely available and additional fiscal stimulus is provided in the US and EU economies in particular.
However, for the short-term economic outlook, we continue to see significant downside risks rippling through the global econ-
omy from elevated levels of COVID-19 infections, lockdown restrictions and deeper risk aversion.
Due to the largely unprecedented nature of the COVID-19 crisis, the forecast uncertainty is expected to remain unusually high
for quite some time. As a bank, our working assumption remains that lagging effects of the COVID-19 recession will continue
to unfold and that the low interest rate environment in the Eurozone will persist for several quarters at least. The intensified
“lower for longer” interest rate environment, as key central banks provide abundant additional liquidity in support of their
economies, can impact our net interest income and other rate sensitive businesses activities. Lower for longer rates have also
supported elevated market valuations as investors search for yield. This raises the risk of a significant price correction, poten-
tially triggering wider market instability.
Higher corporate and sovereign debt will be a legacy of the pandemic. Currently, risks of credit problems and defaults are
partially mitigated by generous fiscal and monetary policy support but the eventual withdrawal of such support may increase
credit pressures over time.
If the COVID-19 vaccine roll-out continues successfully, and continues to be boosted by massive monetary and fiscal policy
support, the expected economic recovery and reflation may be subject to significant upside over the medium term. This could
in turn lead consumer price and asset price inflation in major advanced economies to accelerate substantially faster than
anticipated. Whilst this could create some upside potential for our business activity levels and net interest income, a disorderly
sharp increase in bond yields could trigger a downward correction to equities and other highly valued risk asset markets as
well as increased credit risks on highly leveraged clients.
Political uncertainty has arguably declined towards the end of 2020, with the new US President Joseph R. Biden elected in
November, the EU agreeing on its multi-year budget plan and the associated European Recovery Fund (“RRF”) in mid-De-
cember, and a Brexit trade deal agreed between the UK and the EU shortly before the end of the transition period at year end.
However, geopolitical risks remain elevated and need to be monitored closely, e.g. with regard to the deep divide in US society,
the tense US-China relations in international trade and following the passing of the new national security law in Hong Kong,
populist movements in various EU countries, or the ongoing negotiations between the UK and the EU on their future relation-
ship. Other geopolitical risks which could negatively impact our business environment include tensions in the South China
Sea and between the US and China over Taiwan as well as the potential for escalation in the Middle East over Iran’s nuclear
program following recent steps towards higher uranium enrichment levels.
In addition to the risks described above, we are exposed to a variety of financial risks, including but not limited to counterparty
default risks or sudden market shocks impacting our credit and market risk profiles and non-financial risks including but not
limited to operational and IT infrastructure, transaction processing and third party vendor risks.
The potential impacts of these risks on our balance sheet and profitability are assessed through portfolio reviews and stress
tests. Stress tests are also used to test the resilience of Deutsche Bank’s strategic plans. The results of these tests indicate
that the currently available capital and liquidity reserves, in combination with available mitigation measures, would allow us to
absorb the impact of these risks if they were to materialize as envisaged. Information about risk and capital positions for our
portfolios can be found in the “Risk and capital performance” section.
55
Deutsche Bank
Annual Report 2020
Risk and capital overview
Risk profile
Risk profile
The table below shows our overall risk position as measured by the economic capital demand calculated for credit, market,
operational and business risk for the dates specified. To determine our overall economic risk position, we generally consider
diversification benefits across risk types.
Overall risk position as measured by economic capital demand by risk type
in € m.
(unless stated otherwise)
Credit risk
Market risk
Trading market risk
Nontrading market risk
Operational risk
Business risk
Diversification benefit¹
Total economic capital demand
2020 increase (decrease)
from 2019
Dec 31, 2020
Dec 31, 2019
11,636
10,894
2,198
8,696
5,512
5,949
(5,429)
28,560
10,757
11,767
3,592
8,175
5,813
6,374
(5,535)
29,176
in € m.
879
(874)
(1,394)
521
(301)
(425)
106
(616)
in %
8
(7)
(39)
6
(5)
(7)
(2)
(2)
1 Diversification benefit across credit, market, operational and strategic risk (largest part of business risk).
As of December 31, 2020, our economic capital demand amounted to € 28.6 billion, which was € 0.6 billion or 2 % lower than
€ 29.2 billion economic capital demand as of December 31, 2019.
The economic capital demand for credit risk as of December 31, 2020 was € 0.9 billion or 8 % higher compared to year-end
2019 mainly due to rating migrations related to the COVID-19 pandemic and a model enhancement for recovery risk.
The economic capital demand for trading market risk decreased to € 2.2 billion as of December 31, 2020, compared to € 3.6
billion at year-end 2019 primarily driven by a lower level of credit inventory in the Investment Bank, most notably from Com-
mercial Real Estate business. The economic capital demand for nontrading market risk increased by € 0.5 billion or 6% com-
pared to December 31, 2019 mainly driven by the increase in market risk exposures in the liquidity reserves portfolio and in
equity compensation plans. Market risk economic capital remains on the Monte Carlo methodology at present and will be
migrated to historical simulation in due course.
The operational risk economic capital usage totaled € 5.5 billion as of December 31, 2020, which was € 0.3 billion or 5 %
lower than the € 5.8 billion economic capital usage as of December 31, 2019. In line with the development of our RWA for
operational risk, the decrease was largely driven by a lighter loss profile feeding into our capital model, which was partly offset
by a reduction of the expected loss deductible and by slightly weaker risk appetite metrics and risk assessment scores. For a
detailed description see the section “Operational risk management”.
Our business risk economic capital methodology captures strategic risk, which also implicitly includes elements of nonstandard
risks including refinancing and reputational risk, tax risk, a capital charge for risk related to IFRS deferred tax assets on
temporary differences and a newly introduced capital charge for risk related to software assets. The business risk decreased
to € 5.9 billion as of December 31, 2020 which was € 0.4 billion or 7 % lower compared to € 6.4 billion as of December 31,
2019. The decrease was mainly driven by lower economic capital demand for strategic risk of € 2.1 billion, which primarily
reflects the execution of Deutsche Bank’s transformation and the associated improvement in the earnings outlook. This de-
crease was partially offset by the introduction of a capital charge of € 1.8 billion to account for the risk associated with the
software assets recognized in economic capital supply. The economic capital demand for tax risk and the capital charge for
IFRS deferred tax assets remained stable during the year.
The inter-risk diversification benefit of the economic capital demand across credit, market, operational and strategic risk de-
creased by € 0.1 billion mainly reflecting changes in the underlying risk type profile.
Our mix of business activities results in diverse risk taking by our business divisions. We also measure the key risks inherent
in their respective business models through the total economic capital metric, which mirrors each business division’s risk
profile and takes into account cross-risk effects at group level.
56
Deutsche Bank
Annual Report 2020
Risk and capital overview
Risk profile
Risk profile of our business divisions as measured by economic capital
in € m. (unless
stated otherwise)
Credit Risk
Market Risk
Operational Risk
Business Risk
Diversification Benefit¹
Total EC
Total EC in %
Corporate
Bank
2,588
822
482
193
(469)
3,617
13
Investment
Bank
4,675
2,369
2,169
2,767
(2,457)
9,523
33
Private Bank
Asset
Management
Capital
Release Unit
2,404
1,170
646
80
(534)
3,766
13
60
420
284
0
(180)
584
2
648
235
1,930
0
(982)
1,831
6
Corporate &
Other
1,262
5,877
0
2,909
(808)
9,239
32
N/M – Not meaningful
1 Diversification benefit across credit, market, operational and strategic risk (largest part of business risk).
in € m. (unless
stated otherwise)
Credit Risk
Market Risk
Operational Risk
Business Risk
Diversification Benefit²
Total EC
Total EC in %
Corporate
Bank
2,417
539
585
195
(510)
3,226
11
Investment
Bank
4,064
3,563
2,122
4,914
(2,460)
12,203
42
Private Bank
Asset
Management
Capital
Release Unit
2,181
1,827
666
71
(647)
4,097
14
71
456
366
0
(224)
668
2
859
464
2,074
20
(1,075)
2,343
8
Corporate &
Other
1,164
4,920
0
1,174
(619)
6,639
23
Dec 31, 2020
Total
(in %)
41
38
19
21
(19)
100
N/M
Dec 31, 2019¹
Total
(in %)
37
40
20
22
(19)
100
N/M
Total
11,636
10,894
5,512
5,949
(5,429)
28,560
100
Total
10,757
11,767
5,813
6,374
(5,535)
29,176
100
N/M – Not meaningful
1 Risks amounts allocated to the business segments have been restated to reflect comparatives according to the structure as of December 31, 2020.
2 Diversification benefit across credit, market, operational and strategic risk (largest part of business risk).
The Corporate Bank’s risk profile is dominated by its Trade Finance, Commercial Banking and Cash Management products
and services offered. Economic capital demand largely arises from credit risk and is predominantly driven by the Trade Fi-
nance and Commercial Clients businesses. The economic capital demand for the Corporate Bank increased by € 0.4 billion
in comparison to year-end 2019 as a result of higher market and credit risks. The economic capital demand for market risk
increased by € 0.3 billion compared to December 31, 2019 mainly driven by increased exposures in the liquidity reserves
portfolio and in equity compensation plans. The economic capital demand for credit risk as of December 31, 2020 was € 0.2
billion higher compared to year-end 2019 mainly driven by higher counterparty risk in Global Transaction Banking. Aforemen-
tioned increases were offset by lower economic capital demand for operational risk of € 0.1 billion compared to the year-end
2019, mainly due to the full roll-out of a model enhancement resulting in an improved capture of divisional risk profiles. The
economic capital demand for business risk in the Corporate Bank remained flat compared to year-end 2019.
The Investment Bank’s risk profile is dominated by its trading activities to support origination, structuring and market making
activities, which give rise to all major risk types. Credit risk in Investment Bank is broadly distributed across business units but
most prominent in Global Credit Trading, Rates and Leveraged Debt Capital Markets. Market risk arises mainly from trading
and market making activities. The remainder of Investment Bank’s risk profile is largely derived from business risk reflecting
earnings volatility risk. The economic capital demand for the Investment Bank decreased by € 2.7 billion in comparison to
year-end 2019 mainly driven by lower business and market risks. Business risk economic capital demand decreased by € 2.1
billion year-on-year mainly due to an improvement in the bank’s earnings outlook. The economic capital demand for market
risk decreased by € 1.2 billion over the year driven by a lower level of credit inventory, most notably from Commercial Real
Estate business. The increases in business and market risks were partially offset by higher credit risk and operational risk.
The economic capital demand for credit risk as of December 31, 2020 was € 0.6 billion higher compared to year-end 2019
mainly due to strong fixed income trading activity during 2020. The operational risk economic capital demand slightly increased
driven by weaker risk appetite metrics and risk assessment scores as well as cross-divisional reallocation effects.
The Private Bank’s risk profile comprises business with German retail, international retail and business clients as well as
wealth management clients generating credit risks as well as non-trading market risks from investment risk, modelling of client
deposits and credit spread risk. The economic capital demand for the Private Bank decreased by € 0.3 billion in comparison
to year-end 2019. The decrease was mainly driven by lower market risk due to the transfer of the liquidity reserve portfolio of
DB PFK to Group Treasury part of the business division Corporate & Other, in the context of the merger of DB PFK AG on DB
AG. This was partially offset by higher credit risk as a result of portfolio growth, rating deteriorations in the current market
environment and methodology changes. The economic capital for operational and business risks remained stable over the
year.
57
Deutsche Bank
Annual Report 2020
Risk and capital framework
Risk management principles
Asset Management, as a fiduciary asset manager, invests money on behalf of clients. Its corporate activities are exposed to
movements in the market, flows and foreign exchange rates. Economic capital demand largely arises from nontrading market
risk due to guarantee products and co-investments in our funds and from operational risk events. The economic capital de-
mand for Asset Management decreased by € 0.1 billion in comparison to year-end 2019 mainly driven by lower operational
risk due to a lighter loss profile.
The Capital Release Unit continued to exit and run down the non-strategic assets and businesses transferred into the unit in
third quarter of 2019. In line with the de-risking achieved throughout 2020, the economic capital demand of the unit decreased
by € 0.5 billion over the course of 2020 compared to year-end 2019.
Corporate & Other’s risk profile mainly comprises non-trading market risk from structural foreign exchange risk, pension risk
and equity compensation risk, and business risk from a new capital charge for software assets. The economic capital demand
for Corporate & Other increased by € 2.6 billion in comparison to year-end 2019 mainly due to the introduction of aforemen-
tioned capital charge to account for the risk associated with software assets.
Risk and capital framework
Risk management principles
Our business model inherently involves taking risks. Risks can be financial and non-financial and include on and off-balance
sheet risks. Our objective is to create sustainable value in the interests of the company taking into consideration shareholders,
employees and other company related stakeholders. The risk management framework contributes to this by aligning our
planned and actual risk taking with our risk appetite as expressed by the Management Board, while being in line with our
available capital and liquidity.
Our risk management framework consists of various components. Principles and standards were set for each component:
– Organizational structures must follow the Three Lines of Defense (“3LoD”) model with a clear definition of roles and
responsibilities for all risk types.
– The 1st Line of Defense (“1st LoD”) refers to those roles in the Bank whose activities generate risks, whether financial
or non-financial, and who own and are accountable for these risks. The 1st LoD manages these risks within the defined
risk appetite, establishes an appropriate risk governance and risk culture, and adheres to the risk type frameworks
defined by the 2nd Line of Defense (“2nd LoD”).
– The 2nd LoD refers to the roles in the Bank who define the risk management framework for a specific risk type. The
2nd LoD independently assesses and challenges the implementation of the risk type framework and adherence to the
risk appetite, and acts as an advisor to the 1st LoD on how to identify, assess and manage risks.
– The 3rd Line of Defense (“3rd LoD”) is Group Audit, which is accountable for providing independent and objective
assurance on the adequacy of the design, operating effectiveness and efficiency of the risk management system and
systems of internal control.
– Every employee must act as a risk manager consistent with our risk appetite, risk management standards and values.
– The Management Board approved risk appetite must be cascaded and adhered to across all dimensions of the Group,
with appropriate consequences in the event of a breach.
– Risks must be identified and assessed.
– Risks must be actively managed including via appropriate risk mitigation and effective internal control systems.
– Risks must be measured and reported using accurate, complete and timely data using approved models.
– Regular stress tests must be performed against adverse scenarios and appropriate crisis response planning must be
established.
We promote a strong risk culture where every employee must fully understand and take a holistic view of the risks which could
result from their actions, understand the consequences and manage them appropriately against our risk appetite. We expect
employees to exhibit behaviors that support a strong risk culture in line with our Code of Conduct. To promote this, our policies
require that risks taken (including against risk appetite) must be taken into account during our performance assessment and
compensation processes. This expectation continues to be reinforced through communications campaigns and mandatory
training courses for all DB employees. In addition, our Management Board members and senior management frequently com-
municate the importance of a strong risk culture to support a consistent tone from the top.
58
Deutsche Bank
Annual Report 2020
Risk and capital framework
Risk governance
Risk governance
Our operations throughout the world are regulated and supervised by relevant authorities in each of the jurisdictions in which
we conduct business. Such regulation focuses on licensing, capital adequacy, liquidity, risk concentration, conduct of business
as well as organizational and reporting requirements. The European Central Bank (the “ECB”) in connection with the compe-
tent authorities of EU countries which joined the Single Supervisory Mechanism via the Joint Supervisory Team act in coop-
eration as our primary supervisors to monitor our compliance with the German Banking Act and other applicable laws and
regulations.
Several layers of management provide cohesive risk governance:
– The Supervisory Board is informed regularly on our risk situation, risk management and risk controlling, including reputa-
tional risk related items as well as material litigation cases. It has formed various committees to handle specific topics (for
a detailed description of these committees, please see the “Corporate Governance Report” under “Management Board and
Supervisory Board”, “Standing Committees”).
– At the meetings of the Risk Committee, the Management Board reports on current and forward-looking risk exposures,
portfolios, on risk appetite and strategy and on matters deemed relevant for the assessment and oversight of the risk
situation of Deutsche Bank AG. It also reports on loans requiring a Supervisory Board resolution pursuant to law or the
Articles of Association. The Risk Committee advises the Management Board on issues related to the overall risk appe-
tite, aggregate risk position and the risk strategy and keeps the Supervisory Board informed of its activities.
– The Integrity Committee, among other responsibilities, advises and monitors the Management Board with regard to the
management’s commitment to an economically sound, sustainable development of the company, monitors the Manage-
ment Board’s measures that promote the company’s compliance with legal requirements, authorities’ regulations and
the company’s own in-house policies, including risk policies. It also reviews the Bank’s Code of Conduct and Ethics,
and, upon request, supports the Risk Committee in monitoring and analyzing the Bank’s legal and reputational risks.
– The Audit Committee, among other matters, monitors the effectiveness of the risk management system, particularly the
internal control system and the internal audit system.
– The Management Board is responsible for managing Deutsche Bank Group in accordance with the law, the Articles of
Association and its Terms of Reference with the objective of creating sustainable value in the interest of the company, thus
taking into consideration the interests of the shareholders, employees and other company related stakeholders. The Man-
agement Board is responsible for establishing a proper business organization, encompassing appropriate and effective risk
management, as well as compliance with legal requirements and internal guidelines. The Management Board established
the Group Risk Committee (“GRC”) as the central forum for review and decision on material risk and capital-related topics.
The GRC generally meets once a week. It has delegated some of its duties to individuals and sub-committees. The GRC
and its sub-committees are described in more detail below.
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Deutsche Bank
Annual Report 2020
Risk and capital framework
Risk governance
Risk management governance structure of the Deutsche Bank Group
Supervisory Board
Audit Committee
Monitors the effectiveness of the risk
management system, particularly of the
internal control system and the internal
audit system
Risk Committee
Advises on overall risk appetite and
risk strategy and monitors strategy
implementation by the management.
Discusses the risk strategy, key risk
topics and portfolios
Integrity Committee
Monitors compliance with legal
requirements, authorities‘ regulation and
in-house policies. Precautionary
monitoring and strategic analysis of legal
and reputational risk
Management Board
Overall Risk and Capital Management Supervision
Group Asset & Liability
Committee
Optimizes the sourcing and
deployment of the bank's balance
sheet and financial resources, within
the overarching risk appetite
Group Risk Committee
Evaluates and classifies risks, sets
rules for risk management, risk
appetite planning & steering and
monitors risks
Financial Resource
Management Council
Supports the decision-making in a
period of anticipated or actual capital
or liquidity stress as a forum to discuss
and recommend mitigating actions
Enterprise Risk
Committee
Oversight and decision-making
on financial risks and cross
risks, including definition &
review of stress tests, and
management of group-wide risk
patterns
Group Reputational
Risk Committee
Ensures the oversight,
governance and coordination of
the reputational risk
management
Non-Financial Risk
Committee
Ensures oversight, governance
and coordination of non-
financial risk management and
establishes a cross-risk and
holistic perspective of key non-
financial risks
Product Governance
Committee
Ensures oversight, governance
and coordination of product
governance
The following functional committees are central to the management of risk at Deutsche Bank:
– The Group Risk Committee (GRC) has various duties and dedicated authority, including approval of new or materially
changed risk and capital models and review of the inventory of risks, high-level risk portfolios, risk exposure developments,
and internal and regulatory Group-wide stress testing results. In addition, the GRC reviews and recommends items for
Management Board approval, such as key risk management principles, the Group Risk Appetite Statement, the Group
Recovery Plan and the Contingency Funding Plan, over-arching risk appetite parameters, and recovery and escalation
indicators. The GRC also supports the Management Board during Group-wide risk and capital planning processes.
– The Non-Financial Risk Committee (NFRC) oversees, governs and coordinates the management of non-financial risks
in Deutsche Bank Group and establishes a cross-risk and holistic perspective of the key non-financial risks of the Group,
including conduct and financial crime risk. It is tasked to define the non-financial risk appetite tolerance framework, to
monitor and control the effectiveness of the non-financial risk operating model (including interdependencies between
business divisions and control functions), and to monitor the development of emerging non-financial risks relevant for
the Group.
– The Group Reputational Risk Committee (GRRC) is responsible for the oversight, governance and coordination of rep-
utational risk management and provides for a look-back and a lessons learnt process. It reviews and decides all repu-
tational risk issues escalated by the Regional Reputational Risk Committees (RRRCs) and RRRC decisions which have
been appealed by the business divisions, infrastructure functions or regional management. It provides guidance on
Group-wide reputational risk matters, including communication of sensitive topics, to the appropriate levels of Deutsche
Bank Group. The RRRCs which are sub-committees of the GRRC, are responsible for the oversight, governance and
coordination of the management of reputational risk in the respective regions on behalf of the Management Board.
– The Enterprise Risk Committee (ERC) has been established with a mandate to focus on enterprise-wide risk trends,
events and cross-risk portfolios, bringing together risk experts from various risk disciplines. As part of its mandate, the
ERC approves the enterprise risk inventory, certain country and industry threshold increases, and scenario design out-
lines for more severe group-wide stress tests as well as reverse stress tests. It reviews group-wide stress test results in
accordance with risk appetite, reviews the risk outlook, emerging risks and topics with enterprise-wide risk implications.
– The Product Governance Committee has the mandate to ensure that there is appropriate oversight, governance and
coordination of Product Governance in the Group by establishing a cross-risk and holistic perspective of key financial
and non-financial risks associated with products and transactions throughout the lifecycle.
– The Financial Resource Management Council (FRMC) is an ad-hoc governance body, chaired by the Chief Financial Officer
and Chief Risk Officer with delegated authority from the Management Board, to oversee financial crisis management at the
bank. The FRMC provides a single forum to oversee execution of both the Contingency Funding Plan and the Group
60
Deutsche Bank
Annual Report 2020
Risk and capital framework
Risk governance
Recovery Plan. The council recommends upon mitigating actions to be taken in a time of anticipated or actual capital or
liquidity stress. Specifically, the FRMC is tasked with analyzing the bank’s capital and liquidity position, in anticipation of a
stress scenario recommending proposals for capital and liquidity related matters, and ensure execution of decisions.
– The Group Asset & Liability Committee has been established by the Management Board. Its mandate is to optimize the
sourcing and deployment of the bank’s balance sheet and financial resources within the overarching risk appetite set by
the Management Board.
Our Chief Risk Officer (CRO), who is a member of the Management Board, has Group-wide, supra-divisional responsibility for
establishing a risk management framework with appropriate identification, measurement, monitoring, mitigation and reporting
of liquidity, credit, market, business and non-financial risks (including reputational, IT, legal, conduct, compliance as well as
regulatory risks), however frameworks for certain risks are established by other divisions as per the business allocation plan.
The CRO has direct management responsibility for the CRO function. Risk management & control duties in the CRO function
are generally assigned to specialized risk management units focusing on the management of
– Specific risk types
– Risks within a specific business
– Risks in a specific region.
These specialized risk management units generally handle the following core tasks:
– Foster consistency with the risk appetite set by the GRC within a framework established by the Management Board and
applied to Business Divisions;
– Determine and implement risk and capital management policies, procedures and methodologies that are appropriate to
the businesses within each division;
– Establish and approve risk limits;
– Conduct periodic portfolio reviews to keep the portfolio of risks within acceptable parameters; and
– Develop and implement risk and capital management infrastructures and systems that are appropriate for each division.
Chief Risk Officers for each business division, having a holistic view of the respective business, challenge and influence the
divisions’ strategies, risk awareness and ownership as well as their adherence to risk appetite.
The Enterprise Risk Management (ERM) function sets a bank-wide risk management framework seeking to ensure that all
risks at the Group and Divisional level are identified, owned and assessed for materiality. ERM is also responsible for aggre-
gating and analyzing enterprise-wide risk information and concentrations, including review of the risk/return profiles of portfo-
lios to support informed strategic decision-making regarding the effective application of the Bank’s resources. ERM has the
mandate to:
– Manage enterprise risk appetite at Group level, including the framework and methodology as to how appetite is applied
across risk types, divisions, businesses and legal entities;
– Integrate and aggregate risks to provide greater enterprise risk transparency to support decision making;
– Commission forward-looking stress tests and manage Group recovery plans; and
– Govern and improve the effectiveness of the risk management framework.
Compliance protects the Bank’s licenses to operate by establishing a framework to promote and enforce adherence with rules
and regulations. They provide an independent and objective assurance to the Management Board on the adequacy of the
design and effectiveness of the Compliance Risk control framework for the areas for which they have been allocated respon-
sibility.
Anti-Financial-Crime (AFC) sets the framework to prevent money laundering, countering terrorist financing and other criminal
activities (including but not limited to fraud, and bribery and corruption activities) and to ensure compliance with financial and
trade sanctions.
The functions described above have a reporting line to the CRO.
While operating independently from each other and the business divisions, our Finance and Risk functions have the joint
responsibility to quantify and verify the risk that we assume.
61
Deutsche Bank
Annual Report 2020
Risk and capital framework
Risk and capital plan
Risk appetite and capacity
Risk appetite expresses the aggregate level and types of risk that we are willing to assume to achieve our strategic objectives,
as defined by a set of quantitative metrics and qualitative statements. Risk capacity is defined as the maximum level of risk
we can assume given our capital and liquidity base, risk management and control capabilities, and our regulatory constraints.
Risk appetite is an integral element in our business planning processes via our risk strategy and plan, to promote the appro-
priate alignment of risk, capital and performance targets, while at the same time considering risk capacity and appetite con-
straints from both financial and non-financial risks. Compliance of the plan with our risk appetite and capacity is also tested
under stressed market conditions. Top-down risk appetite serves as the limit for risk-taking for the bottom-up planning from
the business functions.
The Management Board reviews and approves our risk appetite and capacity on an annual basis, or more frequently in the
event of unexpected changes to the risk environment, with the aim of ensuring that they are consistent with our Group’s
strategy, business and regulatory environment and stakeholders’ requirements.
In order to determine our risk appetite and capacity, we set different group level triggers and thresholds on a forward looking
basis and define the escalation requirements for further action. We assign risk metrics that are sensitive to the material risks
to which we are exposed and which are able to function as key indicators of financial health. In addition to that, we link our
risk and recovery management governance framework with the risk appetite framework.
Reports relating to our risk profile as compared to our risk appetite and strategy and our monitoring thereof are presented
regularly up to the Management Board. In the event that our desired risk appetite is breached, a predefined escalation gov-
ernance matrix is applied so these breaches are highlighted to the respective committees.
Risk and capital plan
Strategic and capital plan
We conduct annually an integrated strategic planning process which lays out the development of our future strategic direction
for us as a Group and for our business areas. The strategic plan aims to create a holistic perspective on capital, funding and
risk under risk-return considerations. This process translates our long-term strategic targets into measurable short- to medium-
term financial targets and enables intra-year performance monitoring and management. Thereby we aim to identify growth
options by considering the risks involved and the allocation of available capital resources to drive sustainable performance.
Risk-specific portfolio strategies complement this framework and allow for an in-depth implementation of the risk strategy on
portfolio level, addressing risk specifics including risk concentrations.
The strategic planning process consists of two phases: a top-down target setting and a bottom-up substantiation.
In a first phase – the top-down target setting – our key targets for profit and loss (including revenues and costs), capital supply,
capital demand as well as leverage, funding and liquidity are discussed for the group and the key business areas. In this
process, the targets for the next five years are based on our global macro-economic outlook and the expected regulatory
framework. Subsequently, the targets are approved by the Management Board.
In a second phase, the top-down objectives are substantiated bottom-up by detailed business unit plans, which consist of a
month by month operative plan; years two and three are planned per quarter and years four and five are annual plans. The
proposed bottom-up plans are reviewed and challenged by Finance and Risk and are discussed individually with the business
heads. Thereby, the specifics of the business are considered and concrete targets decided in line with our strategic direction.
The bottom-up plans include targets for key legal entities to review local risk and capitalization levels. Stress tests complement
the strategic plan to also consider stressed market conditions.
The resulting Strategic and Capital Plan is presented to the Management Board for discussion and approval. The final plan is
presented to the Supervisory Board.
The Strategic and Capital Plan is designed to support our vision of being a leading German bank with strong European roots
and a global network and aims to ensure:
– Balanced risk adjusted performance across business areas and units;
– High risk management standards with focus on risk concentrations;
– Compliance with regulatory requirements;
– Strong capital and liquidity position; and
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Deutsche Bank
Annual Report 2020
Risk and capital framework
Risk and capital plan
– Stable funding and liquidity strategy allowing for business planning within the liquidity risk appetite and regulatory require-
ments.
The Strategic and Capital Planning process allows us to:
– Set earnings and key risk and capital adequacy targets considering the bank’s strategic focus and business plans;
– Assess our capital adequacy with regard to internal and external requirements (i.e., economic capital and regulatory capi-
tal); and
– Apply appropriate stress test analyses’ to assess the impact on capital demand, capital supply and liquidity.
All externally communicated financial targets are monitored on an ongoing basis in appropriate management committees. Any
projected shortfall versus targets is discussed together with potential mitigating strategies with the aim to ensure that we
remain on track to achieve our targets. Amendments to the strategic and capital plan must be approved by the Management
Board. Achieving our externally communicated solvency targets ensures that we also comply with the solvency ratio-related
Group Supervisory Review and Evaluation Process (SREP) requirements as articulated by our home supervisor.
On December 9, 2019, Deutsche Bank was informed by the ECB of its decision regarding prudential minimum capital require-
ments for 2020 that applied from January 1, 2020 onwards, following the results of the 2019 SREP. The decision acknowl-
edges the progress Deutsche Bank has made since the first SREP assessment in 2016, leading to a decrease in the ECB’s
Pillar 2 Requirement (P2R) from 2.75% to 2.50% of RWA, effective as of January 1, 2020. As a result, Deutsche Bank was
required to maintain a CET 1 ratio of at least 11.58 % on a consolidated basis. This CET 1 capital requirement comprised the
Pillar 1 minimum capital requirement of 4.50 %, the lowered Pillar 2 requirement (SREP add-on) of 2.50 %, the capital con-
servation buffer of 2.50 %, the countercyclical buffer of 0.08 % as of January 1 2020 (subject to changes throughout the year)
and the G-SII buffer requirement of 2.00 %. Correspondingly, 2020 requirements for Deutsche Bank's Tier 1 capital ratio were
at 13.08 % and for its total capital ratio at 15.08 %.
On March 12, 2020, the ECB announced various supervisory measures in reaction to the COVID-19 pandemic. Related to
that, Deutsche Bank was informed by the ECB of its decision to implement Article 104a of the Directive (EU) 2019/878 of the
European Parliament (CRDV) with effect from March 12, 2020. The decision requires Deutsche Bank to fulfill its unchanged
2.50% Pillar 2 requirement (SREP add-on) with at least 56.25 % CET 1, 18.75 % Additional Tier 1 and 25 % Tier 2 capital. As
of December 31, 2020, Deutsche Bank needs to maintain on a consolidated basis a CET 1 ratio of at least 10.42 %, a Tier 1
ratio of at least 12.39 % and a Total Capital ratio of at least 15.02 %. The CET 1 requirement comprises the Pillar 1 minimum
capital requirement of 4.50 %, the Pillar 2 requirement (SREP add-on) of 1.41 %, the capital conservation buffer of 2.50 %,
the countercyclical buffer (subject to changes throughout the year) of 0.02 % and the higher of our G-SII/O-SII buffer of 2.00
%. Correspondingly, the Tier 1 capital requirement includes additionally a Tier 1 minimum capital requirement of 1.50 % plus
a Pillar 2 requirement of 0.47 %, and the Total Capital requirement includes further a Tier 2 minimum capital requirement of
2.00 % and a Pillar 2 requirement of 0.63 %. Also, the ECB communicated to Deutsche Bank that its individual expectation to
hold a further Pillar 2 CET 1 capital add-on, commonly referred to as ‘Pillar 2 guidance’ will be seen as guidance only and –
until further notice – a breach of this guidance will not trigger the need to provide a capital restoration plan or a need to execute
measures to re-build CET 1 capital. The ECB has further communicated that once this period of financial distress is over,
banks will be granted sufficient time to build up the buffers again.
In December 2020 the ECB informed Deutsche Bank that these capital requirements will remain unchanged in 2021 with no
update of requirements as part of the 2020 SREP, for which, in light of the pandemic and the unique economic and financial
situation it has generated, and in line with EBA’s statement of April 22, 2020, the ECB has adopted a “pragmatic approach”,
based on which in principle no new decisions are issued in the 2020 cycle with the 2019 SREP decisions continuing to apply,
amended by the above mentioned additional supervisory measures announced on March 12, 2020
In 2021, Deutsche Bank will participate in the EBA Stress Test 2021 which was postponed from 2020 due to the COVID-19
pandemic. By its standard procedures, the ECB will consider our quantitative performance in the adverse scenario as an input
when reconsidering the level of the Pillar 2 Guidance in its 2021 SREP assessment and our qualitative performance as one
aspect when holistically reviewing the Pillar 2 Requirement. As can be seen from the published adverse macro-economic
scenario and market shock, the banking sector will be tested against the most severe scenario of all European regulatory
stress tests conducted so far.
It should be noted that the Financial Stability Board announced in 2019 that our G-SII buffer will be reduced to 1.5 % effective
from January 1, 2021. This however does not change the Banks’ capital requirements as the O-SII buffer remains at 2.0 %.
Internal Capital Adequacy Assessment Process
Deutsche Bank’s internal capital adequacy assessment process (ICAAP) consists of several well-established components
which ensure that Deutsche Bank maintains sufficient capital to cover the risks to which the bank is exposed on an ongoing
basis:
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Risk and capital framework
Stress testing
– Risk identification and assessment: The risk identification process forms the basis of the ICAAP and results in an inventory
of risks for the Group. All risks identified are assessed for their materiality. Further details can be found in section “Risk
identification and assessment”.
– Capital demand/risk measurement: Risk measurement methodologies and models are applied to quantify the regulatory
and economic capital demand which is required to cover all material risks except for those which cannot be adequately
limited by capital e.g. liquidity risk. Further details can be found in sections “Risk profile” and “Capital, Leverage Ratio,
TLAC and MREL”.
– Capital supply: Capital supply quantification refers to the definition of available capital resources to absorb unexpected
losses. Further details can be found in sections “Capital, Leverage Ratio, TLAC and MREL” and “Economic Capital Ade-
quacy”.
– Risk appetite: Deutsche Bank has established a set of qualitative statements, quantitative metrics and thresholds which
express the level of risk that we are willing to assume to achieve our strategic objectives. Threshold breaches are subject
to a dedicated governance framework triggering management actions aimed to safeguard capital adequacy. Further details
can be found in sections “Risk appetite and capacity” and “Key risk metrics”.
– Capital planning: The risk appetite thresholds for capital adequacy metrics constitute boundaries which have to be met in
the strategic plan to safeguard capital adequacy on a forward-looking basis. Further details can be found in section “Stra-
tegic and capital plan”.
– Stress testing: Capital plan figures are also considered under various stress test scenarios to prove resilience and overall
viability of the bank. Regulatory and economic capital adequacy metrics are also subject to regular stress tests throughout
the year to constantly evaluate Deutsche Bank’s capital position in hypothetical stress scenarios and to detect vulnerabili-
ties under stress. Further details can be found in section “Stress testing”.
– Capital adequacy assessment: Although capital adequacy is constantly monitored throughout the year, the ICAAP con-
cludes with a dedicated annual capital adequacy assessment (CAS). The assessment consists of a Management Board
statement about Deutsche Bank’s capital adequacy, which is linked to specific conclusions and management actions to be
taken to safeguard capital adequacy on a forward-looking basis.
As part of its ICAAP, Deutsche Bank distinguishes between a normative and economic internal perspective. The normative
internal perspective refers to a multi-year assessment of the ability to fulfil all capital-related legal requirements and supervi-
sory demands on an ongoing basis under a baseline and adverse scenario. The economic internal perspective refers to an
internal process aimed at capital adequacy using internal economic capital demand models and an internal economic capital
supply definition. Both perspectives focus on maintaining the continuity of Deutsche Bank on an ongoing basis.
Stress testing
Deutsche Bank has implemented a stress test framework to satisfy internal as well as external stress test requirements. The
internal stress tests are based on in-house developed methods and inform a variety of risk management use cases (risk type
specific as well as cross risk). Internal stress tests form an integral part of our risk management framework complementing
traditional risk measures. The cross-risk stress test framework, the Group Wide Stress Test Framework (GWST), serves a
variety of bank management processes, in particular the strategic planning process, the ICAAP, the risk appetite framework
and capital allocation. Capital plan stress testing is performed to assess the viability of our capital plan in adverse circum-
stances and to demonstrate a clear link between risk appetite, business strategy, capital plan and stress testing. The regulatory
stress tests, e.g. the EBA stress test and the US-based CCAR (Comprehensive Capital Analysis and Review) stress tests,
are strictly following the processes and methodologies as prescribed by the regulatory authorities.
Our internal stress tests are performed on a regular basis in order to assess the impact of a severe economic downturn as
well as adverse bank-specific events on our risk profile and financial position. Our stress testing framework comprises regular
sensitivity-based and scenario-based approaches addressing different severities and localizations. We include all material risk
types into our stress testing activities. These activities are complemented by portfolio- and country-specific downside analysis
as well as further regulatory requirements, such as annual reverse stress tests and additional stress tests requested by our
regulators on group or legal entity level. Our methodologies undergo regular scrutiny from Deutsche Bank’s internal validation
team (Model Risk Management) whether they correctly capture the impact of a given stress scenario.
The initial phase of our cross-risk stress test consists of defining a macroeconomic downturn scenario by ERM Risk Research
in cooperation with business specialists. ERM Risk Research monitors the political and economic development around the
world and maintains a macro-economic heat map that identifies potentially harmful scenarios. Based on quantitative models
and expert judgments, economic parameters such as foreign exchange rates, interest rates, GDP growth or unemployment
rates are set accordingly to reflect the impact on our business. The scenario parameters are translated into specific risk drivers
by subject matter experts in the risk units. Based on our internal models framework for stress testing, the following major
metrics are calculated under stress: risk-weighted assets, impacts on profit and loss and economic capital by risk type. These
results are aggregated at the Group level, and key metrics such as the CET 1 ratio, ECA ratio, MREL ratio and Leverage Ratio
under stress are derived. Stress impacts on the Liquidity Coverage Ratio (LCR) and the Liquidity Reserve are also considered.
The time-horizon of internal stress tests is between one and five years, depending on the use case and scenario assumptions.
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Risk measurement and reporting systems
The Enterprise Risk Committee (ERC) reviews the final stress results. After comparing these results against our defined risk
appetite, the ERC also discusses specific mitigation actions to remediate the stress impact in alignment with the overall stra-
tegic and capital plan if certain limits are breached. The results also feed into the recovery planning which is crucial for the
recoverability of the Bank in times of crisis. The outcome is presented to senior management up to the Management Board to
raise awareness on the highest level as it provides key insights into specific business vulnerabilities and contributes to the
overall risk profile assessment of the bank.
The group wide stress tests performed in 2020 indicated that the bank’s capitalization together with available mitigation
measures as defined in the Group Recovery Plan allow it to reach the internally set stress exit level.
The cross-risk reverse stress test leverages the GWST framework and is typically performed annually in order to challenge
our business model by determining scenarios which would cause us to become unviable. Such a reverse stress test is based
on a hypothetical macroeconomic scenario enriched by idiosyncratic events based on the top risks monitored by each risk
type. Comparing such a hypothetical scenario resulting in the Bank’s non-viability to the current economic environment, we
consider the probability of occurrence of such a hypothetical stress scenario as extremely low. Given this, we do not believe
that our business continuity is at risk.
In 2020, we have further strengthened our framework through the following initiatives:
-
-
Roll out and implementation of ‘Consensus’ based macro forecasts for our internal stress test baseline scenarios
Link the stress testing platform with the capital application tool to better capture second order effects.
In addition to the GWST that includes all material risk types and major revenue streams, we have individual stress test pro-
grams in place for all relevant risk metrics in line with regulatory requirements. For the relevant stress test programs we refer
to the sections describing the individual risk management methods.
Deutsche Bank also took part in the US-based CCAR stress test, as implemented pursuant to the US Dodd-Frank Act. The
Federal Reserve (FRB) publicly disclosed that it did not object to the capital plans submitted by DB USA Corporation and
DWS USA Corporation.
GWST framework of Deutsche Bank Group
Finance:
Capital plan
ERM Risk
Research:
Scenario definition
Research defines
scenario with several
risk parameters such
as FX, interest rates,
growth, etc.
Risk Units:
Parameter translation
Risk Units:
Calculation engines
Scenario parameters
are translated into
risk-specific drivers
Teams run risk-
specific calculation
engines to arrive at
stressed results
Central Function:
Calculation of
aggregated impact
Central Function:
Comparison against
risk appetite
Calculation of
aggregated stress
impact based on
capital plan for
several metrics such
as RWA, CET1, etc.
Stress results are
compared against
risk appetite and in
case of breaches
mitigation actions
are considered
Senior
Management:
No action required
Senior
Management:
Actions
Strategic decision
on adequate risk
mitigation or
reduction from a
catalogue of pre-
determined
alternatives
Risk measurement and reporting systems
Our risk measurement systems support regulatory reporting and external disclosures, as well as internal management report-
ing across credit, market, liquidity, cross, business, operational and reputational risks. The risk infrastructure incorporates the
relevant legal entities and business divisions and provides the basis for reporting on risk positions, capital adequacy and limit,
threshold or target utilization to the relevant functions on a regular and ad-hoc basis. Established units within Finance and the
Risk-Function assume responsibility for measurement, analysis and reporting of risk while promoting sufficient quality and
integrity of risk-related data. Our risk management systems are reviewed by Group Audit following a risk-based audit approach.
Deutsche Bank’s reporting is an integral part of Deutsche Bank’s risk management approach and as such aligns with the
organizational setup by delivering consistent information on Group level and for material legal entities as well as breakdowns
by risk types, business division and material business units.
The following principles guide Deutsche Bank’s “risk measurement and reporting” practices:
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Risk and capital framework
Recovery and resolution planning
– Deutsche Bank monitors risks taken against risk appetite and risk-reward considerations on various levels across the
Group, e.g. Group, business divisions, material business units, material legal entities, risk types, portfolio and counterparty
levels.
– Risk reporting is required to be accurate, clear, useful and complete and must convey reconciled and validated risk data to
communicate information in a concise manner to ensure, across material Financial and Non-Financial Risks, the bank’s
risk profile is clearly understood.
– Senior risk committees, such as the Enterprise Risk Committee (ERC) and the Group Risk Committee (GRC), as well as
the Management Board who are responsible for risk and capital management receive regular reporting (as well as ad-hoc
reporting as required).
– Dedicated teams within Deutsche Bank proactively manage material Financial and Non-Financial Risks and must ensure
that required management information is in place to enable proactive identification and management of risks and avoid
undue concentrations within a specific Risk Type and across risks (Cross-Risk view).
In applying the previously mentioned principles, Deutsche Bank maintains a common basis for all risk reports and aims to
minimize segregated reporting efforts to allow Deutsche Bank to provide consistent information, which only differs by granu-
larity and audience focus.
The Bank identifies a large number of metrics within its risk measurement systems which support regulatory reporting and
external disclosures, as well as internal management reporting across risks and for material risk types. Deutsche Bank des-
ignates a subset of those as “Key Risk Metrics” that represent the most critical ones for which the Bank places an appetite,
limit, threshold or target at Group level and / or are reported routinely to senior management for discussion or decision making.
The identified Key Risk Metrics include Capital Adequacy and Liquidity metrics; further details can be found in the section
“Key risk metrics”.
While a large number of reports are used across the Bank, Deutsche Bank designates a subset of these as “Key Risk Reports”
that are critical to support Deutsche Bank’s Risk Management Framework through the provision of risk information to senior
management and therefore enable the relevant governing bodies to monitor, steer and control the Bank’s risk taking activities
effectively.
The main reports on risk and capital management that are used to provide Deutsche Bank’s central governance bodies with
information relating to the Group risk profile are the following:
– The monthly Risk and Capital Profile (RCP) report is a Cross-Risk report, provides a comprehensive view of Deutsche
Bank’s risk profile and is used to inform the ERC, the GRC as well as the Management Board and subsequently the Risk
Committee of the Supervisory Board. The RCP includes Risk Type specific and Business-Aligned overviews and Enter-
prise-wide risk topics. It also includes updates on Key Group Risk Appetite Metrics and other Key Portfolio Risk Type
Control Metrics as well as updates on Key Risk Developments, highlighting areas of particular interest with updates on
corresponding risk management strategies.
– The Weekly Risk Report (WRR) is a weekly briefing covering high-level topical issues across key risk areas and is submit-
ted every Friday to the Members of the ERC, the GRC and the Management Board and subsequently to the Members of
the Risk Committee of the Supervisory Board. The WRR is characterized by the ad-hoc nature of its commentary as well
as coverage of themes and focuses on more volatile risk metrics.
– Group-wide macroeconomic stress tests are typically performed twice per quarter (or more frequently if required). They are
reported to and discussed in the ERC and escalated to the GRC if deemed necessary. The stressed key performance
indicators are benchmarked against the Group Risk Appetite thresholds.
While the above reports are used at a Group level to monitor and review the risk profile of Deutsche Bank holistically, there
are other, supplementing standard and ad-hoc management reports, including for Risk Types or Focus Portfolios, which are
used to monitor and control the risk profile.
Recovery and resolution planning
The Bank Recovery and Resolution Directive (BRRD) was introduced in 2014 and updated in 2019 to reduce the likelihood of
another financial crisis, enhance the resilience of institutions under stress, and eventually support the long term stability of the
financial systems without exposing taxpayers’ money to losses.
In line with the BRRD and relevant German law Sanierungs- und Abwicklungsgesetz (SAG), we introduce and continuously
improve a recovery and resolution planning framework designed to anticipate, identify, mitigate and manage in a timely and
coordinated manner the impact of adverse events on the Group and its ability to continue as a going concern.
The 2020 refresh of our Group recovery plan shows a well-established recovery planning framework and reflects targeted
enhancements to address the latest regulatory feedback. Updates in this iteration of the plan include the following:
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Risk and capital framework
Recovery and resolution planning
– The Recovery governance reflects the changes in the infrastructure and business functions, to facilitate a swift communi-
cation and transition between “business-as-usual” and “crisis” governing bodies;
– All recovery metrics levels have been aligned to the new Group risk appetite and regulatory guidance, integrating the Net
Stable Funding Ratio (NSFR) and new early warning metrics to further improve our capacity to anticipate severe crisis, e.g.
new metrics focusing on profitability; and
– The updated overall recovery capacity has been assessed against a COVID-19 severe stress scenario and is deemed
sufficient to withstand severe capital and liquidity stress scenarios as per BRRD requirement.
Similarly to previous years, the 2020 Group recovery plan has been prepared with the joint effort of Risk, Finance and the
business Divisions teams, with the oversight of the Management Board who is responsible for its approval and submission to
the authority.
The Group resolution plan on the other hand is prepared by the resolution authorities, rather than by the bank itself. We work
closely with the Single Resolution Board (SRB) and the Bundesanstalt für Finanzdienstleistungsaufsicht (“BaFin”) who estab-
lish the Group resolution plan for Deutsche Bank, which is currently based on a single point of entry (SPE) bail-in as the
preferred resolution strategy. Under the SPE bail-in strategy, the parent entity Deutsche Bank AG would be recapitalized
through a write-down and/or conversion to equity of capital instruments (Common Equity Tier 1, Additional Tier 1, Tier 2) and
other eligible liabilities in order to stabilize the Group. Within one month after the application of the bail-in tool to recapitalize
an institution, the BRRD (as implemented in the SAG) requires such institution to prepare a business reorganization plan,
addressing the causes of failure and aiming to restore the institution's long-term viability. To further support and improve
operational continuity of the bank for resolution planning purposes, DB has largely completed additional preparations, such
as adding termination stay clauses into client financial agreements governed by non-EU law and including continuity provisions
into key service agreements. Financial contracts and service agreements governed by EU law are already covered by statutory
laws which prevent termination solely due to any resolution measure.
The BRRD requires banks in EU member states to maintain minimum requirements for own funds and eligible liabilities
(MREL) to make resolution credible by establishing sufficient loss absorption and recapitalization capacity. Apart from MREL-
requirements, Deutsche Bank, as a global systemically important bank, is subject to global minimum standards for Total Loss-
Absorbing Capacity (TLAC), which set out strict requirements for the amount and eligibility of instruments to be maintained for
bail-in purposes. In particular, TLAC instruments must be subordinated (including so-called senior “non-preferred” debt, but
also in the form of regulatory capital instruments) to other senior liabilities. This ensures that a bail-in would be applied first to
equity and TLAC instruments, which must be exhausted before a bail-in may affect other senior (“preferred”) liabilities such
as deposits, derivatives, debt instruments that are “structured” and senior preferred plain vanilla bonds.
In the United States, Deutsche Bank AG is required under Title I of the Dodd-Frank Wall Street Reform and Consumer Pro-
tection Act (the “Dodd-Frank Act”), as amended, to prepare and submit to the Federal Reserve Board and the Federal Deposit
Insurance Corporation (“FDIC”) either a full or targeted resolution plan (the “U.S. Resolution Plan”) on a timeline prescribed
by such agencies. The U.S. Resolution Plan must demonstrate that Deutsche Bank AG has the ability to execute and imple-
ment a strategy for the orderly resolution of its designated material U.S. entities and operations. For foreign-based companies
subject to these resolution planning requirements such as Deutsche Bank AG, the U.S. Resolution Plan relates only to sub-
sidiaries, branches, agencies and businesses that are domiciled in or whose activities are carried out in whole or in material
part in the United States.
Deutsche Bank AG filed its most recent full U.S. Resolution Plan in June 2018. The 2018 U.S. Resolution Plan described the
single point of entry strategy for Deutsche Bank’s U.S. operations and prescribed how DB USA Corporation would provide
liquidity and capital support to its U.S. material entity subsidiaries and ensure their solvent wind-down outside of applicable
resolution proceedings. In December 2018, Deutsche Bank received regulatory feedback from the Federal Reserve Board
and FDIC, which found that Deutsche Bank’s U.S. Resolution Plan had no deficiencies but identified one shortcoming in the
plan, associated with governance mechanisms and related escalation triggers. Subsequent to the aforementioned feedback,
Deutsche Bank was required by the Federal Reserve Board and FDIC to demonstrate in a targeted submission that the
shortcoming had been remediated. In accordance with Federal Reserve Board and FDIC requirements, Deutsche Bank AG
filed this targeted submission in September 2020. In December 2020, the Federal Reserve Board and FDIC confirmed that
the shortcoming had been remediated. Following this submission, Deutsche Bank’s next targeted and full U.S. Resolution
Plans are due in 2021 and 2024, respectively.
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Risk and capital management
Resource limit setting
Risk and capital management
Capital management
Our Treasury function manages solvency, capital adequacy, leverage and bail-in capacity ratios at Group level and locally in
each region, as applicable. Treasury implements our capital strategy, which itself is developed by the Group Risk Committee
and approved by the Management Board. Treasury, directly or through the Group Asset and Liability Committee, manages,
among other things, issuance and repurchase of shares and capital instruments, hedging of capital ratios against foreign
exchange swings, setting capacities for key financial resources, design of shareholders’ equity allocation, and regional capital
planning. We are fully committed to maintaining our sound capitalization both from an economic and regulatory perspective.
We continuously monitor and adjust our overall capital demand and supply in an effort to achieve an appropriate balance of
the economic and regulatory considerations at all times and from all perspectives. These perspectives include book equity
based on IFRS accounting standards, regulatory and economic capital as well as specific capital requirements from rating
agencies.
Treasury manages the issuance and repurchase of capital instruments, namely Common Equity Tier 1, Additional Tier 1 and
Tier 2 capital instruments as well as TLAC/MREL eligible debt instruments. Treasury constantly monitors the market for liability
management trades. Such trades represent a countercyclical opportunity to create Common Equity Tier 1 capital by buying
back our issuances below par.
Treasury manages the sensitivity of our capital ratios against swings in currencies. For this purpose, Treasury determines
which currencies are to be hedged, develops suitable hedging strategies in close cooperation with Risk Management and
finally executes these hedges. The capital invested into our foreign subsidiaries and branches in our core currencies Euro,
US Dollar, Chinese Renminbi and Pound Sterling is not hedged in order to balance respective effects from movements in
capital deduction items and risk weighted assets. The capital invested in non-core currencies is either partly hedged taking
capital demand into account or fully hedged.
Resource limit setting
Usage of key financial resources is influenced through the following governance processes and incentives.
Target resource capacities are reviewed in our annual strategic plan in line with our CET 1 and Leverage Ratio ambitions. As
a part of our quarterly process, the Group Asset and Liability Committee approves divisional resource limits for total capital
demand (defined as the sum of Risk Weighted Assets (RWA) and certain RWA equivalents of Capital Deduction Items) and
leverage exposure that are based on the strategic plan but adjusted for market conditions and the short-term outlook. Limits
are enforced through a close monitoring process and an excess charging mechanism.
Overall regulatory capital requirements are principally driven by either our CET 1 ratio (solvency) or leverage ratio (leverage)
requirements, whichever is the more binding constraint. For the internal capital allocation, the combined contribution of each
segment to the Group’s Common Equity Tier 1 ratio, the Group’s Leverage ratio and the Group’s Capital Loss under Stress
are weighted to reflect their relative importance and level of constraint to the Group. Contributions to the Common Equity
Tier 1 ratio and the Leverage ratio are measured through RWA and Leverage Ratio Exposure (LRE). The Group’s Capital
Loss under Stress is a measure of the Group’s overall economic risk exposure under a defined stress scenario. Goodwill and
other intangible assets are directly allocated to the respective segments, supporting the calculation of the allocated tangible
shareholders equity and the respective rate of return.
Most of our subsidiaries and a number of our branches are subject to legal and regulatory capital requirements. In developing,
implementing and testing our capital and liquidity, we fully take such legal and regulatory requirements into account. Any
material capital requests of our branches and subsidiaries across the globe are presented to and approved by the Group
Investment Committee prior to execution.
Further, Treasury is represented on the Investment Committee of the largest Deutsche Bank pension fund which sets the
investment guidelines for this fund. This representation is intended to ensure that pension assets are aligned with pension
liabilities, thus protecting our capital base.
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Risk and capital management
Credit risk management and asset quality
Risk identification and assessment
We regularly identify risks to our business’ and infrastructure’s operations, also under stressed conditions, and assess the
materiality of identified risks with respect to their severity and likelihood of materialization. The process incorporates input from
both first line and second line of defense. The assessment of current risks is complemented by a view on emerging risks
applying a forward-looking perspective. This risk identification and assessment process results in our risk inventory which
captures the material risks across relevant businesses and entities. Regular updates to the risk inventory are reported to
senior management together with the risk profile and inform our risk management processes.
This framework provides the basis, on which we can aggregate risks for the Group across businesses and entities. The re-
sulting inventory of risks, after review and challenge by senior management, informs key risk management processes including
the development of stress scenarios tailored to Deutsche Bank’s risk profile, the calibration of risk appetite and risk profile
monitoring and reporting. Risks in the inventory are also mapped to the following risk types as part of the risk type taxonomy:
credit risk, market risk, operational risk, liquidity risk, business risk, reputational risk and cross risk.
Credit risk management and asset quality
Credit risk framework
Credit Risk arises from all transactions where actual, contingent or potential claims against any counterparty, borrower, obligor
or issuer (which we refer to collectively as “counterparties”) exist, including those claims that we plan to distribute. These
transactions are typically part of our non-trading lending activities (such as loans and contingent liabilities) as well as our direct
trading activity with clients (such as OTC derivatives). These also include traded bonds and debt securities. Carrying values
of equity investments are also disclosed in our Credit Risk section. We manage the respective positions within our market risk
and credit risk frameworks.
Based on the Risk Type Taxonomy, Credit Risk is grouped into five categories, namely default/ migration risk, country risk,
transaction/settlement risk (exposure risk), mitigation (failure) risk and concentration risk. This is complemented by a regular
risk identification and materiality assessment.
– Default/Migration Risk as the main element of credit risk, is the risk that a counterparty defaults on its payment obligations
or experiences material credit quality deterioration increasing the likelihood of a default.
– Country Risk is the risk that otherwise solvent and willing counterparties are unable to meet their obligations due to direct
sovereign intervention or policies.
– Transaction/Settlement Risk (Exposure Risk) is the risk that arises from any existing, contingent or potential future positive
exposure.
– Mitigation Risk is the risk of higher losses due to risk mitigation measures not performing as anticipated.
– Concentration Risk is the risk of an adverse development in a specific single counterparty, country, industry or product
leading to a disproportionate deterioration in the risk profile of Deutsche Bank’s credit exposures to that counterparty,
country, industry or product.
We manage our credit risk using the following philosophy and principles:
– Our Credit Risk Management function is independent from our business divisions and in each of our divisions, credit deci-
sion standards, processes and principles are consistently applied.
– A key principle of credit risk management is client credit due diligence. Our client selection is achieved in collaboration with
our business division counterparts who stand as a first line of defense.
– We aim to prevent undue concentration and tail-risks (large unexpected losses) by maintaining a diversified credit portfolio.
Client, industry, country and product-specific concentrations are assessed and managed against our risk appetite.
– We maintain underwriting standards aiming to avoid large undue credit risk on a counterparty and portfolio level. In this
regard we extend unsecured cash positions and actively use hedging for risk mitigation purposes. Additionally, we strive
to secure our derivative portfolio through collateral agreements and may additionally hedge concentration risks to further
mitigate credit risks from underlying market movements.
– Every new credit facility and every extension or material change of an existing credit facility (such as its tenor, collateral
structure or major covenants) to any counterparty requires credit approval at the appropriate authority level. We assign
credit approval authorities to individuals according to their qualifications, experience and training, and we review these
periodically.
– We manage all our credit exposures to each obligor across our consolidated Group on the basis of the “one obligor princi-
ple” (as required under CRR Article 4(1)(39)), under which all facilities to a group of borrowers which are linked to each
other (for example by one entity holding a majority of the voting rights or capital of another) are consolidated under one
group.
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Credit risk management and asset quality
– We have established within Credit Risk Management – where appropriate – specialized teams for deriving internal client
ratings, analyzing and approving transactions, monitoring the portfolio or covering workout clients. For transaction approval
purposes, structured credit risk management teams are aligned to the respective lending business areas.
– Where required, we have established processes to report credit exposures at legal entity level.
Measuring credit risk
Credit Risk is measured by credit rating, regulatory and internal capital demand and key credit metrics mentioned below.
The credit rating is an essential part of the Bank’s underwriting and credit process and builds the basis for risk appetite deter-
mination on a counterparty and portfolio level, credit decision and transaction pricing as well the determination of regulatory
capital demand for credit risk. Each counterparty must be rated and each rating has to be reviewed at least annually. Ongoing
monitoring of counterparties helps keep ratings up-to-date. There must be no credit limit without a credit rating. For each credit
rating the appropriate rating approach has to be applied and the derived credit rating has to be established in the relevant
systems. Different rating approaches have been established to best reflect the specific characteristics of exposure classes,
including central governments and central banks, institutions, corporates and retail.
Counterparties in our non-homogenous portfolios are rated by our independent Credit Risk Management function. Country
risk related ratings are provided by ERM Risk Research.
Our rating analysis is based on a combination of qualitative and quantitative factors. When rating a counterparty we apply in-
house assessment methodologies, scorecards and our 21-grade rating scale for evaluating the credit-worthiness of our coun-
terparties.
Changes to existing credit models and introduction of new models are approved by the Regulatory Credit Risk Model Com-
mittee (RCRMC) chaired by the Head of CRM before the models are used for credit decisions and capital calculation for the
first time or before they are significantly changed. Separately, an approval by the Head of Model Risk Management is required.
Where appropriate, less significant changes can be approved by a delegate of either function under a delegated authority.
Proposals with high impact are recommended for approval to the Group Risk Committee. Regulatory approval may also be
required. The model validation is performed independently of model development by Model Risk Management. The results of
the regular validation processes as stipulated by internal policies are brought to the attention of the Regulatory Credit Risk
Model Forum (RCRMF) and the RCRMC, even if the validation results do not lead to a change.
We measure risk-weighted assets to determine the regulatory capital demand for credit risk using “advanced”, “foundation”
and “standard” approaches of which advanced and foundation are approved by our regulator.
The advanced Internal Ratings Based Approach (IRBA) is the most sophisticated approach available under the regulatory
framework for credit risk and allows us to make use of our internal credit rating methodologies as well as internal estimates of
specific further risk parameters. These methods and parameters represent long-used key components of the internal risk
measurement and management process supporting the credit approval process, the economic capital and expected loss
calculation and the internal monitoring and reporting of credit risk. The relevant parameters include the probability of default
(PD), the loss given default (LGD) and the maturity (M) driving the regulatory risk-weight and the credit conversion factor
(CCF) as part of the regulatory exposure at default (EAD) estimation. For the majority of derivative counterparty exposures as
well as securities financing transactions (SFT), we make use of the internal model method (IMM) in accordance with CRR and
SolvV to calculate EAD. For most of our internal rating systems more than seven years of historical information is available to
assess these parameters. Our internal rating methodologies aim at point-in-time rather than a through-the-cycle rating, but in
line with regulatory solvency requirements, they are calibrated based on long-term averages of observed default rates.
The foundation IRBA is an approach available under the regulatory framework for credit risk allowing institutions to make use
of their internal rating methodologies while using pre-defined regulatory values for all other risk parameters. Parameters sub-
ject to internal estimates include the PD while the LGD and the CCF are defined in the regulatory framework. Foundation IRBA
remains in place for some exposures stemming from ex-Postbank.
We apply the standardized approach to a subset of our credit risk exposures. The standardized approach measures credit
risk either pursuant to fixed risk weights, which are predefined by the regulator, or through the application of external ratings.
We assign certain credit exposures permanently to the standardized approach in accordance with Article 150 CRR. These
are predominantly exposures to the Federal Republic of Germany and other German public sector entities as well as expo-
sures to central governments of other European Member States that meet the required conditions. These exposures make up
the majority of the exposures carried in the standardized approach and receive predominantly a risk weight of zero percent.
For internal purposes, however, these exposures are subject to an internal credit assessment and fully integrated in the risk
management and economic capital processes.
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Credit risk management and asset quality
In addition to the above described regulatory capital demand, we determine the internal capital demand for credit risk via an
economic capital model.
We calculate economic capital for the default risk, country risk and settlement risk as elements of credit risk. In line with our
economic capital framework, economic capital for credit risk is set at a level to absorb with a probability of 99.9 % very severe
aggregate unexpected losses within one year. Our economic capital for credit risk is derived from the loss distribution of a
portfolio via Monte Carlo Simulation of correlated rating migrations. The loss distribution is modeled in two steps. First, indi-
vidual credit exposures are specified based on parameters for the probability of default, exposure at default and loss given
default. In a second step, the probability of joint defaults is modeled through the introduction of economic factors, which
correspond to geographic regions and industries. The simulation of portfolio losses is then performed by an internally devel-
oped model, which takes rating migration and maturity effects into account. Effects due to wrong-way derivatives risk (i.e., the
credit exposure of a derivative in the default case is higher than in non-default scenarios) are modeled by applying our own
alpha factor when deriving the exposure at default for derivatives and securities financing transactions under the CRR. We
allocate expected losses and economic capital derived from loss distributions down to transaction level to enable management
on transaction, customer and business level.
Besides the credit rating which is the key credit risk metric we apply for managing our credit portfolio, including transaction
approval and the setting of risk appetite, we establish credit limits for all credit exposures. Credit limits set forth maximum
credit exposures we are willing to assume over specified periods. In determining the credit limit for a counterparty, we consider
the counterparty’s credit quality by reference to our internal credit rating. Credit limits and credit exposures are both measured
on a gross and net basis where net is derived by deducting hedges and certain collateral from respective gross figures. For
derivatives, we look at current market values and the potential future exposure over the relevant time horizon which is based
upon our legal agreements with the counterparty. We generally also take into consideration the risk-return characteristics of
individual transactions and portfolios. Risk-Return metrics explain the development of client revenues as well as capital con-
sumption. In this regard we also look at the client revenues in relation to the balance sheet consumption.
IFRS 9 Impairment Approach
The impairment requirements of IFRS 9 apply to all credit exposures that are measured at amortized cost or fair value through
other comprehensive income and to off balance sheet lending commitments, such as loan commitments and financial guar-
antees. For purposes of our impairment approach, we refer to these instruments as financial assets.
The Group determines its credit loss allowances in accordance with IFRS 9 as follows:
– Stage 1 reflects financial instruments where it is assumed that credit risk has not increased significantly after initial recog-
nition.
– Stage 2 contains all financial assets, that are not defaulted, but have experienced a significant increase in credit risk since
initial recognition.
– Stage 3 consists of financial assets of clients which are defaulted in accordance of Capital Requirements Regulation (CRR)
under Art. 178. The Group defines these financial assets as impaired.
– Significant increase in Credit Risk is determined using quantitative and qualitative information based on the Group’s his-
torical experience, credit risk assessment and forward-looking information.
– Purchased or Originated Credit Impaired (“POCI”) financial assets are assets where at the time of initial recognition there
is objective evidence of impairment.
The IFRS 9 impairment approach is an integral part of the Group’s Credit Risk Management. The estimation of ECL (Expected
Credit Loss) which is the basis for the Group’s credit loss allowance is either performed via the automated ECL calculation
using the Group’s ECL engine or determined by Credit Officers. In both cases, the calculation takes place for each financial
asset individually. Similarly, the determination of the need to transfer between stages is made on an individual asset basis.
The Group ECL engine is used to calculate the credit loss allowance for all financial assets in the homogeneous portfolio, for
all financial assets in the non-homogenous portfolios in Stage 1 and Stage 2. For every individual financial asset the credit
loss allowance in our non-homogeneous portfolio in Stage 3 and for POCI assets is determined by Credit Officers.
The Group uses three main components to measure ECL. These are Probability of Default (PD), Loss Given Default (LGD)
and Exposure at Default (EAD). The Group leveraged existing parameters used for determination of capital demand under
the Basel Internal Ratings Based Approach and internal risk management practices as much as possible to calculate ECL.
These parameters are adjusted where necessary to comply with IFRS 9 requirements (e.g. use of point in time ratings and
removal of downturn elements in the regulatory parameters). Incorporating forecasts of future economic conditions into the
measurement of expected credit losses influences the allowance for credit losses in Stage 1 and 2. In order to calculate lifetime
expected credit losses, the Group’s calculation includes deriving the corresponding lifetime PDs from migration matrices that
reflect economic forecasts.
For details on the Group’s accounting policy related to IFRS 9 Impairment, please refer to Note 1 - Significant Accounting
Policies and Critical Accounting Estimates of the Consolidated Financial Statements.
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Stage Determination
At initial recognition, financial assets which are not POCI are reflected in Stage 1. If there is a significant increase in credit
risk, the financial asset is transferred to Stage 2. A significant increase in credit risk is determined by using rating-related and
process-related indicators. In contrast, the assignment of financial assets to Stage 3 is based on the status of the obligor being
in default (i.e. in case of default, all financial assets of the obligor are transferred to Stage 3). The Group has not changed
existing stage trigger mechanics and rules due to COVID-19 with following exeptions: EBA compliant moratoria and conces-
sions granted to clients whose credit standing would not be significantly affected by COVID-19. In accordance with the EBA
guidance, delayed payments of interest and principle to such clients would not trigger stage migration or a default. Forbear-
ance measures granted to clients with financial difficulties triggered by COVID-19 assuming that the respective business
model and the financial situation will allow a rapid stabilization after the crisis, would not trigger a stage migration.
Rating-related indicators: Based on a dynamic change in counterparty PDs that is linked to all transactions with the counter-
party, the Group compares lifetime PD at the reporting date, with lifetime PD expectations at the date of initial recognition.
Based on historically observed migration behavior and a sampling of different economic scenarios, a lifetime PD distribution
is obtained. A quantile of this distribution, which is defined for each counterparty class, is chosen as the lifetime PD threshold.
If the remaining lifetime PD of a transaction according to current expectations exceeds this threshold, the financial asset
experienced a significant increase in credit risk and is transferred to Stage 2. The quantiles used to define Stage 2 thresholds
are determined using expert judgment, are validated annually and have not changed as a result of COVID-19. The threshold
applied varies depending on the original credit quality of the borrower, past lifetime, remaining lifetime and counterparty class.
Process-related Indicators: Process-related indicators are derived via the use of existing risk management indicators, which
allow the Group to identify whether the credit risk of financial assets has significantly increased. These include obligors being
added mandatorily to a credit watchlist, being mandatorily transferred to workout status, payments being 30 days or more
overdue or in forbearance. Aligned to the Group, former Postbank indicators consist of credit watchlist, which include clients
with workout status and forbearance measures, and payments being 30 days or more overdue.
As long as the conditions for one or more of the process-related or rating-related indicators is fulfilled and the obligor of the
financial asset has not met the definition of default, the asset will remain in Stage 2. If the indicators are no longer fulfilled and
the financial asset is not defaulted, the financial asset transfers back to Stage 1. If the obligor defaults, all financial assets of
the obligor are allocated to Stage 3. If at a later date a previously defaulted financial asset ceases to be classified as defaulted,
it transfers back to Stage 2 or Stage 1, when probation periods defined by regulatory guidance are met.
The expected credit loss calculation for Stage 3 distinguishes between transactions in homogeneous and non-homogenous
portfolios, and POCI financial assets. For transactions that are in Stage 3 and in a homogeneous portfolio, the Group uses
the ECL engine to determine the credit loss allowance. Whereas the credit loss allowance for non-homogeneous portfolios in
Stage 3, as well as for POCI assets are determined by Credit Officers. Since a Stage 3 transaction is defaulted, the probability
of default is equal to 100 %. To incorporate the currently available information, the LGD parameters are modelled to be time-
dependent, thus capture the time dependency of recovery expectation after default.
Estimation Techniques for Input Factors
The one-year PD for counterparties is derived from our internal rating systems. The Group assigns a PD to each relevant
counterparty credit exposure based on a 21-grade master rating scale for all of our exposure.
The counterparty ratings assigned are derived based on internally developed rating models which specify consistent and
distinct customer-relevant criteria and assign a rating grade based on a specific set of criteria as given for a certain customer.
The set of criteria is generated from information sets relevant for the respective customer segments including general customer
behavior, financial and external data. The methods in use range from statistical scoring models to expert-based models taking
into account the relevant available quantitative and qualitative information. Expert-based models are usually applied for coun-
terparties in the exposure classes “Central governments and central banks”, “Institutions” and “Corporates” with the exception
of those “Corporates” segments for which sufficient data basis is available for statistical scoring models. For the latter as well
as for the retail segment statistical scoring or hybrid models combining both approaches are commonly used. Quantitative
rating methodologies are developed based on applicable statistical modelling techniques, such as logistic regression.
One-year PDs are extended to multi-year PD curves using through-the-cycle (TTC) matrices and macroeconomic forecasts.
Based on these forecasts, TTC matrices are transformed into point-in-time (PIT) rating migration matrices, typically for a two
year period. The calculation of the PIT matrices is performed by specifying a direct link between macroeconomic variables
and the default and rating behavior of counterparties. The macroeconomic forecasts adjust the distribution of the respective
macroeconomic factors and consequently, the rating migration matrices that define migration and default probabilities. This
approach can be interpreted as a Monte-Carlo simulation of multiple scenarios. However, for reasons of efficiency, the actual
calculation is based on equivalent analytical techniques. Multi-year PDs and rating migration matrices are thus derived and
applied to portfolios in scope for IFRS 9 which are categorized according to the following counterparty classes: retail Germany,
retail Spain, retail Italy, financial institutions, midcaps, corporates, and sovereigns.
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LGD is defined as the likely loss intensity in case of a counterparty default. It provides an estimation of the exposure that
cannot be recovered in a default event and therefore captures the severity of a loss. Conceptually, LGD estimates are inde-
pendent of a customer’s probability of default. The LGD models ensure that the main drivers for losses (i.e., different levels
and quality of collateralization and customer or product types or seniority of facility) are reflected in specific LGD factors. In
our LGD models we assign collateral type specific LGD parameters to the collateralized exposure (collateral value after appli-
cation of haircuts). In our LGD models used outside of former Postbank we assign collateral type specific LGD parameters to
the collateralized exposure (collateral value after application of haircuts).
The Exposure at Default (EAD) over the lifetime of a financial asset is modelled taking into account expected repayment
profiles. We apply specific Credit Conversion Factors (CCFs) in order to calculate an EAD value. Conceptually, the EAD is
defined as the expected amount of the credit exposure to a counterparty at the time of its default. In instances where a
transaction involves an unused limit, a percentage share of this unused limit is added to the outstanding amount in order to
appropriately reflect the expected outstanding amount in case of a counterparty default. This reflects the assumption that for
commitments, the utilization at the time of default might be higher than the current outstanding balance. In case a transaction
involves an additional contingent component (i.e., guarantees) a further percentage share is applied as part of the CCF model
in order to estimate the amount of guarantees drawn in case of default. The calibrations of such parameters are based on
statistical experience as well as internal historical data and consider counterparty and product type specifics.
Expected Lifetime
The expected lifetime of a financial asset is a key factor in determining the lifetime expected credit losses (LTECL). Lifetime
expected credit losses represent default events over the expected life of a financial asset. The Group measures expected
credit losses considering the risk of default over the maximum contractual period (including any borrower’s extension options)
over which the Group is exposed to credit risk.
Retail overdrafts, credit card facilities and certain corporate revolving facilities typically include both a loan and an undrawn
commitment component. The expected lifetime of such on-demand facilities exceeds their contractual life as they are typically
cancelled only when the Group becomes aware of an increase in credit risk. The expected lifetime is estimated by taking into
consideration historical information and the Group’s Credit Risk Management actions such as credit limit reductions and facility
cancellation. Where such facilities are subject to an individual review by Credit Risk Management, the lifetime for calculating
expected credit losses is 12 months. For facilities not subject to individual review by Credit Risk Management, we apply a
lifetime for calculating expected credit losses of 24 months.
Consideration of Collateralization in IFRS 9 Expected Credit Loss Calculation
The ECL engine projects the level of collateralization for each point in time in the life of a financial asset. For the reporting
date, the engine uses the existing collateral distribution process applied for the DB’s Economic Capital model. In this model,
the liquidation value of each eligible collateral is allocated to relevant financial assets to distinguish between collateralized and
uncollateralized parts of each exposure.
For personal collateral (e.g. guarantees), the ECL engine assumes that the relative level of collateralization remains stable
over time. In case of an amortizing loan the absolute exposure and collateral values decrease together over time. For physical
collateral (e.g. residential property), the ECL shall assume that the absolute collateral value remains constant. In case of an
amortizing loan, the collateralized part of the exposure increases over time and consequently the exposure is likely to be fully
collateralized at some point.
Certain financial guarantee contracts are integral to the financial assets guaranteed. In such cases, the financial guarantee is
considered as collateral for the financial asset and the benefit of the guarantee is used to mitigate the ECL of the guaranteed
financial asset.
For further details on how we determine the liquidation value of our collaterals please refer to section “Managing and Mitigation
of Credit Risk”
Forward Looking Information
Under IFRS 9, the allowance for credit losses is based on reasonable and supportable forward looking information available
without undue cost or effort, which takes into consideration past events, current conditions and forecasts of future economic
conditions.
To incorporate forward looking information into the Group’s allowance for credit losses, we use two key elements:
‒ As its base scenario, the Group uses external survey-based macroeconomic forecasts (e.g. consensus view on GDP and
unemployment rates) supplemented by market-implied projections of interest and FX rates. In addition, our scenario ex-
pansion model, which has been initially developed for stress testing, is used for forecasting macroeconomic variables that
are not covered by external consensus data or market sources to determine lifetime PD’s. All forecasts are assumed to
reflect the most likely development of the respective variables and are updated at least once per quarter.
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‒ Statistical techniques are then applied to transform the base scenario into a multiple scenario analysis. The scenarios
specify deviations from the baseline forecasts. The scenario distribution is then used for deriving multi-year PD curves for
different rating and counterparty classes, which are applied in the calculation of expected credit losses and in the identifi-
cation of significant deterioration in credit quality of financial assets as described above in the rating-related indicators.
The general use of forward looking information, including macro-economic factors, as well as adjustments taking into account
extraordinary factors (e.g. COVID-19), are monitored by the Group's Risk and Finance Credit Loss Provision Forum. In certain
situations, Credit Risk officers and senior management may have additional information in general or in relation to specific
portfolios that are not taken into account by the statistical model. In such situations, the Group would apply a judgmental
overlay.
The Group’s standard approach to incorporating macroeconomic variables into the calculation of the ECL estimate is to incor-
porate forecasts for the next two years, using eight discrete quarterly observations. This methodology, which reflects the
historical relationship between movements in those macroeconomic variables and default rates, was developed during the
implementation of IFRS 9 and applied as of December 31, 2019.
Impact of COVID-19 Pandemic on Forward Looking Information
To fight the COVID-19 pandemic in 2020, many countries imposed strict lockdowns of economic activity – particularly with
regards to travel, hospitality and events. The lockdowns together with the collapse in consumer and business sentiment
caused one of the most severe recessions in recent history. As the pandemic unfolded, economists slashed their forecasts
for variables such as Gross Domestic Product and employment.
Downward revisions of economic forecasts accelerated in late March 2020 as it became clear that the pandemic could not be
contained and countries around the world went into lockdown. The consensus data improved moderately since May 2020
when many businesses were allowed to re-open again. Moreover, many countries provided support and stimulus packages
to firms, workers and to those unemployed that helped to mitigate the impact of COVID-19, which was initially not fully reflected
in the consensus forecasts. Later forecasts increasingly took these stimulus packages into account which contributed to further
improvements of economic forecasts.
Economists estimated another GDP contraction in the fourth quarter of 2020 of e.g. around 2-3% Quarter-on-Quarter in the
European Monetary Union (EMU) because business activity and consumer sentiment suffer from a second wave of COVID-
19 infections. The aggregated medium-term outlook for 2021 and beyond is so far mitigated by better-than-expected economic
data in the third quarter of 2020 and the prospect of effective vaccines against COVID-19.
Based on Management’s opinion that the standard methodology did not provide a reliable indicator for future credit losses as
it took a very short term view of the development of those variables and considering regulatory guidance provided, Manage-
ment determined that the most representative approach in 2020 for estimating expected credit losses was to reduce the weight
of some of the short-term data (as it had lost relevance since it did not take into account the unprecedented levels of govern-
ment support and fiscal stimulus being provided across the global economy) and derive adjusted inputs based on longer term
averages. This approach better reflected underlying credit conditions in 2020 and avoided the build-up of unrealistically high
credit reserves in the first half of the year and their subsequent release in the third and fourth quarter of 2020. As a result, the
Group viewed it more appropriate to apply an overlay during 2020 to ensure its ECL provision was adequate.
The overlay is based on averaging forecasts for GDP and unemployment rates over the next three years in its ECL estimation,
which is the basis for the bank’s year end 2020 Credit Loss Allowance.
The following table provides an overview of the three year forward looking information, which determines the three year aver-
age used as input for calculating and the Group’s allowance for credit losses for the year end 2020.
Please note that the economic data used in the forward-looking information for the calculation of the allowance for credit losses
may differ from forecasts used in the economic outlook section. The reason is that the economic outlook is based on the
specific views of DB Research economists whereas forward-looking information is derived from broader consensus and mar-
ket-implied projections as aggregated, expanded and quality-assured within Risk Management.
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IFRS 9 – Forward Looking Information applied for the year end 2020
Year 1
(4 quarter avg)
Year 2
(4 quarter avg)
Credit - ITX Europe 125
FX - EUR/USD
GDP Eurozone
GDP Germany
GDP Italy
GDP USA
Rate - US Treasury 2y
Unemployment - Eurozone
Unemployment - Germany
Unemployment - Italy
Unemployment - Spain
Unemployment - USA
1 Rates, FX and credit spreads as per 7 December release; GDP, unemployment forecasts updated per 16 December.
2 Year 1 equals Q4 2020 to Q3 2021, Year 2 equals Q4 2021 to Q3 2022 and Year 3 equals Q4 2022 to Q3 2023
52.81
1.20
1.38 %
1.54 %
1.92 %
2.80 %
0.17 %
8.86 %
4.30 %
10.65 %
17.89 %
6.40 %
December 20201,2
Year 3
(4 quarter avg)
−
−
2.32 %
2.08 %
1.93 %
2.29 %
–
7.94 %
3.72 %
9.85 %
15.49 %
4.46 %
−
−
4.37 %
4.01 %
3.80 %
3.35 %
−
8.35 %
3.95 %
10.38 %
16.32 %
5.19 %
In the third quarter 2020, the Group introduced an additional overlay and retained the overlay for the year end 2020 due to the
fact that the level of uncertainty remains high, in particular as the COVID-19 pandemic, related lock-down measures and
associated economic support measures offered by central governments will further hamper the ability to assess the true state
of borrowers’ capacity to repay their financial obligations, also taking into account the emerging downsides expected in par-
ticular as moratoria are fading out (although partially extended, e.g. in Spain and Italy) and a second wave of lockdown
measures started in December 2020.
Taking into account the above mentioned overlays, the Group reported a provision for credit losses of €1.8 billion for the year
ended 2020, which is a significant increase compared to € 723 million for the year ended 2019. This is primarily driven by a
significant increase in Stage 3 credit loss allowances due to client defaults following the COVID-19 pandemic, predominantly
in the Investment Bank and Private Bank. Provisions for performing assets were mainly driven by the impact from including
the forward looking element based on consensus forecast with charges in the first half of the year and subsequent releases
in the second half. The accumulated full year impact with net releases in Stage 1 and Stage 2 was fully compensated by the
additional overlay recorded in 2020.
Model Sensitivity
There are two main sources of ECL volatility for Stage 1 and 2 assets. Firstly, changes to the portfolio composition, the
exposure profile or counterparty ratings, which are particularly important due to potential implications on stage determination,
influence the level of ECL and thus the level of our Credit Loss Allowance.
Secondly, in addition to portfolio changes, ECL is also impacted by macroeconomic forecasts. As the relevant macroeconomic
variables vary by counterparty class, ECL sensitivities to macroeconomic forecasts are portfolio-specific with GDP growth
rates and unemployment rates in the Eurozone and the US as dominant factors overall.
The sensitivity of our model with respect to future changes in macroeconomic variables (MEVs) is illustrated in the following
table, which provides the ECL impact for Stages 1 and 2 from a Downward and Upward shift across all scenarios used in the
ECL calculation. Both shifts are applied in addition to the baseline ECL as of December 31, 2020, by specifying Downward
and Upward MEV values that are all either one standard deviation above or below the baseline forecasts, e.g. shifting fore-
casted GDP rates by 2 percentage points on average.
ECL for Stage 3 is not affected and not reflected in the following tables as its modelling is independent of the macroeconomic
scenarios.
IFRS 9 – Sensitivities of Forward Looking Information applied on Stage 1 and Stage 2
Corporate Bank
Investment Bank
Private Bank
Asset Management
Capital Release Unit
Corporate & Other
Total
Downward shift
ECL per
Dec 31, 2020
Upward shift
425
462
1,014
2
10
17
1,929
293
330
788
2
8
9
1,429
213
244
701
1
6
5
1,171
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Corporate Bank
Investment Bank
Private Bank
Asset Management
Capital Release Unit
Corporate & Other
Total
Downward shift
ECL per
Dec 31, 2019
374
438
890
4
13
29
1,747
241
288
697
3
10
12
1,250
Upward shift
170
198
572
2
7
6
955
Focus Industries in light of COVID-19 Pandemic
While the negative implications of the COVID-19 pandemic are materializing across economies and sectors globally, certain
industries are seeing particularly severe direct or indirect impacts. These sectors accounted for approximately 30 % of group
credit loss provisions in the year 2020. The information below is based on an internal risk view that is not fully congruent with
the NACE (Nomenclature des Activities Economiques dans la Communate Europeenne, which is the statistical classification
of economic activities in the European Union) applied elsewhere in this report, e.g. in the Asset Quality section.
– Commercial real estate (€ 27 billion loan exposure as of December 31, 2020): Commercial real estate (CRE) has been
severely affected by the COVID-19 pandemic, with the strongest impact noted on hotel and retail segments given the direct
impact of lockdowns, travel restrictions and social distancing measures on these property types. Borrowers in these sectors
have been faced with property closures, tenant rent deferral requests and tenant defaults which in turn have triggered a
large number of requests for loan modifications and resulted in a significant increase of credit loss provisions in our CRE
loan portfolio. The impact on other property types including multifamily, office, industrial and logistics has been more con-
tained. CRE exposure (comprises Commercial Real Estate Group, APAC CRE exposures in the investment bank and non-
recourse CRE business in the corporate bank) accounts for 6 % of the loan book. The risk profile of the portfolio improved
in the fourth quarter as a result of selective de-risking initiatives, including loan sales in the US. Portfolios are managed to
tight underwriting standards with regular stress tests under conservative assumptions. Moderate pre-crisis loan-to-value
ratios (LTVs) averaging slightly below 60 % provide a substantial buffer to absorb declines in collateral values which have
been most pronounced in the US hotel segment. Hotel exposures are concentrated in the U.S. and benefit from significant
sponsor equity in the assets and demonstrated support in most cases, although sponsor support could weaken in an
extended pandemic scenario.
– Oil & gas (€ 7 billion loan exposure as of December 31, 2020): Significant fall in travel and trade volumes, as well as the
wider economic downturn, led to a meaningful contraction of demand for oil and a significant fall in prices in early 2020
before recovery in the second half of the year. There have been a number of bankruptcies among smaller/ weaker compa-
nies in 2020. Our loan exposure to the sector has fallen by approximately € 1 billion in 2020 and accounts for less than 2 %
of the total loan book. We have seen an ongoing downward migration of credit ratings among our clients, however, portfolio
risk is mitigated by a focus on more resilient oil & gas majors and national oil & gas companies. More than 80 % of net
credit limits are to investment grade rated clients. Our exposure to the higher risk “shale” companies in North America is
small since we have realigned our portfolio in recent years.
– Retail (excluding food/staples) (€ 4 billion loan exposure as of December 31, 2020): The impact of lockdowns and a drop
in consumer confidence have added to the structural challenges the retail industry is facing, including digitalization and
shifting consumer preferences. Consequently, we are seeing a downward migration of credit ratings within our portfolio.
Our loan exposure accounts for ~ 1 % of the total loan book. Portfolio risks are mitigated by a focus on strong global brands
with approximately two third of net credit limits to investment grade rated clients.
– Aviation (€ 3 billion loan exposure as of December 31, 2020): The industry is going through its deepest crisis in history.
The International Air Transport Association (IATA) expects substantial losses across the sector, and bankruptcies have
been observed among weaker airlines. Our loan exposure accounts for under 1 % of total loan book and portfolio risks are
mitigated by a significant share of secured aircraft financing which is biased towards newer/ liquid aircraft. The unsecured
portfolio is focused on developed market flag carriers, many of which benefit from robust government support packages.
– Leisure (€ 2 billion loan exposure as of December 31, 2020): The industry has been hit by a very sharp decline in both
business and private travel during lockdowns. It is unlikely that volumes will recover to pre-crisis levels in the near-term.
Loan exposure is contained at well under 1 % of the total loan book, with a focus on industry leaders in the hotels and
casinos segment, mostly domiciled in the U.S. market. We have very limited exposure to tour operators and cruise lines.
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IFRS 9 - Application of EBA guidance regarding Default, Forbearance and IFRS 9
in light of COVID-19 measures
EBA’s “Statement on the application of the prudential framework regarding Default, Forbearance and IFRS 9 in light of
COVID-19 measures” published on March 25, 2020 states that institutions are expected to use a degree of judgement and
distinguish between borrowers whose credit standing would not be significantly affected by the current situation in the long
term, and those who would be unlikely to restore their creditworthiness. The Bank performed portfolio reviews and applied this
regulatory guidance to a number of clients mainly in the Investment Bank and Corporate Bank.
EBA is further of the view that the public and private moratoria, as a response to COVID-19 pandemic, do not have to be
automatically classified as forbearance if the moratoria are not borrower specific, based on the applicable national law or on
an industry or sector-wide private initiative agreed and applied broadly by relevant credit institutions. Deutsche Bank has
introduced this guidance into its internal risk management processes.
Legislative and non-legislative moratoria and public guarantee schemes in light of
COVID-19 pandemic
After the breakout of the COVID-19 pandemic, a number of governments issued programs offering legislative moratoria and
guarantee schemes. Non-legislative moratoria programs have been developed to support our clients as well as individual
measures have been agreed with our clients.
On April 2, 2020 and June 25, 2020 EBA published its Guidelines on legislative and non-legislative moratoria on loan repay-
ments applied in light of the COVID-19 crisis. These guidelines provide clarity on the treatment of legislative and non-legislative
moratoria applied before September 30, 2020 and supplement the EBA Guidelines on the application of the definition of default
in regards to the treatment of a distressed restructuring. On September 21, 2020, EBA announced that it “will phase out its
Guidelines on legislative and non-legislative payment moratoria in accordance with its end of September deadline. The regu-
latory treatment set out in the Guidelines will continue to apply to all payment holidays granted under eligible payment mora-
toria prior to September 30, 2020”.
On December 2, 2020 after closely monitoring the developments of the COVID-19 pandemic and, in particular, the impact of
the second COVID-19 wave and the related government restrictions taken in many EU countries, the EBA has decided to
reactivate its Guidelines on legislative and non-legislative moratoria.
The following table provides an overview of active and expired loans and advances subject to EBA-compliant moratoria, loans
and advances subject to COVID-19 related forbearance measures and newly originated loans and advances subject to a
public guarantee scheme in the context of the COVID-19 pandemic as of December 31, 2020 and September 30, 2020.
Overview of active and expired moratoria, forbearance measures and guarantee schemes in light of COVID-19 pandemic
April 1 to Dec 31, 2020
April 1 to Sep 30, 2020
Newly originated
loans and
advances
subject to public
guarantee
schemes in the
context of the
COVID-19
crisis1
2,362
60
1,124
0
3,546
Loans and
advances
subject to EBA-
compliant
moratoria
Loans and
advances
subject to
COVID-19-
related
forbearance
measures
Other loans and
advances
subject to
COVID-19-
related
forbearance
measures
Newly originated
loans and
advances
subject to public
guarantee
schemes in the
context of the
COVID-19 crisis
Loans and
advances
subject to EBA-
compliant
moratoria
in € m.
2,956
Corporate Bank
4,353
Investment Bank
1,114
Private Bank
0
Capital Release Unit
Total
8,424
1 Excluding € 0.3 billion as of December 31, 2020 and € 0.2 billion as of September 30, 2020 which qualify for derecognition as these loans meet the pass-through criteria for
610
107
7,499
433
8,649
2,716
4,449
1,514
20
8,699
651
222
7,747
430
9,050
1,974
60
928
0
2,962
financial instruments under IFRS 9
EBA-compliant moratoria can be divided into legislative moratoria, which are instituted by the Government and non-legislative
moratoria granted by (group of) financial institutions. The loans and advances subject to EBA-compliant moratoria shown are
mainly legislative moratoria instituted by the German, Italian, Indian and Spanish governments and non-legislative moratoria
in Germany, Italy and Spain.
Under the legislative moratoria, the Group has granted a postponement of interest and/or principal payments depending on
the requirements defined by each individual government. The postponement of principal payments led to an extension of the
loan maturity date. The German legislative moratoria were granted to consumer loan agreements and mortgages and only
postponed principal payments with interest being waived during the holiday period. Whereas the Italian, Spanish and Indian
moratoria deferred both principal and interest to households and financial intermediaries in Italy and Spain and to standard
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Deutsche Bank
Annual Report 2020
Risk and capital management
Credit risk management and asset quality
term and working capital loans in India. The ability to utilize the legislative German moratoria ended for all borrowers at the
end of June 2020 and the legislative Indian moratoria ended at the end of August 2020. Italy has two legislative moratoria one
for private households which ended December 16, 2020 and a second one for Small and Medium Sized Entities (SME) and
Corporates. The moratorium for SMEs and Corporates was originally scheduled to end on September 30, 2020, but has been
further extended until June 2021. Also, the Spanish government extended the legislative Spanish moratoria for SMEs and
Corporates up and to 2021.
Under the non-legislative moratoria, the Group has granted a postponement of interest and/or principal payments depending
on the requirements defined by local banking groups setting up the local moratoria in Germany, Italy and Spain. The non-
legislative moratoria were granted to consumer loan agreements and mortgages with Private Clients only. All non-legislative
moratoria were originally planned to end by yearend 2020. However, due to the development of COVID-19 a new non-legis-
lative moratorium was launched in Italy to support consumer finance clients from January 2021 until end of March 2021.
Overall the majority of loans affected by the moratoria relate to the Private Bank. Upon granting the moratoria the carrying
value of the loan was amended by scheduling out the new expected cash flows and discounting at the original effective interest
rate. The difference in carrying value was taken as a loss to interest income in the Profit and Loss account (P&L). The amount
was not material to the Group.
During the second half of 2020, the number of clients under moratoria has significantly reduced, from peak levels in the second
quarter 2020. As of December 31, 2020, € 6 billion of moratoria already expired. More than 95 % of these clients, who took
advantage of moratoria have now resumed payments. The transition is actively managed whereby DB contacts each private
client in order to ensure the clients are aware and able to resume payments before leaving moratoria.
COVID-19 related forbearance measures were also granted to clients which did not fulfill the EBA compliant moratoria criteria,
but the Bank decided on an individual customer basis to amend the conditions of the loan. Individual COVID-19 forbearance
measures were granted for borrowers in several business lines and portfolios. For the Investment Bank a significant amount
of modifications were granted to Commercial Real Estate Clients, in the Private Bank to clients in the Lending business and
in the Corporate Banking to Trade Finance Clients. Upon granting the modifications to the borrowers, the carrying value of the
loan was amended by scheduling out the new expected cash flows and discounting at the original effective interest rate. The
difference in carrying value was taken as a loss to interest income in the P&L. The amount was not material to the Group. As
of December 31, 2020 forbearance measures have been granted for € 8.4 billion loans reflecting a broad range from modifi-
cations of selected covenants in the respective loan contract to payment deferrals. Also, to further strengthen credit oversight,
forbearance measure flagging is now considered an additional criterion to add the exposure on a “watchlist”.
Newly originated loans and advances subject to a public guarantee scheme include loans and advances mainly guaranteed
by KfW (Kreditanstalt für Wiederaufbau, a government-owned promotional). These loans were granted by the bank mainly to
European clients in the Corporate Business across all industries. Similar Guarantees were also offered by the Luxembourg
Public Investment Bank and by the Ministry of Economic Affairs and Digital Transformation (MINECO) of Spain. Less than
1 % of the loan population has an EBA forborne or non-performing status.
The Group has originated approximately € 3.8 billion of loans under the public guarantee scheme during 2020 and in most
cases the terms of the new originated loans and advances are between two and five years. Approximately € 2.1 billion of loans
were granted in Germany via programs sponsored by KfW, of which, € 0.3 billion were derecognized as the terms of the loan
and guarantee met the criteria for derecognition under IFRS 9, and € 1.2 billion were originated in Spain and € 0.5 billion in
Luxembourg. As of December 31, 2020, 98.7 % of the loans that were granted public guarantees in 2020 continue to make
regular repayments.
Breakdown of COVID-19 related measures by stages
in € m.
Stage 1
Stage 2
Stage 3
Total
Legislative and non-legislative
Moratoria
COVID-19 related forbearance
measures
Dec 31, 2020
Public guarantee schemes
Gross Carrying
Amount
6,464
1,872
313
8,649
Expected Credit
Losses
(23)
(63)
(69)
(155)
Gross Carrying
Amount
5,746
1,994
684
8,424
Expected Credit
Losses
(18)
(54)
(80)
(152)
Gross Carrying
Amount
3,135
360
51
3,546
Expected Credit
Losses
(3)
(4)
(4)
(11)
The Group continues to manage and monitor the current and future COVID-19 situation. Of the € 8.6 billion legislative and
non-legislative moratoria circa € 1.5 billion exposure is still active mainly due to extensions in Italy with modest increases in
Stage 3 from expired moratoria. There have been no material economic losses to date regarding voluntary forbearance where
Deutsche Bank provides a range of measures not only extension of grace periods. Of those loans in forbearance, only circa
8 % of the € 8.4 billion exposures have defaulted after forbearance measures were taken. As COVID-19 forbearance
measures are applied to clients with a positive post-crisis outlook, we expect no significant stage moves of these assets under
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Annual Report 2020
Risk and capital management
Credit risk management and asset quality
the assumption of a normalized economic recovery. Additionally economic recovery regarding Deutsche Bank’s participation
in public guarantee schemes remains low as at December 31, 2020.
Asset quality
The Asset Quality section under IFRS 9 describes the quality of debt instruments subject to impairment, which under IFRS 9
consist of debt instruments measured at amortized cost, financial instruments at fair value through other comprehensive in-
come (FVOCI) as well as off balance sheet lending commitments such as loan commitments and financial guarantees (here-
after collectively referred to as “Financial Assets”).
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
in € m.
Amortized cost¹
Gross carrying amount
Allowance for credit los-
ses²
of which Loans
Gross carrying amount
Allowance for credit
losses²
Stage 1
Stage 2
Stage 3
Stage 3
POCI
Total
Stage 1
Stage 2
Stage 3
Dec 31, 2020
Dec 31, 2019
Stage 3
POCI
Total
651,941 35,372 10,655
1,729 699,697 645,967 24,680
7,531
2,150 680,328
544
648
3,614
139
4,946
549
492
3,015
36
4,093
385,422 34,537 10,138
1,710 431,807 400,434 23,832
7,437
2,130 433,833
522
647
3,506
133
4,808
537
488
2,932
33
3,990
Fair value through OCI
Fair value
Allowance for credit losses
55,566
12
163
6
105
2
0 55,834 45,083
16
20
0
397
9
23
10
0 45,503
35
0
Off-balance sheet
Notional amount
Allowance for credit los-
ses³
0
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
1 262,856 251,930
251,545
0 259,218
1,424
2,587
5,864
8,723
166
200
419
144
128
48
74
0
342
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 € 5 million as of December 31, 2020 and € 3 million as of December 31, 2019.
3 Allowance for credit losses do not include allowance for country risk amounting to € 4 million as of December 31, 2020 and € 4 million as of December 31, 2019.
Financial assets at amortized cost
The following tables provide an overview of the gross carrying amount and credit loss allowance by financial asset class
broken down into stages as per IFRS 9 requirements.
Development of exposures and allowance for credit losses in the reporting period
in €
Balance, beginning of year
Movements in financial assets including new business
Transfers due to changes in creditworthiness
Changes due to modifications that did not result in
derecognition
Changes in models
Financial assets that have been derecognized during the pe-
riod
Recovery of written off amounts
Foreign exchange and other changes
Balance, end of reporting period
Stage 1
645,967
79,588
(7,462)
Stage 2
24,680
8,215
5,543
0
0
(3)
0
(48,990)
0
(17,162)
651,941
(2,268)
0
(795)
35,372
Stage 3
7,531
3,304
1,919
(31)
0
(1,910)
58
(216)
10,655
Dec 31, 2020
Gross carrying amount
Stage 3 POCI
2,150
(166)
Total
680,328
90,940
0
0
0
(34)
0
(263)
0
7
1,729
(53,430)
58
(18,165)
699,697
Financial assets at amortized cost subject to impairment increased by € 19 billion or 3% in 2020, which was primarily driven
by stage 2:
Stage 1 exposures slightly increased by € 6 billion or 1 %.
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Annual Report 2020
Risk and capital management
Credit risk management and asset quality
Stage 2 exposures increased by € 11 billion or 43 % driven by Loans at Amortized Cost in Private Bank and Corporate Bank
due to the update of the macroeconomic outlook.
Stage 3 exposures increased by € 2,703 million or 28 % in 2020 driven by new defaults across business divisions, partly offset
by a reduction in the POCI loan portfolio.
in €
Balance, beginning of year
Movements in financial assets including new business
Transfers due to changes in creditworthiness
Changes due to modifications that did not result in
derecognition
Changes in models
Financial assets that have been derecognized during the pe-
riod
Recovery of written off amounts
Foreign exchange and other changes
Balance, end of reporting period
Stage 1
637,037
86,882
(1,652)
Stage 2
32,335
(6,503)
327
(4)
0
(0)
0
(81,545)
0
5,249
645,967
(1,691)
0
213
24,680
Dec 31, 2019
Gross carrying amount
Stage 3 POCI
1,963
418
0
Total
678,787
81,820
0
0
0
(45)
0
(272)
0
41
2,150
(85,852)
70
5,548
680,328
Stage 3
7,452
1,022
1,325
(40)
0
(2,343)
70
45
7,531
Financial assets at amortized cost subject to impairment remained roughly stable with a slight increase of € 2 billion in 2019
across all stages:
Stage 1 exposures increased by € 9 billion or 1 %.
Stage 2 exposures decreased by € 8 billion or 24 % driven by Brokerage cash / margin receivables in Investment Bank as
well as Loans at Amortized Cost in Corporate Bank.
Stage 3 exposures increased by € 266 million or 3 % in 2019 driven by new defaults across business divisions, partly offset
by write-offs in shipping.
Dec 31, 2020
Allowance for Credit Losses³
Stage 2
Stage 1
Stage 3 POCI
549
(44)
77
in €
Balance, beginning of year
Movements in financial assets including new business
Transfers due to changes in creditworthiness
Changes due to modifications that did not result in
derecognition
Changes in models
Financial assets that have been derecognized during the pe-
(781)
riod²
58
Recovery of written off amounts
(110)
Foreign exchange and other changes
4,946
Balance, end of reporting period
Provision for Credit Losses excluding country risk¹
1,686
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
(781)
58
(75)
3,614
1,397
Stage 3
3,015
1,348
49
0
0
31
139
72
0
0
(28)
648
184
0
0
(38)
544
33
492
309
(125)
Total
4,093
1,686
0
36
724
N/M
N/M
0
N/M
0
N/M
0
N/M
0
N/M
0
country risk.
2 This position includes charge offs of allowance for credit losses.
3 Allowance for credit losses does not include allowance for country risk amounting to € 5 million as of December 31, 2020.
4 The total amount of undiscounted expected credit losses at initial recognition on financial assets that are purchased or originated credit-impaired initially recognised during the
reporting period was € 50 million in 2020 and € 0 million in 2019.
Allowance for credit losses against financial assets at amortized cost subject to impairment increased by € 853 million or 21 %
in 2020 mainly driven by Stage 3:
Stage 1 allowances remained roughly stable with a slight decrease of € 5 million or 1 %.
Stage 2 allowances increased by € 156 million or 32 % due to the update of the macroeconomic outlook.
Stage 3 allowances increased by € 702 million or 23 % driven by new defaults across business divisions and the increase
against the existing POCI loan portfolio.
Our Stage 3 coverage ratio (defined as Allowance for credit losses in Stage 3 (excluding POCI) divided by Financial assets at
amortized cost in Stage 3 (excluding POCI)) amounted to 34 % in the current fiscal year, compared to 40 % in the prior year.
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Deutsche Bank
Annual Report 2020
Risk and capital management
Credit risk management and asset quality
in €
Balance, beginning of year
Movements in financial assets including new business
Transfers due to changes in creditworthiness
Changes due to modifications that did not result in
derecognition
Changes in models
Financial assets that have been derecognized during the pe-
riod²
Recovery of written off amounts
Foreign exchange and other changes
Balance, end of reporting period
Provision for Credit Losses excluding country risk¹
Stage 1
Stage 2
509
(57)
120
N/M
0
0
0
(22)
549
62
501
102
(106)
N/M
0
0
0
(4)
492
(4)
Dec 31, 2019
Allowance for Credit Losses³
Stage 3
3,247
550
(14)
N/M
0
(872)
96
8
3,015
536
Stage 3 POCI
3
40
0
N/M
0
(26)
0
18
36
40
Total
4,259
636
0
N/M
0
(898)
96
0
4,093
636
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 This position includes charge offs of allowance for credit losses.
3 Allowance for credit losses does not include allowance for country risk amounting to € 3 million as of December 31, 2019.
Allowance for credit losses against financial assets at amortized cost subject to impairment dropped by € 166 million or 4 %
in 2019 mainly driven by Stage 3:
Stage 1 allowances increased by € 40 million or 8 % driven by an increase in Loans at Amortized Cost in Investment Bank
and Private Bank.
Stage 2 allowances remained roughly stable with a slight decrease of € 8 million or 2 %.
Stage 3 allowances decreased by € 198 million or 6 % driven by NPL sales in Private Bank as well as write-offs in shipping in
Capital Release Unit, which were partly offset by new defaults in Corporate Bank and Investment Bank.
Financial assets at amortized cost by business division
Gross Carrying Amount1
in € m.
Corporate Bank
Investment Bank
Private Bank
Asset Management
Capital Release Unit
Corporate & Other
Total
Stage 2
Stage 1
7,747
109,484
134,634
5,832
216,412 21,328
57
303
105
Stage 3
2,305
2,023
5,954
0
2,131
372
4,463
184,816
1
651,941 35,372 10,655
Stage 3
POCI
Total
Stage 1
Stage 2
0 119,537
1,459 143,948
270 243,964
2,188
0
0
5,138
0 184,922
1,729 699,697
85
139
311
1
4
5
544
106
92
446
1
4
(0)
648
Dec 31, 2020
Allowance for Credit Losses
Stage 3
1,052
290
2,098
0
174
0
3,614
Stage 3
POCI
0
139
0
0
0
0
139
Total
1,244
659
2,855
1
182
5
4,946
1 Gross Carrying Amount numbers per business division are reported after a reallocation of cash balances from business divisions to Corporate & Other.
Gross Carrying Amount
Dec 31, 2019
Allowance for Credit Losses
in € m.
Corporate Bank
Investment Bank
Private Bank
Asset Management
Capital Release Unit
Corporate & Other
Total
Stage 2
Stage 1
4,769
174,685
159,301
4,894
251,699 14,376
101
1,965
378
16,051
163
42,266
645,967 24,680
Stage 3
1,921
575
4,520
0
502
13
7,531
Stage 3
POCI
Total
Stage 1
Stage 2
Stage 3
0 181,375
1,830 166,600
321 270,915
0
2,066
0 16,930
0 42,442
2,150 680,328
82
146
313
1
1
5
549
63
60
360
1
7
2
492
843
117
1,834
0
221
1
3,015
Stage 3
POCI
0
36
0
0
0
0
36
Total
988
358
2,508
2
230
8
4,093
Financial assets at amortized cost by industry sector
The below table gives an overview of our 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. The information below is not fully congruent to the internal risk view applied in the section “Focus industries in light of
COVID-19 pandemic”.
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Deutsche Bank
Annual Report 2020
Risk and capital management
Credit risk management and asset quality
Gross Carrying Amount
Dec 31, 2020
Allowance for Credit Losses
Stage 1
Stage 2
Stage 3
Stage 3
POCI
Total
Stage 1
Stage 2
Stage 3
Stage 3
POCI
in € m.
Agriculture, forestry and
fishing
Mining and quarrying
Manufacturing
Electricity, gas, steam and
air conditioning supply
Water supply, sewerage,
waste management and
remediation activities
Construction
Wholesale and retail trade,
repair of motor vehicles
and motorcycles
Transport and storage
Accommodation and food
service activities
Information and communi-
cation
Financial and insurance
activities
Real estate activities
Professional, scientific and
technical activities
Administrative and support
service activities
Public administration and
defense, compulsory social
security
Education
Human health services and
social work activities
Arts, entertainment and re-
creation
Other service activities
Activities of households as
employers, undifferentiated
goods- and services-pro-
ducing activities of house-
holds for own use
Activities of extraterritorial
organizations and bodies
Total
538
2,808
23,245
69
115
2,518
39
162
1,024
0
0
646
3,085
138 26,925
1
4
32
1
4
42
12
98
479
0
0
3
3,268
276
117
0
3,661
3
2
35
0
40
573
3,706
52
304
57
271
0
169
681
4,450
1
6
2
7
9
193
0
6
12
212
19,049
4,760
1,066
710
830
387
46 20,991
5,869
12
21
20
20
18
516
93
2
0
558
131
1,871
445
90
24
2,429
5
8
22
0
35
5,482
207
131
0
5,820
12
5
95
0
111
316,950
38,993
6,336
2,089
1,159
824
551 324,996
293 42,200
88
32
64
22
285
94
37
42
474
190
6,295
1,049
223
198
7,765
8
15
97
5
125
8,966
1,365
409
47 10,787
14
22
88
1
125
16,648
179
593
23
229
3
0 17,469
205
0
8
0
5
1
11
1
0
0
3,104
347
15
1
3,468
4
6
8
0
874
10,548
79
823
9
180
1
961
215 11,766
3
13
1
12
3
21
0
40
Total
14
106
557
24
2
17
8
86
184,031 16,906
4,496
34 205,468
270
393
1,453
2
2,120
52
1
651,941 35,372 10,655
0
0
53
1,729 699,697
0
544
0
648
1
3,614
0
139
1
4,946
82
Total
12
19
546
Deutsche Bank
Annual Report 2020
Risk and capital management
Credit risk management and asset quality
Gross Carrying Amount
Dec 31, 2019
Allowance for Credit Losses
Stage 1
Stage 2
Stage 3
Stage 3
POCI
Total
Stage 1
Stage 2
Stage 3
Stage 3
POCI
in € m.
Agriculture, forestry and
fishing
Mining and quarrying
Manufacturing
Electricity, gas, steam and
air conditioning supply
Water supply, sewerage,
waste management and
remediation activities
Construction
Wholesale and retail trade,
repair of motor vehicles
and motorcycles
Transport and storage
Accommodation and food
service activities
Information and communi-
cation
Financial and insurance
activities
Real estate activities
Professional, scientific and
technical activities
Administrative and support
service activities
Public administration and
defense, compulsory social
security
Education
Human health services and
social work activities
Arts, entertainment and re-
creation
Other service activities
Activities of households as
employers, undifferentiated
goods- and services- pro-
ducing activities of house-
holds for own use
Activities of extraterritorial
organizations and bodies
Total
613
2,647
26,784
43
4
1,498
42
141
923
1
1
699
2,793
122 29,327
1
4
32
2
0
33
10
15
481
0
0
0
4,609
160
70
0
4,839
4
5
4
0
13
708
2,987
11
208
64
307
0
144
783
3,646
1
4
0
4
10
227
0
1
11
235
19,404
4,259
978
488
653
249
11 21,046
4,995
0
19
6
18
6
389
64
(0)
0
426
76
2,240
93
31
74
2,437
5
2
15
0
5,633
472
32
0
6,138
10
17
16
0
22
43
299,108
42,868
3,756
1,832
431
311
824 304,119
399 45,410
95
43
30
13
189
80
2
15
317
152
9,253
512
195
232 10,193
8
8
98
4
117
5,909
400
189
25
6,523
6
6
52
(5)
59
20,972
354
794
18
43
2
0 21,809
373
0
3
0
5
0
5
1
0
0
3,264
187
15
2
3,469
5
6
7
0
837
8,707
24
387
10
74
0
210
872
9,378
3
10
0
8
4
39
0
19
13
2
18
7
75
182,912 12,817
3,748
106 199,583
290
330
1,310
(0)
1,930
1,895
0
645,967 24,680
1
7,531
0
1,896
2,150 680,328
0
549
0
492
1
3,015
0
36
1
4,093
Financial assets at amortized cost by region
in € m.
Germany
Western Europe
(excluding Germany)
Eastern Europe
North America
Central and South America
Asia/Pacific
Africa
Other
Total
Stage 1
Stage 2
Stage 3
294,063 17,709
3,840
3,188
130,592
90
5,175
2,079
144,876
374
3,731
973
57,197
11
2,617
13,689
99
651,941 35,372 10,655
7,639
214
6,303
146
2,691
218
453
Gross Carrying Amount
Stage 3
POCI
270 315,884
Total
1,103
142,522
0
7
5,480
105 153,362
4,258
219 61,081
2,845
24 14,265
1,729 699,697
0
Stage 1
Stage 2
Stage 3
Dec 31, 2020
Allowance for Credit Losses
Stage 3
POCI
Total
252
356
1,438
52
2,098
152
7
77
4
31
5
15
544
215
2
57
4
13
1
1
648
1,603
42
225
32
273
1
0
3,614
77
0
7
0
2
0
(0)
139
2,048
51
366
40
318
7
16
4,946
83
Deutsche Bank
Annual Report 2020
Risk and capital management
Credit risk management and asset quality
Stage 1
Stage 2
Stage 3
in € m.
Germany
Western Europe
(excluding Germany)
Eastern Europe
North America
Central and South America
Asia/Pacific
Africa
Other
Total
262,104 12,872
131,432
5,929
166,357
3,952
65,128
2,637
8,429
5,516
230
3,467
532
1,862
172
30
645,967 24,680
3,259
2,979
75
612
103
489
13
0
7,531
Gross Carrying Amount
Stage 3
POCI
321 278,556
Total
1,631
141,558
0
9
6,234
71 170,507
4,595
119 67,597
2,823
8,458
2,150 680,328
0
0
Stage 1
Stage 2
Stage 3
Dec 31, 2019
Allowance for Credit Losses
Stage 3
POCI
Total
266
279
1,311
(0)
1,857
152
2
83
2
34
7
2
549
150
5
39
7
10
2
0
492
1,418
39
32
29
186
1
0
3,015
39
0
3
(1)
(5)
0
0
36
1,760
45
156
38
225
10
3
4,093
Financial assets at amortized cost by rating class
in € m.
iAAA–iAA
iA
iBBB
iBB
iB
iCCC and below
Total
in € m.
iAAA–iAA
iA
iBBB
iBB
iB
iCCC and below
Total
Gross Carrying Amount
Stage 3
Stage 3
POCI
Total
Stage 1
Stage 2
Stage 3
Stage 2
Stage 1
538
225,216
734
88,250
150,519
2,662
147,005 11,891
36,178 13,674
0
0
0
0
0
5,874 10,655
651,941 35,372 10,655
4,774
0 225,754
0 88,983
0 153,181
0 158,896
0 49,851
1,729 23,032
1,729 699,697
1
5
43
202
240
54
544
0
0
9
76
251
310
648
0
0
0
0
0
3,614
3,614
Dec 31, 2020
Allowance for Credit Losses
Stage 3
POCI
0
0
0
0
0
139
139
Total
1
5
52
279
492
4,117
4,946
Stage 2
Stage 1
380
209,612
259
93,098
1,922
150,213
146,655
6,695
40,495 10,625
4,799
645,967 24,680
5,894
Gross Carrying Amount
Dec 31, 2019
Allowance for Credit Losses
Stage 3
Stage 3
POCI
Total
Stage 1
Stage 2
Stage 3
0
0
0
1
1
7,529
7,531
0 209,992
0 93,357
0 152,135
0 153,351
1 51,122
2,149 20,371
2,150 680,328
2
7
39
191
263
49
549
0
0
7
58
192
236
492
0
0
0
0
0
3,015
3,015
Stage 3
POCI
0
0
0
0
0
36
36
Total
2
7
46
249
455
3,335
4,093
Our existing commitments to lend additional funds to debtors with Stage 3 financial assets at amortized cost amounted to
€ 446 million as of December 31, 2020 and € 279 million as of December 31, 2019.
Collateral held against financial assets at amortized cost in stage 3
in € m.
Financial Assets at Amortized Cost (Stage
3)
1 Stage 3 consists here only of non-POCI assets
Gross Carrying
Amount
Collateral
Guarantees
Gross Carrying
Amount
Collateral
Guarantees
Dec 31, 2020
Dec 31, 2019
10,655
3,753
558
7,531
2,855
243
In 2020, collateral and guarantees held against financial assets as amortized cost in stage 3 increased by € 1,213 million, or
39 %, driven by Private Bank.
Due to full collateralization we did not recognize an allowance for credit losses against Financial assets at amortized cost in
Stage 3 for € 625 million in 2020 and € 832 million in 2019.
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:
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Deutsche Bank
Annual Report 2020
Risk and capital management
Credit risk management and asset quality
– 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.
Modified Assets Amortized Cost
in € m.
Amortized cost carrying amount prior to modi-
fication
Net modification gain/losses recognized
Stage 1
Stage 2
Stage 3
Stage 3
POCI
Total
Stage 1
Stage 2
Stage 3
Dec 31, 2020
Dec 31, 2019
Stage 3
POCI
Total
0
0
81
2
73
(30)
0
0
153
(29)
4
(4)
1
(0)
42
(40)
0
0
47
(45)
In 2020, we have observed the increase of € 107 million, or 228 %, in modified assets at amortized cost due to client related
modifications, which were granted with no modification loss. We did not include any COVID-19 driven modifications into the
above table. For further details to COVID-19 related modifications, please refer to “Legislative and non-legislative moratoria
and public guarantee schemes in light of COVID-19 pandemic”
We have observed immaterial amounts of modified assets that have been upgraded to stage 1. We have not observed any
subsequent re-deterioration of those assets into stages 2 and 3.
In 2019, we have observed immaterial amounts of modified assets that have been upgraded to stage 1. We have 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 was
€ 56 billion at December 31, 2020, compared to € 46 billion at December 31, 2019. Allowance for credit losses against these
assets remained at very low levels (€ 20 million as of December 31, 2020 and € 35 million as of December 31, 2019). 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 our off-balance sheet financial
asset class broken down into stages as per IFRS 9 requirements.
Development of nominal amount and allowance for credit losses
in € m.
Balance, beginning of year
Movements including new business
Transfers due to changes in creditworthiness
Changes in models
Foreign exchange and other changes
Balance, end of reporting period
in € m.
Balance, beginning of year
Movements including new business
Transfers due to changes in creditworthiness
Changes in models
Foreign exchange and other changes
Balance, end of reporting period
Dec 31, 2020
Nominal Amount
Stage 1
251,930
16,918
(7,247)
0
(10,056)
251,545
Stage 2
5,864
(2,786)
6,101
0
(455)
8,723
Stage 3
1,424
126
1,146
0
(110)
2,587
Stage 3 POCI
0
1
0
0
0
1
Total
259,218
14,259
0
0
(10,622)
262,856
Dec 31, 2019
Nominal Amount
Stage 1
252,039
(507)
(99)
0
496
251,930
Stage 2
10,021
(3,256)
(933)
0
33
5,864
Stage 3
Stage 3 POCI
599
(213)
1,032
0
6
1,424
0
0
0
0
0
0
Total
262,659
(3,976)
0
0
535
259,218
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Deutsche Bank
Annual Report 2020
Risk and capital management
Credit risk management and asset quality
Stage 1
in € m.
Balance, beginning of year
Movements including new business
Transfers due to changes in creditworthiness
Changes in models
Foreign exchange and other changes
Balance, end of reporting period
Provision for Credit Losses excluding country risk1
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 creditworthi-
166
41
(1)
0
(6)
200
40
128
13
0
0
3
144
13
48
21
0
0
4
74
22
0
0
0
0
0
0
0
Stage 3 POCI
Stage 2
Stage 3
Dec 31, 2020
Allowance for Credit Losses2
Total
342
75
0
0
1
419
75
ness and changes in models.
2 Allowance for credit losses does not include allowance for country risk amounting to € 4 million as of December 31, 2020.
Stage 1
in € m.
Balance, beginning of year
Movements including new business
Transfers due to changes in creditworthiness
Changes in models
Foreign exchange and other changes
Balance, end of reporting period
Provision for Credit Losses excluding country risk1
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 creditworthi-
84
88
3
0
(9)
166
90
132
(13)
9
0
(1)
128
(4)
73
(5)
(12)
0
(7)
48
(17)
0
0
0
0
0
0
0
Stage 3 POCI
Stage 3
Stage 2
Dec 31, 2019
Allowance for Credit Losses2
Total
289
70
0
0
(17)
342
70
ness and changes in models.
2 Allowance for credit losses does not include allowance for country risk amounting to € 4 million as of December 31, 2019.
Legal Claims
Assets subject to enforcement activity consist of assets, which have been fully or partially written off and the Group still con-
tinues 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 € 295 million in fiscal year 2020, mainly in Corporate Bank, Investment Bank and Private Bank. In 2019,
legal claims amounted to € 152 million, mainly in Corporate Bank and Private Bank.
Renegotiated and forborne assets at amortized costs
For economic or legal reasons we 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 our
corporate clients considering each transaction and client -specific facts and circumstances. For consumer loans we offer
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. Forbear-
ances are restricted and depending on the economic situation of the client, our 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 our management and reporting of forborne assets at amortized costs, we are following the EBA definition for forbearances
and non-performing loans (Implementing Technical Standards (ITS) on Supervisory reporting on forbearance and non-per-
forming exposures under article 99(4) of Regulation (EU) No 575/2013). Once the conditions mentioned in the ITS are met,
we report the loan as being forborne; we remove the asset from our 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).
In 2020, forbearance measures granted as a consequence of the COVID-19 crisis have been added to the above regulations
and are included in the following table, even if these measures, in accordance with EBA guidance, do in general not trigger a
stage transition. COVID-19 related moratoria in contrast are not relevant for the below table. For further details please refer
to the section “Legislative and non-legislative moratoria and public guarantee schemes in light of COVID-19 pandemic”.
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Annual Report 2020
Risk and capital management
Credit risk management and asset quality
Forborne financial assets at amortized cost
Performing
Non-performing
Dec 31, 2020
Total
forborne
loans at
amortized
cost
Performing
Non-performing
Dec 31, 2019
Total
forborne
loans at
amortized
cost
in € m.
German
Non-German
Total
Stage 1
1,014
4,515
5,529
Stage 2
1,404
2,388
3,792
Stage 1
Stage 2
2
10
12
18
35
53
Stage 3
1,297
2,775
4,072
Stage 2
Stage 2
3,735
9,723
13,459
985
780
1,765
31
59
90
Stage 3
1,227
1,714
2,940
2,243
2,552
4,796
Development of forborne financial assets at amortized cost
in € m.
Balance beginning of period
Classified as forborne during the year
Transferred to non-forborne during the year (including repayments)
Charge-offs
Exchange rate and other movements
Balance end of period
Dec 31, 2020
4,796
10,141
(1,371)
(35)
(72)
13,459
Dec 31, 2019
4,841
1,702
(1,408)
(342)
1
4,796
Forborne assets at amortized cost increased by € 8.7 billion, predominantly due to the inclusion of Forbearance measures
granted as a consequence of the COVID-19 pandemic.
Forborne assets at amortized cost slightly decreased by € 45 million, or 1 % in 2019.
Collateral Obtained
We obtain 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 we do not occupy obtained proper-
ties for our business use. The residential real estate collateral obtained in 2020 refers predominantly to our exposures in
Spain.
Collateral Obtained during the reporting period
in € m.
Commercial real estate
Residential real estate1
Other
Total collateral obtained during the reporting period
2020
0
3
0
3
2019²
0
3
0
3
1 Carrying amount of foreclosed residential real estate properties amounted to € 27 million as of December 31, 2020 and € 29 million as of December 31, 2019 (restated com-
pared to prior year disclosure).
2 Numbers have been restated compared to prior year disclosure.
The collateral obtained, as shown in the table above, excludes collateral recorded as a result of consolidating securitization
trusts under IFRS 10. In 2020 as well as in 2019 the Group did not obtain any collateral related to these trusts.
Derivatives – Credit Valuation Adjustment
We establish counterparty Credit Valuation Adjustment (CVA) for OTC derivative transactions to cover expected credit losses.
The adjustment amount is determined by assessing the potential credit exposure to a given counterparty and taking into
account any collateral held, the effect of any relevant netting arrangements, expected loss given default and the credit risk,
based on available market information, including CDS spreads.
Treatment of default situations under derivatives
Unlike standard loan assets, we generally have more options to manage the credit risk in our derivatives transactions when
movement in the current replacement costs or the behavior of our counterparty indicate that there is the risk that upcoming
payment obligations under the transactions might not be honored. In these situations, we are frequently able under the relevant
derivatives agreements to obtain additional collateral or to terminate and close-out the derivative transactions at short notice.
The master agreements and associated collateralization agreements for OTC derivative transactions executed with our clients
typically result in the majority of our credit exposure being secured by collateral. It also provides for a broad set of standard or
bespoke termination rights, which allow us to respond swiftly to a counterparty’s default or to other circumstances which
indicate a high probability of failure.
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Risk and capital management
Credit risk management and asset quality
Our contractual termination rights are supported by internal policies and procedures with defined roles and responsibilities
which ensure that potential counterparty defaults are identified and addressed in a timely fashion. These procedures include
necessary settlement and trading restrictions. When our decision to terminate derivative transactions results in a residual net
obligation owed by the counterparty, we restructure the obligation into a non-derivative claim and manage it through our
regular work-out process. As a consequence, for accounting purposes we typically do not show any nonperforming derivatives.
Wrong-way risk occurs when exposure to a counterparty is adversely correlated with the credit quality of that counterparty. In
compliance with Article 291(2) and (4) CRR we have a monthly process to monitor several layers of wrong-way risk (specific
wrong-way risk, general explicit wrong-way risk at country/industry/region levels and general implicit wrong-way risk, whereby
relevant exposures arising from transactions subject to wrong-way risk are automatically selected and presented for comment
to the responsible credit officer). A wrong-way risk report is then sent to Credit Risk senior management on a monthly basis.
In addition, we utilized our established process for calibrating our own alpha factor (as defined in Article 284 (9) CRR) to
estimate the overall wrong-way risk in our derivatives and securities financing transaction portfolio. The Private Bank Ger-
many’s derivative counterparty risk is immaterial to the Group and collateral held is typically in the form of cash.
Managing and mitigation of Credit Risk
Managing Credit Risk on counterparty level
Credit-related counterparties are principally allocated to credit officers within credit teams which are organized by types of
counterparty (such as financial institutions, corporates or private individuals) or economic area (e.g., emerging markets) and
supported by dedicated rating analyst teams where deemed necessary. The individual credit officers have the relevant exper-
tise and experience to manage the credit risks associated with these counterparties and their associated credit related trans-
actions. For retail clients, credit decision making and credit monitoring is highly automated for efficiency reasons. Credit Risk
Management has full oversight of the respective processes and tools used in these highly automated retail credit processes.
It is the responsibility of each credit officer to undertake ongoing credit monitoring for their allocated portfolio of counterparties.
We also have procedures in place intended to identify at an early stage credit exposures for which there may be an increased
risk of loss.
In instances where we have identified counterparties where there is a concern that the credit quality has deteriorated or
appears likely to deteriorate to the point where they present a heightened risk of loss in default, the respective exposure is
generally placed on a “watchlist”. We aim to identify counterparties that, on the basis of the application of our risk management
tools, demonstrate the likelihood of problems well in advance in order to effectively manage the credit exposure and minimize
potential losses. The objective of this early warning system is to address potential problems while adequate options for action
are still available. This early risk detection is a tenet of our credit culture and is intended to ensure that greater attention is
paid to such exposures.
Credit limits are established by the Credit Risk Management function via the execution of assigned credit authorities. This also
applies to settlement risk that must fall within limits pre-approved by Credit Risk Management considering risk appetite and in
a manner that reflects expected settlement patterns for the subject counterparty. Credit approvals are documented by the
signing of the credit report by the respective credit authority holders and retained for future reference.
Credit authority is generally assigned to individuals as personal credit authority according to the individual’s professional qual-
ification, experience and training. All assigned credit authorities are reviewed on a periodic basis to help ensure that they are
commensurate with the individual performance of the authority holder.
Where an individual’s personal authority is insufficient to establish required credit limits, the transaction is referred to a higher
credit authority holder or where necessary to an appropriate credit committee. Where personal and committee authorities are
insufficient to establish appropriate limits, the case is referred to the Management Board for approval.
Mitigation of Credit Risk on counterparty level
In addition to determining counterparty credit quality and our risk appetite, we also use various credit risk mitigation techniques
to optimize credit exposure and reduce potential credit losses. Credit risk mitigants are applied in the following forms:
– Comprehensive and enforceable credit documentation with adequate terms and conditions.
– Collateral held as security to reduce losses by increasing the recovery of obligations.
– Risk transfers, which shift the loss arising from the probability of default risk of an obligor to a third party including hedging
executed by our Strategic Corporate Lending (SCL).
– Netting and collateral arrangements which reduce the credit exposure from derivatives and securities financing transactions
(e.g. repo transactions).
– Hedging of derivatives counterparty risk including CVA, using primarily CDS contracts via our Counterparty Portfolio Man-
agement desk.
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Deutsche Bank
Annual Report 2020
Risk and capital management
Credit risk management and asset quality
Collateral
We regularly agree on collateral to be received from or to be provided to customers in contracts that are subject to credit risk.
Collateral is security in the form of an asset or third-party obligation that serves to mitigate the inherent risk of credit loss in an
exposure, by either substituting the counterparty default risk or improving recoveries in the event of a default. While collateral
can be an alternative source of repayment, it does not replace the necessity of high quality underwriting standards and a
thorough assessment of the debt service ability of the counterparty in line with CRR Article 194 (9).
We segregate collateral received into the following two types:
– Financial and other collateral, which enables us to recover all or part of the outstanding exposure by liquidating the collateral
asset provided, in cases where the counterparty is unable or unwilling to fulfill its primary obligations. Cash collateral,
securities (equity, bonds), collateral assignments of other claims or inventory, equipment (i.e., plant, machinery and aircraft)
and real estate typically fall into this category. All financial collateral is regularly, mostly daily, revalued and measured
against the respective credit exposure. The value of other collateral, including real estate, is monitored based upon estab-
lished processes that includes regular reviews or revaluations by internal and/or external experts.
– Guarantee collateral, which complements the counterparty’s ability to fulfill its obligation under the legal contract and as
such is provided by third parties. Letters of credit, insurance contracts, export credit insurance, guarantees, credit deriva-
tives and risk participations typically fall into this category. Guarantee collateral with a non-investment grade rating of the
guarantor is limited.
Our processes seek to ensure that the collateral we accept for risk mitigation purposes is of high quality. This includes seeking
to have in place legally effective and enforceable documentation for realizable and measureable collateral assets which are
evaluated regularly by dedicated teams. The assessment of the suitability of collateral for a specific transaction is part of the
credit decision and must be undertaken in a conservative way, including collateral haircuts that are applied. We have collateral
type specific haircuts in place which are regularly reviewed and approved. In this regard, we strive to avoid “wrong-way” risk
characteristics where the counterparty’s risk is positively correlated with the risk of deterioration in the collateral value. For
guarantee collateral, the process for the analysis of the guarantor’s creditworthiness is aligned to the credit assessment pro-
cess for counterparties.
The valuation of collateral is considered under a liquidation scenario. Liquidation value is equal to the expected proceeds of
collateral monetization / realization in a base case scenario, wherein a fair price is achieved through careful preparation and
orderly liquidation of the collateral. Collateral can either move in value over time (dynamic value) or not (static value). The
dynamic liquidation value generally includes a safety margin or haircut over realizable value to address liquidity and marketa-
bility aspects.
The Group assigns a liquidation value to eligible collateral, based on, among other things:
– the market value and / or lending value, notional amount or face value of a collateral as a starting point;
– the type of collateral; the currency mismatch, if any, between the secured exposure and the collateral; and a maturity
mismatch, if any;
– the applicable legal environment or jurisdiction (onshore versus offshore collateral);
– the market liquidity and volatility in relation to agreed termination clauses;
– the correlation between the performance of the borrower and the value of the collateral, e.g., in the case of the pledge of a
borrower’s own shares or securities (in this case generally full correlation leads to no liquidation value);
– the quality of physical collateral and potential for litigation or environmental risks; and
– a determined collateral type specific haircut (0 – 100 %) reflecting collection risks (i.e. price risks over the average liquida-
tion period and processing/utilization/sales cost) as specified in the respective policies.
Collateral haircut settings are typically based on available historic internal and/or external recovery data (expert opinions may
also be used, where appropriate). They also incorporate a forward-looking component in the form of collection and valuation
forecast provided by experts within Risk Management. When data is not sufficiently available or inconclusive, more conserva-
tive haircuts than otherwise used must be applied. Haircut settings are reviewed at least annually.
Risk transfers
Risk transfers to third parties form a key part of our overall risk management process and are executed in various forms,
including outright sales, single name and portfolio hedging, and securitizations. Risk transfers are conducted by the respective
business units and by Strategic Corporate Lending (“SCL”), in accordance with specifically approved mandates.
SCL manages the residual credit risk of loans and lending-related commitments of the institutional and corporate credit port-
folio, the leveraged portfolio and the medium-sized German companies’ portfolio across our CB and IB divisions.
Acting as a central pricing reference, SCL provides the businesses with an observed or derived capital market rate for loan
applications; however, the decision of whether or not the business can enter into the credit risk remains exclusively with Credit
Risk Management.
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SCL is concentrating on two primary objectives within the credit risk framework to enhance risk management discipline, im-
prove returns and use capital more efficiently:
– to reduce single-name credit risk concentrations within the credit portfolio and
– to manage credit exposures by utilizing techniques including loan sales, securitization via collateralized loan obligations,
sub-participations and single-name and portfolio credit default swaps.
Netting and collateral arrangements for derivatives and Securities Financing Transactions
Netting is applicable to both exchange traded derivatives and OTC derivatives. Netting is also applied to securities financing
transactions (e.g. repurchase, securities lending and margin lending transactions) as far as documentation, structure and
nature of the risk mitigation allow netting with the underlying credit risk.
All exchange traded derivatives are cleared through central counterparties (CCPs), which interpose themselves between the
trading entities by becoming the counterparty to each of the entities. Where legally required or where available and to the
extent agreed with our counterparties, we also use CCP clearing for our OTC derivative transactions.
The Dodd-Frank Act and related Commodity Futures Trading Commission (CFTC) rules require CCP clearing in the United
States for certain standardized OTC derivative transactions, including certain interest rate swaps and index credit default
swaps, subject to limited exceptions when facing certain counterparties. The European Regulation (EU) No 648/2012 on OTC
Derivatives, Central Counterparties and Trade Repositories (EMIR) and the Commission Delegated Regulations
(EU) 2015/2205, (EU) 2015/592 and (EU) 2016/1178 based thereupon introduced mandatory CCP clearing in the EU for cer-
tain standardized OTC derivatives transactions. Mandatory CCP clearing in the EU began for certain interest rate derivatives
on June 21, 2016 and for certain iTraxx-based credit derivatives and additional interest rate derivatives on February 9, 2017.
Article 4 (2) of EMIR authorizes competent authorities to exempt intragroup transactions from mandatory CCP clearing, pro-
vided certain requirements, such as full consolidation of the intragroup transactions and the application of an appropriate
centralized risk evaluation, measurement and control procedure are met. The Bank successfully applied for the clearing ex-
emption for a number of its regulatory-consolidated subsidiaries with intragroup derivatives, including e.g., Deutsche Bank
Securities Inc. and Deutsche Bank Luxembourg S.A. As of December 31, 2020, the Bank is allowed to make use of has
obtained intragroup exemptions from the EMIR clearing obligation for 57 bilateral intragroup relationships. The extent of the
exemptions differs as not all entities enter into relevant transaction types subject to the clearing obligation. Of the 57 intragroup
relationships, 14 are relationships where both entities are established in the Union (EU) for which a full exemption has been
granted, and 43 are relationships where one is established in a third country (“Third Country Relationship”). Third Country
Relationships required repeat applications for each new asset class being subject to the clearing obligation; the process took
place in the course of 2017. Such repeat applications, at the time, were been filed for 39 of the Third Country Relationships,
with a number of those entities having been liquidated in the meantime. Due to “Brexit”, the status of some group entities will
change from an EU entity to a third country entity. There are two affected UK group entities, but we have not applied for any
EMIR clearing exemption for those entities.
The rules and regulations of CCPs typically provide for the bilateral set off of all amounts payable on the same day and in the
same currency (“payment netting”) thereby reducing our settlement risk. Depending on the business model applied by the
CCP, this payment netting applies either to all of our derivatives cleared by the CCP or at least to those that form part of the
same class of derivatives. Many CCPs’ rules and regulations also provide for the termination, close-out and netting of all
cleared transactions upon the CCP’s default (“close-out netting”), which reduces our credit risk. In our risk measurement and
risk assessment processes we apply close-out netting only to the extent we believe that the relevant CCP’s close-out netting
provisions are legally valid and enforceable.
In order to reduce the credit risk resulting from OTC derivative transactions, where CCP clearing is not available, we regularly
seek the execution of standard master agreements (such as master agreements for derivatives published by the International
Swaps and Derivatives Association, Inc. (ISDA) or the German Master Agreement for Financial Derivative Transactions) with
our counterparties. A master agreement allows for the close-out netting of rights and obligations arising under derivative
transactions that have been entered into under such a master agreement upon the counterparty’s default, resulting in a single
net claim owed by or to the counterparty. For certain parts of the derivatives business (e.g., foreign exchange transactions),
we also enter into master agreements under which payment netting applies with respect to transactions covered by such
master agreements, reducing our settlement risk. In our risk measurement and risk assessment processes we apply close-
out netting only to the extent we believe that the master agreement is legally valid and enforceable in all relevant jurisdictions.
We also enter into credit support annexes (CSAs) to master agreements in order to further reduce our derivatives-related
credit risk. These annexes generally provide risk mitigation through periodic, usually daily, margining of the covered exposure.
The CSAs also provide for the right to terminate the related derivative transactions upon the counterparty’s failure to honor a
margin call. As with netting, when we believe the annex is enforceable, we reflect this in our exposure measurement.
The Dodd-Frank Act and CFTC rules thereunder, including CFTC rule § 23.504, as well as EMIR and Commission Delegated
Regulation based thereupon, namely Commission Delegated Regulation (EU) 2016/2251, introduced the mandatory use of
master agreements and related CSAs, which must be executed prior to or contemporaneously with entering into an uncleared
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OTC derivative transaction. Similar documentation is required by the U.S. margin rules adopted by U.S. prudential regulators,
and will be required under SEC rules for security based swaps scheduled to become effective in 2021. Under the U.S. margin
rules, we are required to post and collect initial margin for our derivatives exposures with other derivatives dealers, as well as
with our counterparties that (a) are “financial end users,” as that term is defined in the U.S. margin rules, and (b) have an
average daily aggregate notional amount of uncleared swaps, uncleared security-based swaps, foreign exchange forwards
and foreign exchange swaps exceeding U.S.$ 8 billion in June, July and August of the previous calendar year. The U.S.
margin rules additionally require us to post and collect variation margin for our derivatives with other derivatives dealers and
certain financial end user counterparties. These margin requirements are subject to a U.S.$ 50 million threshold for initial
margin, but no threshold for variation margin, with a combined U.S.$ 500,000 minimum transfer amount. The U.S. margin
requirements have been in effect for large banks since September 2016, with additional variation margin requirements having
come into effect March 1, 2017 and additional initial margin requirements are being phased in from September 2017 through
September 2022, with the relevant compliance dates depending in each case on the transactional volume of the parties and
their affiliates. Compliance with SEC margin requirements will not be required prior to the compliance date for registration of
security-based swap dealers in November 2021 at the latest.
Under Commission Delegated Regulation (EU) 2016/2251, which implements the EMIR margin requirements, the CSA must
provide for daily valuation and daily variation margining based on a zero threshold and a minimum transfer amount of not
more than € 500,000. For large derivative exposures exceeding € 8 billion, initial margin has to be posted as well. The variation
margin requirements under EMIR apply as of March 1, 2017; the initial margin requirements will be subject to a staged phase-
in until September 1, 2021. However, legislative changes have been published on February 17, 2021 that, among others, will
extend deadlines into 2022. Under Article 31 of Commission Delegated Regulation (EU) 2016/2251, an EU party may decide
to not exchange margin with counterparties in certain non-netting jurisdictions provided certain requirements are met. Pursuant
to Article 11 (5) to (10) of EMIR competent authorities are authorized to exempt intragroup transactions from the margining
obligation, provided certain requirements are met. While some of those requirements are the same as for the EMIR clearing
exemptions (see above), there are additional requirements such as the absence of any current or foreseen practical or legal
impediment to the prompt transfer of funds or repayment of liabilities between intragroup counterparties. The Bank is making
use of this exemption. The Bank has successfully applied for the collateral exemption for some of its regulatory-consolidated
subsidiaries with intragroup derivatives, including, e.g., Deutsche Bank Securities Inc. and Deutsche Bank Luxembourg S.A.
As of December 31, 2020, the Bank has obtained intragroup exemptions from the EMIR collateral obligation for a number of
bilateral intragroup relationships which are published under https://www.db.com/company/en/intra-group-exemptions--mar-
gining.htm. For third country subsidiaries, the intragroup exemption is currently limited until the earlier of December 21, 2020
and four months after the publication of an equivalence decision by the EU Commission under Article 13(2) EMIR, unless, in
the case of an equivalence decision being applicable, a follow-up exemption application is made and granted. The pending
legislative changes mentioned above extend that deadline to June 30, 2022, but re-application will be necessary also for third
countries without equivalence decision. For some bilateral intragroup relationships, the EMIR margining exemption may be
used based on Article 11 (5) of EMIR, i.e. without the need for any application, because both entities are established in the
same EU Member State. Due to “Brexit”, the status of the one intragroup entity contained in the published list will change from
an EU entity to that of a third country entity. That entity has been taken off the exemption list as per December 31, 2020 and
no margin exemption will be used for the time being. Certain CSAs to master agreements provide for rating-dependent triggers,
where additional collateral must be pledged if a party’s rating is downgraded. We also enter into master agreements that
provide for an additional termination event upon a party’s rating downgrade. These downgrade provisions in CSAs and master
agreements usually apply to both parties but in some agreements may apply to us only. We analyze and monitor our potential
contingent payment obligations resulting from a rating downgrade in our stress testing approach for liquidity risk on an ongoing
basis. For an assessment of the quantitative impact of a downgrading of our credit rating please refer to table “Stress Testing
Results” in the section “Liquidity Risk”.
Concentrations within Credit Risk mitigation
Concentrations within credit risk mitigations taken may occur if a number of guarantors and credit derivative providers with
similar economic characteristics are engaged in comparable activities with changes in economic or industry conditions affect-
ing their ability to meet contractual obligations. We use a range of tools and metrics to monitor our credit risk mitigating
activities.
For more qualitative and quantitative details in relation to the application of credit risk mitigation and potential concentration
effects please refer to the section “Maximum Exposure to Credit Risk”.
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Managing Credit Risk on portfolio level
On a portfolio level, significant concentrations of credit risk could result from having material exposures to a number of coun-
terparties with similar economic characteristics, or who are engaged in comparable activities, where these similarities may
cause their ability to meet contractual obligations to be affected in the same manner by changes in economic or industry
conditions.
Our portfolio management framework supports a comprehensive assessment of concentrations within our credit risk portfolio
in order to keep concentrations within acceptable levels.
Industry risk management
To manage industry risk, we have grouped our corporate and financial institutions counterparties into various industry sub-
portfolios. Portfolios are regularly reviewed with the frequency of review according to portfolio size and risk profile as well as
risk developments. Larger / riskier portfolios are reviewed at least on an annual basis. Reviews highlight industry developments
and risks to our credit portfolio, review cross-risk concentration risks, analyze the risk/reward profile of the portfolio and incor-
porate the results of an economic downside stress test. Finally, this analysis is used to define the credit strategies for the
portfolio in question.
In our Industry Limit framework, thresholds are established for aggregate credit limits to counterparties within each industry
sub-portfolio. For risk management purposes, the aggregation of limits across industry sectors follows an internal risk view
that does not have to be congruent with NACE (Nomenclature des Activities Economiques dans la Communate Europeenne)
code based view applied elsewhere in this report. Regular overviews are prepared for the Enterprise Risk Committee to
discuss recent developments and to agree on actions where necessary.
Beyond credit risk, our Industry Risk Framework comprises of thresholds for Traded Credit Positions while key non-financial
risks are closely monitored.
Country risk management
Avoiding undue concentrations from a regional perspective is also an integral part of our credit risk management framework.
In order to achieve this, country risk thresholds are applied to Emerging Markets as well as selected Developed Markets
countries (based on internal country risk ratings). Emerging Markets are divided into regions. Similar to industry risk, country
portfolios are regularly reviewed with the frequency of review according to portfolio size and risk profile as well as risk devel-
opments. Larger / riskier portfolios are reviewed at least on an annual basis. These reviews assess key macroeconomic
developments and outlook, review portfolio composition and cross-risk concentration risks and analyze the risk/reward profile
of the portfolio. Based on this, country risk appetite and strategies are set.
In our Country Risk Framework, thresholds are established for counterparty credit risk exposures in a given country to manage
the aggregated credit risk subject to country-specific economic and political events. These thresholds cover exposures to
entities incorporated locally including subsidiaries of foreign multinational corporations as well as companies with significant
economic or operational dependence on a specific country even though they are incorporated externally. In addition, gap risk
thresholds are set to control the risk of loss due to intra-country wrong-way risk exposure. As such, for risk management
purposes, the aggregation of exposures across countries follows an internal risk view that may differ from the geographical
exposure view applied elsewhere in this report. Beyond credit risk, our Country Risk Framework comprises thresholds for
trading positions in Emerging Markets and selective Developed Markets that measure the aggregate market value of traded
credit risk positions. For Emerging Markets, thresholds are also set to measure the Profit and Loss impact under specific
country stress scenarios on trading positions across the Bank’s portfolio. Furthermore thresholds are set for capital positions
and intra-group funding exposure of Deutsche Bank entities in above countries given the transfer risk inherent in these cross-
border positions. Key non-financial risks are closely monitored. Our country risk ratings represent a key tool in our manage-
ment of country risk. They include:
– Sovereign rating (set and managed by ERM): A measure of the probability of the sovereign defaulting on its foreign or local
currency obligations.
– Transfer risk rating (set and managed by ERM): A measure of the probability of a “transfer risk event”, i.e., the risk that an
otherwise solvent debtor is unable to meet its obligations due to inability to obtain foreign currency or to transfer assets as
a result of direct sovereign intervention.
All sovereign and transfer risk ratings are reviewed, at least on an annual basis.
Product/Asset class specific risk management
Complementary to our counterparty, industry and country risk approach, we focus on product/asset class specific risk con-
centrations and set limits or thresholds where required for risk management purposes. Specific risk limits are set in particular
if a concentration of transactions of a specific type might lead to significant losses under certain conditions. In this respect,
correlated losses might result from disruptions of the functioning of financial markets, significant moves in market parameters
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to which the respective product is sensitive, macroeconomic default scenarios or other factors. Specific focus is put on trans-
actions with underwriting risks where we underwrite commitments with the intention to sell down or distribute part of the risk
to third parties. These commitments include the undertaking to provide bank loans for syndication into the debt capital market
and bridge loans for the issuance of notes. The inherent risks of being unsuccessful in the distribution of the facilities or the
placement of the notes, comprise of a delayed distribution, funding of the underlying loans as well as a pricing risk as some
underwriting commitments are additionally exposed to market risk in the form of widening credit spreads. Where applicable,
we dynamically hedge this credit spread risk to be within the approved market risk limit framework.
A major asset class, in which Deutsche Bank is active in underwriting, is leverage lending, which we mainly execute through
our Leveraged Debt Capital Markets (LDCM) business unit. The business model is a fee-based‚ originate to distribute ap-
proach focused on the distribution of largely unfunded underwriting commitments into the capital market. The aforementioned
risks regarding distribution and credit spread movement apply to this business unit, however, are managed under a range of
specific notional as well as market risk limits. The latter require the business to also hedge its underwriting pipeline against
market dislocations. The fee-based model of our LDCM business unit includes a restrictive approach to single-name risk
concentrations retained on Deutsche Bank‘s balance sheet, which results in a diversified overall portfolio without any material
concentrations. The resulting longer-term on-balance sheet portfolio is also subject to a comprehensive credit limit and hedg-
ing framework.
Deutsche Bank also assumes underwriting risk with respect to Commercial Real Estate (CRE) loans, primarily in the CRE
business unit in the Investment Bank where loans may be originated with the intent to securitize in the capital markets or
syndicate to other lenders. The aforementioned inherent underwriting risks such as delayed distribution and pricing risk are
managed through notional caps, market risk limits and hedging against the risk of market dislocations.
In addition to underwriting risk, we also focus on concentration of transactions with specific risk dynamics (including risk to
commercial real estate and risk from securitization positions).
Furthermore, DB defines its risk appetite on division, asset class (product) and business unit level. In addition, our PB and
certain CB businesses are managed via product-specific strategies setting our risk appetite for sufficiently homogeneous
portfolios, such as the retail portfolios of mortgages and consumer finance products as well as products for business clients.
Here risk analyses are performed on portfolio level. Analysis for individual clients are of secondary importance. In Wealth
Management, target levels are set for global concentrations along products as well as based on type and liquidity of collateral.
Market risk management
Market risk framework
The vast majority of our businesses are subject to market risk, defined as the potential for change in the market value of our
trading and invested positions. Risk can arise from changes in interest rates, credit spreads, foreign exchange rates, equity
prices, commodity prices and other relevant parameters, such as market volatility and market implied default probabilities.
The market risk can affect accounting, economic and regulatory views of our exposure.
Market Risk Management is part of our independent Risk function and sits within the Market and Valuations Risk Management
group. One of the primary objectives of Market Risk Management is to ensure that our business units’ risk exposure is within
the approved risk appetite commensurate with its defined strategy. To achieve this objective, Market Risk Management works
closely together with risk takers (“the business units”) and other control and support groups.
We distinguish between three substantially different types of market risk:
– Trading market risk arises primarily through the market-making and client facilitation activities of the Investment Bank and
Corporate Bank Divisions. This involves taking positions in debt, equity, foreign exchange, other securities and commodities
as well as in equivalent derivatives.
– Traded default risk arising from defaults and rating migrations relating to trading instruments.
– Nontrading market risk arises from market movements, primarily outside the activities of our trading units, in our banking
book and from off-balance sheet items. This includes interest rate risk, credit spread risk, investment risk and foreign
exchange risk as well as market risk arising from our pension schemes, guaranteed funds and equity compensation. Non-
trading market risk also includes risk from the modeling of client deposits as well as savings and loan products.
Market Risk Management governance is designed and established to promote oversight of all market risks, effective decision-
making and timely escalation to senior management.
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Market Risk Management defines and implements a framework to systematically identify, assess, monitor and report our
market risk. Market risk managers identify market risks through active portfolio analysis and engagement with the business
units.
Market risk measurement
We aim to accurately measure all types of market risks by a comprehensive set of risk metrics embedding accounting, eco-
nomic and regulatory considerations.
We measure market risks by several internally developed key risk metrics and regulatory defined market risk approaches.
Trading market risk
Our primary mechanism to manage trading market risk is the application of our risk appetite framework of which the limit
framework is a key component. Our Management Board, supported by Market Risk Management, sets group-wide value-at-
risk, economic capital and portfolio stress testing limits for market risk in the trading book. Market Risk Management allocates
this overall appetite to our Corporate Divisions and their individual business units based on established and agreed business
plans. We also have business aligned heads within Market Risk Management who establish business unit limits, by allocating
the limit down to individual portfolios, geographical regions and types of market risks.
Value-at-risk, economic capital and portfolio stress testing limits are used for managing all types of market risk at an overall
portfolio level. As an additional and important complementary tool for managing certain portfolios or risk types, Market Risk
Management performs risk analysis and business specific stress testing. Limits are also set on sensitivity and concentration/li-
quidity, exposure, business-level stress testing and event risk scenarios, taking into consideration business plans and the risk
vs return assessment.
Business units are responsible for adhering to the limits against which exposures are monitored and reported. The market risk
limits set by Market Risk Management are monitored on a daily, weekly and monthly basis, dependent on the risk management
tool being used.
Internally developed market risk models
Value-at-Risk (VaR)
VaR is a quantitative measure of the potential loss (in value) of Fair Value positions due to market movements that should not
be exceeded in a defined period of time and with a defined confidence level.
Our value-at-risk for the trading businesses is based on our own internal model. In October 1998, the German Banking Su-
pervisory Authority (now the BaFin) approved our internal model for calculating the regulatory market risk capital for our gen-
eral and specific market risks based on a sensitivity based Monte Carlo approach. In October 2020, the ECB approved a
significant change to our VaR model, now a Historical Simulation approach predominantly utilizing full revaluation, although
some portfolios remain on a sensitivity based approach. The new approach is used for both Risk Management and Capital
Requirements.
The new approach provides more accurate modelling of our risks, enhances our analysis capabilities and provides a more
effective tool for risk management. Aside from enabling a more accurate view of market risk, the implementation of Historical
Simulation VaR has brought about an even closer alignment of our market risk systems and models to our end of day pricing.
Risk management VaR is calibrated to a 99 % confidence level and a one day holding period. This means we estimate there
is a 1 in 100 chance that a mark-to-market loss from our trading positions will be at least as large as the reported VaR. For
regulatory capital purposes, our VaR model is calibrated to a 99% confidence interval and a ten day holding period.
The calculation employs a Historical Simulation technique that uses one year of historical market data as input and observed
correlations between the risk factors during this one year period.
Our VaR model is designed to take into account a comprehensive set of risk factors across all asset classes. Key risk factors
are swap/government curves, index and issuer-specific credit curves, single equity and index prices, foreign exchange rates,
commodity prices as well as their implied volatilities. To help ensure completeness in the risk coverage, second order risk
factors, e.g. money market basis, implied dividends, option-adjusted spreads and precious metals lease rates are also con-
sidered in the VaR calculation. The list of risk factors include in the VaR model is reviewed regularly and enhanced as part of
ongoing model performance reviews.
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The model incorporates both linear and, especially for derivatives, nonlinear impacts predominantly through a full revaluation
approach but it also utilizes a sensitivity-based approach for certain portfolios. The full revaluation approach uses the historical
changes to risk factors as input to pricing functions. Whilst this approach is computationally expensive, it does yield a more
accurate view of market risk for nonlinear positions, especially under stressed scenarios. The sensitivity based approach uses
sensitivities to underlying risk factors in combination with historical changes to those risk factors.
For each business unit a separate VaR is calculated for each risk type, e.g. interest rate risk, credit spread risk, equity risk,
foreign exchange risk and commodity risk. “Diversification effect” reflects the fact that the total VaR on a given day will be
lower than the sum of the VaR relating to the individual risk types. Simply adding the VaR figures of the individual risk types
to arrive at an aggregate VaR would imply the assumption that the losses in all risk types occur simultaneously
The VaR enables us to apply a consistent measure across our fair value exposures. It allows a comparison of risk in different
businesses, and also provides a means of aggregating and netting positions within a portfolio to reflect correlations and offsets
between different asset classes. Furthermore, it facilitates comparisons of our market risk both over time and against our daily
trading results.
When using VaR results a number of considerations should be taken into account. These include:
– The use of historical market data may not be a good indicator of potential future events, particularly those that are extreme
in nature. This “backward-looking” limitation can cause VaR to understate future potential losses (as in 2008), but can also
cause it to be overstated immediately following a period of significant stress (as in COVID-19 pandemic).
– The one day holding period does not fully capture the market risk arising during periods of illiquidity, when positions cannot
be closed out or hedged within one day.
– VaR does not indicate the potential loss beyond the 99th quantile.
– Intra-day risk is not reflected in the end of day VaR calculation.
– There may be risks in the trading or banking book that are partially or not captured by the VaR model.
Our process of systematically capturing and evaluating risks currently not captured in our VaR model has been further devel-
oped and improved. An assessment is made to determine the level of materiality of these risks and material risks are prioritized
for inclusion in our internal model. Risks not in VaR are monitored and assessed on a regular basis through our Risk Not In
VaR (RNIV) framework. This framework has also undergone a significant overhaul in 2020. This includes aligning the meth-
odologies with the Historical Simulation approach which in turn yields a more accurate estimate of the contribution of these
missing items and their potential capitalization.
We are committed to the ongoing development of our internal risk models, and we allocate substantial resources to reviewing,
validating and improving them.
Stressed Value-at-Risk
Stressed Value-at-Risk (SVaR) calculates a stressed value-at-risk measure based on a one year period of significant market
stress. We calculate a stressed value-at-risk measure using a 99 % confidence level. Stressed VaR is calculated with a holding
period of ten days. Our SVaR calculation utilizes the same systems, trade information and processes as those used for the
calculation of value-at-risk. The only difference is that historical market data and observed correlations from a period of signif-
icant financial stress (i.e., characterized by high volatilities) is used as an input for the Historical Simulation.
The time window selection process for the stressed value-at-risk calculation is based on the identification of a time window
characterized by high levels of volatility in the top value-at-risk contributors. The identified window is then further validated by
comparing the SVaR results to neighboring windows using the complete Group portfolio.
Under the Historical Simulation model introduced in fourth quarter of 2020, the capital calculation for VaR has been higher
than that for Stressed VaR which would normally lead to a change in the time window used for Stressed VaR. Following
guidance from our regulators, the assessment of this stressed period window has been delayed until 2021 as the current VaR
is already based on this more stressed period driven by COVID-19.
Incremental Risk Charge
Incremental Risk Charge captures default and credit rating migration risks for credit-sensitive positions in the trading book.
We use a Monte Carlo Simulation for calculating incremental risk charge as the 99.9 % quantile of the portfolio loss distribution
over a one-year capital horizon under a constant position approach and for allocating contributory incremental risk charge to
individual positions.
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The model captures the default and migration risk in an accurate and consistent quantitative approach for all portfolios. Im-
portant parameters for the incremental risk charge calculation are exposures, recovery rates, maturity, ratings with corre-
sponding default and migration probabilities and parameters specifying issuer correlations.
Market risk standardized approach
The Market Risk Standardized Approach (“MRSA”) is used to determine the regulatory capital charge for the specific market
risk of trading book securitizations, for certain types of investment funds and for longevity risk as set out in CRR/CRD regula-
tions.
Longevity risk is the risk of adverse changes in life expectancies resulting in a loss in value on longevity linked policies and
transactions. For risk management purposes, stress testing and economic capital allocations are also used to monitor and
manage longevity risk.
Market risk stress testing
Stress testing is a key risk management technique, which evaluates the potential effects of extreme market events and move-
ments in individual risk factors. It is one of the core quantitative tools used to assess the market risk of Deutsche Bank’s
positions and complements VaR and Economic Capital. Market Risk Management performs several types of stress testing to
capture the variety of risks (Portfolio Stress Testing, individual specific stress tests and Event Risk Scenarios) and also con-
tributes to Group-wide stress testing. These stress tests cover a wide range of severities designed to test the earnings stability
and capital adequacy of the bank.
Trading market risk economic capital (TMR EC)
Our trading market risk economic capital model-scaled Stressed VaR based EC (SVaR based EC) - comprises two core
components, the “common risk” component covering risk drivers across all businesses and the “business-specific risk” com-
ponent, which enriches the Common Risk via a suite of Business Specific Stress Tests (BSSTs). Both components are cali-
brated to historically observed severe market shocks. Common risk is calculated using a scaled version of the SVaR frame-
work while BSSTs are designed to capture more product/business-related bespoke risks (e.g. complex basis risks) as well as
higher order risks not captured in the common risk component. The SVaR based EC uses the Monte Carlo SVaR framework.
Traded default risk economic capital (TDR EC)
TDR EC captures the relevant credit exposures across our trading and fair value banking books. Trading book exposures are
monitored by MRM via single name concentration and portfolio thresholds which are set based upon rating, size and liquidity.
Single name concentration risk thresholds are set for two key metrics: Default Exposure, i.e., the P&L impact of an instanta-
neous default at the current recovery rate (RR), and bond equivalent Market Value (MV), i.e. default exposure at 0 % recovery.
In order to capture diversification and concentration effects we perform a joint calculation for traded default risk economic
capital and credit risk economic capital. Important parameters for the calculation of traded default risk are exposures, recovery
rates and default probabilities as well as maturities. The probability of joint rating downgrades and defaults is determined by
the default and rating correlations of the portfolio model. These correlations are specified through systematic factors that
represent countries, geographical regions and industries.
Trading market risk reporting
Market Risk Management reporting creates transparency on the risk profile and facilitates the understanding of core market
risk drivers to all levels of the organization. The Management Board and Senior Governance Committees receive regular
reporting, as well as ad hoc reporting as required, on market risk, regulatory capital and stress testing. Senior Risk Committees
receive risk information at a number of frequencies, including weekly or monthly.
Additionally, Market Risk Management produces daily and weekly Market Risk specific reports and daily limit utilization reports
for each business owner.
Regulatory prudent valuation of assets carried at fair value
We determined the amount of the additional value adjustments based on the methodology defined in the Commission Dele-
gated Regulation (EU) 2016/101 including the amendment via Commission Delegated Regulation (EU) 2020/866 providing
for a revised aggregation factor to apply for duration of the extreme market volatility due to the COVID-19 pandemic until
December 31, 2020.
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As of December 31, 2020 the amount of the additional value adjustments was € 1.4 billion. The December 31, 2019 amount
was € 1.7 billion. The impact of the revised aggregation factor as at December 31, 2020 was € 0.5 billion.
As of December 31, 2020 the reduction of the expected loss from subtracting the additional value adjustments was € 121 mil-
lion, which partly mitigated the negative impact of the additional value adjustments on our CET 1 capital.
Nontrading market risk
Nontrading market risk arises primarily from activities outside of our trading units, in our banking book, and from certain off-
balance sheet items, and embedding considerations of different accounting treatment of transactions. Significant market risk
factors the Group is exposed to and are overseen by risk management groups in that area are:
– Interest rate risk (including risk from embedded optionality and changes in behavioral patterns for certain product types),
credit spread risk, foreign exchange risk, equity risk (including investments in public and private equity as well as real
estate, infrastructure and fund assets).
– Market risks from off-balance sheet items, such as pension schemes and guarantees, as well as structural foreign exchange
risk and equity compensation risk.
As for trading market risks our risk appetite & limit framework is also applied to manage our exposure to nontrading market
risk. On group level those are captured by the management board set limits for market risk economic capital capturing expo-
sures to all market risks across asset classes as well as earnings & economic value based limits for interest rate risk in the
banking books. Those limits are cascaded down by market risk management to the divisional or portfolio level. The limit
framework for nontrading market risk exposure is further complemented by a set of business specific stress tests, value-at-
risk & sensitivity limits monitored on a daily or monthly basis dependent on the risk measure being used.
Interest Rate Risk in the Banking Book
Interest rate risk in the banking book (IRRBB) is the current or prospective risk, to both the Group's capital and earnings,
arising from movements in interest rates, which affect the Group's banking book exposures. This includes gap risk, which
arises from the term structure of banking book instruments, basis risk, which describes the impact of relative changes in
interest rates for financial instruments that are priced using different interest rate curves, as well as option risk, which arises
from option derivative positions or from optional elements embedded in financial instruments.
The Group manages its IRRBB exposures using economic value as well as earnings based measures. Our Group Treasury
function is mandated to manage the interest rate risk centrally, with Market Risk Management acting as an independent
oversight function.
Economic value based measures look at the change in economic value of banking book assets, liabilities and off-balance
sheet exposures resulting from interest rate movements, independent of the accounting treatment. Thereby the Group
measures the change in Economic Value of Equity (ΔEVE) as the maximum decrease of the banking book economic value
under the six standard scenarios defined by the European Banking Authority (EBA) in addition to internal stress scenarios for
risk steering purposes.
Earnings-based measures look at the expected change in Net Interest Income (NII) resulting from interest rate movements
over a defined time horizon, compared to a defined benchmark scenario. Thereby the Group measures ΔNII as the maximum
reduction in NII under the six standard scenarios defined by the European Banking Authority (EBA) in addition to internal
stress scenarios for risk steering purposes, compared to a market implied curve scenario, over a period of 12 months.
The Group employs mitigation techniques to hedge the interest rate risk arising from nontrading positions within given limits.
The interest rate risk arising from nontrading asset and liability positions is managed through Treasury Markets & Investments.
The residual interest rate risk positions are hedged with Deutsche Bank’s trading books within the IB division. The treatment
of interest rate risk in our trading portfolios and the application of the value-at-risk model is discussed in the “Trading Market
Risk” section of this document.
Positions in our banking books as well as the hedges described in the aforementioned paragraph follow the accounting prin-
ciples as detailed in the “Notes to the Consolidated Financial Statements” section of this document.
The Model Risk Management function performs independent validation of models used for IRRBB measurement, as per all
market risk models, in line with Deutsche Bank’s group-wide risk governance framework.
The calculation of VaR and sensitivities of interest rate risk is performed daily, whereas the measurement and reporting of
economic value interest rate and earnings risk is performed on a monthly basis. The Group generally uses the same metrics
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in its internal management systems as it applies for the disclosure in this report. This is applicable to both the methodology as
well as the modelling assumptions used when calculating the metrics.
Deutsche Bank’s key modelling assumptions are applied to the positions in our PB and CB divisions. Those positions are
subject to risk of changes in our client’s behavior with regard to their deposits as well as loan products.
The Group manages the interest rate risk exposure of its Non-Maturity Deposits (NMDs) through a replicating portfolio ap-
proach to determine the average repricing maturity of the portfolio. For the purpose of constructing the replicating portfolio,
the portfolio of NMDs is clustered by dimensions such as business unit, currency, product and geographical location. The
main dimensions influencing the repricing maturity are elasticity of deposit rates to market interest rates, volatility of deposit
balances and observable client behavior. For the reporting period the average repricing maturity assigned across all such
replicating portfolios is 2.14 years and Deutsche Bank uses 15 years as the longest repricing maturity.
In the loan and some of the term deposit products Deutsche Bank considers early prepayment/withdrawal behavior of its
customers. The parameters are based on historical observations, statistical analyses and expert assessments.
Furthermore, the Group generally calculates IRRBB related metrics in contractual currencies and aggregates the resulting
metrics for reporting purposes. When calculating economic value based metrics the commercial margin is excluded for mate-
rial parts of the balance sheet.
Credit Spread Risk in the Banking Book
Deutsche Bank is exposed to credit spread risk of bonds held in the banking book, mainly as part of the Treasury Liquidity
Reserves portfolio. The credit spread risk in the banking book is managed by the businesses, with Market Risk Management
acting as an independent oversight function ensuring that the exposure is within the approved risk appetite. This risk category
is closely associated with interest rate risk in the banking book as changes in the perceived credit quality of individual instru-
ments may result in fluctuations in spreads relative to underlying interest rates. The calculation of credit spread sensitivities
and value-at-risk for credit spread exposure is in general performed on a daily basis, the measurement and reporting of eco-
nomic capital and stress tests are performed on a monthly basis.
Foreign exchange risk
Foreign exchange risk arises from our nontrading asset and liability positions that are denominated in currencies other than
the functional currency of the respective entity. The majority of this foreign exchange risk is transferred through internal hedges
to trading books within the IB division and is therefore reflected and managed via the value-at-risk figures in the trading books.
The remaining foreign exchange risks that have not been transferred are mitigated through match funding the investment in
the same currency, so that only residual risk remains in the portfolios. Small exceptions to above approach follow the general
Market Risk Management monitoring and reporting process, as outlined for the trading portfolio.
The bulk of nontrading foreign exchange risk is related to unhedged structural foreign exchange exposure, mainly in our U.S.,
U.K. and China entities. Structural foreign exchange exposure arises from local capital (including retained earnings) held in
the Group’s consolidated subsidiaries and branches and from investments accounted for at equity. Change in foreign ex-
change rates of the underlying functional currencies are booked as Currency Translation Adjustments (CTA).
The primary objective for managing our structural foreign exchange exposure is to stabilize consolidated capital ratios from
the effects of fluctuations in exchange rates. Therefore the exposure remains unhedged or partially hedged for a number of
currencies with considerable amounts of risk-weighted assets denominated in that currency in order to avoid volatility in the
capital ratio for the specific entity and the Group as a whole.
Equity and investment risk
Nontrading equity risk arising predominantly from our non-consolidated investment holdings in the banking book and from our
equity compensation plans.
Our non-consolidated equity investment holdings in the banking book are categorized into strategic and alternative investment
assets. Strategic investments typically relate to acquisitions made to support our business franchise and are undertaken with
a medium to long-term investment horizon. Alternative assets are comprised of principal investments and other non-strategic
investment assets. Principal investments are direct investments in private equity, real estate, venture capital, hedge or mutual
funds whereas assets recovered in the workout of distressed positions or other legacy investment assets in private equity and
real estate are of a non-strategic nature.
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Investment proposals for strategic investments as well as monitoring of progress and performance against committed targets
are evaluated by the Group Investment Committee. Depending on size, strategic investments may require approval from the
Group Investment Committee, the Management Board or the Supervisory Board.
CRM Principal Investments is responsible for the risk-related governance and monitoring of our alternative asset activities.
The review of new or increased principal investment commitments is the task of the Principal Investment Commitment Ap-
proval Group (PICAG), established by the Enterprise Risk Committee (ERC) as a risk management forum for alternative asset
investments. The PICAG approves investments under its authority or recommends decisions above its authority to the Man-
agement Board for approval. The Management Board also sets investment limits for business divisions and various portfolios
of risk upon recommendation by the ERC.
The equity investment holdings are included in regular group wide stress tests and the monthly market risk economic capital
calculations.
Pension risk
We are exposed to market risk from a number of defined benefit pension schemes for past and current employees. The ability
of the pension schemes to meet the projected pension payments is maintained through investments and ongoing plan contri-
butions. Market risk materializes due to a potential decline in the market value of the assets or an increase in the liability of
each of the pension plans. Market Risk Management monitors and reports all market risks both on the asset and liability side
of our defined benefit pension plans including interest rate risk, inflation risk, credit spread risk, equity risk and longevity risk.
Overall, the Group seeks to minimize the impact of adverse market movements to key financial metric, with the primary ob-
jective on protecting the overall IFRS funded status, however in selected markets with the aim to balance competing key
financial metrics. The investment managers manage the pension assets in line with investment mandates or guidelines as
agreed with the pension plans’ trustees and investment committees. For key defined benefit plans for which the Bank aims to
protect the IFRS funded status, the Group applies a liability driven investment (LDI) approach. Risks from mismatches between
fluctuations in the present value of the defined benefit obligations and plan assets due to capital market movements are
minimized, subject to balancing relevant trade-offs.
For details on our defined benefit pension obligation see Note 33 “Employee Benefits” in the “Notes to the Consolidated
Financial Statements” section.
Other risks in the Banking Book
Market risks in our Asset Management business primarily result from principal guaranteed funds or accounts, but also from
co-investments in our funds.
Nontrading market risk economic capital
Nontrading market risk economic capital is calculated either by applying the standard traded market risk EC methodology or
through the use of non-traded market risk models that are specific to each risk class and which consider, among other factors,
historically observed market moves, the liquidity of each asset class, and changes in client’s behavior in relation to products
with behavioral optionalities.
Operational risk management
Operational risk management framework
Deutsche Bank applies the European Banking Authority’s Single Rulebook definition of operational risk: “Operational risk
means the risk of losses stemming from inadequate or failed internal processes, people and systems or from external events.
Operational risk includes legal risks, but excludes business and reputational risk and is embedded in all banking products and
activities.” Operational risk forms a subset of the bank’s non-financial risks (NFR).
Deutsche Bank’s operational risk appetite sets out the amount of operational risk we are willing to accept as a consequence
of doing business. We take on operational risks consciously, both strategically as well as in day-to-day business. While the
bank may have no appetite for certain types of operational risk events (such as violations of laws or regulations and miscon-
duct), in other cases a certain amount of operational risk must be accepted if the bank is to achieve its business objectives.
In case a residual risk is assessed to be outside our risk appetite, risk reducing actions must be undertaken, including reme-
diating the risks, insuring risks or ceasing business.
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Operational risk management
The Operational risk management framework (ORMF) is a set of interrelated tools and processes that are used to identify,
assess, measure, monitor and mitigate the bank’s operational risks. Its components have been designed to operate together
to provide a comprehensive but risk-based approach to managing the bank’s most material operational risks. ORMF compo-
nents include the Group’s approach to setting and adhering to operational risk appetite, the operational risk type and control
taxonomies, the minimum standards for operational risk management processes including tools, and the bank’s operational
risk capital model.
Organizational & governance structure
While the day-to-day management of operational risk is the primary responsibility of our business divisions and infrastructure
functions, where these risks are generated, Non-Financial Risk Management (NFRM) oversees the Group-wide management
of operational risks, identifies and reports risk concentrations, and promotes a consistent application of the ORMF across the
bank. NFRM is part of the Group risk function, the Chief Risk Office, which is headed by the Chief Risk Officer.
The Chief Risk Officer appoints the Head of NFRM, who is accountable for the design oversight and maintenance of an
effective, efficient and regulatory compliant ORMF, including the operational risk capital model. The Head of NFRM monitors
and challenges the ORMF’s Group wide implementation and monitors overall risk levels against the bank’s operational risk
appetite.
The Non-Financial Risk Committee (NFRC), which is chaired by the Chief Risk Officer, is responsible for the oversight, gov-
ernance and coordination of the management of operational risk in the Group on behalf of the Management Board by estab-
lishing a cross-risk perspective of the key operational risks of the Group. Its decision-making authorities include the review,
advice and management of all operational risk issues that may impact the risk profile of our business divisions and infrastruc-
ture functions. Several sub-fora with an oversight and alignment function attendees from both the 1st and 2nd LoDs support
the NFRC to effectively fulfil its mandate. In addition to the Group level NFRC, business divisions have established 1st LoD
NFR fora for the oversight and management of operational risks on various levels of the organization.
The governance of our operational risks follows the bank’s Three Lines of Defence (3LoD) approach to managing all of its
financial and non-financial risks. The ORMF establishes the operational risk governance standards including the core 1st and
2nd LoD roles and their responsibilities, to ensure effective risk management and appropriate independent challenge:
Operational risk requirements for the first line of defence (1st LoD): Risk owners as the 1st LoD have full accountability for their
operational risks and manage these against a defined risk specific appetite.
Operational risk owners are those roles in the bank whose activities generate – or who are exposed to – operational risks. As
heads of business divisions and infrastructure functions, they must determine the appropriate organizational structure to iden-
tify their operational risk profile, actively manage these risks within their organization, take business decisions on the mitigation
or acceptance of operational risks to ensure they remain within risk appetite and establish and maintain 1st LoD controls.
Operational risk requirements for the second line of defence (2nd LoD): Risk Type Controllers (RTCs) act as the 2nd LoD
control functions for all sub-risk types under the overarching risk type “operational risk”.
RTCs establish the framework and define Group level risk appetite statements for the specific operational risk type they over-
see. RTCs define the minimum risk management and control standards and independently monitor and challenge risk owners’
implementation of these standards in their day-to-day processes, as well as their risk-taking and management activities. RTCs
provide independent operational risk oversight and prepare aggregated risk type profile reporting. RTCs monitor the risk type’s
profile against risk appetite and have a right to veto risk decisions leading to foreseeable risk appetite breaches. As risk type
experts, RTCs define the risk type and its taxonomy and support and facilitate the implementation of the risk type framework
in the 1st LoD. To maintain their independence, RTC roles are located only in infrastructure functions.
Operational risk requirements for NFRM as the RTC for the overarching risk type operational risk: As the RTC / risk control
function for operational risk, NFRM establishes and maintains the overarching ORMF and determines the appropriate level of
capital to underpin the Group’s operational risk.
– As the 2nd LoD risk control function, NFRM defines the bank’s approach to operational risk appetite and monitors its
adherence, breaches and consequences. NFRM is the independent reviewer and challenger of the 1st LoD’s risk and
control assessments and risk management activities relating to the holistic operational risk profile of a unit (while RTCs
monitor and challenge activities related to their specific risk types). NFRM provides the oversight of risk and control mitiga-
tion plans to return the bank’s operational risk to its risk appetite, where required. It also establishes and regularly reports
the bank’s operational risk profile and operational top risks, i.e. the bank’s material operational risks which are outside of
risk appetite.
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– As the subject matter expert for operational risk, NFRM provides independent risk views to facilitate forward-looking man-
agement of operational risks, actively engages with risk owners (1st LoD) and facilitates the implementation of risk man-
agement and control standards across the bank.
– NFRM is accountable for the design, implementation and maintenance of the approach to determine the adequate level of
capital required for operational risk, for recommendation to the Management Board. This includes the calculation and allo-
cation of operational risk capital demand and expected loss under the Advanced Measurement Approach (AMA).
Managing our operational risk
In order to manage the broad range of sub-risk types underlying operational risk, the ORMF provides a set of tools and
processes that apply to all operational risk types across the bank. These enable us to determine our operational risk profile in
relation to our risk appetite for operational risk, to systematically identify operational risk themes and concentrations, and to
define risk mitigating measures and priorities.
In 2020, we further enhanced the management of operational risks by integrating and simplifying our risk management pro-
cesses, by promoting an active and continuous dialogue between the 1st and 2nd LoDs on operational risks, by strengthening
our controls, and by making the management of operational risks more transparent, meaningful and embedded in day-to-day
business decisions:
Loss data collection: We collect, categorize and analyze data on internal and relevant external operational risk events (with a
P&L impact ≥ €10,000) in a timely manner. Material operational risk events trigger clearly defined lessons learned and read-
across analyses, which are performed in close collaboration between business partners, risk control and other infrastructure
functions. Lessons learned reviews analyze the reasons for significant operational risk events, identify their root causes, and
document appropriate remediation actions to reduce the likelihood of their reoccurrence. Read across reviews take the con-
clusions of the lessons learned process and seek to analyze whether similar risks and control weaknesses identified in a
lessons learned review exist in other areas of the bank, even if they have not yet resulted in problems. This allows preventative
actions to be undertaken. In 2020, we further simplified the event management processes by integrating the review of external
events into our scenario analysis framework and continued the development of a new, convenient to use, event management
platform.
We complement our operational risk profile by using a set of scenarios including internal scenarios and relevant external
operational risk events provided by an industry database. We thereby systematically utilize information on external loss events
occurring in the industry to reduce the likelihood of similar incidents happening to us, for example through particular deep dive
analyses or risk profile reviews. In 2020, we implemented a redesigned approach to integrate scenario analysis more closely
into day-to-day risk management processes. Scenario analysis has played an important role in assessing impacts from the
COVID-19 pandemic onto our operating environment and helped us to prepare adequate crisis management decisions.
The Risk & Control Assessment process (RCA) comprises of a series of bottom-up assessments of the risks generated by
business divisions and infrastructure functions (1st LoDs), the effectiveness of the controls in place to manage them, and the
remediation actions required to bring the risks outside of risk appetite back into risk appetite. This enables both the 1st and
2nd LoDs to have a clear view of the bank’s material operational risks. In 2020, we began implementing a dynamic trigger
based approach to RCA to permit risk changes to be reflected throughout the year, thereby providing a more real time risk
profile for the organization. To support this dynamic approach, we improved our reporting capabilities for greater information
transparency and strengthened the usage of NFR contextual data (e.g. scenarios or controls assurance data) to inform the
assessments. We further enhanced the bank’s central control inventory and introduced risk-based control assurance planning
across both 1st LoD and 2nd LoD functions for a subset of risk types. This improves transparency of control assurance activ-
ities across various levels of the bank, and provides useful information on the effectiveness of the controls the bank relies on
to mitigate its operational risks.
We regularly report and perform analyses on our top risks to establish that they are appropriately mitigated. As all risks, top
risks are rated in terms of both the likelihood that they could occur and the impact on the bank should they do so, and through
this assessment they are identified to be particularly material for the bank. The reporting provides a forward-looking perspec-
tive on the impact of planned remediation and control enhancements. It also contains emerging risks and themes that have
the potential to evolve as top risks in the future. Top risk reduction programs comprise the most significant risk reduction
activities that are key to bringing our operational top risk themes back within risk appetite. In 2020, we improved the criteria
and process for adopting or retiring divisional and Group level top risks, in addition to a regional top risk concept.
To appropriately identify and manage risks from material change initiatives within the bank, a Transformation Risk Assessment
(TRA) process is in place to assess the impact of transformation on the bank’s risk profile and control environment. This
process considers impacts to both financial and non-financial risk types and is applicable to initiatives including regulatory
initiatives, technology migrations, risk remediation projects, strategy changes, organisational changes and real estate moves
within the bank. In 2020, we expanded the scope of change initiatives that require a mandatory TRA to include all key deliv-
erables on the transformation roadmap of the bank.
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NFR appetite is the amount of non-financial risk the bank is willing to accept as a consequence of doing business. The NFR
appetite framework provides a common approach to measure and monitor the level of risk appetite across the firm. NFR
appetite metrics are used to monitor the operational risk profile against the bank’s defined risk appetite, and to alert the
organization to impending problems in a timely fashion. In 2020, we clarified the linkage between risk appetite and tolerance
and increased the granularity and depth of risk appetite planning and monitoring in legal entities, branches and business units
risk appetite statements.
The findings and issue management process allows the bank to mitigate the risks associated with known control weaknesses
and deficiencies, and enables management to make risk-based decisions over the need for further remediation or risk ac-
ceptance. Outputs from the findings management process must be able to demonstrate to internal and external stakeholders
that the bank is actively identifying its control weaknesses and taking steps to manage associated risks within acceptable
levels of risk appetite. In 2020, we enabled multiple risk types to be linked to each finding, enhancing our ability to monitor risk
appetite by risk type concentration. This approach also allows the 2nd LoD to review, with greater precision, the potential
portfolio impact of risk acceptances on risk appetite, thus strengthening the role of the 2nd LoD in risk acceptance decisions.
Operational risk type frameworks
The ORMF provides the overarching set of standards, tools and processes that apply to the management of all operational
sub-risk types. It is complemented by the operational risk type frameworks, risk management and control standards and tools
set up by the respective RTCs for the operational sub-risk types they control. These operational sub-risk types are controlled
by various infrastructure functions and include the following:
– The Compliance department performs an independent 2nd level control function that protects the bank’s license to operate
by promoting and enforcing compliance with the law and driving a culture of compliance and ethical conduct in the bank.
The Compliance department assists the business divisions and works with other infrastructure functions and regulators to
establish and maintain a risk-based approach to the management of the bank’s compliance risks in accordance with the
bank’s risk appetite and to help the bank detect, mitigate and prevent breaches of laws and regulations. The Compliance
department performs the following principal activities: regulatory engagement and management, collaborating with govern-
ment & regulatory affairs; acting as a trusted advisor; and identifying, assessing, mitigating, monitoring and reporting on
compliance risk. The results of these assessments are regularly reported to the Management Board and Supervisory Board.
– Financial crime risks are managed by our Anti-Financial Crime (AFC) function via maintenance and development of a
dedicated program. The AFC program is based on regulatory and supervisory requirements. AFC has defined roles and
responsibilities and established dedicated functions for the identification and management of financial crime risks resulting
from money laundering, terrorism financing, non-compliance with sanctions and embargoes, the facilitation of tax evasion
as well as other criminal activities including fraud, bribery and corruption and other crimes. AFC updates its strategy for
financial crime prevention via regular development of internal policies processes and controls, institution-specific risk as-
sessment and staff training.
– The Legal Department (including Group Governance and Group Data Privacy) is an infrastructure function that is mandated
to provide legal advice to the Management Board, the Supervisory Board (to the extent it does not give rise to conflict of
interest), business divisions and infrastructure functions and to support the Management Board in setting up and guarding
the Group’s governance and control frameworks in respect of the bank’s legal, internal corporate governance and data
privacy risks. This includes in particular but without limitation:
– Advising the Management Board and Supervisory Board on legal aspects of their activities
– Providing legal advice to all Deutsche Bank units to facilitate adherence to legal and regulatory requirements in relation
to their activities respectively
– Supporting other Deutsche Bank units in managing Deutsche Bank Group’s interactions with regulatory authorities
– Engaging and managing external lawyers used by Deutsche Bank Group
– Managing Deutsche Bank Group’s litigation and contentious regulatory matters, (incl. contentious HR matters), and
managing Deutsche Bank Group’s response to external regulatory enforcement investigations
– Advising on legal aspects of internal investigations
– Setting the global governance framework for Deutsche Bank Group, facilitating its cross-unit application and assessing
its implementation
– Developing and safeguarding efficient corporate governance structures suitable to support efficient decision-making, to
align risk and accountability on the basis of clear and consistent roles and responsibilities
– Maintaining Deutsche Bank Group’s framework for policies and procedures and serve as guardian for Group policies
and procedures
– Ensuring appropriate quality assurance around all of the above
– NFRM Product Governance oversees the New Product Approval (NPA) and Systematic Product Review (SPR) cross-risk
processes forming a control framework designed to manage the risks associated with the implementation of new products
and services, changes in products and services during their lifecycles and, the process by which they are systematically
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reviewed. Applicable bank-wide, the cross-risk processes cover different stages of the product lifecycle with NPA focusing
on pre-implementation and SPR on post-implementation. Pre-implementation, the primary objective of the NPA process is
to ensure proper assessment of all risks, both financial and non-financial, in NPA relevant products and services, as well
as related processes and infrastructure. Post-implementation, the SPR process focuses on the periodic review of all prod-
ucts to determine if they are to remain live or need to be modified or withdrawn.
– NFRM is the RTC for a number of operational resilience risks. Its mandate includes second line oversight of controls over
transaction processing activities, as well as infrastructure risks to prevent technology or process disruption, maintain the
confidentiality, integrity and availability of data, records and information security, and ensure business divisions and infra-
structure functions have robust plans in place to recover critical business processes and functions in the event of disruption
including technical or building outage, or the effects of cyber-attack or natural disaster as well as any physical security or
safety risk. NFRM RTC also manages the risks arising from the bank’s internal and external vendor engagements via the
provision of a comprehensive third party risk management framework
Measuring our operational risks
We calculate and measure the regulatory and economic capital requirements for operational risk using the Advanced Meas-
urement Approach (AMA) methodology. Our AMA capital calculation is based upon the loss distribution approach. Gross
losses from historical internal and external loss data (Operational Riskdata eXchange Association consortium data) and ex-
ternal scenarios from a public database (IBM OpData) complemented by internal scenario data are used to estimate the risk
profile (i.e., a loss frequency and a loss severity distribution). Our loss distribution approach model includes conservatism by
recognizing losses on events that arise over multiple years as single events in our historical loss profile.
Within the loss distribution approach model, the frequency and severity distributions are combined in a Monte Carlo simulation
to generate potential losses over a one year time horizon. Finally, the risk mitigating benefits of insurance are applied to each
loss generated in the Monte Carlo simulation. Correlation and diversification benefits are applied to the net losses in a manner
compatible with regulatory requirements to arrive at a net loss distribution at Group level, covering expected and unexpected
losses. Capital is then allocated to each of the business divisions after considering qualitative adjustments and expected loss.
The regulatory and economic capital requirements for operational risk are derived from the 99.9 % percentile; see the section
“Internal Capital Adequacy” for details. Both regulatory and economic capital requirements are calculated for a time horizon
of one year.
The regulatory and economic capital demand calculations are performed on a quarterly basis. NFRM establishes and main-
tains the approach for capital demand quantification and ensures that appropriate development, validation and change gov-
ernance processes are in place, whereby the validation is performed by an independent validation function and in line with the
Group’s model risk management process.
Drivers for operational risk capital development
In 2020, our total operational risk losses decreased by 8 % compared with 2019. They were predominantly driven by losses
and provisions arising from civil litigation and regulatory enforcement. Such losses still make up 73 % of operational risk losses
and account for the majority of operational risk regulatory and economic capital demand, being more heavily reliant on our
long-term loss history. For a description of our current legal and regulatory proceedings, please see section “Current Individual
Proceedings” in Note 27 “Provisions” to the consolidated financial statements. The operational risk losses from civil litigation
and regulatory enforcement decreased by € 74 million or 21 % while our non-legal operational risk losses increased by € 42
million or 63 % compared to 2019, primarily as a result of COVID-19 related expenses. Excluding the effects of COVID-19,
non-legal operational risk losses were broadly flat.
In view of the relevance of legal risks within our operational risk profile, we dedicate specific attention to the management and
measurement of our open civil litigation and regulatory enforcement matters where the Bank relies both on information from
internal as well as external data sources to consider developments in legal matters that affect the Bank specifically but also
the banking industry as a whole. Reflecting the multi-year nature of legal proceedings the measurement of these risks further-
more takes into account changing levels of certainty by capturing the risks at various stages throughout the lifecycle of a legal
matter.
Conceptually, the Bank measures operational risk including legal risk by determining the maximum loss that will not be ex-
ceeded with a given probability. This maximum loss amount includes a component that due to the IFRS criteria is reflected in
our financial statements and a component that is expressed as regulatory or economic capital demand beyond the amount
reflected as provisions within our financial statements.
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Liquidity risk management
The legal losses which the Bank expects with a likelihood of more than 50 % are already reflected in our IFRS group financial
statements. These losses include net changes in provisions for existing and new cases in a specific period where the loss is
deemed probable and is reliably measurable in accordance with IAS 37. The development of our legal provisions for civil
litigations and regulatory enforcement is outlined in detail in Note 27 “Provisions” to the consolidated financial statements.
Uncertain legal losses which are not reflected in our financial statements as provisions because they do not meet the recog-
nition criteria under IAS 37 are expressed as “regulatory or economic capital demand”.
To quantify the litigation losses in the AMA model, the bank takes into account historical losses, provisions, contingent liabilities
and legal forecasts. Legal forecasts are generally comprised of ranges of potential losses from legal matters that are not
deemed probable but are reasonably possible. Reasonably possible losses may result from ongoing and new legal matters
which are reviewed at least quarterly by the attorneys handling the legal matters.
We include the legal forecasts in the “relevant loss data” used in our AMA model. The projection range of the legal forecasts
is not restricted to the one year capital time horizon but goes beyond and conservatively assumes early settlement of the
underlying losses in the reporting period - thus considering the multi-year nature of legal matters.
Liquidity risk management
Liquidity risk arises from our potential inability to meet payment obligations when they come due or only being able to meet
these obligations at excessive costs. The objective of the Group’s liquidity risk management framework is to ensure that the
Group can fulfill its payment obligations at all times and can manage liquidity and funding risks within its risk appetite. The
framework considers relevant and significant drivers of liquidity risk, whether on-balance sheet or off-balance sheet.
Liquidity risk management framework
In accordance with the ECB’s SREP, Deutsche Bank has implemented an Internal Liquidity Adequacy Assessment Process
(ILAAP), which is reviewed at least annually and approved by the Management Board. The ILAAP provides comprehensive
documentation and assessment of the Bank’s Liquidity Risk Management framework, including: identifying the key liquidity
and funding risks to which the Group is exposed; describing how these risks are identified, monitored and measured and
describing the techniques and resources used to manage and mitigate these risks.
The Management Board defines the liquidity and funding risk strategy for the Bank as well as the risk appetite, based on
recommendations made by the Group Risk Committee (GRC). The Management Board reviews and approves the risk appetite
at least annually. The risk appetite is applied to the Group to monitor and control liquidity risk as well as our long-term funding
and issuance plan.
Treasury is mandated to manage the overall liquidity and funding position of the Bank, with Liquidity Risk Management (LRM)
acting as an independent control function. LRM is responsible for reviewing the liquidity risk framework, proposing the risk
appetite, limits and stress test scenarios to GRC and the validation of Liquidity Risk models which are developed by Treasury,
to measure and manage the Group’s liquidity risk profile.
Deutsche Banks has a dedicated Stress Testing and Risk Appetite Framework set by LRM, which ensures the Bank’s liquidity
position is balanced throughout the Group and across currencies. Treasury manages liquidity and funding, in accordance with
the Management Board-approved risk appetite across a range of relevant metrics, and implements a number of tools including
business level risk appetites, to ensure compliance. As such, Treasury works closely with LRM and business divisions, to
identify, analyze and monitor underlying liquidity risk characteristics within business portfolios. These parties are engaged in
regular dialogue regarding changes in the Bank’s position arising from business activities and market circumstances.
The Management Board is informed about the performance against the key liquidity metrics for both internal and market
indicators for which limits and thresholds are approved by either GRC or Management Board, via a weekly Liquidity Dash-
board. Liquidity & Treasury Reporting & Analysis (LTRA) has overall accountability for the accurate and timely delivery of both
external regulatory liquidity reporting and the internal management reporting of liquidity risk for DB Group. In addition LTRA
ensure the development of management information systems (MIS) and analysis to support the liquidity risk framework and
its governance for both Treasury and LRM.
Treasury, LRM and LTRA maintain a Liquidity policy landscape which articulates the overarching guiding principles for the
robust and rigorous management of the Bank’s liquidity. The landscape outlines approaches to liquidity risk management and
practices and is reviewed on an annual basis.
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Liquidity risk management
As part of the annual strategic planning process, Treasury project the development of the key liquidity and funding metrics
including the USD currency exposure based on anticipated business consumption to ensure that the plan is in compliance
with our risk appetite.
Deutsche Bank has a wide range of funding sources, including retail and institutional deposits, unsecured and secured whole-
sale funding and debt issuance in the capital markets. Group ALCo is the Bank’s decisive Governance body that has been
mandated by Management Board to optimize the sourcing and deployment of the Bank’s balance sheet and financial resources
in line with the Management Board risk appetite and strategy. As such, it has the overarching responsibilities to define, approve
and optimize the Bank`s funding strategy.
Short-term liquidity and wholesale funding
Deutsche Bank tracks all contractual cash flows from wholesale funding sources, on a daily basis, over a 12-month horizon.
For this purpose, we consider wholesale funding to include unsecured liabilities largely raised by Treasury Markets Pool, as
well as secured liabilities primarily raised by our Investment Bank Division. Our wholesale funding counterparties typically
include corporates, banks and other financial institutions, governments and sovereigns.
The Group has implemented a set of limits to restrict the Bank’s exposure to wholesale counterparties, which have historically
shown to be the most susceptible to market stress. The wholesale funding limits are monitored daily, and apply to the total
combined currency amount of all wholesale funding currently outstanding, both secured and unsecured with specific tenor
limits. Our Liquidity Reserves are the primary mitigants against potential stress in the short-term.
The tables in section “Liquidity Risk Exposure: Funding Diversification” show the contractual maturity of our short-term whole-
sale funding and capital markets issuance.
Liquidity stress testing and scenario analysis
Global internal liquidity stress testing and scenario analysis is used for measuring liquidity risk and evaluating the Group’s
short-term liquidity position within the liquidity framework. This complements the daily operational cash management process.
The long-term liquidity strategy based on contractual and behavioral modelled cash flow information is represented by a long
term funding analysis known as the Funding Matrix (refer to Funding Risk Management below).
Our global liquidity stress testing process is managed by Treasury in accordance with the Management Board approved risk
appetite. Treasury is responsible for the design of the overall methodology, the choice of liquidity risk drivers and the determi-
nation of appropriate assumptions (parameters) to translate input data into stress testing output. LRM is responsible for the
definition of the stress scenarios and the independent validation of liquidity risk models. LTRA is responsible for implementing
these methodologies and performing the stress test calculation in conjunction with Treasury, LRM and IT.
We use stress testing and scenario analysis to evaluate the impact of sudden and severe stress events on our liquidity position.
Deutsche Bank has selected four scenarios to calculate the Group’s stressed Net Liquidity Position (“sNLP”). These scenarios
capture the historical experience of Deutsche Bank during periods of idiosyncratic and/or market-wide stress and are assumed
to be both plausible and sufficiently severe as to materially impact the Group’s liquidity position. The most severe scenario
assesses the potential consequences of a combined market-wide and idiosyncratic stress event, including downgrades of our
credit rating. Under each of the scenarios we consider the impact of a liquidity stress event over different time horizons and
across multiple liquidity risk drivers, covering all of our business, product areas and balance sheet. The output from scenario
analysis feeds the Group Wide Stress Test, which considers the impact of scenarios on all risk stripes.
In addition, we include the potential funding requirements from contingent liquidity risks which might arise, including draw-
downs on credit facilities, increased collateral requirements under derivative agreements, and outflows from deposits with a
contractual rating linked trigger. We then take into consideration Countermeasures which are the actions we would take to
counterbalance the outflows incurred. Countermeasures include utilizing the Liquidity Reserve and generating liquidity from
unencumbered, marketable assets.
Stress testing is conducted at a global level and for defined material legal entities covering an eight-week stress horizon. In
addition to the consolidated currency stress test, stress tests for material currencies (EUR, USD and GBP) are performed. We
also perform stress testing out to 12 months in the U.S. Ad-hoc analysis may be conducted to reflect the impact of potential
downside events that could affect the Bank’s liquidity for instance the COVID-19 pandemic and Brexit. Our suite of stress
testing scenarios and assumptions are reviewed on a regular basis and are updated when enhancements are made to stress
testing methodologies.
On a daily basis the liquidity stress test is calculated over a 12 month period however the initial eight-weeks, is considered the
most critical time span during a liquidity crisis. Relevant stress assumptions are applied to reflect liquidity flows from risk
drivers and on-balance sheet and off-balance sheet products.
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Complementing daily liquidity stress testing, the Bank also conducts regular Group Wide Stress Testing (GWST) run by En-
terprise Risk Management (ERM) analyzing liquidity risks in conjunction with the other defined risk types and evaluating their
impact to both capital and liquidity positions as described in Risk and Capital Framework chapter.
The tables in section “Liquidity Risk Exposure: Stress Testing and Scenario Analysis” show the results of our internal global
liquidity stress test under the various different scenarios.
Liquidity coverage ratio
In addition to our internal stress test result, the Group has a Management Board-approved risk appetite for the Liquidity Cov-
erage Ratio (LCR). The LCR is intended to promote the short-term resilience of a Bank’s liquidity risk profile over a 30 day
stress scenario. The ratio is defined as the amount of High Quality Liquid Assets (HQLA) that could be used to raise liquidity
in a stressed scenario, measured against the total volume of net cash outflows, arising from both contractual and modelled
exposures.
This requirement has been implemented into European law, via the Commission Delegated Regulation (EU) 2015/61, adopted
in October 2014. Compliance with the LCR was required in the EU from October 1, 2015.
The LCR complements the internal stress testing framework. By maintaining a ratio in excess of minimum regulatory require-
ments, the LCR seeks to ensure that the Group holds adequate liquidity resources to mitigate a short-term liquidity stress.
Key differences between the internal liquidity stress test and LCR include the time horizon (eight weeks versus 30 days),
classification and haircut differences between Liquidity Reserves and the LCR HQLA, outflow rates for various categories of
funding, and inflow assumption for various assets (for example, loan repayments). Our liquidity stress test also includes out-
flows related to intraday liquidity assumptions, which are not explicitly captured in the LCR.
Funding risk management
Deutsche Bank’s primary tool for monitoring and managing longer term funding risk is the Funding Matrix. The Funding Matrix
assesses the Group’s structural funding profile for the greater than one year time horizon. To produce the Funding Matrix, all
funding-relevant assets and liabilities are mapped into time buckets corresponding to their contractual or modeled maturities.
This allows the Group to identify expected excesses and shortfalls in term liabilities over assets in each time bucket, facilitating
the management of potential liquidity exposures.
The liquidity profile is based on contractual cash flow information. If the contractual maturity profile of a product does not
adequately reflect the liquidity profile, it is replaced by modeling assumptions. Short-term balance sheet items (<1yr) or
matched funded structures (asset and liabilities directly matched with no liquidity risk) are excluded from the term analysis.
The bottom-up assessment by individual business line is combined with a top-down reconciliation against the Group’s IFRS
balance sheet. From the cumulative term profile of assets and liabilities beyond 1 year, long-funded surpluses or short-funded
gaps in the Group’s maturity structure can be identified. The cumulative profile is thereby built up starting from the greater
than 10 year bucket down to the greater than 1 year bucket.
The strategic liquidity planning process, which incorporates the development of funding supply and demand across business
units, together with the Bank’s targeted key liquidity and funding metrics, provides the key input parameter for our annual
capital markets issuance plan. Upon approval by the Management Board the capital markets issuance plan establishes issu-
ance targets for securities by tenor, volume, currency and instrument.
Capital markets issuance
Debt issuance, encompassing senior unsecured bonds, covered bonds as well as capital securities, is a key source of term
funding for the Bank and is managed directly by Treasury. At least once a year Treasury, after endorsement at ALCo, submits
an annual long-term Funding Plan to the GRC for recommendation and then to the Management Board for approval. This plan
is driven by global and local funding and liquidity requirements based on expected business development. Our capital markets
issuance portfolio is dynamically managed through our yearly issuance plans to avoid excessive maturity concentrations.
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Liquidity risk management
Net stable funding ratio
The Net Stable Funding Ratio (NSFR) is a regulatory metric for assessing a Bank’s structural funding profile. The NSFR is
intended to reduce medium to long-term funding risks by requiring banks to maintain a stable funding profile in relation to their
on- and off-balance sheet activities. The ratio is defined as the amount of Available Stable Funding (the portion of capital and
liabilities expected to be a stable source of funding), relative to the amount of Required Stable Funding (a function of the
liquidity characteristics of various assets held).
An NFSR limit has been set for Group as well as for DBAG in anticipation of this regulatory requirement. The NSFR will come
into effect as of June 28, 2021, after which the Bank will be required to maintain a 100 % ratio. Therefore NSFR risk appetite
levels shall serve as a threshold until then and as a limit from June 28, 2021 onwards.
Funding diversification
Diversification of our funding profile in terms of investor types, regions and products is an important element of our liquidity
risk management framework. Our most stable funding sources for which the Bank has introduced a minimum risk appetite
stem from capital markets issuances and equity, as well as from retail, and transaction banking clients. Other customer de-
posits and secured funding and short positions are additional sources of funding. Unsecured wholesale funding represents
unsecured wholesale liabilities sourced primarily by our Treasury Pool Management team. Given the relatively short-term
nature of these liabilities, they are predominantly used to fund liquid trading assets.
To promote the additional diversification of our refinancing activities, we hold a license to issue mortgage Pfandbriefe. We
continue to run a program for the purpose of issuing Covered Bonds under Spanish law (Cedulas) and participate in the
TLTRO III program. Additionally, we expanded in 2020 our potential investor base by introducing our Sustainable Finance
Framework and issued a Green Bond in June 2020.
Unsecured wholesale funding comprises a range of institutional products, such as Certificate of Deposits (CDs), Commercial
Papers (CPs) as well as Money Market deposits.
To avoid any unwanted reliance on these short-term funding sources, and to promote a sound funding profile which complies
with the defined risk appetite, we have implemented limits (across tenors) on these funding sources which are derived from
our daily stress testing analysis. In addition, we limit the total volume of unsecured wholesale funding to manage the reliance
on this funding source as part of the overall funding diversification.
The chart “Liquidity Risk Exposure: Funding Diversification” shows the composition of our external funding sources that con-
tribute to the liquidity risk position, both in € billion and as a percentage of our total external funding sources.
Funds transfer pricing
The funds transfer pricing framework applies to all businesses/regions and promotes pricing of (i) assets in accordance with
their underlying liquidity risk, (ii) liabilities in accordance with their liquidity value and (iii) contingent liquidity exposures in
accordance with the cost of providing for appropriate liquidity reserves.
Within this framework funding and liquidity risk costs and benefits are allocated to the firm’s business units based on rates
which reflect the economic costs of liquidity for Deutsche Bank. Treasury might set further financial incentives in line with the
Bank’s liquidity risk guidelines. While the framework promotes a diligent group-wide allocation of the Bank's funding costs to
the liquidity users, it also provides an incentive-based framework for businesses generating stable long-term and stress com-
pliant funding.
In the third quarter of 2019, the internal fFTP framework was changed in order to enhance its effectiveness as a management
tool, as well as to better support funding cost optimization. Additional details are included in Note 4 „Business segments and
related information“ of the consolidated financial statements.
Liquidity reserves
Liquidity reserves comprise available cash and cash equivalents, unencumbered highly liquid securities (including government
and agency bonds and government guarantees) and other unencumbered central bank eligible assets. Certain intraday re-
quirements and Mandatory Minimum Reserves are directly deducted in the calculation of the Liquidity Reserves while other
intraday outflows are represented in our internal liquidity model.
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Model risk management
We hold the vast majority of our liquidity reserves centrally across major currencies at the central bank accounts of our parent
and our foreign branches in the key locations in which we are active and in a dedicated Treasury-owned Strategic Liquidity
Reserve (SLR), set up exclusively to serve as a mitigant during periods of stress. To ensure a prudent composition of liquidity
reserves across asset classes, we maintain minimum cash thresholds for the material currencies.
Asset encumbrance
Encumbered assets primarily comprise those on- and off-balance sheet assets that are pledged as collateral against secured
funding, collateral swaps, and other collateralized obligations. We generally encumber loans to support long-term capital mar-
kets secured issuance such as covered bonds or other self-securitization structures, while financing debt and equity inventory
on a secured basis is a regular activity for our Investment Bank business. Additionally, in line with the EBA technical standards
on regulatory asset encumbrance reporting, assets pledged with settlement systems are considered encumbered assets,
including default funds and initial margins, as well as other assets pledged which cannot be freely withdrawn such as manda-
tory minimum reserves at central banks. We also include derivative margin receivable assets as encumbered under these
EBA guidelines.
Business (strategic) risk management
Strategic risk is the risk of a shortfall in earnings (excluding other material risks) due to incorrect business plans (owing to
flawed assumptions), ineffective plan execution or a lack of responsiveness to material plan deviations. Strategic risk arises
from the exposure of the bank to the macroeconomic environment, changes in the competitive landscape, and regulatory and
technological developments. Additionally, it could occur due to errors in strategic positioning, the bank’s failure to execute its
planned strategy and/or a failure to effectively address under-performance versus plan targets.
A Strategic and Capital plan is developed annually and presented to the Management Board for discussion and approval. The
final plan is then presented to the Supervisory Board. During the year, execution of business strategies is regularly monitored
to assess the performance against strategic objectives and to seek to ensure we remain on track to achieve targets. A more
comprehensive description of this process is detailed in the section ‘Strategic and Capital Plan’.
The risk type controller for strategic risk is Enterprise Risk Management (ERM) in Risk. Finance, together with the Divisions,
are the key risk managers of the associated risk.
Model risk management
Introduction
Model risk is the potential for adverse consequences from decisions based on incorrect or misused model outputs. Model risk
can lead to: financial loss, poor business or strategic decision making, or damage to our reputation.
Deutsche Bank uses models for a broad range of decision making activities, such as: underwriting credits; valuing exposures,
instruments and positions; measuring risk; managing and safeguarding client assets, and determining capital and reserve
adequacy. The term ‘model’ refers to a quantitative method, system, or approach that applies statistical, economic, financial,
or mathematical theories, techniques, and assumptions to process input data into quantitative estimates. Models are simplified
representations of real-world relationships, and are based on assumptions and judgment. Accordingly, the bank is exposed
to model risk, which must be identified, measured and controlled appropriately.
Model risk management oversight is provided by all levels of management, including the Management Board. Management
of model risk is underpinned by a framework designed and monitored by 2nd Line of Defence, including components across
the lifecycle of a model. The model risk management framework is formalized within policies and procedures, and overseen
by a robust governance structure.
Model Risk Management Governance and Structure
Model risk is one of the bank’s five main risk types, overseen by the Chief Risk Officer through the setting of a qualitative risk
appetite statement and managed through:
– Model risk policies and procedures, aligned to regulatory requirements, with clear roles and responsibilities for stakehold-
ers;
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Reputational risk management
– Model risk governance, including senior forums for monitoring and escalation of model risk related topics, as well as monthly
updates to the Management Board on the model risk appetite metrics and periodic model risk updates to the Supervisory
Board;
– Inventorization of all models, supporting ongoing model risk framework components including risk assessment and attes-
tation;
– Independent model validation providing effective challenge, identifying models’ limitations and weaknesses, resulting in
findings and conditions for use, such as adjustments or overlays.
Developments during the reporting period:
In 2020, a new bank-wide ‘Group Model Risk Council’ has been established to improve oversight, monitoring and governance
on model risk. The model risk framework has been further improved to drive consistency of model development, validation as
well as risk management approaches across the bank.
Reputational risk management
Within our risk management process, reputational risk is defined as the risk of possible damage to Deutsche Bank’s brand
and reputation, and the associated risk to earnings, capital or liquidity arising from any association, action or inaction which
could be perceived by stakeholders to be inappropriate, unethical or inconsistent with the DB’s values and beliefs.
Deutsche Bank seeks to ensure that reputational risk is as low as reasonably possible. Reputational risk cannot be precluded
as it can be driven by unforeseeable changes in perception of our practices by our various stakeholders (e.g. public, clients,
shareholders and regulators). Deutsche Bank strives to promote sustainable standards that will enhance profitability and min-
imize reputational risk.
The Reputational Risk Framework (the Framework) is in place to manage the process through which active decisions are
taken on matters which may pose a reputational risk, before the event, and in doing so to prevent damage to Deutsche Bank’s
reputation wherever possible. The Framework provides consistent standards for the identification, assessment and manage-
ment of reputational risk issues. Reputational impacts which may arise as a consequence of a failure from another risk type,
control or process are addressed separately via the associated risk type framework and are therefore not addressed in this
section. The reputational risk could arise from multiple sources including, but not limited to, potential issues with the profile of
the counterparty, the business purpose / economic substance of the transaction or product, high risk industries, environmental
and social considerations, and the nature of the transaction or product or its structure and terms.
The modelling and quantitative measurement of reputational risk internal capital is implicitly covered in our economic capital
framework primarily within operational and strategic risk.
Governance and organizational structure
The Framework is applicable across all Business Divisions and Regions. DWS-specific matters are reviewed by a DWS-
dedicated reputational risk committee and escalated to the DWS Executive Board where required.
Whilst every employee has a responsibility to protect our reputation, the primary responsibility for the identification, assess-
ment, management, monitoring and, if necessary, referring or reporting of reputational risk matters lies with Deutsche Bank’s
Business Divisions as the primary risk owners. Each Business Division has an established process through which matters,
which are deemed to be a moderate or greater reputational risk are assessed, the Unit Reputational Risk Assessment Process
(Unit RRAP).
The Unit RRAP is required to refer any material reputational risk matters to the respective Regional Reputational Risk Com-
mittee (RRRC). The Framework also sets out a number of matters which are considered inherently higher risk from a reputa-
tional risk perspective and are therefore mandatory referrals to the RRRCs. The RRRCs, which are 2nd LoD Committees, are
responsible for ensuring the oversight, governance and coordination of the management of reputational risk in the respective
region of Deutsche Bank. The RRRCs meet, as a minimum, on a quarterly basis with ad hoc meetings as required. The Group
Reputational Risk Committee (GRRC) is responsible for ensuring the oversight, governance and coordination of the manage-
ment of reputational risk at Deutsche Bank on behalf of the Group Risk Committee and the Management Board. Additionally,
the GRRC reviews cases with a Group wide impact and in exceptional circumstances, those that could not be resolved at a
regional level.
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Risk concentration and risk diversification
Risk concentration and risk diversification
Risk concentrations
Risk concentrations refer to clusters of the same or similar risk drivers within specific risk types (intra-risk concentrations in
credit, market, operational, liquidity and business risks) as well as across different risk types (inter-risk concentrations). They
occur within and across counterparties, businesses, regions/countries, industries and products. The management and moni-
toring of risk concentrations is achieved through a quantitative and qualitative approach, as follows:
– Intra-risk concentrations are assessed, monitored and mitigated by the individual risk functions (credit, market, operational,
liquidity and strategic risk management). This is supported by limit setting on different levels and/or management according
to each risk type.
– Inter-risk concentrations are managed through quantitative top-down stress-testing and qualitative bottom-up reviews, iden-
tifying and assessing risk themes independent of any risk type and providing a holistic view across the bank.
The most senior governance body for the oversight of risk concentrations throughout 2020 was the Enterprise Risk Committee
(ERC), which is a subcommittee of the Group Risk Committee (GRC).
Risk type diversification benefit
The risk type diversification benefit quantifies diversification effects between credit, market, operational and strategic risk in
economic capital caused by non-perfect correlations between these risk types. The calculation of the risk type diversification
benefit is intended to ensure that the standalone economic capital figures for the individual risk types are aggregated in an
economically meaningful way.
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Risk and capital performance
Capital, Leverage ratio, TLAC and MREL
Risk and capital performance
Capital, Leverage ratio, TLAC and MREL
Own funds
The calculation of our own funds incorporates the capital requirements following the “Regulation (EU) No 575/2013 on pru-
dential requirements for credit institutions and investment firms” (Capital Requirements Regulation or “CRR”) and the “Di-
rective 2013/36/EU on access to the activity of credit institutions and the prudential supervision of credit institutions and in-
vestment firms” (Capital Requirements Directive or “CRD”) which have been further amended with subsequent Regulations
and Directives. The CRD has been implemented into German law. The information in this section as well as in the section
“Development of risk-weighted Assets” is based on the regulatory principles of consolidation.
This section refers to the capital adequacy of the group of entities consolidated for banking regulatory purposes pursuant to
the CRR and the German Banking Act (“Kreditwesengesetz” or “KWG”). Therein not included are insurance companies or
companies outside the finance sector.
The total own funds pursuant to the effective regulations as of year-end 2020 comprises Tier 1 and Tier 2 (T2) capital. Tier 1
capital is subdivided into Common Equity Tier 1 (CET 1) capital and Additional Tier 1 (AT1) capital.
Common Equity Tier 1 (CET 1) capital consists primarily of common share capital (reduced by own holdings) including related
share premium accounts, retained earnings (including losses for the financial year, if any) and accumulated other comprehen-
sive income, subject to regulatory adjustments (i.e. prudential filters and deductions), as well as minority interests qualifying
for inclusion in consolidated CET1 capital. Prudential filters for CET 1 capital, according to Articles 32 to 35 CRR, include (i)
securitization gains on sale, (ii) cash flow hedges and changes in the value of own liabilities, and (iii) additional value adjust-
ments. CET 1 capital deductions for instance includes (i) intangible assets, (ii) deferred tax assets that rely on future profita-
bility, (iii) negative amounts resulting from the calculation of expected loss amounts, (iv) net defined benefit pension fund
assets, (v) reciprocal cross holdings in the capital of financial sector entities and, (vi) significant and non-significant invest-
ments in the capital (CET 1, AT1, T2) of financial sector entities above certain thresholds. All items not deducted (i.e., amounts
below the threshold) are subject to risk-weighting.
Additional Tier 1 (AT1) capital consists of AT1 capital instruments and related share premium accounts as well as noncontrol-
ling interests qualifying for inclusion in consolidated AT1 capital and during the transitional period grandfathered instruments.
To qualify as AT1 capital under CRR/CRD, instruments must have principal loss absorption through a conversion to common
shares or a write-down mechanism allocating losses at a trigger point and must also meet further requirements (perpetual
with no incentive to redeem; institution must have full dividend/coupon discretion at all times, etc.).
Tier 2 (T2) capital comprises eligible capital instruments, the related share premium accounts and subordinated long-term
debt, certain loan loss provisions and noncontrolling interests that qualify for inclusion in consolidated T2 capital. To qualify
as T2 capital, capital instruments or subordinated debt must have an original maturity of at least five years. Moreover, eligible
capital instruments may inter alia not contain an incentive to redeem, a right of investors to accelerate repayment, or a credit
sensitive dividend feature
We present in this report certain figures based on the CRR definition of own fund instruments applicable for Additional Tier 1
(AT1) capital and Tier 2 (T2) capital and figures based thereon, including Tier 1, Total Capital and Leverage Ratio) on a “fully
loaded” basis. We calculate such “fully loaded” figures excluding the transitional arrangements for own fund instruments as
provided in the currently applicable CRR/CRD. For CET 1 instruments there are no transitional provisions.
Transitional arrangements are applicable for AT1 and T2 instruments. Capital instruments issued on or prior to December 31,
2011, that no longer qualify as AT1 or T2 capital under the fully loaded CRR/CRD as currently applicable are subject to
grandfathering rules during the transitional period and are being phased out from 2013 to 2022 with their recognition capped
at 20 % in 2020 and 10 % in 2021 (in relation to the portfolio eligible for grandfathering which was still in issue on December 31,
2012). The current CRR as applicable since June 27, 2019 provides further grandfathering rules for AT1 and T2 instruments
issued prior to June 27, 2019. Thereunder, AT1 and T2 instruments issued through special purpose entities are grandfathered
until December 31, 2021, and AT1 and T2 instruments that do not meet certain new requirements that apply since June 27,
2019 continue to qualify until June 26, 2025. Instruments issued under UK law which do not fulfill all CRR requirements after
the UK has left the European Union are also excluded from our fully loaded definition. Our CET 1 and RWA figures show no
difference between CRR/CRD as currently applicable and fully loaded CRR/CRD based on our definition of “fully loaded”.
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Capital, Leverage ratio, TLAC and MREL
For the comparative numbers as per year-end 2019 we still applied our earlier concept of fully loaded, defined as excluding
the transitional arrangements for own funds instruments introduced by the CRR/CRD applicable until June 26, 2019, but
reflecting the transitional arrangements introduced by the amendments to the CRR/CRD applicable from June 27, 2019 and
further amendments thereafter.
We believe that these “fully loaded” calculations provide useful information to investors as they reflect our progress against
the regulatory capital standards and as many of our competitors have been describing calculations on a “fully loaded” basis.
As our competitors’ assumptions and estimates regarding “fully loaded” calculations may vary, however, our “fully loaded”
measures may not be comparable with similarly labelled measures used by our competitors.
Capital instruments
Our Management Board received approval from the 2019 Annual General Meeting to buy back up to 206.7 million shares
before the end of April 2024. Thereof 103.3 million shares can be purchased by using derivatives, this includes 41.3 million
derivatives with a maturity exceeding 18 months. During the period from the 2019 Annual General Meeting until the 2020
Annual General Meeting (May 20, 2020), 33.8 million shares were purchased. The shares purchased were used for equity
compensation purposes in the same period or are to be used in the upcoming period so that the number of shares held in
Treasury from buybacks was 10.5 million as of the 2020 Annual General Meeting.
The 2020 Annual General Meeting granted our Management Board the approval to buy back up to 206.7 million shares before
the end of April 2025. Thereof 103.3 million shares can be purchased by using derivatives, this includes 41.3 million derivatives
with a maturity exceeding 18 months. These authorizations substitute the authorizations of the previous year. During the
period from the 2020 Annual General Meeting until December 31, 2020, there were not any shares purchased. The shares in
inventory are to be used in this period or the upcoming period for equity compensation purposes; the number of shares held
in Treasury from buybacks was 1.3 million as of December 31, 2020.
Since the 2017 Annual General Meeting, and as of December 31, 2020, authorized capital available to the Management Board
is € 2,560 million (1,000 million shares). As of December 31, 2020, the conditional capital against cash stands at € 512 million
(200 million shares). Additional conditional capital for equity compensation amounts to € 51.2 million (20 million shares). Fur-
ther, the 2018 Annual General Meeting authorized the issuance of participatory notes and other Hybrid Debt Securities that
fulfill the regulatory requirements to qualify as Additional Tier 1 capital with an equivalent value of € 8.0 billion.
Our legacy Hybrid Tier 1 capital instruments (substantially all noncumulative trust preferred securities) are not recognized
under fully loaded CRR/CRD rules as Additional Tier 1 capital, mainly because they have no write-down or equity conversion
feature. During the transitional phase-out period the maximum recognizable amount of Additional Tier 1 instruments from
Basel 2.5 compliant issuances as of December 31, 2012 will be reduced at the beginning of each financial year by 10 % or
€ 1.3 billion, through 2022. For December 31, 2020, this resulted in eligible Additional Tier 1 instruments of € 6.8 billion (i.e.
€ 5.7 billion newly issued AT1 Notes plus € 1.1 billion of legacy Hybrid Tier 1 instruments recognizable during the transition
period). Additional Tier 1 instruments recognized under fully loaded CRR/CRD rules amounted to € 5.7 billion as of Decem-
ber 31, 2020. In 2020, the bank issued AT1 notes amounting to U.S.$ 1.3 billion or an equivalent amount of € 1.2 billion.
Furthermore, the bank redeemed legacy Hybrid Tier 1 instruments with a notional of U.S.$ 0.8 billion and an eligible equivalent
amount of € 0.7 billion.
The total of our Tier 2 capital instruments as of December 31, 2020 recognized during the transition period under CRR/CRD
was € 6.9 billion (nominal value of € 7.7 billion). Tier 2 instruments recognized under fully loaded CRR/CRD rules amounted
to € 6.6 billion (nominal value of € 7.4 billion). In 2020, the bank issued Tier 2 capital instruments with a nominal value of U.S.$
0.5 billion (equivalent amount of € 0.4 billion) and € 1.3 billion.
Minimum capital requirements and additional capital buffers
The Pillar 1 CET 1 minimum capital requirement applicable to the Group is 4.50 % of risk-weighted assets (RWA). The Pillar 1
total capital requirement of 8.00 % demands further resources that may be met with up to 1.50 % Additional Tier 1 capital and
up to 2.00 % Tier 2 capital.
Failure to meet minimum capital requirements can result in supervisory measures such as restrictions of profit distributions or
limitations on certain businesses such as lending. We complied with the regulatory capital adequacy requirements in 2020.
In addition to these minimum capital requirements, the following combined capital buffer requirements were fully effective
beginning 2020 onwards. The buffer requirements must be met in addition to the Pillar 1 minimum capital requirements, but
can be drawn down in times of economic stress.
The capital conservation buffer is implemented in Section 10c German Banking Act, based on Article 129 CRD and equals a
requirement of 2.50 % CET 1 capital of RWA in 2020 and onwards.
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Risk and capital performance
Capital, Leverage ratio, TLAC and MREL
The countercyclical capital buffer is deployed in a jurisdiction when excess credit growth is associated with an increase in
system-wide risk. It may vary between 0 % and 2.50 % CET 1 capital of RWA by 2020. In exceptional cases, it could also be
higher than 2.50 %. The institution-specific countercyclical buffer that applies to Deutsche Bank is the weighted average of
the countercyclical capital buffers that apply in the jurisdictions where our relevant credit exposures are located. As per De-
cember 31, 2020, the institution-specific countercyclical capital buffer was at 0.02 %.
In addition to the aforementioned buffers, national authorities, such as the BaFin, may require a systemic risk buffer to prevent
and mitigate long-term non-cyclical systemic or macro-prudential risks that are not covered by the CRR. They can require an
additional buffer of up to 5.00 % CET 1 capital of RWA. As of the year-end 2020, no systemic risk buffer applied to Deutsche
Bank.
Deutsche Bank continues to be designated as a global systemically important institution (G-SII) by the German Federal Fi-
nancial Supervisory Authority (BaFin) in agreement with the Deutsche Bundesbank, resulting in a G-SII buffer requirement of
2.00 % CET 1 capital of RWA in 2020. This is in line with the FSB assessment of systemic importance based on the indicators
as published in 2017. According to the recent FSB assessment based on the indicators as published in 2019, the G-SII buffer
requirement for Deutsche Bank is reduced to 1.50 %, which will become effective from January 1, 2021. This assessment has
been confirmed by the FSB in 2020. We will continue to publish our indicators on our website.
Additionally, Deutsche Bank AG has been classified by BaFin in agreement with the Deutsche Bundesbank as an “other
systemically important institution” (O-SII) with an additional capital buffer requirement of 2.00 % in 2020 that has to be met on
a consolidated level. Unless certain exceptions apply, only the higher of the systemic risk buffer, G-SII buffer and O-SII buffer
must be applied.
In addition, pursuant to the Pillar 2 Supervisory Review and Evaluation Process (SREP), the European Central Bank (ECB)
may impose capital requirements on individual banks which are more stringent than statutory requirements (so-called Pillar 2
requirement).
On December 9, 2019, Deutsche Bank was informed by the ECB of its decision regarding prudential minimum capital require-
ments for 2020 that applied from January 1, 2020 onwards, following the results of the 2019 SREP. The decision acknowl-
edges the progress Deutsche Bank has made since the first SREP assessment in 2016, leading to a decrease in the ECB’s
Pillar 2 Requirement (P2R) from 2.75% to 2.50% CET 1 capital of RWA, effective as of January 1, 2020. As a result, Deutsche
Bank was required to maintain a CET 1 ratio of at least 11.58 % on a consolidated basis. This CET 1 capital requirement
comprised the Pillar 1 minimum capital requirement of 4.50 %, the lowered Pillar 2 requirement (SREP add-on) of 2.50 %, the
capital conservation buffer of 2.50 %, the countercyclical buffer of 0.08 % as of January 1 2020 (subject to changes throughout
the year) and the G-SII buffer of 2.00 %. Correspondingly, 2020 requirements for Deutsche Bank's Tier 1 capital ratio were at
13.08 % and for its total capital ratio at 15.08 %.
On March 12, 2020, the ECB announced various supervisory measures in reaction to the COVID-19 pandemic. Related to
that, Deutsche Bank was informed by the ECB of its decision to implement Article 104a of the Directive (EU) 2019/878 of the
European Parliament (CRDV) with effect from March 12, 2020. The decision requires Deutsche Bank to fulfill its unchanged
2.50 % Pillar 2 requirement (SREP add-on) with at least 56.25 % CET 1, 18.75 % Additional Tier 1 and 25 % Tier 2 capital.
As of December 31, 2020, Deutsche Bank needs to maintain on a consolidated basis a CET 1 ratio of at least 10.42 %, a
Tier 1 ratio of at least 12.39 % and a Total Capital ratio of at least 15.02 %. The CET 1 requirement comprises the Pillar 1
minimum capital requirement of 4.50 %, the Pillar 2 requirement (SREP add-on) of 1.41 %, the capital conservation buffer of
2.50 %, the countercyclical buffer (subject to changes throughout the year) of 0.02 % and the higher of our G-SII/O-SII buffer
of 2.00 %. Correspondingly, the Tier 1 capital requirement includes additionally a Tier 1 minimum capital requirement of 1.50 %
plus a Pillar 2 requirement of 0.47 %, and the Total Capital requirement includes further a Tier 2 minimum capital requirement
of 2.00 % and a Pillar 2 requirement of 0.63 %. Also, the ECB communicated to Deutsche Bank that its individual expectation
to hold a further Pillar 2 CET 1 capital add-on, commonly referred to as ‘Pillar 2 guidance’ will be seen as guidance only and
until further notice a breach of this guidance will not trigger the need to provide a capital restoration plan or a need to execute
measures to re-build CET 1 capital. The ECB has further communicated that once this period of financial distress is over,
banks will be granted sufficient time to build up the buffers again.
In December 2020 the ECB informed Deutsche Bank that these capital requirements will remain unchanged in 2021 with no
update of requirements as part of the 2020 SREP, for which, in light of the pandemic and the unique economic and financial
situation it has generated, and in line with the European Banking Authority’s (EBA’s) statement of April 22, 2020, the ECB has
adopted a “pragmatic approach”, based on which in principle no new decisions are issued in the 2020 cycle with the 2019
SREP decisions continuing to apply, amended by the above mentioned additional supervisory measures announced on
March 12, 2020.
It should be noted that the Financial Stability Board has announced in 2019 that our G-SII buffer will be reduced to 1.5 %
starting January 1, 2021. This does not change the capital requirements as the O-SII buffer remains at 2.0 % as the higher of
the G-SII, O-SII, and systemic risk buffer.
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Risk and capital performance
Capital, Leverage ratio, TLAC and MREL
The following table gives an overview of the different Pillar 1 and Pillar 2 minimum capital requirements (but excluding the
Pillar 2 guidance) as well as capital buffer requirements applicable to Deutsche Bank for years 2020 and 2021:
Overview total capital requirements and capital buffers
Pillar 1
Minimum CET 1 requirement
Combined buffer requirement
Capital Conservation Buffer
Countercyclical Buffer
Maximum of:
G-SII Buffer
O-SII Buffer
Systemic Risk Buffer
Pillar 2
Pillar 2 SREP Add-on of CET 1 capital (excluding the "Pillar 2" guidance)
of which covered by CET 1 capital
of which covered by Tier 1 capital
of which covered by Tier 2 capital
Total CET 1 requirement from Pillar 1 and 2³
Total Tier 1 requirement from Pillar 1 and 2
Total capital requirement from Pillar 1 and 2
2020
2021
4.50 %
4.52 %
2.50 %
0.02 %
2.00 %
2.00 %
2.00 %
0.00 %
2.50 %
1.41 %
1.88 %
0.63 %
10.42 %
12.39 %
15.02 %
4.50 %
4.52 %
2.50 %
0.02 %
2.00 %
1.50 %
2.00 %
0.00 %
2.50 %
1.41 %
1.88 %
0.63 %
10.42 %
12.39 %
15.02 %
1 Deutsche Bank’s countercyclical buffer requirement is subject to country-specific buffer rates decreed by EBA and the Basel Committee of Banking Supervision (BCBS) as
well as Deutsche Bank’s relevant credit exposures as per respective reporting date. The countercyclical buffer rate for 2021 has been assumed to be 0.02 % as per beginning
of the year 2021. The countercyclical buffer is subject to changes throughout the year depending on its constituents.
2 The systemic risk buffer has been assumed to remain at 0 % for the projected year 2021, subject to changes based on further directives.
3 The total Pillar 1 and Pillar 2 CET 1 requirement (excluding the “Pillar 2” guidance) is calculated as the sum of the SREP requirement, the higher of the G-SII, O-SII and sys-
temic risk buffer requirement as well as the countercyclical buffer requirement.
Development of own funds
Our Total Regulatory capital as of December 31, 2020 amounted to € 58.5 billion compared to € 56.5 billion at the end of
December 31, 2019. Our Tier 1 capital as of December 31, 2020 amounted to € 51.5 billion, consisting of a Common Equity
Tier 1 (CET 1) capital of € 44.7 billion and Additional Tier 1 (AT1) capital of € 6.8 billion. The Tier 1 capital was € 1.0 billion
higher than at the end of December 31, 2019, driven by an increase in CET 1 capital of € 0.6 billion and an increase in AT1
capital of € 0.5 billion since year end 2019.
The CET 1 capital increase of € 0.6 billion was largely the result of benefits from the regulatory changes. Our capital increased
as respective deductions of goodwill and other intangible assets lowered by € 1.6 billion due to regulatory changes from
software assets due to an amended Art. 36 (1) (b) CRR. An additional increase of € 0.4 billion resulted from the regulatory
requirement of valuing subsidiaries and participations that are only consolidated under IFRS at-equity rather than at-cost and
a further increase of € 0.1 billion as of year-end 2020 as we make use of the IFRS 9 transitional provision as per Article 473a
of the CRR. Our decreased regulatory adjustment of € 0.3 billion from prudential filters (mainly additional value adjustments)
were the result of a temporary change of the EBA technical standard on the aggregation methodology of prudential valuations
following the disruptions caused by the COVID-19 pandemic and markets normalizing in the second half of 2020. Further
increase of € 0.3 billion was driven by re-measurement gains related to defined benefit pension plan and unrealized gains
from financial instruments at fair value through other comprehensive income of € 0.2 billion driven mainly by falling interest
rates and narrowing credit spreads compared to 2019.
These positive impacts were partly offset by negative effects from Currency Translation Adjustments of € 1.7 billion with some
positive foreign exchange counter-effects in capital deduction items of € 0.4 billion. Furthermore our CET 1 capital decreased
by € 0.7 billion from a deduction as per ECB’s supervisory recommendation for prudential provisioning of non-performing
exposures and € 0.3 billion due to payment of our AT1 coupon in the second quarter of 2020 which was not accrued in CET 1
capital as a consequence of the negative net income in financial year 2019 following Article 26(2) of Regulation (EU)
No 575/2013 (ECB/2015/4).
The € 0.5 billion increase in AT1 capital was mainly the result of an issued AT1 capital instruments with a notional amount of
U.S.$ 1.3 billion (€ 1.2 billion) during the first quarter of 2020 partially offset by call and redemption of one legacy hybrid Tier 1
instrument, recognizable as AT1 capital during the transition period, with a notional amount of € 0.7 billion in the second
quarter of 2020.
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Annual Report 2020
Risk and capital performance
Capital, Leverage ratio, TLAC and MREL
Our fully loaded Total Regulatory capital as of December 31, 2020 was € 57.1 billion, compared to € 56.5 billion at the end of
December 31, 2019. Our fully loaded Tier 1 capital as of December 31, 2020 was € 50.4 billion, compared to € 48.7 billion at
the end of December 31, 2019. Our fully loaded AT1 capital amounted to € 5.7 billion as of December 31, 2020 which increased
compared to € 4.6 billion at the end of December 31, 2019 due to the above mentioned issuance. Our CET 1 capital amounted
to € 44.7 billion as of December 31, 2020, compared to € 44.1 billion at the end of December 31, 2019.
Please note: In our CET 1 capital amounting to € 44.7 billion at December 31, 2020, we reflected a full year profit of € 84 million
in line with ECB Decision (EU) 2015/656 and Article 26(2) CRR. If we would have considered a dividend payment of zero,
which is expected for the financial year 2020, our CET 1 capital would have amounted to € 44.9 billion. On the basis of this
revised CET1 capital our key regulatory metrics would have amounted to the following: CET 1 ratio 13.6 %, Tier 1 ratio 15.7 %,
Total Capital ratio 17.8 %, fully loaded Leverage Ratio 4.7 %, TLAC ratio 32.0 % and MREL 10.3 %. In order to comply with
recent EBA/ECB guidance we will provide an updated Pillar 3 Report in 2021.
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Risk and capital performance
Capital, Leverage ratio, TLAC and MREL
Own Funds Template (incl. RWA and capital ratios)
in € m.
Common Equity Tier 1 (CET 1) capital: instruments and reserves
Capital instruments, related share premium accounts and other reserves
Retained earnings
Accumulated other comprehensive income (loss), net of tax
Independently reviewed interim profits net of any foreseeable charge or dividend1
Other
Common Equity Tier 1 (CET 1) capital before regulatory adjustments
Dec 31, 2020
Dec 31, 2019
CRR/CRD
fully-loaded3
CRR/CRD
CRR/CRD
fully loaded3
CRR/CRD
45,890
9,784
(1,118)
84
805
55,444
45,890
9,784
(1,118)
84
805
55,444
45,780
14,814
537
(5,390)
837
56,579
45,780
14,814
537
(5,390)
837
56,579
Common Equity Tier 1 (CET 1) capital: regulatory adjustments
Additional value adjustments (negative amount)
Other prudential filters (other than additional value adjustments)
Goodwill and other intangible assets (net of related tax liabilities) (negative amount)
Deferred tax assets that rely on future profitability excluding those arising from
temporary differences (net of related tax liabilities where the conditions in Art. 38 (3)
CRR are met) (negative amount)
Negative amounts resulting from the calculation of expected loss amounts
Defined benefit pension fund assets (net of related tax liabilities) (negative amount)
Direct, indirect and synthetic holdings by an institution of own CET 1 instruments (negative
amount)
Direct, indirect and synthetic holdings by the institution of the CET 1 instruments of financial
sector entities where the institution has a significant investment in those entities (amount
above the 10 % / 15 % thresholds and net of eligible short positions) (negative amount)
Deferred tax assets arising from temporary differences (net of related tax liabilities where
the conditions in Art. 38 (3) CRR are met) (amount above the 10 % / 15 % thresholds) (neg-
ative amount)
Other regulatory adjustments2
Total regulatory adjustments to Common Equity Tier 1 (CET 1) capital
Common Equity Tier 1 (CET 1) capital
Additional Tier 1 (AT1) capital: instruments
Capital instruments and the related share premium accounts
Amount of qualifying items referred to in Art. 484 (4) CRR and the related share
premium accounts subject to phase out from AT1
Additional Tier 1 (AT1) capital before regulatory adjustments
Additional Tier 1 (AT1) capital: regulatory adjustments
Direct, indirect and synthetic holdings by an institution of own AT1 instruments
(negative amount)
Residual amounts deducted from AT1 capital with regard to deduction from CET 1 capital
during the transitional period pursuant to Art. 472 CRR
Other regulatory adjustments
Total regulatory adjustments to Additional Tier 1 (AT1) capital
Additional Tier 1 (AT1) capital
Tier 1 capital (T1 = CET 1 + AT1)
Tier 2 (T2) capital
Total capital (TC = T1 + T2)
Total risk-weighted assets
Capital ratios
Common Equity Tier 1 capital ratio (as a percentage of risk-weighted assets)
Tier 1 capital ratio (as a percentage of risk-weighted assets)
Total capital ratio (as a percentage of risk-weighted assets)
(1,430)
(112)
(4,635)
(1,430)
(112)
(4,635)
(1,738)
(150)
(6,515)
(1,738)
(150)
(6,515)
(1,353)
(99)
(772)
(1,353)
(99)
(772)
(1,126)
(259)
(892)
(1,126)
(259)
(892)
0
0
(15)
(15)
0
0
0
0
(92)
(2,252)
(10,745)
44,700
(92)
(2,252)
(10,745)
44,700
(319)
(1,417)
(12,430)
44,148
(319)
(1,417)
(12,430)
44,148
5,828
5,828
4,676
4,676
N/M
5,828
1,100
6,928
N/M
4,676
1,813
6,489
(80)
(80)
(91)
(91)
N/M
0
(80)
5,748
50,448
N/M
0
(80)
6,848
51,548
N/M
0
(91)
4,584
48,733
N/M
0
(91)
6,397
50,546
6,623
57,071
328,951
6,944
58,492
328,951
7,770
56,503
324,015
5,957
56,503
324,015
13.6
15.3
17.3
13.6
15.7
17.8
13.6
15.0
17.4
13.6
15.6
17.4
N/M – Not meaningful
1 Full year profit is recognized as per ECB Decision (EU) 2015/656 in accordance with the Article 26(2) of Regulation (EU) No 575/2013 (ECB/2015/4).
2 Includes € 0.4 billion capital deduction effective from April 2019 and € 0.3 billion effective from October 2016 based on regular ECB review, € 0.9 billion capital deduction
based on ECB guidance on irrevocable payment commitments related to the Single Resolution Fund and the Deposit Guarantee Scheme effective from January 2018 on-
wards and € 0.7 billion capital deduction effective from December 2020 based on ECB’s supervisory recommendation for a prudential provisioning of non-performing expo-
sures. Effective June 30, 2020, we make use of the IFRS 9 transitional provision as per Article 473a of the CRR resulting in CET 1 increase of € 0.1 billion as of December 31,
2020.
3 For the understanding of the term “fully-loaded” please refer to our definition as provided in section “Own Funds” of this report.
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Risk and capital performance
Capital, Leverage ratio, TLAC and MREL
Reconciliation of shareholders’ equity to Own Funds
in € m.
Total shareholders’ equity per accounting balance sheet
Deconsolidation/Consolidation of entities3
Of which:
Additional paid-in capital
Retained earnings
Accumulated other comprehensive income (loss), net of tax
Total shareholders' equity per regulatory balance sheet
Minority Interests (amount allowed in consolidated CET 1)
Accrual for dividend and AT1 coupons1
Reversal of deconsolidation/consolidation of the position Accumulated other comprehensive income (loss),
net of tax, during transitional period
Common Equity Tier 1 (CET 1) capital before regulatory adjustments
Additional value adjustments
Other prudential filters (other than additional value adjustments)
Regulatory adjustments relating to unrealized gains and losses pursuant to Art. 467 and 468 CRR
Goodwill and other intangible assets (net of related tax liabilities) (negative amount)
Deferred tax assets that rely on future profitability
Defined benefit pension fund assets (net of related tax liabilities) (negative amount)
Direct, indirect and synthetic holdings by the institution of the CET 1 instruments of financial sector entities
where the institution has a significant investment in those entities
Other regulatory adjustments2
Common Equity Tier 1 capital
Dec 31, 2020
54,786
265
0
265
0
55,050
805
(411)
0
55,444
(1,430)
(112)
0
(4,635)
(1,445)
(772)
0
(2,351)
44,700
CRR/CRD
Dec 31, 2019
55,857
(116)
(12)
(220)
116
55,741
837
0
0
56,579
(1,738)
(150)
0
(6,515)
(1,445)
(892)
0
(1,692)
44,148
1 Full year profit is recognized as per ECB Decision (EU) 2015/656 in accordance with the Article 26(2) of Regulation (EU) No 575/2013 (ECB/2015/4).
2 Includes € 0.4 billion capital deduction effective from April 2019 and € 0.3 billion effective from October 2016 based on regular ECB review, € 0.9 billion capital deduction
based on ECB guidance on irrevocable payment commitments related to the Single Resolution Fund and the Deposit Guarantee Scheme effective from January 2018 on-
wards, € 0.1 billion negative amounts resulting from the calculation of expected loss amounts and € 0.7 billion capital deduction effective from December 2020 based on
ECB’s supervisory recommendation for a prudential provisioning of non-performing exposures. Effective June 30, 2020, we make use of the IFRS 9 transitional provision as
per Article 473a of the CRR resulting in CET 1 increase of € 0.1 billion as of December 31, 2020.
3 Includes € 0.4 billion increase due to regulatory changes from cost to at-equity treatment of subsidiaries and participations that are only consolidated under IFRS.
Development of Own Funds
in € m.
Common Equity Tier 1 (CET 1) capital - opening amount
Common shares, net effect
Additional paid-in capital
Retained earnings
Common shares in treasury, net effect/(+) sales (–) purchase
Movements in accumulated other comprehensive income
Accrual for dividend and Additional Tier 1 (AT1) coupons ¹
Additional value adjustments
Goodwill and other intangible assets (net of related tax liabilities) (negative amount)
Deferred tax assets that rely on future profitability (excluding those arising from temporary differences)
Negative amounts resulting from the calculation of expected loss amounts
Defined benefit pension fund assets (net of related tax liabilities) (negative amount)
Direct, indirect and synthetic holdings by the institution of the CET 1 instruments of financial sector entities
where the institution has a significant investment in those entities
Securitization positions not included in risk-weighted assets
Deferred tax assets arising from temporary differences (amount above 10 % and 15 % threshold,
net of related tax liabilities where the conditions in Art. 38 (3) CRR are met)
Other, including regulatory adjustments
Common Equity Tier 1 (CET 1) capital - closing amount
Additional Tier 1 (AT1) Capital – opening amount
New Additional Tier 1 eligible capital issues
Matured and called instruments
Transitional arrangements
Of which:
Goodwill and other intangible assets (net of related tax liabilities)
Other, including regulatory adjustments
Additional Tier 1 (AT1) Capital – closing amount
Tier 1 capital
Tier 2 (T2) capital – closing amount
Total regulatory capital
1 Full year profit is recognized as per ECB Decision (EU) 2015/656 in accordance with the Article 26(2) of Regulation (EU) No 575/2013 (ECB/2015/4).
twelve months
ended
Dec 31, 2020
44,148
CRR/CRD
twelve months
ended
Dec 31, 2019
47,486
0
113
854
(3)
(1,655)
(411)
308
1,880
(227)
160
119
0
0
227
(814)
44,700
6,397
1,134
(713)
0
0
30
6,848
51,548
6,944
58,492
0
253
(6,873)
11
155
0
(234)
2,051
1,632
108
219
0
0
(319)
(341)
44,148
7,604
0
(1,210)
0
0
3
6,397
50,546
5,957
56,503
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Deutsche Bank
Annual Report 2020
Risk and capital performance
Capital, Leverage ratio, TLAC and MREL
Minimum loss coverage for Non Performing Exposure (NPE)
In April 2019, the EU published final regulations for a prudential backstop reserve for non-performing exposure (NPE), which
will result in a Pillar 1 deduction from CET 1 capital when a minimum loss coverage requirement is not met. It is applied to
exposures originated and defaulted after April 26, 2019
In addition, in March 2018, the ECB published its “Addendum to the ECB Guidance to banks on non-performing loans: super-
visory expectations for prudential provisioning of non-performing exposures” and in August 2019, its “Communication on su-
pervisory coverage expectations for NPEs”.
The ECB guidance issued is applicable to all newly 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 with measure taken by the individual bank.
For the year end 2020, we introduced a framework to determine the prudential provisioning of non-performing exposure as a
Pillar 2 measure as requested in the before mentioned ECB’s guidance and SREP recommendation.
The shortfall between the minimum loss coverage requirements for non-performing exposure and the risk reserves recorded
in line with the IFRS 9 for defaulted (Stage 3) assets amounted to € 740 million as of December 31, 2020 and was deducted
from CET 1. This additional CET 1 charge can be considered as additional loss reserve and leads to a € 499 million RWA
relief.
Non-performing exposure loss coverage
in € m. (unless
stated otherwise)
Corporate Bank
Investment Bank
Private Bank
Asset Management
Capital Release Unit
Corporate & Other
Total
Exposure value
Total minimum
coverage
requirement
2,852
13,510
6,123
0
422
1
22,907
377
7,816
1,269
0
183
1
9,646
Dec 31, 2020
Applicable
amount of
insufficient
coverage
63
255
361
0
60
1
740
Available
coverage
1,058
10,574
2,011
0
182
0
13,825
Development of risk-weighted assets
The table below provides an overview of RWA broken down by risk type and business division. It includes the aggregated
effects of the segmental reallocation of infrastructure related positions, if applicable, as well as reallocations between the
segments.
Risk-weighted assets by risk type and business division
in € m.
Credit Risk
Settlement Risk
Credit Valuation Adjust-
ment (CVA)
Market Risk
Operational Risk
Total
Corporate
Bank
50,799
0
Investment
Bank
70,746
0
75
385
6,029
57,288
6,302
24,323
27,115
128,487
in € m.
Credit Risk
Settlement Risk
Credit Valuation Adjust-
ment (CVA)
Market Risk
Operational Risk
Total
Corporate
Bank
48,633
0
Investment
Bank
69,507
192
48
530
7,312
56,522
2,009
20,390
26,525
118,622
Private
Bank
68,353
0
92
548
8,081
77,074
Private
Bank
66,925
0
103
89
8,325
75,442
Asset
Management
Capital
Release Unit
6,224
0
198
31
3,544
9,997
7,214
1
1,599
1,470
24,130
34,415
Asset
Management
Capital
Release Unit
4,873
0
56
28
4,570
9,527
13,155
6
2,450
4,331
25,931
45,874
Corporate &
Other
19,371
54
125
2,139
0
21,690
Corporate &
Other
17,967
44
17
0
0
18,029
Dec 31, 2020
Total
222,708
56
8,392
28,897
68,899
328,951
Dec 31, 2019
Total
221,060
242
4,683
25,368
72,662
324,015
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Deutsche Bank
Annual Report 2020
Risk and capital performance
Capital, Leverage ratio, TLAC and MREL
Our RWA were € 329.0 billion as of December 31, 2020, compared to € 324.0 billion at the end of 2019. The increase of € 4.9
billion was primarily driven by higher RWA for credit valuation adjustment, market risk and credit risk, partially offset by de-
creased RWA for operational risk. CVA RWA increased by € 3.7 billion as a result of model-related changes. Market risk RWA
increased by € 3.5 billion and was primarily driven by the incremental risk charge and the model change from a Monte Carlo
simulation to a historical simulation for VaR and SVaR components. The increase in credit risk RWA by € 1.6 billion was driven
by the introduction of the new framework for securitization positions, impacts on rating migrations on the back of the reper-
cussion of the prevailing COVID-19 pandemic, method changes for software assets and certain equity investments as well as
exposure increases across all businesses. This is partly offset by positive impacts due to application of the “quick fix” amend-
ment of the CRR (Regulation (EU) 2020/873) in relation to certain small or medium-sized enterprise (SME) exposures, where
risk weight-reducing scaling factors were applied. Moreover, the decommissioning of our dilution risk model, benefits from the
non-performing loan (NPL) backstop implementation as well as de-risking initiatives contributed to this offset. The operational
risk RWA reduction of € 3.8 billion was mainly driven by a more favourable development of our internal loss profile feeding
into our capital model as well as a model change roll-out of the external loss data classification in alignment with recent
regulatory requirements. This was partially offset by the reduced expected loss deductible and the adverse impact on the
forward looking component.
The tables below provide an analysis of key drivers for risk-weighted asset movements observed for credit risk, credit valuation
adjustments as well as market and operational risk in the reporting period. They also show the corresponding movements in
capital requirements, derived from the RWA by an 8 % capital ratio.
Development of risk-weighted assets for Credit Risk including Counterparty Credit Risk
in € m.
Credit risk RWA balance, beginning of year
Book size
Book quality
Model updates
Methodology and policy
Acquisition and disposals
Foreign exchange movements
Other
Credit risk RWA balance, end of year
Credit risk RWA
Dec 31, 2020
Capital
requirements
Credit risk RWA
221,060
4,659
1,160
(2,072)
6,542
(1,672)
(7,237)
268
222,708
17,685
373
93
(166)
523
(134)
(579)
21
17,817
212,827
3,192
(4,700)
4,867
2,693
(300)
2,069
413
221,060
Of which: Development of risk-weighted assets for Counterparty Credit Risk
in € m.
Counterparty credit risk RWA balance, beginning of year
Book size
Book quality
Model updates
Methodology and policy
Acquisition and disposals
Foreign exchange movements
Other
Counterparty credit risk RWA balance, end of year
Counterparty
credit risk RWA
Dec 31, 2020
Capital
requirements
Counterparty
credit risk RWA
23,698
1,784
(594)
(643)
669
0
(1,100)
0
23,814
1,896
143
(48)
(51)
54
0
(88)
0
1,905
25,282
(1,708)
(12)
318
(507)
0
326
0
23,698
Dec 31, 2019
Capital
requirements
17,026
255
(376)
389
215
(24)
166
33
17,685
Dec 31, 2019
Capital
requirements
2,023
(137)
(1)
25
(41)
0
26
0
1,896
The classifications of key drivers for the RWA credit risk development table are fully aligned with the recommendations of the
Enhanced Disclosure Task Force (EDTF). Organic changes in our portfolio size and composition are considered in the cate-
gory “book size”. The category “book quality” mainly represents the effects from portfolio rating migrations, loss given default,
model parameter recalibrations as well as collateral and netting coverage activities. “Model updates” include model refine-
ments 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 which 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 increase in RWA for credit risk by 0.7 % or € 1.6 billion since December 31, 2019 is mainly driven by the categories
“methodology and policy”, “book size” as well as “book quality” related changes offset by FX related movements, changes
shown in the categories “model updates” and “acquisition and disposals”. The category “methodology and policy” reflects
mainly updates to the framework for securitization positions, regulatory prudent valuation of software assets and the changed
treatment of equity investments. This was partly offset by the benefit from the non-performing loan (NPL) backstop implemen-
tation. The increase in the category “book size” reflects business growth in our core business segments. The category “book
quality” includes increases resulting from parameter recalibrations and data enhancements. These increases were partly offset
by a decrease resulting from foreign exchange movements. The category “model updates” reflects the decommissioning of
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Annual Report 2020
Risk and capital performance
Capital, Leverage ratio, TLAC and MREL
our dilution risk model and further refinements to our risk models based on regulatory parameter updates. Furthermore, “ac-
quisition and disposals” provides for a reduction in credit risk RWA particularly within Private Bank and our Capital Release
Unit.
The increase in counterparty credit risk is mainly driven by “book size” reflecting growth across core businesses as well as
“methodology and policy”-related updates for collateral. This was offset by changes to “model updates” particularly on con-
centration risk as well as “book quality”. In addition the category foreign exchange movements contributed to the offset.
Based on the CRR/CRD regulatory framework, we are required to calculate RWA using the CVA which takes into account the
credit quality of our counterparties. RWA for CVA covers the risk of mark-to-market losses on the expected counterparty risk
in connection with OTC derivative exposures. We calculate the majority of the CVA based on our own internal model as
approved by the BaFin.
Development of risk-weighted assets for Credit Valuation Adjustment
in € m.
CVA RWA balance, beginning of year
Movement in risk levels
Market data changes and recalibrations
Model updates
Methodology and policy
Acquisitions and disposals
Foreign exchange movements
CVA RWA balance, end of year
Dec 31, 2020
Capital
requirements
374
(267)
0
463
101
0
0
671
CVA RWA
4,683
(3,338)
0
5,787
1,260
0
0
8,392
Dec 31, 2019
Capital
requirements
640
(114)
0
0
(151)
0
0
374
CVA RWA
7,997
(1,423)
0
0
(1,891)
0
0
4,683
The development of CVA RWA is broken down into a number of categories: “Movement in risk levels”, which includes changes
to the portfolio size and composition; “Market data changes and calibrations”, which includes changes in market data levels
and volatilities as well as recalibrations; “Model updates” refers to changes to either the IMM credit exposure models or the
value-at-risk models that are used for CVA RWA; “Methodology and policy” relates to changes to the regulation. Any significant
business acquisitions or disposals would be presented in the category with that name.
As of December 31, 2020, the RWA for CVA amounted to € 8.4 billion, representing an increase of € 3.7 billion (79 %)
compared with € 4.7 billion for December 31, 2019. The overall increase was primarily driven by model enhancements linked
to the introduction of the Historical Simulation VaR in 2020, and increased volatility observed due to the COVID-19 market
turbulence and additional hedging activity.
Development of risk-weighted assets for Market Risk
in € m.
Market risk RWA balance, beginning of year
Movement in risk levels
Market data changes and recalibrations
Model updates/changes
Methodology and policy
Acquisitions and disposals
Foreign exchange movements
Other
Market risk RWA balance, end of year
in € m.
Market risk RWA balance, beginning of year
Movement in risk levels
Market data changes and recalibrations
Model updates/changes
Methodology and policy
Acquisitions and disposals
Foreign exchange movements
Other
Market risk RWA balance, end of year
VaR
4,273
(4,775)
4,237
(107)
8,481
0
0
0
12,109
VaR
5,368
(1,021)
(81)
7
0
0
0
0
4,273
SVaR
13,734
(2,397)
0
547
(4,901)
0
0
0
6,983
SVaR
16,426
(1,879)
0
(813)
0
0
0
0
13,734
IRC
4,868
2,698
0
(561)
0
0
0
0
7,005
IRC
10,068
(5,222)
0
22
0
0
0
0
4,868
Other
2,493
570
(131)
0
(15)
0
(118)
0
2,799
Total RWA
25,368
(3,902)
4,105
(121)
3,565
0
(118)
0
28,897
Other
5,673
(2,973)
(315)
0
120
0
(11)
0
2,493
Total RWA
37,535
(11,095)
(396)
(784)
120
0
(11)
0
25,368
Dec 31, 2020
Total capital
requirements
2,029
(311)
328
(10)
285
0
(9)
0
2,312
Dec 31, 2019
Total capital
requirements
3,003
(888)
(32)
(63)
10
0
(1)
0
2,029
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Annual Report 2020
Risk and capital performance
Capital, Leverage ratio, TLAC and MREL
The analysis for market risk covers movements in our internal models for value-at-risk (VaR), stressed value-at-risk (SVaR),
incremental risk charge (IRC) as well as results from the market risk standardized approach (MRSA), which is captured in the
table under the category “Other”. MRSA is used to determine the regulatory capital charge for the specific market risk of
trading book securitizations, for certain types of investment funds and for longevity risk as set out in CRR/CRD regulations.
The market risk RWA movements due to changes in market data levels, volatilities, correlations, liquidity and ratings are
included under the “Market data changes and recalibrations” category. Changes to our market risk RWA internal models, such
as methodology enhancements or risk scope extensions, are included in the category of “Model updates”. In the “Methodology
and policy” category we reflect regulatory driven changes to our market risk RWA models and calculations. Significant new
businesses and disposals would be assigned to the line item “Acquisition and disposals”. The impacts of “Foreign exchange
movements” are only calculated for the CRM and Standardized approach methods.
As of December 31, 2020 the RWA for market risk was € 28.9 billion which has increased by € 3.5 billion (+14 %) since
December 31, 2019. The increase was driven by the “Market data changes and recalibrations” category across value-at-risk
driven by the COVID-19 related market volatility and by the “Methodology and policy” category driven by the go-live of Histor-
ical Simulation model. The offset from the "Movement in risk levels" category across value-at-risk and stressed value-at-risk
reflect the portfolio de-risking activities over 2020; while an increase in incremental risk charge was driven by increases in
sovereign exposures.
Development of risk-weighted assets for operational risk
in € m.
Operational risk RWA balance, beginning of year
Loss profile changes (internal and external)
Expected loss development
Forward looking risk component
Model updates
Methodology and policy
Acquisitions and disposals
Operational risk RWA balance, end of year
Operational risk
RWA
72,662
(4,677)
1,164
533
(784)
0
0
68,899
Dec 31, 2020
Capital
requirements
5,813
(374)
93
43
(63)
0
0
5,512
Operational risk
RWA
91,989
(8,185)
1,747
1,879
(14,768)
0
0
72,662
Dec 31, 2019
Capital
requirements
7,359
(655)
140
150
(1,181)
0
0
5,813
Changes in internal and external loss events are reflected in the category “Loss profile changes”. The category “Expected loss
development” is based on divisional business plans as well as historical losses and is deducted from the AMA capital figure
within certain constraints. The category “Forward looking risk component” reflects qualitative adjustments and, as such, the
effectiveness and performance of the day-to-day operational risk management activities via NFR appetite metrics and RCA
scores, focusing on the business environment and internal control factors. The category “Model updates” covers model re-
finements, such as the implementation of model changes. The category “Methodology and policy” represents externally driven
changes such as regulatory add-ons. The category “Acquisition and disposals” represents significant exposure movements
which can be clearly assigned to new or disposed businesses.
The overall RWA decrease of € 3.8 billion was driven by several effects. A reduced litigation intensity throughout the industry
as well as provision and legal forecast levels below previous years for Deutsche Bank led to a lighter loss profile feeding into
our capital model. These loss profile changes (internal and external) reduced our RWA for Operational Risk by € 4.7 billion.
The RWA decrease of € 0.8 billion from model updates was largely driven by the full roll-out of the external loss data classifi-
cation process, which we had started to introduce in 2019. Two other model updates with smaller capital impact enhanced
and simplified our methodology for the sub-allocation of OR RWA within business divisions and aligned our OR event fre-
quency dependence modelling to AMA EBA Regulatory Technical Standard requirements.
The expected loss deductible reduction was driven by a positive outlook of operational risk loss development, leading to an
RWA increase of € 1.2 billion. The forward looking component was adversely impacted by slightly weaker NFR appetite metrics
and RCA scores, resulting in an RWA increase of € 0.5 billion.
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Risk and capital performance
Capital, Leverage ratio, TLAC and MREL
Economic Capital
Economic Capital Adequacy
Our internal capital adequacy assessment process (ICAAP) aims at maintaining the continuity of Deutsche Bank on an ongo-
ing basis. We assess our internal capital adequacy from an economic perspective as the ratio of our economic capital supply
divided by our internal economic capital demand as shown in the table below.
Total economic capital supply and demand
in € m.
(unless stated otherwise)
Components of economic capital supply
Shareholders' equity
Noncontrolling interests¹
AT1 coupons accruals
Gain on sale of securitisations, cash flow hedges
Fair value gains on own debt and debt valuation adjustments, subject to own credit risk
Additional valuation adjustments
Intangible assets
IFRS deferred tax assets excl. temporary differences
Expected loss shortfall
Defined benefit pension fund assets
Holdings of own common equity tier 1 capital instruments
Other adjustments²
Additional tier 1 equity instruments³
Economic capital supply
Components of economic capital demand
Credit risk
Market risk
Operational risk
Business risk
Diversification benefit
Total economic capital demand
Economic capital adequacy ratio
Dec 31, 2020
Dec 31, 2019
54,786
880
(242)
(11)
(100)
(1,430)
(3,463)
(1,503)
(99)
(772)
0
(1,566)
4,659
51,138
11,636
10,894
5,512
5,949
(5,429)
28,560
55,857
953
(222)
(23)
(127)
(1,738)
(7,029)
(1,254)
(259)
(892)
(0)
(1,417)
3,732
47,581
10,757
11,767
5,813
6,374
(5,535)
29,176
179 %
163 %
1 Includes noncontrolling interest up to the economic capital requirement for each subsidiary.
2 Includes € 0.4 billion capital deduction effective from April 2019 and € 0.3 billion effective from October 2016 based on regular ECB review and € 0.9 billion capital deduction
based on ECB guidance on irrevocable payment commitments related to the Single Resolution Fund and the Deposit Guarantee Scheme effective from January 2018 on-
wards.
3 De-recognition of Additional Tier 1 equity instruments from economic capital supply temporarily paused during 2020.
The economic capital adequacy ratio was 179 % as of December 31, 2020, compared with 163 % as of December 31, 2019.
The change in the ratio was mainly due to an increase in capital supply and a decrease in capital demand. The economic
capital supply increased by € 3.6 billion and was primarily driven by lower capital deductions of intangible assets of € 3.6 billion
which mainly reflects the methodology decision to recognize software assets in economic capital supply and the decrease in
prudential filters (additional valuation adjustment) of € 0.3 billion which were the result of a temporary change of the EBA
technical standard on the aggregation methodology of prudential valuations following the disruptions caused by the COVID-19
pandemic and markets normalizing in the second half of 2020. Additionally, capital increased from the recognition of newly
issued Additional Tier 1 capital instruments of € 0.9 billion during the first quarter of 2020. These positive impacts were partly
offset by reduction of € 1.1 billion from our IFRS shareholders’ equity mainly due to negative effects from Currency Translation
Adjustments of € 1.7 billion with some positive offset from our net income of € 0.5 billion. The decrease in capital demand was
driven by lower economic capital demand as explained in the section “Risk Profile”.
The above capital adequacy measures apply to the consolidated Deutsche Bank Group as a whole and form an integral part
of our risk and capital management framework.
Leverage ratio
We manage our balance sheet on a Group level and, where applicable, locally in each region. In the allocation of financial
resources we favor business portfolios with the highest positive impact on our profitability and shareholder value. We monitor
and analyze balance sheet developments and track certain market-observed balance sheet ratios. Based on this we trigger
discussion and management action by the Group Risk Committee (GRC).
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Risk and capital performance
Capital, Leverage ratio, TLAC and MREL
Leverage ratio according to CRR/CRD framework
The non-risk based leverage ratio is intended to act as a supplementary measure to the risk based capital requirements. Its
objectives are to constrain the build-up of leverage in the banking sector, helping avoid destabilizing deleveraging processes
which can damage the broader financial system and the economy, and to reinforce the risk based requirements with a simple,
non-risk based “backstop” measure.
A minimum leverage ratio requirement of 3 % was introduced that will be effective starting with June 28, 2021. From January 1,
2023 an additional leverage ratio buffer requirement of 50 % of the applicable G-SIB buffer rate will apply. It is currently
expected that this additional requirement will equal 0.75 %.
We calculate our leverage ratio exposure in accordance with Article 429 of the CRR as per Delegated Regulation (EU) 2015/62
of October 10, 2014 published in the Official Journal of the European Union on January 17, 2015 and amended by Regulation
(EU) 2020/873 published in the Official Journal of the European Union on June 24, 2020.
Our total leverage ratio exposure includes derivatives, securities financing transactions (SFTs), off-balance sheet exposure
and other on-balance sheet exposure (excluding derivatives and SFTs).
The leverage exposure for derivatives is calculated by using the regulatory mark-to-market method for derivatives comprising
the current replacement cost plus a regulatory defined add-on for the potential future exposure. Variation margin received in
cash from counterparties is deducted from the current replacement cost portion of the leverage ratio exposure measure and
variation margin paid to counterparties is deducted from the leverage ratio exposure measure related to receivables recog-
nized as an asset on the balance sheet, provided certain conditions are met. Deductions of receivables for cash variation
margin provided in derivatives transactions are shown under derivative exposure in the table “Leverage ratio common disclo-
sure” below. The effective notional amount of written credit derivatives, i.e., the notional reduced by any negative fair value
changes that have been incorporated in Tier 1 capital is included in the leverage ratio exposure measure; the resulting expo-
sure measure is further reduced by the effective notional amount of purchased credit derivative protection on the same refer-
ence name provided certain conditions are met.
The securities financing transaction (SFT) component includes the gross receivables for SFTs, which are netted with SFT
payables if specific conditions are met. In addition to the gross exposure a regulatory add-on for the counterparty credit risk is
included.
The off-balance sheet exposure component follows the credit risk conversion factors (CCF) of the standardized approach for
credit risk (0 %, 20 %, 50 %, or 100 %), which depend on the risk category subject to a floor of 10 %.
The on-balance sheet exposures (excluding derivatives and SFTs) component reflects the accounting values of the assets
(excluding derivatives, SFTs and regular-way purchases and sales awaiting settlement) as well as regulatory adjustments for
asset amounts deducted in determining Tier 1 capital. The exposure value of regular-way purchases and sales awaiting set-
tlement is determined as offset between those cash receivables and cash payables where the related regular-way sales and
purchases are both settlement on a delivery-versus payment basis.
The Group excludes certain Euro-based exposures to Eurosystem central banks from the leverage exposure having obtained
permission from the European Central Bank in accordance with ECB’s Decision (EU) 2020/1306. This temporary exclusion
was firstly introduced in the third quarter of 2020 and currently applies until June 27, 2021.
The following tables show the leverage ratio exposure and the leverage ratio. The Leverage ratio common disclosure table
provides the leverage ratio on a fully-loaded and phase-in basis with the fully-loaded and phase-in Tier 1 Capital, respectively,
in the numerator. For further details on Tier 1 capital please also refer to the section “Development of Own Funds”.
Summary reconciliation of accounting assets and leverage ratio exposures
in € bn.
Total assets as per published financial statements
Adjustment for entities which are consolidated for accounting purposes but are outside the scope of
regulatory consolidation
Adjustments for derivative financial instruments
Adjustment for securities financing transactions (SFTs)
Adjustment for off-balance sheet items (i.e. conversion to credit equivalent amounts of off-balance
sheet exposures)
Other adjustments
Leverage ratio total exposure measure
Dec 31, 2020
1,325
Dec 31, 2019
1,298
1
(206)
10
101
(153)
1,078
(1)
(188)
6
103
(50)
1,168
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Annual Report 2020
Risk and capital performance
Capital, Leverage ratio, TLAC and MREL
Leverage ratio common disclosure
in € bn.
(unless stated otherwise)
Total derivative exposures
Total securities financing transaction exposures
Total off-balance sheet exposures
Other Assets
Asset amounts deducted in determining Tier 1 capital
Tier 1 capital (fully loaded)
Leverage ratio total exposure measure
Leverage ratio (fully loaded, in %)
Tier 1 capital (phase-in)
Leverage ratio total exposure measure
Leverage ratio (phase-in, in %)
Dec 31, 2020
99
83
101
803
(8)
50.4
1,078
4.7
51.5
1,078
4.8
Dec 31, 2019
113
93
103
869
(10)
48.7
1,168
4.2
50.5
1,168
4.3
Description of the factors that had an impact on the leverage ratio in 2020
As of December 31, 2020, our fully loaded leverage ratio was 4.7 % compared to 4.2 % as of December 31, 2019. This takes,
into account a fully loaded Tier 1 capital of € 50.4 billion over an applicable exposure measure of € 1,078 billion as of Decem-
ber 31, 2020 (€ 48.7 billion and € 1,168 billion as of December 31, 2019, respectively).
Our leverage ratio according to transitional provisions was 4.8 % as of December 31, 2020 (4.3 % as of December 31, 2019),
calculated as Tier 1 capital according to transitional rules of € 51.5 billion over an applicable exposure measure of € 1,078 bil-
lion (€ 50.5 billion and € 1,168 billion as of December 31, 2019, respectively).
Over the year 2020, our leverage exposure decreased by € 90 billion to € 1,078 billion, mainly driven by the application of the
“quick fix” amendment of the CRR (Regulation (EU) 2020/873, Article 500b) approved by ECB-Decision (EU) 2020/1306,
allowing the temporary exclusion of certain central bank exposures contributing a reduction of € 85 billion. Without this tem-
porary exclusion, our Leverage exposure decreased by € 5 billion in the year 2020, primarily driven by the leverage exposure
related to derivatives which decreased by € 14 billion (€ 7 billion excluding deductions of receivables assets for cash variation
margin provided in derivatives transactions) mainly from lower add-ons for potential future exposure. The movements in the
securities financing transactions (SFT) and other assets categories largely reflect the development of our balance sheet (for
additional information please refer to section “Movements in assets and liabilities” in this report): Cash and central bank/inter-
bank balances increased by € 28 billion and Financial assets at fair value through OCI grew by € 11 billion. This was partly
offset by decreases in SFT-related items (Securities purchased under resale agreements, Securities borrowed and Receiva-
bles from prime brokerage) by € 10 billion, Non-derivative trading assets by € 4 billion and Loans by € 3 billion. The remaining
asset items decreased by € 5 billion, largely related to Held-to-collect debt securities. Pending settlements decreased by € 7
billion - despite being almost unchanged on a gross basis - due to application of the “quick fix” amendment of the CRR
(Regulation (EU) 2020/873, Article 500d), allowing the netting of cash receivables and cash payables where the related reg-
ular-way sales and purchases are both settled on a delivery-versus-payment basis. Furthermore, Off-balance sheet exposures
decreased by € 1 billion corresponding to lower notional amounts for irrevocable lending commitments.
The decrease in leverage exposure in 2020 included a negative foreign exchange impact of € 43 billion mainly due to the
weakening of the U.S. Dollar versus the Euro. The effects from foreign exchange rate movements are embedded in the
movement of the leverage exposure items discussed in this section.
For main drivers of the Tier 1 capital development please refer to section “Development of Own Funds”.
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Risk and capital performance
Capital, Leverage ratio, TLAC and MREL
Minimum Requirement of own funds and Eligible Liabilities (“MREL”) and Total
Loss Absorbing Capacity (“TLAC”)
MREL Requirements
The minimum requirement for own funds and eligible liabilities (“MREL”) requirement was introduced by the European Union’s
regulation establishing uniform rules and a uniform procedure for the resolution of credit institutions (Single Resolution Mech-
anism Regulation or “SRM Regulation”) and the European Union’s Directive establishing a framework for the recovery and
resolution of credit institutions (Bank Recovery and Resolution Directive or “BRRD”) as implemented into German law by the
German Recovery and Resolution Act.
The currently required level of MREL is determined by the competent resolution authorities for each supervised bank individ-
ually on a case-by-case basis, depending on the respective preferred resolution strategy. In the case of Deutsche Bank AG,
MREL is determined by the Single Resolution Board (“SRB”). While there is no statutory minimum level of MREL, the SRM
Regulation, BRRD and a delegated regulation 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).
In the second quarter of 2018, Deutsche Bank AG’s binding MREL ratio requirement on a consolidated basis has been set at
9.14 % of Total Liabilities and Own Funds (“TLOF”) applicable immediately. TLOF principally consists of total liabilities after
derivatives netting, plus own funds, i.e. regulatory capital.
As a results of its regular annual review, the SRB has revised Deutsche Bank AG’s binding MREL ratio requirement in the last
quarter of 2019 applicable immediately. The MREL ratio requirement on a consolidated basis has been lowered to 8.58 % of
TLOF of which 6.11 % of TLOF now have to be met with own funds and subordinated instruments as an additional requirement.
As announced by the SRB the next update of Deutsche Bank AG’s binding MREL and subordinated MREL requirement is
expected in the first half of 2021 and will for the first time reflect the legal changes of the banking reform package via amend-
ments to the Single Resolution Mechanism Regulation and the Bank Recovery and Resolution Directive provided in June
2019 with the publication of Regulation (EU) 2019/877 and Directive (EU) 2019/879. As a result the MREL and subordinated
MREL requirement will no longer be expressed as a percentage of TLOF but as a percentage of Risk Weighted Assets (RWA)
and Leverage Ratio Exposure (LRE). This will lead to a higher MREL and subordinated MREL requirement in 2021 compared
to 2020.
TLAC Requirements
Since June 27, 2019, Deutsche Bank, as a global systemically important bank, has also become subject to global minimum
standards for its Total Loss-Absorbing Capacity (“TLAC”). The TLAC requirement has been implemented with the banking
reform package via amendments to the Capital Requirements Regulation and the Capital Requirements Directive provided in
June 2019 with the publication of Regulation (EU) 2019/876 and Directive (EU) 2019/878.
This TLAC requirement is based on both risk-based and non-risk-based denominators and set at the higher-of 16 % of risk
weighted assets plus the combined buffer requirements and 6.00 % of the leverage exposure for a transition period until
December 31, 2021. Thereafter, the higher-of 18 % of risk weighted assets plus the combined buffer requirements and 6.75%
of the leverage exposure are to be met.
MREL ratio development
As of December 31, 2020, TLOF were € 1,019 billion and available MREL were € 109 billion, corresponding to a ratio of
10.67 %. This means that Deutsche Bank has a comfortable MREL surplus of € 21 billion above our MREL requirement of
€ 87 billion (i.e. 8.58 % of TLOF). € 105 billion of our available MREL were own funds and subordinated liabilities, correspond-
ing to a MREL subordination ratio of 10.31 %, a buffer of € 43 billion over our subordination requirement of € 62 billion (i.e.
6.11 % of TLOF). Compared to December 31, 2019 the surpluses above both our MREL requirement and our subordinated
MREL requirement have been reduced to more moderate levels. This was achieved through new issuances not fully replacing
eligible liabilities falling below the one year maturity threshold for MREL eligibility. This also impacted the development of the
TLAC ratio.
125
Deutsche Bank
Annual Report 2020
Risk and capital performance
Capital, Leverage ratio, TLAC and MREL
TLAC ratio development
As of December 31, 2020, TLAC was € 105 billion and the corresponding TLAC ratios were 31.9 % (RWA based) and 9.7 %
(Leverage exposure based). This means that Deutsche Bank has a comfortable TLAC surplus of € 38 billion over its total loss
absorbing capacity minimum requirement of € 67 billion (20.52 % RWA based).
MREL and TLAC disclosure
in € m.
(unless stated otherwise)
Regulatory capital elements of TLAC/MREL
Common Equity Tier 1 capital (CET 1)
Additional Tier 1 (AT1) capital instruments eligible under TLAC/MREL
Tier 2 (T2) capital instruments eligible under TLAC/MREL
Tier 2 (T2) capital instruments before TLAC/MREL adjustments
Tier 2 (T2) capital instruments adjustments for TLAC/MREL
Tier 2 (T2) capital instruments eligible under TLAC/MREL
Total regulatory capital elements of TLAC/MREL
Other elements of TLAC/MREL
Senior non-preferred plain vanilla
Holdings of eligible liabilities instruments of other G-SIIs (TLAC only)
Total Loss Absorbing Capacity (TLAC)
Add back of holdings of eligible liabilities instruments of other G-SIIs (TLAC only)
Available Own Funds and subordinated Eligible Liabilities (subordinated MREL)
Senior preferred plain vanilla
Available Minimum Own Funds and Eligible Liabilities (MREL)
Risk Weighted Assets (RWA)
Leverage Ratio Exposure (LRE)
Total liabilities and own funds after prudential netting (TLOF)
TLAC ratio
TLAC ratio (as percentage of RWA)
TLAC requirement (as percentage of RWA)
TLAC ratio (as percentage of Leverage Exposure)
TLAC requirement (as percentage of Leverage Exposure)
TLAC surplus over RWA requirement
TLAC surplus over LRE requirement
MREL subordination
MREL subordination ratio (as percentage of TLOF)
MREL subordination requirement (as percentage of TLOF)
Surplus over MREL subordination requirement
MREL ratio
MREL ratio (as percentage of TLOF)
MREL requirement (as percentage of TLOF)
MREL surplus over requirement
Own Funds and Eligible Liabilities
Dec 31, 2020
Dec 31, 2019
44,700
6,848
6,944
518
7,462
59,010
46,048
0
105,058
0
105,058
3,658
108,716
44,148
6,397
5,957
16
5,973
56,519
55,803
–
112,322
0
112,322
2,856
115,178
328,951
1,078,268
1,018,558
324,015
1,168,040
995,513
31.94
20.52
9.74
6.00
37,562
40,362
10.31
6.11
42,824
10.67
8.58
21,323
34.67
20.58
9.62
6.00
45,639
42,239
11.28
6.11
51,496
11.57
8.58
29,763
In order to meet the MREL and TLAC requirement, Deutsche Bank needs to ensure that a sufficient amount of eligible instru-
ments is maintained. Instruments eligible for MREL and TLAC are regulatory capital instruments (“own funds”) and liabilities
that meet certain criteria, which are referred to as eligible liabilities.
Own funds used for MREL and TLAC include the full amount of Tier 2 capital instruments with a remaining maturity of greater
than 1 year and less than 5 years which are reflected in regulatory capital on a pro-rata basis only.
Eligible liabilities are liabilities issued out of the resolution entity Deutsche Bank AG that meet eligibility criteria which are
supposed to ensure that they are structurally suited as loss-absorbing capital. As a result, eligible liabilities exclude deposits
which are covered by an deposit protection scheme or which are preferred under German insolvency law (e.g., deposits from
private individuals as well as small and medium-size enterprises). Among other things, secured liabilities, derivatives liabilities
and debt instruments with embedded derivatives (e.g. structured notes) are generally excluded as well. In addition, eligible
liabilities must have a remaining time to maturity of at least one year and must either be issued under the law of a Member
State of the European Union or must include a bail-in clause in their contractual terms to make write-down or conversion
effective. As a consequence, € 4 bn eligible liabilities issued under UK law will lose recognition for MREL after Brexit starting
126
Deutsche Bank
Annual Report 2020
Risk and capital performance
Credit risk exposure
January 2021 in case they are issued after January 1, 2015 (the effective date of the German transposition of the Bank
Recovery and Resolution Directive) and do not include an enforceable and effective bail-in clause
In addition, eligible liabilities need to be subordinated in order to be counted against the TLAC and new MREL subordination
requirements. Effective January 1, 2017, the German Banking Act provided for a new class of statutorily subordinated debt
securities that rank as “senior non-preferred” below the bank’s other senior liabilities (but in priority to the bank’s contractually
subordinated liabilities, such as those qualifying as Tier 2 instruments). Following a harmonization effort by the European
Union implemented in Germany effective July 21, 2018, banks are permitted to now decide if a specific issuance of eligible
senior debt will be in the non-preferred or in the preferred category. Any such “senior non-preferred” debt instruments issued
by Deutsche Bank AG under such new rules rank on parity with its outstanding debt instruments that were classified as “senior
non-preferred” under the prior rules. All of these “senior non-preferred” issuances meet the TLAC and MREL subordination
criteria.
Credit risk exposure
We define our credit exposure by taking into account all transactions where losses might occur due to the fact that counter-
parties 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 our financial statements for the periods spec-
ified. 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 com-
ponent mainly includes real estate, collateral in the form of cash as well as securities-related collateral. In relation to collateral
we apply internally determined haircuts and additionally cap all collateral values at the level of the respective collateralized
exposure.
127
Deutsche Bank
Annual Report 2020
Risk and capital performance
Credit risk exposure
Maximum Exposure to Credit Risk
in € m.
Financial assets at amortized cost³
Cash and central bank balances
Interbank balances (w/o central banks)
Central bank funds sold and securities
purchased under resale agreements
Securities borrowed
Loans
Other assets subject to credit risk4,5
Total financial assets at amortized cost³
Financial assets at fair value through profit
or loss6
Trading assets
Positive market values from derivative fi-
nancial instruments
Non-trading financial assets mandatory
at fair value through profit or loss
Of which:
Securities purchased under resale
agreement
Securities borrowed
Loans
Financial assets designated at fair value
through profit or loss
Total financial assets at fair value through
profit or loss
Financial assets at fair value through OCI
Of which:
Securities purchased under resale agree-
ment
Securities borrowed
Loans
Total financial assets at fair value through
OCI
Financial guarantees and other credit re-
lated contingent liabilities⁷
Revocable and irrevocable lending commit-
ments and other credit related commit-
ments⁷
Total off-balance sheet
Maximum
exposure
to credit risk1
Subject to
impairment
Netting
Collateral
Dec 31, 2020
Credit Enhancements
Guarantees
and Credit
derivatives2
Total credit
enhancements
166,211
9,132
166,211
9,132
−
−
0
0
−
0
0
0
8,535
0
431,807
96,394
712,078
8,535
0
431,807
85,106
700,790
−
−
−
43,316
43,316
8,173
0
228,513
902
237,588
−
−
30,119
55
30,174
8,173
0
258,632
44,273
311,078
94,757
−
−
2,998
1,248
4,246
343,455
−
262,486
52,329
83
314,898
75,116
−
993
62,036
244
63,273
46,057
17,009
2,192
437
−
−
−
−
993
−
−
44,967
16,730
272
0
0
244
45,961
16,730
516
−
0
0
0
513,764
55,834
−
55,834
263,479
0
117,364
1,581
1,575
1,153
382,418
2,734
1,543
0
4,635
1,543
0
4,635
−
−
−
0
0
1,581
0
0
1,153
0
0
2,734
55,834
55,834
−
1,581
1,153
2,734
47,978
47,978
−
2,327
6,157
8,484
215,877
263,854
214,898
262,876
−
−
15,345
17,672
5,779
11,936
21,124
29,608
Maximum exposure to credit risk
1,545,531
1,019,501
306,795
374,205
44,838
725,838
1 Does not include credit derivative notional sold (€ 395,636 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.
128
Deutsche Bank
Annual Report 2020
Risk and capital performance
Credit risk exposure
in € m.
Financial assets at amortized cost³
Cash and central bank balances
Interbank balances (w/o central banks)
Central bank funds sold and securities
purchased under resale agreements
Securities borrowed
Loans
Other assets subject to credit risk4,5
Total financial assets at amortized cost³
Financial assets at fair value through profit
or loss⁶
Trading assets
Positive market values from derivative fi-
nancial instruments
Non-trading financial assets mandatory
at fair value through profit or loss
Of which:
Securities purchased under resale
agreement
Securities borrowed
Loans
Financial assets designated at fair value
through profit or loss
Total financial assets at fair value through
profit or loss
Financial assets at fair value through OCI
Of which:
Securities purchased under resale agree-
ment
Securities borrowed
Loans
Total financial assets at fair value through
OCI
Financial guarantees and other credit re-
lated contingent liabilities⁷
Revocable and irrevocable lending commit-
ments and other credit related commit-
ments⁷
Total off-balance sheet
Maximum
exposure
to credit risk1
Subject to
impairment
Netting
Collateral
Dec 31, 2019
Credit Enhancements
Guarantees
and Credit
derivatives2
Total credit
enhancements
137,596
9,642
137,596
9,642
−
−
0
0
−
0
0
0
13,800
428
433,834
96,779
692,079
13,800
428
433,834
85,028
680,328
−
−
−
37,267
37,267
13,650
303
228,620
1,524
244,098
−
−
27,984
42
28,026
13,650
303
256,605
38,833
309,392
93,369
−
−
1,480
861
2,340
332,931
−
262,326
48,608
134
311,068
84,359
−
853
69,645
259
70,757
53,366
17,918
3,174
7
−
−
−
−
853
−
−
51,659
17,599
290
0
0
259
52,512
17,599
550
−
0
0
0
510,665
45,503
−
45,503
263,180
0
119,732
1,622
1,254
1,267
384,166
2,889
1,415
0
4,874
1,415
0
4,874
−
−
−
0
0
1,622
0
0
1,267
0
0
2,889
45,503
45,503
−
1,622
1,267
2,889
49,232
49,232
−
2,994
6,138
9,132
211,440
260,672
209,986
259,218
−
−
15,217
18,211
4,984
11,122
20,202
29,333
Maximum exposure to credit risk
1,508,920
985,049
300,447
383,663
41,670
725,780
1 Does not include credit derivative notional sold (€ 356,362 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 increase in maximum exposure to credit risk for December 31, 2020 was € 36.6 billion mainly driven by an increase
of € 28.6 billion in cash and central bank balances, € 10.5 billion in positive market values from derivatives and € 10.3 billion
in financial assets at fair value through other comprehensive income, mainly in debt securities. These increases were offset
by reductions in central bank funds sold, securities purchased under resale agreements and securities borrowed across all
applicable measurement categories by € 13.8 billion and loans at amortized cost by € 2.0 billion.
Included in the category of trading assets as of December 31, 2020, were traded bonds of € 83.5 billion (€ 80.7 billion as of
December 31, 2019) of which over 84 % were investment-grade (over 81 % as of December 31, 2019).
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 develop-
ments 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 we have collateral pools of highly liquid assets and mort-
gages (principally consisting of residential properties mainly in Germany) for the homogeneous retail portfolio.
129
Deutsche Bank
Annual Report 2020
Risk and capital performance
Credit risk exposure
Main Credit Exposure Categories
The tables in this section show details about several of our 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:
– “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.
– “Revocable and irrevocable lending commitments” consist of the undrawn portion of revocable and irrevocable lending-
related commitments.
– “Contingent liabilities” consist of financial and performance guarantees, standby letters of credit and other similar arrange-
ments (mainly indemnity agreements).
– “OTC derivatives” are our credit exposures from over-the-counter derivative transactions that we have entered into, after
netting and cash collateral received. On our 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.
– “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 bor-
rowing 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 our 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. Consequently, the gross
exposure of OTC derivatives (prior to netting and cash collateral) as of December 31, 2020 of € 1.4 billion (€ 1.8 billion as of
December 31, 2019) which is part of the “asset held for sale” classification is not included in our main credit exposure. This
exposure is associated with the Prime Finance platform being transferred to BNP Paribas. For further information please refer
to Note 24 “Non-Current Assets and Disposal Groups Held for Sale” to the consolidated financial statement.
Main Credit Exposure Categories by Business Divisions
Loans
Off-balance sheet
OTC derivatives
Dec 31, 2020
at amortized
cost¹
114,491
69,309
237,194
20
2,807
7,986
431,807
trading -
at fair value
through P&L
Designated /
mandatory at
fair value
through P&L
at fair value
through OCI²
Revocable and
irrevocable
lending
commitments³
621
6,366
0
0
1,352
0
8,339
784
1,618
7
0
220
0
2,629
4,393
220
0
0
22
0
4,635
130,690
45,053
37,315
121
1,592
1,106
215,877
Contingent
liabilities
44,293
1,889
1,625
9
38
123
47,978
at fair value
through P&L⁴
299
22,533
440
0
9,388
268
32,928
at amortized
cost⁵
at fair value
through P&L
Debt Securities
at fair value
through OCI⁶
733
2,078
521
0
0
9,294
12,625
68
86,579
2
2,850
1,404
4,443
95,347
0
980
1
198
0
48,476
49,656
at amortized
cost
345
7,356
10
0
1
824
8,535
Repo and repo-style transactions⁷
at fair value
through OCI
at fair value
through P&L
Dec 31, 2020
Total
0
59,974
0
0
3,091
0
63,066
0
0
0
0
0
1,543
1,543
296,717
303,956
277,115
3,198
19,915
74,063
974,964
in € m.
Corporate Bank
Investment Bank
Private Bank
Asset Management
Capital Release Unit
Corporate & Other
Total
in € m.
Corporate Bank
Investment Bank
Private Bank
Asset Management
Capital Release Unit
Corporate & Other
Total
1 Includes stage 3 and stage 3 POCI loans at amortized cost amounting to € 11.9 billion as of December 31, 2020.
2 Includes stage 3 and stage 3 POCI loans at fair value through OCI amounting to € 90.3 million as of December 31, 2020
3 Includes stage 3 and stage 3 POCI off-balance sheet exposure amounting to € 2.6 billion as of December 31, 2020.
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 € 360.4 million as of December 31, 2020.
6 Includes stage 3 and stage 3 POCI debt securities at fair value through OCI amounting to € 15.1 million as of December 31, 2020.
7 Before reflection of collateral and limited to securities purchased under resale agreements and securities borrowed.
130
Deutsche Bank
Annual Report 2020
Risk and capital performance
Credit risk exposure
Loans
Off-balance sheet
OTC derivatives
Dec 31, 2019
at amortized
cost¹
118,311
75,145
229,746
57
3,555
7,020
433,834
trading -
at fair value
through P&L
Designated /
mandatory at
fair value
through P&L
at fair value
through OCI²
Revocable and
irrevocable
lending
commitments³
427
10,091
(0)
0
1,827
0
12,346
480
1,597
7
0
1,096
0
3,181
4,549
174
0
0
150
0
4,874
120,073
51,701
35,550
121
2,901
1,094
211,440
Contingent
liabilities
44,917
2,005
1,996
10
51
253
49,232
at fair value
through P&L⁴
216
13,506
262
2
13,904
148
28,039
at amortized
cost⁵
at fair value
through P&L
Debt Securities
at fair value
through OCI⁶
859
2,242
4,019
0
61
17,119
24,300
14
83,039
18
556
1,440
4,767
89,835
0
543
2,951
0
9
35,712
39,214
at amortized
cost
583
7,842
4,082
0
521
1,201
14,228
Repo and repo-style transactions⁷
at fair value
through OCI
at fair value
through P&L
Dec 31, 2019
Total
0
68,199
0
0
3,085
0
71,284
0
0
0
0
0
1,415
1,415
290,429
316,085
278,632
746
28,601
68,728
983,222
in € m.
Corporate Bank
Investment Bank
Private Bank
Asset Management
Capital Release Unit
Corporate & Other
Total
in € m.
Corporate Bank
Investment Bank
Private Bank
Asset Management
Capital Release Unit
Corporate & Other
Total
1 Includes stage 3 and stage 3 POCI loans at amortized cost amounting to € 9.6 billion as of December 31, 2019.
2 Includes stage 3 and stage 3 POCI loans at fair value through OCI amounting to € 22 million as of December 31, 2019
3 Includes stage 3 and stage 3 POCI off-balance sheet exposure amounting to € 1.4 billion as of December 31, 2019.
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 € 96 million as of December 31, 2019.
6 Includes stage 3 and stage 3 POCI debt securities at fair value through OCI amounting to € 1.4 million as of December 31, 2019.
7 Before reflection of collateral and limited to securities purchased under resale agreements and securities borrowed.
Our total main credit exposure decreased by € 8.3 billion year-on-year.
– In terms of business divisions total main credit exposure decreased by € 12.1 billion in the Investment Bank, € 8.7 billion
in the Capital Release Unit, € 1.5 billion in the Private Bank, partially offset by an increase in the Corporate Bank by € 6.3
billion, € 5.3 billion in Corporate & Other and € 2.5 billion in Asset Management. The business division Corporate & Other
primarily contains exposures in treasury.
– From a product perspective exposure decreases have been observed for repo and repo-style transactions and loans while
an increase is observed in OTC derivatives, debt securities and off balance sheet position.
131
Deutsche Bank
Annual Report 2020
Risk and capital performance
Credit risk exposure
Main Credit Exposure Categories by Industry Sectors
The below tables give an overview of our 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.
at amortized
cost¹
trading -
at fair value
through P&L
Designated /
mandatory at
fair value
through P&L
at fair value
through OCI²
Revocable and
irrevocable
lending
commitments³
Contingent
liabilities
at fair value
through P&L⁴
Loans
Off-balance sheet
OTC derivatives
Dec 31, 2020
637
2,871
26,050
0
250
525
0
8
354
0
15
1,111
544
5,148
52,722
40
1,370
10,314
3
34
4,677
3,419
295
51
0
5,080
1,783
614
681
4,440
20,697
5,575
0
243
330
427
2,427
60
5,525
308
0
2
83
69
0
3
0
22
396
2,672
156
2,490
913
312
15,672
5,235
5,025
978
27
1,203
158
404
14,030
2,072
80
438
614
715
27
887
84,724
36,571
2,860
989
1,823
46
813
339
56,024
5,776
19,467
312
18,042
1,401
7,707
228
0
12
4,919
1,915
9,112
333
66
56
4,266
453
147
672
6,139
205
828
0
3,436
68
929
5,353
22
551
13
0
26
0
84
433
0
2,983
126
93
14
3,094
459
0
2,373
127
0
177
1,105
4,305
59
877
484
30
131
205,308
22
0
2
31,298
272
325
1
431,807
0
8,339
0
2,629
0
4,635
0
215,877
2
47,978
54
32,928
in € m.
Agriculture, forestry and
fishing
Mining and quarrying
Manufacturing
Electricity, gas, steam
and air conditioning sup-
ply
Water supply, sewerage,
waste management and
remediation activities
Construction
Wholesale and retail
trade, repair of motor ve-
hicles and motorcycles
Transport and storage
Accommodation and food
service activities
Information and commu-
nication
Financial and insurance
activities
Real estate activities
Professional, scientific
and technical activities
Administrative and sup-
port service activities
Public administration and
defense, compulsory so-
cial security
Education
Human health services
and social work activities
Arts, entertainment and
recreation
Other service activities
Activities of households
as employers, undifferen-
tiated goods- and ser-
vices-producing activities
of households for own
use
Activities of extraterritorial
organizations and bodies
Total
132
Deutsche Bank
Annual Report 2020
Risk and capital performance
Credit risk exposure
in € m.
Agriculture, forestry and
fishing
Mining and quarrying
Manufacturing
Electricity, gas, steam
and air conditioning sup-
ply
Water supply, sewerage,
waste management and
remediation activities
Construction
Wholesale and retail
trade, repair of motor ve-
hicles and motorcycles
Transport and storage
Accommodation and food
service activities
Information and commu-
nication
Financial and insurance
activities
Real estate activities
Professional, scientific
and technical activities
Administrative and sup-
port service activities
Public administration and
defense, compulsory so-
cial security
Education
Human health services
and social work activities
Arts, entertainment and
recreation
Other service activities
Activities of households
as employers, undifferen-
tiated goods- and ser-
vices-producing activities
of households for own
use
Activities of extraterritorial
organizations and bodies
Total
at amortized
cost⁵
at fair value
through P&L
Debt Securities
at fair value
through OCI⁶
at amortized
cost
Repo and repo-style transactions⁷
at fair value
through OCI
at fair value
through P&L
Dec 31, 2020
Total
0
0
0
6
354
995
0
2
39
0
0
0
0
0
0
0
0
0
1,230
10,053
96,788
0
437
1
0
0
0
11,679
0
0
0
203
0
8
40
565
213
811
63
514
0
70
2
26
0
5
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
1,354
10,944
43,548
14,351
0
3,964
0
23,756
3,167
333
20,866
3,047
8,114
109
8,428
0
61,801
0
1,543
0
287,672
48,924
25
105
25
8
36
270
3
99
0
0
0
15,091
0
15,367
8,670
0
61,459
120
40,574
21
0
473
0
31
110
83
3,654
0
162
0
0
0
0
0
1,089
0
0
0
125,374
945
0
0
6,987
0
176
0
0
2,258
15,580
0
0
0
0
0
0
237,226
40
12,625
1,272
95,347
503
49,656
0
8,535
0
63,066
0
1,543
1,873
974,965
1 Includes stage 3 and stage 3 POCI loans at amortized cost amounting to € 11.9 billion as of December 31, 2020.
2 Includes stage 3 and stage 3 POCI loans at fair value through OCI amounting to € 90.3 million as of December 31, 2020
3 Includes stage 3 and stage 3 POCI off-balance sheet exposure amounting to € 2.6 billion as of December 31, 2020.
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 € 360.4 million as of December 31, 2020.
6 Includes stage 3 and stage 3 POCI debt securities at fair value through OCI amounting to € 15.1 million as of December 31, 2020.
7 Before reflection of collateral and limited to securities purchased under resale agreements and securities borrowed.
133
Deutsche Bank
Annual Report 2020
Risk and capital performance
Credit risk exposure
at amortized
cost¹
trading -
at fair value
through P&L
Designated /
mandatory at
fair value
through P&L
at fair value
through OCI²
Revocable and
irrevocable
lending
commitments³
Contingent
liabilities
at fair value
through P&L⁴
Loans
Off-balance sheet
OTC derivatives
Dec 31, 2019
676
2,537
28,412
0
274
418
0
135
84
0
80
1,285
874
4,606
51,627
39
1,223
12,180
1
22
1,169
4,115
401
60
0
5,774
1,630
589
833
3,810
20,990
4,872
10
259
624
534
2,565
40
5,783
434
0
27
97
54
0
1
0
14
486
2,876
136
2,174
858
150
12,669
5,066
5,087
996
29
1,935
191
358
14,460
2,640
68
364
306
1,213
49
919
90,962
41,670
4,015
3,236
2,521
49
936
198
57,295
5,600
19,036
306
17,286
1,516
7,307
91
0
32
4,429
1,890
6,833
102
106
22
4,070
373
48
502
6,437
327
1,071
0
15
0
489
0
2,650
95
109
18
2,586
397
3,503
63
2
63
2,476
124
843
4,677
24
707
0
24
0
358
1,309
3,428
44
733
352
23
130
196,680
45
5
2
29,713
301
324
3
433,834
0
12,346
0
3,181
0
4,874
3
211,440
4
49,232
176
28,039
in € m.
Agriculture, forestry and
fishing
Mining and quarrying
Manufacturing
Electricity, gas, steam
and air conditioning sup-
ply
Water supply, sewerage,
waste management and
remediation activities
Construction
Wholesale and retail
trade, repair of motor ve-
hicles and motorcycles
Transport and storage
Accommodation and food
service activities
Information and commu-
nication
Financial and insurance
activities
Real estate activities
Professional, scientific
and technical activities
Administrative and sup-
port service activities
Public administration and
defense, compulsory so-
cial security
Education
Human health services
and social work activities
Arts, entertainment and
recreation
Other service activities
Activities of households
as employers, undifferen-
tiated goods- and ser-
vices-producing activities
of households for own
use
Activities of extraterritorial
organizations and bodies
Total
134
Deutsche Bank
Annual Report 2020
Risk and capital performance
Credit risk exposure
in € m.
Agriculture, forestry and
fishing
Mining and quarrying
Manufacturing
Electricity, gas, steam
and air conditioning sup-
ply
Water supply, sewerage,
waste management and
remediation activities
Construction
Wholesale and retail
trade, repair of motor ve-
hicles and motorcycles
Transport and storage
Accommodation and food
service activities
Information and commu-
nication
Financial and insurance
activities
Real estate activities
Professional, scientific
and technical activities
Administrative and sup-
port service activities
Public administration and
defense, compulsory so-
cial security
Education
Human health services
and social work activities
Arts, entertainment and
recreation
Other service activities
Activities of households
as employers, undifferen-
tiated goods- and ser-
vices-producing activities
of households for own
use
Activities of extraterritorial
organizations and bodies
Total
at amortized
cost⁵
at fair value
through P&L
Debt Securities
at fair value
through OCI⁶
at amortized
cost
Repo and repo-style transactions⁷
at fair value
through OCI
at fair value
through P&L
Dec 31, 2019
Total
0
115
371
4
369
1,029
0
7
51
0
0
0
0
0
0
0
0
0
1,593
9,369
96,626
420
668
1
0
0
0
13,659
5
26
68
194
27
263
226
431
21
33
0
68
15
47
0
126
478
36
0
0
0
0
0
0
0
0
0
0
0
9
0
0
0
0
1,565
9,880
40,938
13,557
0
4,863
0
25,244
7,915
387
18,296
2,327
11,118
81
14,228
0
70,224
0
1,415
0
315,247
55,371
10
194
10
59
133
3
12,492
0
59,381
194
24,814
0
0
461
0
55
143
125
3,421
0
246
0
0
0
0
0
0
0
0
0
948
0
0
0
5
0
14,009
0
12,203
0
0
110,992
1,032
0
7,044
0
0
2,423
13,871
0
0
0
0
0
0
227,071
1,893
24,300
1,772
89,835
2,718
39,214
0
14,228
96
71,284
0
1,415
6,665
983,222
1 Includes stage 3 and stage 3 POCI loans at amortized cost amounting to € 9.6 billion as of December 31, 2019.
2 Includes stage 3 and stage 3 POCI loans at fair value through OCI amounting to € 22 million as of December 31, 2019
3 Includes stage 3 and stage 3 POCI off-balance sheet exposure amounting to € 1.4 billion as of December 31, 2019.
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 € 96 million as of December 31, 2019.
6 Includes stage 3 and stage 3 POCI debt securities at fair value through OCI amounting to € 1.4 million as of December 31, 2019.
7 Before reflection of collateral and limited to securities purchased under resale agreements and securities borrowed.
The portfolio is subject to the same credit underwriting requirements stipulated in our “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 in a timely manner and – where DB takes market price risk – to mitigate such market risk.
Our 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 our Strategic Corporate
Lending unit (“SCL”).
Our household loans exposure is principally associated with our Private Bank portfolios.
Our amortized cost loan exposure of € 36.5 billion to Real Estate activities above is based on NACE code classification. We
also provide an understanding of our Commercial Real Estate exposures across the Commercial Real Estate Group, APAC
135
Deutsche Bank
Annual Report 2020
Risk and capital performance
Credit risk exposure
CRE exposures in the Investment Bank and non-recourse CRE business in the Corporate Bank. Please refer to the chapter
“Focus Industries in light of COVID-19 Pandemic” for further information on Commercial Real Estate exposures.
Our 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 maintained. 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 syndi-
cated 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 compa-
nies.
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.
Our credit exposure to our ten largest counterparties accounted for 9 % of our aggregated total credit exposure in these
categories as of December 31, 2020 compared with 8 % as of December 31, 2019. Our top ten counterparty exposures were
well-rated counterparties or otherwise related to structured trades which show high levels of risk mitigation.
Overall credit exposure to the industry sector Financial and Insurance Activities comprises of predominantly investment-grade
exposures. The total Loans across all applicable measurement categories amounts to € 90.2 billion, Total Repo and repo style
transaction across all applicable measurement categories amounts to € 71.8 billion and off balance sheet activities amounts
to € 75.5 billion as of December 31, 2020 within Financial and Insurance activities and is principally associated with Investment
Bank and Corporate Bank Portfolios, the same are majorly held in North America and Europe region.
Main credit exposure categories by geographical region
in € m.
Europe
Of which:
Germany
United Kingdom
France
Luxembourg
Italy
Netherlands
Spain
Ireland
Switzerland
Poland
Belgium
Other Europe
North America
Of which:
U.S.
Cayman Islands
Canada
Other North America
Asia/Pacific
Of which:
Japan
Australia
India
China
Singapore
Hong Kong
Other Asia/Pacific
Other geographical areas
Total
at amortized
cost¹
317,585
trading -
at fair value
through P&L
Designated /
mandatory at
fair value
through P&L
at fair value
through OCI²
Revocable
and irrevo-
cable lending
commitments³
3,092
1,519
1,615
128,440
Contingent
liabilities
29,529
at fair value
through P&L⁴
20,283
Loans
Off-balance sheet
OTC derivatives
Dec 31, 2020
224,577
5,796
3,460
10,097
23,442
9,679
17,134
4,173
6,817
2,421
1,133
8,856
73,742
61,137
3,790
887
7,928
34,194
1,385
1,525
6,355
4,764
5,309
2,872
11,984
6,285
431,807
340
160
65
546
340
79
304
190
39
0
4
1,025
3,266
2,926
113
37
191
1,248
17
258
54
6
210
109
593
734
8,339
57
341
33
252
66
222
0
200
19
1
0
327
841
784
3
0
54
237
0
36
21
149
30
0
0
31
2,629
347
64
187
0
0
554
28
127
150
0
53
103
1,896
1,792
0
91
13
992
89
35
32
46
28
61
702
133
4,635
75,531
9,820
6,103
4,839
3,600
9,890
3,755
2,023
4,518
374
1,566
6,420
78,079
73,215
2,131
1,790
943
7,813
415
1,785
1,110
684
918
986
1,914
1,545
215,877
12,195
2,327
1,383
1,251
3,888
1,727
2,763
200
1,762
128
679
1,226
7,430
7,033
25
47
326
9,960
483
367
2,253
1,780
685
671
3,721
1,059
47,978
1,715
7,102
1,331
701
1,854
1,942
1,094
465
268
17
295
3,497
9,420
8,496
246
303
374
2,766
312
542
149
658
248
186
670
460
32,928
136
Deutsche Bank
Annual Report 2020
Risk and capital performance
Credit risk exposure
in € m.
Europe
Of which:
Germany
United Kingdom
France
Luxembourg
Italy
Netherlands
Spain
Ireland
Switzerland
Poland
Belgium
Other Europe
North America
Of which:
U.S.
Cayman Islands
Canada
Other North America
Asia/Pacific
Of which:
Japan
Australia
India
China
Singapore
Hong Kong
Other Asia/Pacific
Other geographical areas
Total
at amortized
cost⁵
2,468
at fair value
through P&L
Debt Securities
at fair value
through OCI⁶
46,446
31,868
at amortized
cost
2,180
Repo and repo-style transactions⁷
at fair value
through OCI
at fair value
through P&L
Dec 31, 2020
Total
21,696
498
607,218
544
890
2
41
117
112
0
680
4
0
40
38
7,727
7,351
359
0
16
2,431
64
1,545
349
0
78
207
188
0
12,625
8,257
7,980
8,136
2,509
5,908
3,486
3,053
1,415
637
112
1,575
3,380
27,547
26,408
567
417
155
19,246
2,807
2,535
3,284
3,012
2,067
725
4,816
2,107
95,347
10,467
2,776
5,216
1,412
1,496
118
3,088
136
4
1,993
1,616
3,546
11,798
11,197
0
543
58
5,740
25
860
2,047
309
472
286
1,740
250
49,656
263
0
0
0
108
0
1,077
0
0
0
0
731
2,780
1,814
885
0
81
3,353
0
0
0
0
0
60
3,293
223
8,535
1,078
11,352
5,981
819
478
33
500
396
79
0
5
975
31,907
29,370
2,086
451
0
9,426
6,283
659
128
421
105
12
1,817
37
63,066
10
0
0
0
0
0
0
0
0
0
0
488
0
0
0
0
0
646
0
0
396
0
0
0
250
399
1,543
335,382
48,607
31,898
22,466
41,297
27,843
32,796
10,004
14,299
5,047
6,966
30,612
256,433
231,523
10,206
4,567
10,137
98,052
11,881
10,149
16,177
11,830
10,152
6,175
31,689
13,262
974,965
1 Includes stage 3 and stage 3 POCI loans at amortized cost amounting to € 11.9 billion as of December 31, 2020.
2 Includes stage 3 and stage 3 POCI loans at fair value through OCI amounting to € 90.3 million as of December 31, 2020
3 Includes stage 3 and stage 3 POCI off-balance sheet exposure amounting to € 2.6 billion as of December 31, 2020.
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 € 360.4 million as of December 31, 2020.
6 Includes stage 3 and stage 3 POCI debt securities at fair value through OCI amounting to € 15.1 million as of December 31, 2020.
7 Before reflection of collateral and limited to securities purchased under resale agreements and securities borrowed.
137
Deutsche Bank
Annual Report 2020
Risk and capital performance
Credit risk exposure
at amortized
cost¹
307,871
trading -
at fair value
through P&L
Designated /
mandatory at
fair value
through P&L
at fair value
through OCI²
Revocable
and irrevo-
cable lending
commitments³
4,469
2,435
1,778
114,586
Contingent
liabilities
29,836
at fair value
through P&L⁴
18,964
Loans
Off-balance sheet
OTC derivatives
Dec 31, 2019
214,155
7,927
3,106
8,320
22,347
9,679
17,265
4,783
6,818
2,771
1,347
9,352
79,522
66,991
3,560
1,155
7,816
39,584
1,752
1,577
7,717
4,816
5,722
4,315
13,685
6,857
433,834
316
607
70
1,193
298
83
257
157
30
0
0
1,458
4,543
3,891
318
23
310
1,780
16
320
126
38
185
380
714
1,554
12,346
5
373
0
1,084
109
162
54
280
85
5
0
279
483
389
30
0
64
248
0
63
149
0
37
0
0
14
3,181
245
230
209
46
0
457
59
124
262
0
67
78
2,155
2,016
0
116
22
820
112
0
0
45
30
18
614
122
4,874
65,468
7,960
5,905
4,374
3,127
9,015
2,262
2,241
5,880
316
1,773
6,267
88,260
83,894
764
2,230
1,371
6,962
599
1,587
646
725
761
1,182
1,461
1,632
211,440
12,078
2,587
1,322
652
3,721
1,805
3,246
172
2,213
130
421
1,489
8,332
7,842
20
81
389
9,652
333
104
2,392
1,503
833
628
3,860
1,412
49,232
1,572
6,337
1,264
859
1,389
2,123
916
545
194
60
285
3,420
6,628
4,943
481
1,007
197
1,946
405
357
128
308
210
146
392
501
28,039
in € m.
Europe
Of which:
Germany
United Kingdom
France
Luxembourg
Italy
Netherlands
Spain
Ireland
Switzerland
Poland
Belgium
Other Europe
North America
Of which:
U.S.
Cayman Islands
Canada
Other North America
Asia/Pacific
Of which:
Japan
Australia
India
China
Singapore
Hong Kong
Other Asia/Pacific
Other geographical areas
Total
138
Deutsche Bank
Annual Report 2020
Risk and capital performance
Credit risk exposure
in € m.
Europe
Of which:
Germany
United Kingdom
France
Luxembourg
Italy
Netherlands
Spain
Ireland
Switzerland
Poland
Belgium
Other Europe
North America
Of which:
U.S.
Cayman Islands
Canada
Other North America
Asia/Pacific
Of which:
Japan
Australia
India
China
Singapore
Hong Kong
Other Asia/Pacific
Other geographical areas
Total
at amortized
cost⁵
11,267
at fair value
through P&L
Debt Securities
at fair value
through OCI⁶
37,936
24,791
at amortized
cost
7,884
Repo and repo-style transactions⁷
at fair value
through OCI
at fair value
through P&L
Dec 31, 2019
Total
15,046
390
577,251
3,986
2,647
705
969
288
726
139
636
51
0
204
917
9,985
9,574
393
0
18
3,048
69
1,906
656
0
11
224
182
0
24,300
5,353
9,712
4,714
3,094
5,388
2,051
2,010
1,321
679
30
854
2,730
31,654
30,600
509
277
268
18,130
2,582
3,867
1,862
1,345
1,305
517
6,653
2,115
89,835
6,864
2,273
6,302
3,099
916
584
513
19
101
1,988
577
1,554
8,325
7,718
9
599
0
5,471
9
653
1,998
0
874
287
1,649
627
39,214
4,488
604
319
121
144
297
1,082
0
0
0
0
829
3,140
1,750
1,293
0
97
3,114
173
155
0
0
0
0
2,786
90
14,228
661
6,522
2,748
861
679
100
501
1,140
69
0
0
1,765
42,038
19,661
22,132
240
5
13,980
9,451
331
202
983
290
1
2,721
220
71,284
28
0
0
0
0
0
0
0
0
0
0
362
0
0
0
0
0
659
0
94
306
0
0
0
258
367
1,415
315,219
47,778
26,664
24,673
38,406
27,082
28,303
11,418
16,382
5,301
5,528
30,499
285,065
239,267
29,510
5,730
10,558
105,394
15,500
11,014
16,182
9,763
10,260
7,699
34,977
15,512
983,222
1 Includes stage 3 and stage 3 POCI loans at amortized cost amounting to € 9.6 billion as of December 31, 2019.
2 Includes stage 3 and stage 3 POCI loans at fair value through OCI amounting to € 22 million as of December 31, 2019
3 Includes stage 3 and stage 3 POCI off-balance sheet exposure amounting to € 1.4 billion as of December 31, 2019.
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 € 96 million as of December 31, 2019.
6 Includes stage 3 and stage 3 POCI debt securities at fair value through OCI amounting to € 1.4 million as of December 31, 2019.
7 Before reflection of collateral and limited to securities purchased under resale agreements and securities borrowed.
The tables above give an overview of our credit exposure by geographical region, allocated based on the counterparty’s
country of domicile, see also section “Credit Exposure to Certain Eurozone Countries” of this report for a detailed discussion
of the “country of domicile view”. Aforementioned domicile view does not have to be congruent with an internal risk based view
applied elsewhere in this report
Our largest concentration of credit risk within loans from a regional perspective is in our home market Germany, with a signif-
icant share in households, which includes the majority of our mortgage lending and home loan business.
Within OTC derivatives, tradable assets as well as repo and repo-style transactions, our largest concentrations from a regional
perspective were in Europe and North America.
139
Deutsche Bank
Annual Report 2020
Risk and capital performance
Credit risk exposure
Credit Exposure to Certain Eurozone Countries
Certain Eurozone countries are presented within the table below due to previous focus relating to sovereign risk.
In our “country of domicile view” we aggregate credit risk exposures to counterparties by allocating them to the domicile of the
primary counterparty, irrespective of any link to other counterparties, or in relation to credit default swaps underlying reference
assets from these Eurozone countries. Hence we also include counterparties whose group parent is located outside of these
countries and exposures to special purpose entities whose underlying assets are from entities domiciled in other countries.
The following table, which is based on the country of domicile view, presents our gross position, the included amount thereof
of undrawn / contingent exposure and our net exposure to these Eurozone countries. The gross exposure reflects our net
credit risk exposure grossed up for net credit derivative protection purchased with underlying reference assets domiciled in
one of these countries, guarantees received and collateral. Such collateral is particularly held with respect to the retail portfolio,
but also for financial institutions predominantly based on derivative margining arrangements, as well as for corporates. In
addition, the amounts also reflect the allowance for credit losses. In some cases, our counterparties’ ability to draw on undrawn
commitments is limited by terms included in the specific contractual documentation. Net credit exposures are presented after
effects of collateral held, guarantees received and further risk mitigation, including net notional amounts of credit derivatives
for protection sold/bought. The provided gross and net exposures to certain European countries do not include credit derivative
tranches which, by design, are structured to be credit risk neutral. Additionally, the tranche and correlated nature of these
positions does not allow a meaningful disaggregated notional presentation by country, e.g., as identical notional exposures
represent different levels of risk for different tranche levels.
Gross position, included undrawn exposure and net exposure to certain Eurozone countries – Country of Domicile View
in € m.
Greece
Gross
Undrawn / contingent
Net
Ireland
Gross
Undrawn / contingent
Net
Italy
Gross
Undrawn / contingent
Net
Portugal
Gross
Undrawn / contingent
Net
Spain
Gross
Undrawn / contingent
Net
Total gross
Total Undrawn / contingent
Total net³
Sovereign
Dec
31,
2020
Dec
31,
2019
Financial
Institutions
Dec
31,
2020
Dec
31,
2019
Corporates
Dec
31,
2020
Dec
31,
2019
Dec
31,
2020
Retail
Dec
31,
2019
Dec
31,
2020
Other
Dec
31,
2019
Dec
31,
2020¹
Total
Dec
31,
2019
1,055
0
1,055
437 2,023 1,342
42
61
323
360
0
437
337
2
8
464
7
14
4
2
2
4
1
2
11
0
11
0 3,429 2,248
51
0
64
776
0 1,437
197
0
217
302
0
270
194 1,280 6,089 7,256
16 1,807 2,439
649 3,787 4,156
45
135
21
2
5
26 3,610 3,501 10,111 12,364
2
531 2,467 2,988
6 3,501 3,397 7,646 8,478
613
5,726 6,260 4,501 3,805 14,514 13,331 17,639 18,451
38 5,935 5,384 1,739 1,733
487 8,666 8,209 10,379 10,715
0
4,133 5,341
62
403
0
262
0
261
95 42,641 41,941
0 7,737 7,154
95 23,841 24,848
212
0
186
228
0
281
83
20
90
84
26
85
689
303
628
860
342
638
12
2
4
11
2
4
93
0
93
208 1,088 1,390
370
208 1,001 1,217
325
0
1
4,448 1,226 1,921 1,513 14,250 12,942 10,039 9,948
112 5,831 4,611
523
467 10,038 8,514 2,529 2,536
258 30,907 25,888
3 6,655 5,249
0
4,332 1,191
310 17,912 13,019
11,637 8,452 8,722 8,023 35,879 34,853 27,715 28,440 4,224 4,063 88,177 83,832
534 17,248 15,811
9,922 7,521 1,714 2,011 23,126 21,532 12,920 13,264 4,153 4,010 51,836 48,338
233 13,877 12,783 2,476 2,260
249
0
287
91
726
280
614
732
1
1
1 Approximately 74% of the overall exposure as per December 31, 2020 will mature within the next 5 years.
2 Other exposures to Ireland include exposures to counterparties where the domicile of the group parent is located outside of Ireland as well as exposures to special purpose
entities whose underlying assets are from entities domiciled in other countries.
3 Total net exposure excludes credit valuation reserves for derivatives amounting to € 45.2 million as of December 31, 2020 and € 49.8 million as of December 31, 2019.
Net exposure to the above selected Eurozone countries increased by € 3.5 billion in 2020 driven by increased exposure in
Spain and Greece that is partly offset by a decrease in Italy and Ireland.
140
Deutsche Bank
Annual Report 2020
Risk and capital performance
Credit risk exposure
Sovereign Credit Risk Exposure to Certain Eurozone Countries
The amounts below reflect a net “country of domicile view” of our sovereign exposure.
Sovereign credit risk exposure to certain Eurozone countries
Direct
Sovereign
exposure¹
Net Notional of
CDS
referencing
sovereign debt
Net sovereign
exposure
Dec 31, 2020
Memo Item: Net
fair value of
CDS
referencing
sovereign debt²
Direct
Sovereign
exposure¹
Net Notional of
CDS
referencing
sovereign debt
Net sovereign
exposure
1,055
189
5,501
212
4,447
11,404
0
28
(1,369)
(26)
(115)
(1,481)
1,055
217
4,133
186
4,332
9,922
0
0
718
0
163
881
437
265
6,170
228
1,222
8,322
0
4
(828)
54
(31)
(801)
Dec 31, 2019
Memo Item: Net
fair value of
CDS
referencing
sovereign debt²
0
2
334
6
112
454
437
270
5,341
281
1,191
7,521
in € m.
Greece
Ireland
Italy
Portugal
Spain
Total
1 Includes sovereign debt classified as financial assets/liabilities at fair value through profit or loss and loans carried at amortized cost. Direct Sovereign exposure is net of
guarantees received and collateral.
2 The amounts reflect the net fair value in relation to credit default swaps referencing sovereign debt of the respective country representing the counterparty credit risk.
The increase of € 2.4 billion in net sovereign exposure compared with year-end 2019 mainly reflects increases in debt secu-
rities in Spain within Central Investment Office and Investment Bank portfolios.
Credit Exposure Classification
We also classify our credit exposure along our business divisions, which is in line with the divisionally aligned chief risk officer
mandates. In the section below, we show the credit exposure of the Corporate Bank and the Investment Bank together. In the
subsequent section, we provide the credit exposure for the Private Bank.
Corporate Bank and Investment Bank credit exposure
The tables below show our main Corporate Bank and Investment Bank Credit Exposure by product types and internal rating
bands. Please refer to section "Measuring Credit Risk" for more details about our internal ratings.
Main Corporate Bank and Investment Bank credit exposure categories according to our internal creditworthiness categories of our
counterparties – gross
in € m.
(unless stated otherwise)
Probability
of default in %1
Ratingband
> 0.00 ≤ 0.04
iAAA–iAA
> 0.04 ≤ 0.11
iA
> 0.11 ≤ 0.5
iBBB
> 0.5 ≤ 2.27
iBB
> 2.27 ≤ 10.22
iB
iCCC and below > 10.22 ≤ 100
Total
at amortized
cost
13,679
29,365
55,845
48,063
26,885
9,962
183,800
Loans
Off-balance sheet
trading -
at fair value
through P&L
Designated /
mandatory at
fair value
through P&L
at fair value
through OCI
Revocable
and irrevo-
cable lending
commitments
44
436
1,047
2,470
1,813
1,177
6,987
446
347
672
500
76
361
2,401
114
641
2,149
1,458
160
92
4,614
20,168
47,835
57,941
26,476
18,789
4,535
175,743
Contingent
liabilities
1,911
11,794
22,069
5,566
2,864
1,978
46,182
in € m.
(unless stated otherwise)
Probability
of default in %1
Ratingband
> 0.00 ≤ 0.04
iAAA–iAA
> 0.04 ≤ 0.11
iA
> 0.11 ≤ 0.5
iBBB
> 0.5 ≤ 2.27
iBB
iB
> 2.27 ≤ 10.22
iCCC and below > 10.22 ≤ 100
Total
at amortized
cost
1,183
527
307
174
239
382
2,811
at fair value
through P&L
Debt Securities
at fair value
through OCI
at amortized cost
Repo and repo-style transactions
at fair value
through P&L
at fair value
through OCI
50,886
7,762
12,569
13,062
1,607
762
86,647
103
82
87
400
293
15
980
298
827
1,425
2,239
2,311
600
7,700
27,745
8,504
8,346
15,004
375
0
59,974
−
−
−
−
−
−
−
1 Reflects the probability of default for a one year time horizon.
2 Includes the effect of netting agreements and cash collateral received where applicable.
Dec 31, 2020
OTC
derivatives
at fair value
through P&L2
4,230
6,414
4,395
3,202
4,477
113
22,831
Dec 31, 2020
Total
120,806
114,533
166,851
118,616
59,889
19,978
600,672
141
Deutsche Bank
Annual Report 2020
Risk and capital performance
Credit risk exposure
Main Corporate Bank and Investment Bank credit exposure categories according to our internal creditworthiness categories of our
counterparties – net
in € m.
(unless stated otherwise)
Loans
Off-balance sheet
Dec 31, 2020¹
OTC
derivatives
Probability
of default in %2
Ratingband
> 0.00 ≤ 0.04
iAAA–iAA
> 0.04 ≤ 0.11
iA
> 0.11 ≤ 0.5
iBBB
> 0.5 ≤ 2.27
iBB
iB
> 2.27 ≤ 10.22
iCCC and below > 10.22 ≤ 100
Total
at amortized
cost
8,684
22,618
31,266
22,984
8,853
4,823
99,228
trading -
at fair value
through P&L
Designated /
mandatory at
fair value
through P&L
at fair value
through OCI
Revocable
and irrevo-
cable lending
commitments
44
131
889
1,887
824
759
4,534
446
347
625
407
6
207
2,038
0
621
1,602
955
140
92
3,410
19,088
46,384
54,626
23,947
17,614
4,263
165,922
Contingent
liabilities
1,618
9,837
19,365
3,995
2,244
1,269
38,330
at fair value
through P&L
3,381
4,957
4,190
3,100
4,432
113
20,174
in € m.
(unless stated otherwise)
Probability
Ratingband
of default in %2
> 0.00 ≤ 0.04
iAAA–iAA
> 0.04 ≤ 0.11
iA
> 0.11 ≤ 0.5
iBBB
> 0.5 ≤ 2.27
iBB
iB
> 2.27 ≤ 10.22
iCCC and below > 10.22 ≤ 100
Total
at amortized
cost
1,183
527
307
171
239
311
2,737
at fair value
through P&L
Debt Securities
at fair value
through OCI
at amortized cost
Repo and repo-style transactions
at fair value
through P&L
at fair value
through OCI
50,886
7,762
12,569
13,017
1,607
727
86,567
103
82
87
400
293
15
980
0
0
23
71
0
0
95
27
1
3
3
0
0
34
−
−
−
−
−
−
−
Dec 31, 2020¹
Total
85,460
93,268
125,551
70,939
36,253
12,579
424,049
1 Net of eligible collateral, guarantees and hedges based on IFRS requirements.
2 Reflects the probability of default for a one year time horizon.
The tables below show our main Corporate Bank and Investment Bank Credit Exposure for 2019 by product types and internal
rating bands.
Main Corporate Bank and Investment Bank credit exposure categories according to our internal creditworthiness categories of our
counterparties – gross
in € m.
(unless stated otherwise)
Probability
of default in %1
Ratingband
> 0.00 ≤ 0.04
iAAA–iAA
> 0.04 ≤ 0.11
iA
> 0.11 ≤ 0.5
iBBB
> 0.5 ≤ 2.27
iBB
iB
> 2.27 ≤ 10.22
iCCC and below > 10.22 ≤ 100
Total
at amortized
cost
18,508
31,859
58,139
47,505
25,967
11,477
193,456
Loans
Off-balance sheet
trading -
at fair value
through P&L
Designated /
mandatory at
fair value
through P&L
at fair value
through OCI
Revocable
and irrevo-
cable lending
commitments
184
868
1,380
4,595
2,525
967
10,519
20
599
234
643
275
305
2,077
237
754
2,447
1,002
283
2
4,724
23,850
45,040
55,361
26,160
17,913
3,450
171,774
Contingent
liabilities
3,364
11,706
22,441
4,642
3,207
1,563
46,922
in € m.
(unless stated otherwise)
Probability
of default in %1
Ratingband
> 0.00 ≤ 0.04
iAAA–iAA
> 0.04 ≤ 0.11
iA
> 0.11 ≤ 0.5
iBBB
> 0.5 ≤ 2.27
iBB
iB
> 2.27 ≤ 10.22
iCCC and below > 10.22 ≤ 100
Total
at amortized
cost
1,422
392
366
373
449
99
3,102
at fair value
through P&L
Debt Securities
at fair value
through OCI
at amortized cost
Repo and repo-style transactions
at fair value
through P&L
at fair value
through OCI
48,992
5,864
11,414
14,525
1,700
558
83,053
0
8
76
233
225
0
543
847
1,522
408
3,265
1,344
1,039
8,425
30,382
8,745
7,320
20,498
1,101
153
68,199
−
−
−
−
−
−
−
1 Reflects the probability of default for a one year time horizon.
2 Includes the effect of netting agreements and cash collateral received where applicable.
Dec 31, 2019
OTC
derivatives
at fair value
through P&L2
3,234
4,144
3,199
2,261
844
40
13,722
Dec 31, 2019
Total
131,040
111,501
162,785
125,701
55,833
19,654
606,514
142
Deutsche Bank
Annual Report 2020
Risk and capital performance
Credit risk exposure
Main Corporate Bank and Investment Bank credit exposure categories according to our internal creditworthiness categories of our
counterparties – net
in € m.
(unless stated otherwise)
Loans
Off-balance sheet
Dec 31, 2019¹
OTC
derivatives
Probability
of default in %2
Ratingband
> 0.00 ≤ 0.04
iAAA–iAA
> 0.04 ≤ 0.11
iA
> 0.11 ≤ 0.5
iBBB
> 0.5 ≤ 2.27
iBB
iB
> 2.27 ≤ 10.22
iCCC and below > 10.22 ≤ 100
Total
at amortized
cost
12,575
25,249
33,115
21,734
6,610
4,053
103,336
trading -
at fair value
through P&L
Designated /
mandatory at
fair value
through P&L
at fair value
through OCI
Revocable
and irrevo-
cable lending
commitments
184
318
751
2,305
287
543
4,388
20
190
234
408
52
204
1,109
237
754
1,489
600
175
2
3,257
22,566
43,953
52,334
23,497
16,348
3,066
161,764
Contingent
liabilities
2,535
9,814
19,470
4,071
2,104
1,115
39,108
at fair value
through P&L
2,840
3,098
3,005
2,089
821
40
11,893
in € m.
(unless stated otherwise)
Probability
Ratingband
of default in %2
> 0.00 ≤ 0.04
iAAA–iAA
> 0.04 ≤ 0.11
iA
> 0.11 ≤ 0.5
iBBB
> 0.5 ≤ 2.27
iBB
iB
> 2.27 ≤ 10.22
iCCC and below > 10.22 ≤ 100
Total
at amortized
cost
1,422
392
366
220
443
96
2,939
at fair value
through P&L
Debt Securities
at fair value
through OCI
at amortized cost
Repo and repo-style transactions
at fair value
through P&L
at fair value
through OCI
48,992
5,864
11,414
14,152
1,672
523
82,618
0
8
76
225
229
0
538
2
0
6
90
0
439
537
1,169
13
100
12
0
0
1,293
−
−
−
−
−
−
−
Dec 31, 2019¹
Total
92,540
89,653
122,362
69,402
28,742
10,081
412,781
1 Net of eligible collateral, guarantees and hedges based on IFRS requirements.
2 Reflects the probability of default for a one year time horizon.
The above table shows an overall decrease in our Corporate Bank and Investment Bank gross exposure in 2020 of € 5.8 billion
or 1 %. Loans at amortized cost decreased by € 9.7 billion mainly due to prepayments across businesses as well as by the
strengthening of the Euro in comparison to the U.S. Dollar. From a regional perspective the decrease is primarily attributable
to counterparties domiciled in the United States and United Kingdom. This decrease is partly offset by an increase in trading
debt securities of € 3.6 billion mainly due to increased trading activities on the back of volatile market conditions in the wake
of the COVID-19 pandemic.
We use risk mitigation techniques as described above to optimize our Corporate Bank and Investment Bank credit exposures
and reduce potential credit losses. The tables for “net” exposure disclose the development of our Corporate Bank and Invest-
ment Bank credit exposures net of collateral, guarantees and hedges.
SCL Risk Mitigation for Credit Exposure
Our Strategic Corporate Lending (“SCL”) unit helps mitigate the risk of our corporate credit exposures. The notional amount
of SCL’s risk reduction activities increased from € 31.3 billion as of December 31, 2019, to € 34.0 billion as of December 31,
2020.
As of year-end 2020, SCL mitigated the credit risk of € 30.9 billion of loans and lending-related commitments through synthetic
collateralized loan obligations supported predominantly by financial guarantees. This position totaled € 30.3 billion as of De-
cember 31, 2019.
SCL also held credit derivatives with an underlying notional amount of € 3.1 billion as of December 31, 2020. The position
totaled € 1.0 billion as of December 31, 2019. The credit derivatives used for our portfolio management activities are accounted
for at fair value.
143
Deutsche Bank
Annual Report 2020
Risk and capital performance
Credit risk exposure
Private Bank credit exposure
Private Bank credit exposure, credit exposure in stage 3 and net credit costs
PB Germany
Consumer Finance
Mortgage
Business Finance
Financial Markets
Other
Dec 31, 2020
185,959
29,352
153,165
1,246
0
2,196
International Private
Bank
Consumer Finance
Mortgage
Business Finance
Wealth Manage-
ment
Other
91,156
11,162
13,611
12,151
53,928
303
Total exposure
in € m.
Dec 31, 2019
190,038
31,130
144,455
1,576
12,984
(107)
of which loan book
in € m.
Dec 31, 2019
153,954
15,913
135,164
926
2,121
(170)
Dec 31, 2020
160,683
15,240
143,368
870
0
1,206
Credit exposure stage 3
in € m.
Dec 31, 2019
2,289
914
1,343
17
14
2
Dec 31, 2020
2,798
1,277
1,481
6
0
35
Dec 31, 2020
Net credit costs
as a % of total exposure¹
Dec 31, 2019
0.08%
0.53%
(0.01%)
0.08%
(0.02%)
(0.19%)
0.17%
0.77%
0.06%
0.15%
N/M
0.05%
88,5942
11,693
14,413
9,821
51,934
734
278,632
76,511
8,937
13,520
9,914
44,072
68
75,8002
9,020
14,334
9,059
43,333
54
229,754
3,484
350
668
728
1,739
0
2,6242
243
682
660
0.43%
1.50%
(0.08%)
1.16%
1,038
1
4,913
0.17%
0
0.26%
0.20%2
0.67%
(0.17%)
1.24%
0.02%
(0.03%)
0.12%
Total
237,194
1 Net credit costs for the twelve months period ended at the respective balance sheet date divided by the total exposure at that balance sheet date.
2 PCB international and Wealth Management were reported separately in 2019.
277,115
6,282
Consumer finance is divided into personal instalment loans, credit lines and credit cards. Consumer finance business is un-
collateralized, loan risk depends on client quality. Various lending requirements are stipulated, including (but not limited to)
client rating, maximum loan amounts and maximum tenors, and are adapted to regional conditions and/or circumstances of
the borrower (i.e., for consumer loans a maximum loan amount taking into account customer net income). Given the largely
homogeneous nature of this portfolio, counterparty credit-worthiness and ratings are predominately derived by utilizing an
automated decision engine.
Mortgage business is the financing of residential properties (primarily owner-occupied) sold by various business channels in
Europe, primarily in Germany but also in Spain and Italy. The level of credit risk of the mortgage loan portfolio is determined
by assessing the quality of the client and the underlying collateral. The loan amounts are generally larger than consumer
finance loans and they are extended for longer time horizons. Based on our underwriting criteria and processes and the
diversified portfolio (customers/properties) with respective collateralization, the mortgage portfolio is categorized as lower risk,
while consumer finance is categorized as high risk.
Business finance represents credit products for small businesses, SME up to large corporates. Products range from current
accounts and credit lines to investment loans or revolving facilities, factoring, leasing and derivatives. Smaller clients below a
turnover of € 2.5 million are limited to current accounts and loans. Clients are located primarily in Italy and Spain, but credit
can also be extended to subsidiaries abroad, mostly in Europe.
The reported credit exposures for year-end 2019 in Financial Markets belong to a portfolio of DB PFK AG, that was transferred
to Group Treasury in 2020 in the context of the merger of DB PFK AG on DB AG and is therefore no longer part of Private
Bank.
Wealth Management offers customized wealth management solutions and private banking services including discretionary
portfolio management and traditional and alternative investment solutions, complemented by structured risk management,
wealth planning, lending and family office services for wealth, high-net-worth (HNW) and ultra-high-net-worth (UHNW) indi-
viduals and family offices. Wealth Management’s total exposure is divided into Lombard Lending (against readily marketable
liquid collateral / securities) and Structured Lending (against less liquid collateral). While the level of credit risk for the Lombard
portfolio is determined by assessing the quality of the underlying collateral, the level of credit risk for the structured portfolio is
determined by assessing both the quality of the client and the collateral. Products range from secured Lombard and mortgage
loans to current accounts (Europe only), credit lines and other loans; to a lesser extent derivatives and contingencies. Clients
are located globally.
144
Deutsche Bank
Annual Report 2020
Risk and capital performance
Credit risk exposure
PB mortgage loan-to-value1
Dec 31, 2019
67 %
≤ 50 %
16 %
> 50 ≤ 70 %
9 %
> 70 ≤ 90 %
3 %
> 90 ≤ 100 %
2 %
> 100 ≤ 110 %
2 %
> 110 ≤ 130 %
1 %
> 130 %
1 When assigning the exposure to the corresponding LTV buckets, the exposure amounts are distributed according to their relative share of the underlying assessed real estate
65 %
16 %
10 %
3 %
2 %
2 %
1 %
Dec 31, 2020
value.
The LTV expresses the amount of exposure as a percentage of the underlying real estate value.
Our LTV ratios are calculated using the total exposure divided by the current determined value of the respective properties.
These values are monitored and updated if necessary on a regular basis. The exposure of transactions that are additionally
backed by liquid collateral is reduced by the respective collateral values, whereas any prior charges increase the correspond-
ing total exposure. The LTV calculation includes exposure which is secured by real estate collateral. Any mortgage lending
exposure that is collateralized exclusively by any other type of collateral is not included in the LTV calculation.
The creditor’s creditworthiness, the LTV and the quality of collateral is an integral part of our risk management when originating
loans and when monitoring and steering our credit risks. In general, we are willing to accept higher LTV’s, the better the
creditor’s creditworthiness is. Nevertheless, restrictions of LTV apply e.g. for countries with negative economic outlook or
expected declines of real estate values.
As of December 31, 2020, 65 % of our exposure related to the mortgage lending portfolio had a LTV ratio below or equal to
50 %, compared to 67 % in the prior year.
Credit Exposure from Derivatives
All exchange traded derivatives are cleared through central counterparties (“CCPs”), the rules and regulations of which provide
for daily margining of all current and future credit risk positions emerging out of such transactions. To the extent possible, we
also use CCP services for OTC derivative transactions (“OTC clearing”); we thereby benefit from the credit risk mitigation
achieved through the CCP’s settlement system.
The Dodd-Frank Act provides for an extensive framework for the regulation of OTC derivatives, including mandatory clearing,
platform trading and transaction reporting of certain OTC derivatives, as well as rules regarding the registration of, and capital,
margin and business conduct standards for, swap dealers, security-based swap dealers, major swap participants and major
security-based swap participants. The Dodd-Frank Act and related CFTC rules require OTC clearing in the United States for
certain standardized OTC derivative transactions, including certain interest rate swaps and index credit default swaps. Margin
requirements for non-cleared derivative transactions in the US started in September 2016. The European Regulation (EU) No
648/2012 on OTC Derivatives, Central Counterparties and Trade Repositories (“EMIR”) introduced a number of risk mitigation
techniques for non-centrally cleared OTC derivatives in 2013 and the reporting of OTC and exchange traded derivatives in
2014. Mandatory clearing of certain standardized OTC derivatives transactions in the EU began in June 2016, and margin
requirements for un-cleared OTC derivative transactions in the EU started in February 2017. Deutsche Bank implemented the
exchange of both initial and variation margin in the EU from February 2017 for the first category of counterparties subject to
the EMIR margin for un-cleared derivatives requirements.
The CFTC adopted final rules in 2016 that require additional interest rate swaps to be cleared, with a phased implementation
schedule ending in October 2018. Deutsche Bank implemented the CFTC’s expanded clearing requirements for the relevant
interest rate swaps subject to the passed compliance, covering identified instruments denominated in AUD, CAD, CHF, HKD,
MXN, NOK, PLN, SEK and SGD. In September, 2020, the CFTC issued a final rule on the cross-border application of U.S.
swap rules, which builds on and in some case supersedes the CFTC’s cross-border guidance from 2013 and related no-action
relief letters. In January 2021, also pursuant to the Dodd-Frank Act, the CFTC finalized regulations to impose position limits
on certain commodities and economically equivalent swaps, futures and options.
The SEC has also finalized rules regarding registration, reporting, capital, risk mitigation techniques, business conduct stand-
ards and trade acknowledgement and verification requirements for security-based swap dealers and major security-based
swap participants. Compliance with most of these requirements will be required starting in October 2021, when entities will be
required to register as security-based swap dealers and major security-based swap participants. The SEC adopted in Decem-
ber 2019 supplemental guidance and rule amendments addressing the cross-border application of certain rules regulating
security-based swaps which also establishes a firm timeline for security-based swap dealer registration. The compliance date
for Deutsche Bank to register with the SEC as a security-based swap dealer will be October 6, 2021.
1
Deutsche Bank
Annual Report 2020
Risk and capital performance
Credit risk exposure
Finally, U.S. prudential regulators (the Federal Reserve, the FDIC, the Office of the Comptroller of the Currency, the Farm
Credit Administration and the Federal Housing Finance Agency) have adopted final rules establishing margin requirements
for non-cleared swaps and security-based swaps between prudentially regulated swap dealers (such as Deutsche Bank) and
certain counterparties, and the CFTC has adopted final rules establishing margin requirements for non-cleared swaps between
non-prudentially regulated swap dealers and certain counterparties. Deutsche Bank implemented the exchange of both initial
and variation margin for un-cleared derivatives in the U.S. from September 2016, for the first category of counterparties subject
to the U.S. prudential regulators’ margin requirements. Additional initial margin requirements for smaller counterparties are in
the process of being phased in from September 2017 through September 2022, with the relevant compliance dates depending
in each case on the transactional volume of the parties and their affiliates. The U.S. prudential regulators delayed the initial
margin compliance date from September 2020 until September 2021 or September 2022 for swaps with certain counterparties
with lower levels of transactional volume as a result of the impact of COVID-19. The SEC has also established margin require-
ments for non-cleared security-based swaps, and compliance will be required starting in October 2021 for security based
swaps dealers required to register with the SEC.
The following table shows a breakdown of notional amounts and gross market values for assets and liabilities of exchange
traded and OTC derivative transactions on the basis of clearing channel
146
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Annual Report 2020
Risk and capital performance
Credit risk exposure
Notional amounts of derivatives on basis of clearing channel and type of derivative
in € m.
Interest rate related:
OTC
Bilateral (Amt)
CCP (Amt)
Exchange-traded
Total Interest rate related
Currency related:
OTC
Bilateral (Amt)
CCP (Amt)
Exchange-traded
Total Currency related
Equity/index related:
OTC
Bilateral (Amt)
CCP (Amt)
Exchange-traded
Total Equity/index related
Credit derivatives related
OTC
Bilateral (Amt)
CCP (Amt)
Exchange-traded
Total Credit derivatives related
Commodity related:
OTC
Bilateral (Amt)
CCP (Amt)
Exchange-traded
Total Commodity related
Other:
OTC
Bilateral (Amt)
CCP (Amt)
Exchange-traded
Total Other
Total OTC business
Total bilateral business
Total CCP business
Total exchange-traded business
Total
Positive market values after netting
and cash collateral received
Notional amount maturity distribution
Within 1 year
> 1 and
≤ 5 years
After 5 years
Total
11,299,988 8,076,426 5,241,008 24,617,422
1,476,276 1,977,542 1,598,819 5,052,637
9,823,712 6,098,884 3,642,189 19,564,785
821,601
11,905,912 8,292,037 5,241,074 25,439,023
215,611
605,924
66
4,351,809
4,255,560
96,249
43,601
4,395,409
791,671
788,132
3,539
8
791,679
401,111 5,544,590
401,012 5,444,704
99,886
43,608
401,111 5,588,199
98
0
28,938
28,938
0
126,825
155,763
32,164
32,164
0
36,818
68,982
7,186
7,186
0
1,634
8,821
68,288
68,288
0
165,277
233,565
61,552
23,672
37,880
0
61,552
3,716
3,716
0
15,446
19,162
119,254
119,254
0
9,411
128,665
689,031
124,373
564,658
0
689,031
86,593
32,647
53,947
0
86,593
837,176
180,692
656,484
0
837,176
2,857
2,857
0
744
3,600
3,438
3,438
0
0
3,438
1,341
1,341
0
0
1,341
7,913
7,913
0
16,190
24,103
154
154
0
0
154
122,846
122,846
0
9,411
132,258
15,865,257
5,907,416
9,957,840
801,207
16,666,463
9,595,586
2,928,505
6,667,081
253,181
9,848,767
5,737,393 31,198,236
2,041,159 10,877,080
3,696,234 20,321,155
1,056,088
5,739,094 32,254,324
1,701
Dec 31, 2020
Positive
market
value
Negative
market
value
230,512
220,704
9,808
347
230,859
215,795
206,192
9,602
154
215,948
91,241
90,297
944
5
91,246
5,700
5,700
0
3,772
9,473
13,557
3,043
10,515
0
13,557
142
138
4
409
551
1,043
1,043
0
29
1,072
342,196
320,925
21,271
4,562
346,758
87,177
85,830
1,347
24
87,202
5,692
5,692
0
4,902
10,594
13,272
2,628
10,645
0
13,272
993
661
332
55
1,048
936
936
0
53
989
323,866
301,939
21,926
5,188
329,054
Net
market
value
14,717
14,512
206
193
14,911
4,063
4,466
(403)
(19)
4,044
8
8
0
(1,130)
(1,122)
285
415
(130)
0
285
(851)
(522)
(328)
353
(497)
108
108
0
(24)
84
18,331
18,986
(656)
(626)
17,704
−
−
−
−
35,161
−
−
147
Deutsche Bank
Annual Report 2020
Risk and capital performance
Credit risk exposure
Dec 31, 2019
in € m.
Interest rate related:
OTC
Bilateral (Amt)
CCP (Amt)
Exchange-traded
Total Interest rate related
Currency related:
OTC
Bilateral (Amt)
CCP (Amt)
Exchange-traded
Total Currency related
Equity/index related:
OTC
Bilateral (Amt)
CCP (Amt)
Exchange-traded
Total Equity/index related
Credit derivatives related
OTC
Bilateral (Amt)
CCP (Amt)
Exchange-traded
Total Credit derivatives related
Commodity related:
OTC
Bilateral (Amt)
CCP (Amt)
Exchange-traded
Total Commodity related
Other:
OTC
Bilateral (Amt)
CCP (Amt)
Exchange-traded
Total Other
Total OTC business
Total bilateral business
Total CCP business
Total exchange-traded business
Total
Positive market values after netting
and cash collateral received
Notional amount maturity distribution
Within 1 year
> 1 and
≤ 5 years
After 5 years
Total
Positive
market
value
Negative
market
value
11,116,114 8,622,042 5,377,422 25,115,579
2,453,120 2,496,053 1,757,652 6,706,825
8,662,994 6,125,989 3,619,770 18,408,754
4,050,938 1,142,410
372 5,193,720
15,167,052 9,764,453 5,377,794 30,309,299
244,738
200,701
44,037
631
245,369
226,854
184,611
42,243
590
227,444
4,345,697
4,250,460
95,237
17,169
4,362,866
913,352
912,881
471
0
913,352
431,769 5,690,818
431,769 5,595,110
95,708
17,169
431,769 5,707,987
0
0
98,330
98,330
0
183,700
282,030
56,328
56,328
0
37,390
93,718
102,131
38,651
63,480
0
102,131
558,757
157,306
401,452
0
558,757
2,743
2,743
0
18,502
21,246
5,640
5,640
0
570
6,210
7,985
7,985
0
5,884
13,869
82,345
35,102
47,243
0
82,345
1,194
1,194
0
7
1,201
162,642
162,642
0
226,974
389,617
743,233
231,058
512,175
0
743,233
9,577
9,577
0
19,080
28,657
109
109
0
0
109
2,530
2,530
0
153
2,682
45,811
45,811
0
31,868
77,678
48,449
48,449
0
32,020
80,470
15,710,826 10,158,649 5,900,824 31,770,299
6,889,114 3,630,737 2,233,811 12,753,662
8,821,711 6,527,912 3,667,013 19,016,636
4,302,177 1,180,523
6,263 5,488,963
20,013,003 11,339,172 5,907,087 37,259,262
70,947
70,524
423
3
70,949
6,478
6,478
0
1,883
8,362
10,245
2,062
8,183
0
10,245
20
18
2
30
51
67,033
66,543
490
22
67,055
8,607
8,607
0
2,252
10,859
11,229
2,667
8,562
0
11,229
501
495
6
36
537
666
666
0
70
736
333,094
280,449
52,645
2,617
335,711
706
706
0
107
813
314,930
263,628
51,302
3,006
317,936
Net
market
value
17,884
16,090
1,794
42
17,925
3,914
3,981
(67)
(19)
3,894
(2,129)
(2,129)
0
(368)
(2,497)
(984)
(605)
(379)
0
(984)
(481)
(477)
(4)
(5)
(486)
(40)
(40)
0
(37)
(77)
18,164
16,820
1,343
(389)
17,775
−
−
−
−
28,615
−
−
The gross exposure of OTC derivative prior to netting and cash collateral as of December 31, 2020 of € 1.4 billion (€ 1.8 billion
as of December 31, 2019), which is part of the “asset held for sale” classification is not included in our disclosure for credit
exposure from derivative. This exposure is associated with the Prime Finance platform being transferred to BNP Paribas. For
further information please refer to Note 24 “Non-Current Assets and Disposal Groups Held for Sale” to the consolidated finan-
cial statement.
Equity Exposure
The table below presents the carrying values of our equity investments according to IFRS definition split by trading and non-
trading for the respective reporting dates. We manage our respective positions within our market risk and other appropriate
risk frameworks.
Composition of our Equity Exposure
in € m.
Trading Equities
Nontrading Equities¹
Total Equity Exposure
1 Includes equity investment funds amounting to € 291 million as of December 31, 2020 and € 586 million as of December 31, 2019.
Dec 31, 2020
11,769
2,375
14,145
Dec 31, 2019
18,640
2,660
21,300
148
Deutsche Bank
Annual Report 2020
Risk and capital performance
Trading market risk exposures
As of December 31, 2020, our Trading Equities exposure was mainly composed of € 7.3 billion from Capital Release Unit
activities and € 4.4 billion from Investment Bank. Overall trading equities decreased by € 6.9 billion year on year driven mainly
by unwinding of trades in the Equities business.
Trading market risk exposures
Value-at-Risk Metrics of Trading Units of Deutsche Bank Group
Deutsche Bank received regulatory approval for the Value-at-Risk model to transition to Historical Simulation, effective 1st
Oct 2020. The figures for 2019 are shown for comparative purposes.
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 our trading units.
Foreign exchange
risk2
2019
Commodity price
risk
Value-at-Risk of our Trading Units by Risk Type1
Total
Diversification
effect
Interest rate
risk
Credit spread
risk
Equity price
risk
2019
2020
2020
in € m.
Average
Maximum
Minimum
Period-end
1 Figures for 2020 as of December 31 2020. Figures for 2019 as of December 31 2019. 2019 VaR results are also shown under the new Historical Simulation model rather than
2019
58.9 36.6 (44.0) (28.9) 17.9 14.5 53.6 28.2 15.5 13.6 13.3
8.2
133.3 48.8 (10.2) (16.8) 36.3 23.2 117.1 36.6 30.8 24.6 32.3 16.8
3.7
5.3
25.6 27.6 (84.4) (47.0)
5.3
48.1 38.8 (72.2) (17.6) 27.1 17.9 55.4 23.7 13.5
4.5
6.3
8.2 22.5
2.7
8.8
0.4
1.8
2019
1.0
3.3
0.0
1.3
8.8 17.9 19.7
8.1
2020
2020
2019
2019
2020
2020
2019
2020
the previously reported Monte Carlo model.
2 Includes value-at-risk from gold and other precious metal positions.
Development of historic simulation value-at-risk by risk types in 2020
01/20
02/20
03/20
04/20
05/20
06/20
07/20
08/20
09/20
10/20
11/20
12/20
140
130
120
110
100
90
80
70
60
50
40
30
20
10
0
in € m.
VaR Interest rate risk
VaR Credit spread risk
VaR Equity risk
VaR Foreign exchange including precious metals
VaR Commodity risk
VaR Total
The average value-at-risk over 2020 was € 58.9 million, which increased € 22.3 million (+61 %) compared to the average for
2019, driven by increases across risk classes from COVID-19 related market volatility impacts.
149
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Annual Report 2020
Risk and capital performance
Trading market risk exposures
The below chart shows the value-at-risk trend under both Monte Carlo and Historical Simulations for comparative purposes.
The increase in value-at-risk was more prominent under Historical Simulation which is more impacted by extreme tail events
such as those experienced in March and April of 2020.
Trading Book 1-day value-at-risk in 2019 and 2020
1/19 2/19 3/19 4/19 5/19 6/19 7/19 8/19 9/19 10/19 11/19 12/19 1/20 2/20 3/20 4/20 5/20 6/20 7/20 8/20 9/20 10/20 11/20 12/20
130
110
90
70
50
30
10
in € m.
MC VaR1d (TB)
HS VaR1d (TB)
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
Core Rates
Emerging Markets
2020
591.4
688.8
537.3
560.4
in € m.
Average
Maximum
Minimum
Period-end
1 Amounts show the bands within which the values fluctuated during the 12-weeks preceding December 31, 2020 and December 31, 2019, respectively.
2 Business line breakdowns have been updated for 2020 reporting to better reflect the current business structure.
3 All liquidity horizons are set to 12 months.
4 Other includes Capital Release Unit.
2019
178.5
213.6
139.0
139.0
2019
480.4
609.0
324.2
389.4
2019
211.4
260.4
152.8
174.3
2019
168.6
193.4
134.7
134.7
2020
347.4
631.6
263.1
283.6
2020
242.6
324.9
62.8
250.4
2020
100.2
147.4
50.0
124.8
2020
(98.7)
(70.0)
(147.6)
(98.5)
Other4
2019
(78.2)
(58.5)
(102.4)
(58.5)
The incremental risk charge as at the end of 2020 was € 560 million, an increase of € 171 million (+44 %) compared with year
end 2019. The average of the incremental risk charge as at the end of 2020 was € 591 million and thus € 111 million (+23 %)
higher compared with the average for the period ended December 31, 2019. The increase in incremental risk charge for 2020
was driven by increases in sovereign exposures in the Core Rates and Emerging Markets business areas when compared to
2019.
Results of Regulatory Backtesting of Trading Market Risk
In 2020 we observed seven global outliers under the Historical Simulation model, where our loss on a buy-and-hold basis
exceeded the value-at-risk of our Trading Books, compared with two outliers in 2019. The outliers were driven by the significant
market volatility experienced as a result of the COVID-19 crisis. Also, there were five Actual Backtesting outliers during 2020,
which compares the VaR to Total Income less Fees & Commissions. However, the regulatory exemption allowed the removal
of the outliers observed during the period from March 10, 2020 to March 24, 2020 from the calculation of the Backtesting
capital multiplier, as they did not result from deficiencies in the internal model but due to the extraordinary nature of COVID-19
related market volatility.
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Deutsche Bank
Annual Report 2020
Risk and capital performance
Trading market risk exposures
Based on the backtesting results, our analysis of the underlying reasons for outliers and enhancements included in our value-
at-risk methodology we continue to believe that our value-at-risk model will remain an appropriate measure for our trading
market risk under normal market conditions. The following graph shows the trading units daily buy-and-hold income in com-
parison to the value-at-risk as of the close of the previous business day for the trading days of the reporting period. The value-
at-risk is presented in negative amounts to visually compare the estimated potential loss of our trading positions with the buy
and hold income. Figures are shown in millions of euro. The chart shows that our trading units achieved a positive buy and
hold income for 60 % of the trading days in 2020 (versus 44 % in 2019), as well as displaying the global outliers experienced
in 2019.
The capital requirements for the value-at-risk model, for which the backtesting results are shown here, accounts for 3.7 % of
the total capital requirement for the Group.
EU MR4 – Comparison of VAR estimates with gains/losses
01/20 02/20 03/20 04/20 05/20 06/20 07/20 08/20 09/20 10/20 11/20 12/20
125
100
75
50
25
0
-25
-50
-75
-100
-125
-150
in € m.
Buy-and-hold income of Trading Units
Actual income of Trading units
Value-at-Risk
Daily Income of our Trading Units
The following histogram shows the distribution of daily income of our trading units. Daily income is defined as total income
which consists of new trades, fees & commissions, buy & hold income, reserves, carry and other income. It displays the
number of trading days on which we reached each level of trading income shown on the horizontal axis in millions of euro.
151
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Annual Report 2020
Risk and capital performance
Nontrading market risk exposures
Distribution of daily income of our trading units in 2020
Days
40
30
20
10
0
)
0
5
(
w
o
e
B
l
)
5
4
(
o
t
)
0
5
(
)
0
4
(
o
t
)
5
4
(
)
5
3
(
o
t
)
0
4
(
)
0
3
(
o
t
)
5
3
(
)
5
2
(
o
t
)
0
3
(
)
0
2
(
o
t
)
5
2
(
)
5
1
(
o
t
)
0
2
(
)
0
1
(
o
t
)
5
1
(
)
5
(
o
t
)
0
1
(
.
m
€
n
i
0
o
t
)
5
(
5
o
t
0
0
1
o
t
5
5
1
o
t
0
1
0
2
o
t
5
1
5
2
o
t
0
2
0
3
o
t
5
2
5
3
o
t
0
3
0
4
o
t
5
3
5
4
o
t
0
4
0
5
o
t
5
4
5
5
o
t
0
5
0
6
o
t
5
5
5
6
o
t
0
6
0
7
o
t
5
6
5
7
o
t
0
7
0
8
o
t
5
7
5
8
o
t
0
8
0
9
o
t
5
8
5
9
o
t
0
9
0
0
1
o
t
5
9
0
0
1
r
e
v
o
Our trading units achieved a positive revenue for 90 % of the trading days in 2020 compared with 85 % in the full year 2019.
Nontrading market risk exposures
Economic Capital Usage for Nontrading Market Risk
The following table shows the Nontrading Market Risk economic capital usage by risk type:
Economic Capital Usage by risk type.
in € m.
Interest rate risk
Credit spread risk
Equity and Investment risk
Foreign exchange risk
Pension risk
Guaranteed funds risk
Total nontrading market risk portfolios
Economic capital usage
Dec 31, 2020
4,062
92
1,885
1,682
934
41
8,696
Dec 31, 2019
3,409
56
1,566
1,782
1,259
103
8,175
The economic capital figures do take into account diversification benefits between the different risk types.
Economic Capital Usage for Nontrading Market Risk totaled € 8.7 billion as of December 31, 2020, which is € 0.5 billion above
our economic capital usage at year-end 2019.
– 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, 2020 was € 4,062 million, compared to € 3,409 million for December 31,
2019. The increase in economic capital contribution was mainly driven by increased level of interest rate risk exposure in
our strategic liquidity reserve securities portfolio and from additional economic positions taken to further reduce Group’s
net interest income sensitivity to a change in interest rates.
– Credit spread risk. Economic capital charge for portfolios in the banking book subject to material credit spread risk. Eco-
nomic capital usage was € 92 million as of December 31, 2020, versus € 56 million as of December 31, 2019. The increase
in economic capital contribution was driven by lower diversification benefits with other risk types.
– Equity and Investment risk. Economic capital charge for equity risk from our non-consolidated investment holdings, such
as our strategic investments and alternative assets, and from a structural short position in our own share price arising from
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Annual Report 2020
Risk and capital performance
Nontrading market risk exposures
our equity compensation plans. The economic capital usage was € 1,885 million as of December 31, 2020, compared with
€ 1,566 million as of December 31, 2019, predominately driven by an increased market value of our equity compensation
short position, partially offset by reduced investment risk.
– Foreign exchange risk. Foreign exchange risk predominantly arises from our structural position in unhedged capital and
retained earnings in non-euro currencies in certain subsidiaries. Our economic capital usage was € 1,682 million as of
December 31, 2020, versus € 1,782 million as of December 31, 2019.
– Pension risk. This risk arises from our defined benefit obligations, including interest rate risk and inflation risk, credit spread
risk, equity risk and longevity risk. The economic capital usage was € 934 million and € 1,259 million as of December 31,
2020 and December 31, 2019 respectively. The economic capital usage declined mainly as a consequence of a reduction
in credit spread risk exposure and increased diversification benefit with other risk types.
– Guaranteed funds risk. Economic capital usage was € 41 million as of December 31, 2020, versus € 103 million as of
December 31, 2019. The decrease in economic capital contribution was largely driven by increased diversification benefit
with other risk types.
Interest Rate Risk in the Banking Book
The following table shows the impact on the Group’s net interest income in the banking book as well as the change of the
economic value for the banking book positions from interest rate changes under the six standard scenarios defined by the
European Banking Authority (EBA) for current reporting period and under the six standard scenarios defined by the Basel
Committee on Banking Supervision (BCBS) for the prior year:
Economic value & net interest income interest rate risk in the banking book by EBA scenario (for current reporting period) and by
BCBS scenario (for prior year)
in € bn.
Parallel up
Parallel down
Steepener
Flattener
Short rate up
Short rate down
Maximum
in € bn.
Tier 1 Capital
Delta NII¹
Dec 31, 2020
2.3
(1.1)
(0.9)
2.1
2.7
(1.1)
(1.1)
Delta EVE
Dec 31, 2020
(5.2)
0.5
(0.6)
(0.6)
(1.7)
0.4
(5.2)
Dec 31, 2020
51.5
1 Delta Net Interest Income (NII) reflects the difference between projected NII in the respective scenario with shifted rates vs. market implied rates. Sensitivities are based on a
static balance sheet at constant exchange rates, excluding trading positions and DWS. Figures do not include Mark to Market (MtM) / Other Comprehensive Income (OCI)
effects on centrally managed positions not eligible for hedge accounting.
in € bn.
Parallel up
Parallel down
Steepener
Flattener
Short rate up
Short rate down
Maximum
in € bn.
Tier 1 Capital
Delta NII¹
Dec 31, 2019
3.0
(0.8)
(0.5)
2.7
3.6
(0.8)
(0.8)
Delta EVE
Dec 31, 2019
(4.2)
0.5
(1.2)
(0.4)
(1.2)
0.4
(4.2)
Dec 31, 2019
50.52
1 Delta Net Interest Income (NII) reflects the difference between projected NII in the respective scenario with shifted rates vs. market implied rates. Sensitivities are based on a
static balance sheet at constant exchange rates, excluding trading positions and DWS. Figures do not include Mark to Market (MtM) / Other Comprehensive Income (OCI)
effects on centrally managed positions not eligible for hedge accounting.
2 Number has been restated due to rounding differences
A sudden parallel increase in the yield curve would positively impact the Group’s earnings (net interest income) from the
banking book positions. Deutsche Bank estimates that the total one-year net interest income change resulting from parallel
yield curve shifts up and down (applying a maturity-dependent post-shock interest rate floor in line with guidance given by the
EBA) would be € 2.3 billion and € (1.1) billion, respectively, at December 31, 2020.
The maximum Economic Value of Equity (EVE) loss was € (5.2) billion as of December 2020, compared to € (4.2) billion as
of December 2019. As per December 2020 the maximum EVE loss represents 10.2 % of Tier 1 Capital.
The maximum Economic Value of Equity (EVE) loss due to a +200 basis points parallel shift of the yield curve across all
currencies as defined by the BaFin was € (5.1) billion as of December 2020, representing 8.8 % of Total Capital.
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Annual Report 2020
Risk and capital performance
Operational risk exposure
The increase in maximum EVE loss was mainly driven by increased economic value interest rate risk exposure built-up to
stabilize the Group’s net interest income. Our NII risk has been reduced significantly in the reporting period due to the afore-
mentioned measures. The reduction in the maximum loss scenario of approximately € 1.5 billion was however overcompen-
sated by the application of a maturity-dependent post-shock interest rate floor with an impact of approximately € (1.8) billion.
This resulted in larger interest rate shocks applied in downwards interest rate scenarios and as a consequence larger delta
NII.
The following table shows the variation of the economic value for Deutsche Bank’s banking book positions resulting from
downward and upward interest rate shocks by currency:
Economic value interest rate risk in the banking book by currency
in € bn.
EUR
USD
Other
Total
Operational risk exposure
Operational risk – risk profile
Operational risk losses by event type (profit and loss view)
in € m.
Clients, Products and Business Practices
Execution, Delivery and Process Management
Natural Disasters and Public Safety
Internal Fraud
External Fraud
Others
Group
Parallel up
(4.0)
(0.7)
(0.6)
(5.2)
Dec 31, 2020
Parallel down
0.3
0.2
0.1
0.5
2020
247
49
47
28
16
8
396
2019¹
313
57
3
27
21
8
429
1 2019 loss figures revised from prior year presentation due to subsequent capture of losses and reclassification.
As of December 31, 2020, operational losses decreased by € 33 million or 8 % compared to year-end 2019, despite a large
increase in losses relating to the event type “Natural Disasters and Public Safety” as a result of COVID-19 expenses. Excluding
the effects of COVID-19, operational losses would have decreased by € 77 million or 18 % compared to 2019. The decrease
was driven by the event types “Clients, Products and Business Practices” and “Execution, Delivery and Process Management”,
predominantly due to a reduction in legacy losses associated with civil litigation and regulatory enforcement.
Operational losses by event type occurred in the period 2020 (2015-2019)1
Distribution of Operational Losses (posting date)
Frequency of Operational Losses (first posting date)
4% (-1%)
External Fraud
7% (22%)
Internal Fraud
12% (0%)
Natural Disasters
and Public Safety
12% (9%)
Execution, Delivery
and Process Mgmt
2% (1%)
Others
1% (2%)
Natural Disasters
and Public Safety
8% (10%)
Execution, Delivery
and Process Mgmt
11% (32%)
Clients, Products and
Business Practices
1% (2%)
Others
62% (69%)
Clients, Products and Business Practices
0% (0%)
Internal Fraud
79% (56%)
External Fraud
1 Percentages in brackets correspond to loss frequency respectively to loss amount for losses occurred in 2015-2019 period. Frequency and amounts can change subse-
quently.
The above left chart “Distribution of Operational Losses” summarizes the proportion of operational risk loss postings by event
type using the P&L value in 2020 compared to the five-year period 2015-2019 in brackets. The event type “Clients, Products
and Business Practices” dominates operational losses with a share of 62 % and is comprised mainly of outflows related to
154
Deutsche Bank
Annual Report 2020
Risk and capital performance
Liquidity risk exposure
litigation, investigations and enforcement actions. “Execution, Delivery and Process Management” (12 %) and “Natural Disas-
ters and Public Safety (12 %) share the second highest proportion of losses; the latter was primarily driven by expenses
relating to COVID-19. Losses from “Internal Fraud” were at 7 %, “External Fraud” at 4 % and “Others” at 2 %.
The above right chart “Frequency of Operational Losses” summarizes the proportion of operational risk events by event type
based on a count of events where losses were first recognized in 2020, compared to the five-year period 2015-2019 in brack-
ets. Frequencies are driven predominantly by the event type “External Fraud” which comprised 79 % of all observed loss
events, followed by “Clients, Products and Business Practices” at 11 %. “Execution, Delivery and Process Management” con-
tributed to 8 %, and other event types made up the remaining 2 %. Although the event type “Internal Fraud” contributed
significantly to the distribution of losses, it has a negligible frequency, comprising less than 1 % of loss events in 2020.
While we seek to ensure the comprehensive capture of operational risk loss events with a P&L impact of € 10.000 or greater,
the totals shown in this section may be underestimated due to delayed detection and recording of loss events.
Liquidity risk exposure
Funding Markets and Capital Markets Issuance
2020 was dominated by the COVID-19 pandemic. Unprecedented circumstances and general uncertainties about the global
economy’s trajectory added volatility to credit markets. Credit spreads peaked in March 2020 and have declined since then
with the support of monetary policy and fiscal stimulus and trade roughly flat at the end of 2020 compared to the beginning of
the year.
DB’s spreads exhibit a similar behavior, but were able to outperform peers’ credit spreads year on year. Our 5 year Credit
Default Swap (referencing preferred debt) contract peaked on March 18, 2020 at 141bp and closed on December 31, 2020 at
57 bp, outperforming peers by 13 bp y-o-y. In the bond markets, our senior non-preferred 2.625 % EUR benchmark maturing
in February 2026 closed at 107bp over Euro Mid Swaps at the end of 2020, 43bp tighter than one year before and outper-
forming peers by 40 bp.
Our revised 2020 issuance plan of € 10-15 billion, comprising debt issuance with an original maturity in excess of one year,
was completed and we concluded 2020 having raised € 18.5 billion in term funding, already prefunding part of our 2021
issuance plan. This funding was broadly spread across the following funding sources: AT1 issuance (€ 1.0 billion), Tier 2
issuance (€ 1.7 billion) senior non-preferred plain-vanilla issuance (€ 11.6 billion), senior preferred plain-vanilla issuance (€
1.0 billion), covered bond issuance (€ 0.5 billion), and other senior preferred structured issuance (€ 2.7 billion). The (€ 18.5
billion) total is divided into Euro (€ 8.8 billion), US dollar (€ 8.3 billion), British Pound (€ 0.7 billion) and other currencies
aggregated (€ 0.7 billion). In addition to direct issuance, we use long-term cross currency swaps to manage our non-Euro
funding needs. Our investor base for 2020 issuances comprised asset managers and pension funds (58 %), banks (12 %),
retail customers (10 %), insurance companies (4 %) and other institutional investors (13 %). The geographical distribution was
split between Germany (15 %), rest of Europe (45 %), US (23 %), Asia/Pacific (9 %) and Other (8 %).
The average spread of our issuance over 3-months-Euribor/Libor was 210 basis points for the full year. The average tenor
was 6.9 years. Our issuance activities were slightly higher in the second half of the year. We issued the following volumes
over each quarter: Q1: € 5.6 billion, Q2: € 3.3 billion, Q3: € 4.9 billion and Q4: € 4.7 billion, respectively.
In 2021, our issuance plan is € 15-20 billion and comprises capital instruments, senior non-preferred, senior preferred and
covered bonds. We also plan to raise a portion of this funding in U.S. dollar and may enter into cross currency swaps to
manage any residual requirements. We have total capital markets maturities, excluding legally exercisable calls, of approxi-
mately € 22 billion in 2021.
Funding Diversification
In 2020, total external funding increased by € 6.7 billion from € 879.4 billion at December 31, 2019 to € 886.2 billion at De-
cember 31, 2020. The increase was driven by inflows in DB’s most stable deposits in particular the Private Bank, where
deposits increased by € 11.6 billion primarily due to lower consumer spending related to COVID-19. In addition, secured fund-
ing and shorts increased by € 28.2 billion as DB participated in ECB’s TLTRO III programme. Due to targeted up-pricing
measures in the Corporate Bank, deposits decreased by € 7.9 billion. Furthermore, the reliance on unsecured wholesale
funding was further reduced by € 7.2 billion. The € 5.6 billion decrease of Capital Markets and Equity outstanding relate to
lower long term debt mainly due to maturities exceeding new issuances. Other customer funding decreased by € 12.0 billion.
The overall proportion of our most stable funding sources (comprising Capital Markets and Equity, Private Bank and Corporate
Bank) excluding TLTRO III has decreased from 83.1 % in 2019 to 82.3 % in 2020.
155
Deutsche Bank
Annual Report 2020
Risk and capital performance
Liquidity risk exposure
Composition of External Funding Sources
in € mn.
350
300
250
200
150
100
50
0
301
289
261
253
181
175
129
100
21%
20%
Capital Markets
and Equity
33%
34%
Private Bank
30%
29%
Corporate
Bank
27
15
3%
2%
Other
Customers¹
20
13
2%
1%
Unsecured
Wholesale
11%
15%
Secured Funding
and Shorts
1
0
0%
0%
Financing
Vehicles
December 31, 2019: total € 879.4 billion
December 31, 2020: total € 886.2 billion
1 Other Customers includes fiduciary deposits, X-markets notes and margin/Prime Brokerage cash balances (shown on a net basis).
Reference: Reconciliation to total balance sheet of € 1,325.3 billion (€ 1,297.7 billion): Derivatives & settlement balances € 348.2 billion (€ 335.7 billion), add-back for netting
effect for margin/Prime Brokerage cash balances (shown on a net basis) € 63.4 billion (€ 52.4 billion), other non-funding liabilities € 27.4 billion (€ 30.1 billion) for December 31,
2020 and December 31, 2019, respectively.
Liabilities held for sale from the transfer of business to BNP Paribas were allocated back to their original line items prior to reclassification, to reflect their economic impact on
funding: € 1.9 billion to derivatives & settlement balances (non-funding relevant) and € 7.9 billion to payables from Prime Brokerage, with a net impact of additional € 3.4 billion
on other customer funding (funding relevant) and € 4.7 billion add-back effect for netting of margin/Prime Brokerage cash balances (reconciliation item).
Maturity of unsecured wholesale funding, ABCP and capital markets issuance1
Not more
than
1 month
Over
1 month
but not
more than
3 months
Over
3 months
but not
more than
6 months
Over
6 months
but not
more than
1 year
964
1,063
779
547
Sub-total
less than
1 year
3,354
Over
1 year
but not
more than
2 years
Over
2 years
162
78
1,626
693
0
1,326
466
0
407
887
0
986
753
0
4,344
2,800
0
409
0
0
1,162
21
0
Dec 31, 2020
Total
3,594
5,914
2,821
0
3,689
3,970
2,349
8,291
18,298
8,235
34,106
60,639
15
544
70
0
137
7,738
0
416
1,179
0
0
8,420
5
917
786
538
0
6,668
1,698
1,465
1,966
531
0
16,237
1,718
3,343
4,001
1,069
137
39,063
85
2,310
1,337
1,765
0
14,303
1,955
12,021
17,303
11,437
695
78,779
3,759
17,674
22,641
14,271
832
132,145
in € m.
Deposits from banks
Deposits from other
wholesale customers
CDs and CP
ABCP
Senior non-preferred
plain vanilla
Senior preferred
plain vanilla
Senior structured
Covered bonds/ABS
Subordinated liabilities
Other
Total
Of which:
Secured
Unsecured
22,641
109,505
1 Includes additional Tier 1 notes reported as additional equity components in the financial statements. Liabilities with call features are shown at earliest legally exercisable call
17,303
61,476
1,966
14,271
4,001
35,063
1,337
12,966
70
7,668
1,179
7,241
786
5,882
date. No assumption is made as to whether such calls would be exercised.
2 Secured funding volume reported on a gross basis pre own debt elimination
The total volume of unsecured wholesale liabilities, ABCP and capital markets issuance maturing within one year amount to
€ 39 billion as of December 31, 2020, and should be viewed in the context of our total Liquidity Reserves of € 243 billion.
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Annual Report 2020
Risk and capital performance
Liquidity risk exposure
Not more
than
1 month
Over
1 month
but not
more than
3 months
Over
3 months
but not
more than
6 months
Over
6 months
but not
more than
1 year
1,275
2,179
3,602
339
Sub-total
less than
1 year
7,396
Over
1 year
but not
more than
2 years
Over
2 years
92
211
682
260
0
4,466
569
0
754
857
0
1,819
983
0
7,720
2,670
0
605
1
0
1,064
0
0
Dec 31, 2019
Total
7,699
9,389
2,671
0
136
2,503
1,584
7,677
11,899
19,175
33,007
64,081
0
220
173
3
107
2,855
0
692
1,166
722
0
12,297
0
659
244
2,742
0
10,440
5
2,692
2,214
493
0
16,223
5
4,262
3,797
3,959
107
41,816
1,800
2,926
4,068
23
0
28,690
1,039
14,301
13,617
9,622
776
73,637
2,844
21,490
21,482
13,605
883
144,143
173
2,682
1,166
11,131
244
10,197
2,214
14,009
3,797
38,019
4,068
24,622
13,617
60,021
21,482
122,661
in € m.
Deposits from banks
Deposits from other
wholesale customers
CDs and CP
ABCP
Senior non-preferred
plain vanilla
Senior preferred
plain vanilla
Senior structured
Covered bonds/ABS
Subordinated liabilities
Other
Total
Of which:
Secured
Unsecured
The following table shows the currency breakdown of our short-term unsecured wholesale funding, of our ABCP funding and
of our capital markets issuance.
Unsecured wholesale funding, ABCP and capital markets issuance (currency breakdown)
in € m.
Deposits from
banks
Deposits from
other whole-
sale customers
CDs and CP
ABCP
Senior non-preferred
plain vanilla
Senior preferred
plain vanilla
Senior structured
Covered bonds/
ABS
Subordinated
liabilities
Other
Total
Of which:
Secured
Unsecured
in EUR
in USD
in GBP
in other
CCYs
Total
in EUR
in USD
in GBP
Dec 31,2020
Dec 31,2019
in other
CCYs
Total
963
2,222
149
261
3,594
1,330
5,558
13
798
7,699
4,474
1,082
0
989
715
0
90
365
0
361
658
0
5,914
2,821
0
8,968
884
0
162
678
0
204
196
0
56
913
0
9,389
2,671
0
29,700
25,122
1,833
3,984
60,639
29,365
27,696
1,822
5,198
64,081
1,894
7,725
1,635
7,972
0
14
230
1,963
3,759
17,674
1,064
8,181
1,780
10,856
0
28
0
2,425
2,844
21,490
22,641
0
0
0
22,641
21,482
0
0
0
21,482
4,693
832
74,004
3,577
0
42,232
0
0
2,451
6,001
0
14,271
832
13,458 132,145
3,509
883
75,666
4,213
0
50,943
0
0
2,261
5,884
0
13,605
883
15,274 144,143
22,641
51,363
0
42,232
0
2,451
0
22,641
13,458 109,505
21,482
54,184
0
50,943
0
2,261
0
21,482
15,274 122,661
157
Deutsche Bank
Annual Report 2020
Risk and capital performance
Liquidity risk exposure
Liquidity Reserves
Composition of our liquidity reserves by parent company (including branches) and subsidiaries
in € m.
Available cash and cash equivalents (held primarily at central banks)
Parent (incl. foreign branches)
Subsidiaries
Highly liquid securities (includes government, government
guaranteed and agency securities)
Parent (incl. foreign branches)
Subsidiaries
Other unencumbered central bank eligible securities
Parent (incl. foreign branches)
Subsidiaries
Total liquidity reserves
Parent (incl. foreign branches)
Subsidiaries
Carrying Value
Liquidity Value
Carrying Value
Dec 31, 2020
155
130
25
62
42
20
26
21
5
243
192
51
155
130
25
62
41
20
24
19
5
241
191
50
134
91
43
67
45
23
21
17
4
222
153
69
Dec 31, 2019
Liquidity Value
134
91
43
64
42
22
15
13
2
213
146
67
As of December 31, 2020, our liquidity reserves amounted to € 243 billion compared with € 222 billion as of December 31,
2019. The increase of € 21 billion comprised approximately a € 21 billion increase in cash and cash equivalents, offset by a
decrease of € 5 billion in highly liquid securities and € 5 billion increase in other unencumbered securities. The development
was largely driven by participation in the ECB TLTRO III, ongoing deleveraging efforts in our Equity business and a modest
increase in Private Bank deposits. Maturing debt issuances in the Capital Markets, decline in the unsecured wholesale funding
and non-operating Corporate Bank deposits were complemented by model enhancements increasing the liquidity reserves.
The quarterly average of our liquidity reserves for this year is € 233 billion compared with € 243 billion during 2019. In the
table above the carrying value represents the market value of our liquidity reserves while the liquidity value reflects our as-
sumption of the value that could be obtained, primarily through secured funding, taking into account the experience observed
in secured funding markets at times of stress.
Liquidity Coverage Ratio
Our weighted average LCR of 142 % (twelve months average) has been calculated in accordance with the Commission Del-
egated Regulation (EU) 2015/61 and the EBA Guidelines on LCR disclosure to complement the disclosure of liquidity risk
management under Article 435 CRR.
The year-end LCR as of December 31, 2020 stands at 144.8 % compared to 141.2 % as of December 31, 2019.
LCR components
in € bn. (unless stated otherwise)
Number of data points used in the calculation of averages
High Quality Liquid Assets
Total net cash outflows
Liquidity Coverage Ratio (LCR) in %
Funding Risk Management
Structural Funding
Dec 31, 2020
Dec 31, 2019
Total adjusted
weighted value
(average)
12
207
146
142 %
Total adjusted
weighted value
(average)
12
219
154
142 %
All funding matrices (the aggregate currency, the USD and the GBP funding matrix) were in line with the respective risk
appetite as of year ends 2020 and 2019.
Stress Testing and Scenario Analysis
At the end of 2020 our stressed Net Liquidity Position stood at €43 billion. The stressed Net Liquidity Position was negative at
the end of the first quarter 2020 reflecting weeks of actual stress from COVID-19. The measure is designed to effectively add
an additional stress over a further eight week period. The internal stress test proved effective providing an early indicator that
the bank had entered an actual stressed period. Including a normalization of conditions in the client business, sNLP quickly
improved for the remainder of the year, mainly as a result of increased liquidity, deposit optimization and methodology en-
hancements.
158
Deutsche Bank
Annual Report 2020
Risk and capital performance
Liquidity risk exposure
Global All Currency Daily Stress Testing Results
Dec 31, 2020
Funding
Gap¹
Gap
Closure²
Net Liquidity
Position
Funding
Gap1,4
in € m.
Systemic market risk
1 notch downgrade (DB specific)
Severe downgrade (DB specific)
Combined3
1 Funding gap caused by impaired rollover of liabilities and other projected outflows.
2 Based on liquidity generation through Liquidity Reserves and other business mitigants.
3 Combined impact of systemic market risk and severe downgrade.
4 December 31, 2019 numbers have been updated to align with updated methodology reflected in the December 31, 2020 numbers
82
17
157
177
107
128
59
43
189
145
216
220
100
83
172
185
Global EUR Daily Stress Testing Results
Dec 31, 2020
in € m.
Combined³
1 Funding gap caused by impaired rollover of liabilities and other projected outflows.
2 Based on liquidity generation through Liquidity Reserves and other business mitigants.
3 Combined impact of systemic market risk and severe downgrade.
4 December 31, 2019 numbers have been updated to align with updated methodology reflected in the December 31, 2020 numbers
104
18
86
Funding
Gap¹
Gap
Closure²
Net Liquidity
Position
Funding
Gap1,4
91
Global USD Daily Stress Testing Results
Dec 31, 2020
in € m.
Combined³
1 Funding gap caused by impaired rollover of liabilities and other projected outflows.
2 Based on liquidity generation through Liquidity Reserves and other business mitigants.
3 Combined impact of systemic market risk and severe downgrade.
4 December 31, 2019 numbers have been updated to align with updated methodology reflected in the December 31, 2020 numbers
64
60
4
Funding
Gap¹
Gap
Closure²
Net Liquidity
Position
Funding
Gap1,4
71
Global GBP Daily Stress Testing Results
Dec 31, 2020
in € m.
Combined³
1 Funding gap caused by impaired rollover of liabilities and other projected outflows.
2 Based on liquidity generation through Liquidity Reserves and other business mitigants.
3 Combined impact of systemic market risk and severe downgrade.
4 December 31, 2019 numbers have been updated to align with updated methodology reflected in the December 31, 2020 numbers
Funding Gap¹
Gap Closure²
10
4
6
Net Liquidity
Position
Funding
Gap4
7
Gap
Closure2,4
175
173
209
209
Dec 31, 2019
Net Liquidity
Position4
75
90
37
24
Gap
Closure2,4
99
Dec 31, 2019
Net Liquidity
Position4
8
Gap
Closure2,4
80
Dec 31, 2019
Net Liquidity
Position4
9
Gap
Closure4
9
Dec 31, 2019
Net Liquidity
Position4
2
The following table presents the amount needed to meet collateral requirements from contractual obligations in the event of a
one- or two-notch downgrade by rating agencies for all currencies.
Contractual Obligations
in € m.
Contractual derivatives funding or margin requirements
Other contractual funding or margin requirements
Asset Encumbrance
One-notch
downgrade
Dec 31, 2020
Two-notch
downgrade
One-notch
downgrade
354
0
439
0
415
0
Dec 31, 2019
Two-notch
downgrade
749
0
This section refers to asset encumbrance in the group of institutions consolidated for banking regulatory purposes pursuant
to the German Banking Act. Therefore this excludes insurance companies or companies outside the finance sector. Assets
pledged by our insurance subsidiaries are included in Note 20 “Assets Pledged and Received as Collateral” of the consolidated
financial statements, and restricted assets held to satisfy obligations to insurance companies’ policy holders are included
within Note 37 “Information on Subsidiaries” of the consolidated financial statements.
Encumbered assets primarily comprise those on- and off-balance sheet assets that are pledged as collateral against secured
funding, collateral swaps, and other collateralized obligations. Additionally, in line with EBA technical standards on regulatory
asset encumbrance reporting, assets placed with settlement systems, including default funds and initial margins, as well as
other assets pledged which cannot be freely withdrawn such as mandatory minimum reserves at central banks, are considered
encumbered. We also include derivative margin receivable assets as encumbered under these EBA guidelines.
Readily available assets are those on- and off-balance sheet assets that are not otherwise encumbered, and which are in
freely transferrable form. Unencumbered financial assets at fair value, other than securities borrowed or purchased under
resale agreements and positive market value from derivatives, and available for sale investments are all assumed to be read-
ily available.
159
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Annual Report 2020
Risk and capital performance
Liquidity risk exposure
The readily available value represents the on- and off-balance sheet carrying amount or fair value rather than any form of
stressed liquidity value (see the “Liquidity Reserves” for an analysis of unencumbered liquid assets available under a liquidity
stress scenario). Other unencumbered on- and off-balance sheet assets are those assets that have not been pledged as
collateral against secured funding or other collateralized obligations, or are otherwise not considered to be readily available.
Included in this category are securities borrowed or purchased under resale agreements and positive market value from
derivatives. Similarly, for loans and other advances to customers, these would only be viewed as readily available to the extent
they are already in a pre-packaged transferrable format, and have not already been used to generate funding. This represents
the most conservative view given that an element of such loans currently shown in Other assets could be packaged into a
format that would be suitable for use to generate funding.
Encumbered and unencumbered assets
in € m.
(unless stated otherwise)
Debt securities
Equity instruments
Other assets:
Cash and due from banks & Interest earning deposits with Banks
Securities borrowed or purchased under resale agreements¹
Financial assets at fair value through profit and loss²
Trading assets
Positive market value from derivative financial instruments
Securities borrowed or purchased under resale agreements¹
Other financial assets at fair value through profit or loss
Financial assets at fair value through other comprehensive income²
Loans
Other assets
Total
Dec 31, 2020
Carrying value
Unencumbered assets
Assets
156
13
175
9
9
344
63
3
6
459
90
1,326
Encumbered
assets
Readily
available
61
6
13
0
0
0
0
0
0
83
55
218
95
7
162
0
9
0
0
3
5
3
0
282
Other
0
0
0
9
0
344
63
0
2
373
35
825
1 Securities borrowed and securities purchased under resale agreements are all shown as other unencumbered. The use of the underlying collateral is separately captured in
the off-balance sheet table below.
2 Excludes Debt securities and Equity instruments (separately disclosed above).
in € m.
(unless stated otherwise)
Collateral received:
Debt securities
Equity instruments
Other collateral received
in € m.
(unless stated otherwise)
Debt securities
Equity instruments
Other assets:
Cash and due from banks & Interest earning deposits with Banks
Securities borrowed or purchased under resale agreements¹
Financial assets at fair value through profit and loss²
Trading assets
Positive market value from derivative financial instruments
Securities borrowed or purchased under resale agreements¹
Other financial assets at fair value through profit or loss
Financial assets at fair value through other comprehensive income²
Loans
Other assets
Total
Dec 31, 2020
Fair value of collateral received
Unencumbered assets
Assets
237
193
42
2
Encumbered
assets
Readily
available
199
159
40
0
36
34
2
0
Other
2
0
0
2
Dec 31, 2019
Carrying value
Unencumbered assets
Assets
153
18
147
14
13
333
71
3
6
458
80
1,297
Encumbered
assets
Readily
available
46
8
12
0
0
0
0
0
0
70
48
184
108
10
135
0
13
0
0
3
5
10
0
282
Other
0
0
0
14
0
333
71
0
1
378
32
831
1 Securities borrowed and securities purchased under resale agreements are all shown as other unencumbered. The use of the underlying collateral is separately captured in
the off-balance sheet table below.
2 Excludes Debt securities and Equity instruments (separately disclosed above).
160
Deutsche Bank
Annual Report 2020
Risk and capital performance
Liquidity risk exposure
in € m.
(unless stated otherwise)
Collateral received:
Debt securities
Equity instruments
Other collateral received
…
Dec 31, 2019
Fair value of collateral received
Unencumbered assets
Assets
252
215
33
4
Encumbered
assets
Readily
available
200
171
29
0
47
43
4
0
Other
4
0
0
4
Maturity Analysis of Assets and Financial Liabilities
Treasury manages the maturity analysis of assets and liabilities. Modeling of assets and liabilities is necessary in cases where
the contractual maturity does not adequately reflect the liquidity risk position. The most significant example in this context
would be immediately repayable deposits from retail and transaction banking customers which have consistently displayed
high stability throughout even the most severe financial crises.
The modeling profiles are part of the overall liquidity risk management framework (see section “Liquidity Stress Testing and
Scenario Analysis” for short-term liquidity positions ≤ 1 year and section “Structural Funding” for long-term liquidity positions
> 1 year) which is defined and approved by the Management Board.
The following tables present a maturity analysis of our total assets based on carrying value and upon earliest legally exercis-
able maturity as of December 31, 2020 and 2019, respectively.
161
Deutsche Bank
Annual Report 2020
Risk and capital performance
Liquidity risk exposure
Analysis of the earliest contractual maturity of assets
On
demand
(incl.
Overnight
and
one day
notice)
Over
1 month
to no
more
than
3 months
Over
3 months
but no
more
than
6 months
Over
6 months
but no
more
than
9 months
Over
9 months
but no
more
than
1 year
Over
1 year
but no
more
than
2 years
Over
2 years
but no
more
than
5 years
Up to
one
month
Over
5 years
Total
Dec 31, 2020
163,953
2,165
32
39
13
6
0
0
0 166,208
7,106
0
1,239
0
470
0
138
0
151
137
14
0
0
0
2,111
1,578
533
0
0
0
1,378
206
1,172
0
0
0
765
508
257
0
0
0
95
0
84
64
20
0
0
0
71
0
237
0
237
0
0
0
0
0
0
0
11
0
9,130
0
2,212
1,529
683
0
0
0
1,593
1,505
88
0
0
0
0
0
0
0
0
0
8,533
5,527
3,005
0
0
0
462,636 39,834
291
104,766
6,189
0
2,971
0
593
0
3,391
2,480
1,898
83
4,063
0
6,366 527,941
309 107,929
in € m.
Cash and central bank
balances
Interbank balances
(w/o central banks)
Central bank funds sold
Securities purchased under
resale agreements
With banks
With customers
Securities borrowed
With banks
With customers
Financial assets at fair value
through profit or loss
Trading assets
Fixed-income securities
and loans
Equities and other variable-
income securities
Other trading assets
91,353
11,579
1,833
291
0
0
0
2,480
83
0
119 94,326
0
0
0
0
0
0
0
0
0
0
0
0
0
0
190 11,769
1,833
0
Positive market values from
derivative financial instru-
ments
Non-trading financial assets
mandatory at fair value
through profit or loss
343,455
0
0
0
0
0
0
0
0 343,455
14,415 39,543
6,189
2,971
593
912
1,461
3,980
6,057 76,121
Securities purchased under
resale agreements
Securities borrowed
Fixed-income securities
and loans
Other non-trading financial
assets mandatory at fair
value through profit or loss
Financial assets designated
at fair value through profit or
loss
Positive market values from
derivative financial instruments
qualifying for hedge accounting
Financial assets at fair value
through other comprehensive
income
3,649 32,309
5,752
10,532
5,052
721
2,848
0
560
0
97
0
373
4
1,169
0
0 46,057
0 17,009
198
1,188
399
117
6
278
997
2,691
5,678 11,553
36
294
16
6
27
536
88
121
378
1,503
0
0
0
0
0
0
353
83
1
437
0
528
622
350
131
71
215
258
1,129
3,303
5
3,013
3,182
3,059
3,304
1,831
8,436 11,271 21,735 55,834
Securities purchased under
resale agreements
Securities borrowed
Debt securities
Loans
Other
Loans
To banks
To customers
Retail
Corporates and other
customers
Other financial assets
Total financial assets
Other assets
Total assets
0
0
0
5
0
0
0
2,621
561
0
1,543
0
1,167
303
0
0
0
2,684
374
0
13,792 41,904 19,375 15,763
577
13,522 41,210 18,632 15,186
1,817
3,226
2,288
8,222
744
270
693
0
0
0
0
0
0
7,633
803
0
0
0
1,653
179
0
0
0
2,963
341
0
1,543
0
9,252 21,683 49,656
4,635
2,019
0
0
9,482 11,575 28,140 75,957 211,005 426,995
5,514
9,247 11,191 27,882 74,355 210,255 421,480
4,955 16,034 164,343 203,246
1,100
52
0
1,262
1,602
235
384
258
751
7,766
9,929 22,927 58,321 45,912 218,234
11,234 32,988 15,406 13,369
73,415
1,560 96,791
2,207
1,112
721,057 98,560 32,611 24,197 14,133 19,390 42,975 100,008 241,806 1,294,736
13,892
9,749 30,523
9
734,950 100,159 32,612 25,869 14,142 21,373 43,186 101,414 251,555 1,325,259
8,148
430
1,362
6,867
1,983
1,406
1,599
1,672
2,073
211
1
162
Deutsche Bank
Annual Report 2020
Risk and capital performance
Liquidity risk exposure
Analysis of the earliest contractual maturity of assets
On
demand
(incl.
Overnight
and
one day
notice)
Over
1 month
to no
more
than
3 months
Over
3 months
but no
more
than
6 months
Over
6 months
but no
more
than
9 months
Over
9 months
but no
more
than
1 year
Over
1 year
but no
more
than
2 years
Over
2 years
but no
more
than
5 years
Up to
one
month
Over
5 years
Total
Dec 31, 2019
130,338
4,152
205
54
20
2,601
222
0
0 137,592
5,639
0
3,338
0
172
0
98
0
135
0
231
0
0
0
0
0
22
0
9,636
0
16
11
5
328
38
290
5,668
5,011
657
100
0
100
2,158
781
1,377
0
0
0
1,142
474
668
0
0
0
163
20
143
0
0
0
445
104
341
0
0
0
881
610
271
0
0
0
3,329
2,709
620
0
0
0
0 13,801
9,720
0
4,081
0
428
0
38
0
390
0
461,076 43,798
0
110,559
8,883
0
1,783
0
226
0
1,371
0
452
0
5,927
0
7,196 530,713
315 110,875
in € m.
Cash and central bank
balances
Interbank balances
(w/o central banks)
Central bank funds sold
Securities purchased under
resale agreements
With banks
With customers
Securities borrowed
With banks
With customers
Financial assets at fair value
through profit or loss
Trading assets
Fixed-income securities
and loans
Equities and other variable-
income securities
Other trading assets
93,000
17,017
543
0
0
0
0
0
0
0
12 93,012
0
0
0
0
0
0
0
0
0
0
0
0
0
0
303 17,320
543
0
Positive market values from
derivative financial instru-
ments
Non-trading financial assets
mandatory at fair value
through profit or loss
332,931
0
0
0
0
0
0
0
0 332,931
17,586 43,798
8,883
1,783
226
1,371
452
5,921
6,881 86,901
Securities purchased under
resale agreements
Securities borrowed
Fixed-income securities
and loans
Other non-trading financial
assets mandatory at fair
value through profit or loss
Financial assets designated
at fair value through profit or
loss
Positive market values from
derivative financial instruments
qualifying for hedge accounting
Financial assets at fair value
through other comprehensive
income
4,791 38,563
4,355
12,623
6,796
930
743
0
91
0
121
0
156
10
2,105
0
0 53,366
0 17,918
0
493
1,079
865
135
388
285
3,780
5,344 12,369
172
387
78
176
0
862
0
35
1,537
3,247
0
0
0
0
0
0
0
6
0
7
0
121
272
129
38
15
180
578
1,446
2,780
12
3,315
2,395
2,989
1,417
2,055
4,603 15,570 13,148 45,503
Securities purchased under
resale agreements
Securities borrowed
Debt securities
Loans
Other
Loans
To banks
To customers
Retail
Corporates and other
customers
Other financial assets
Total financial assets
Other assets
Total assets
0
0
0
12
0
1,408
0
1,618
289
0
0
0
1,848
546
0
0
0
2,561
428
0
16,410 45,045 20,166 15,716
670
16,325 43,186 19,102 15,046
2,361
1,064
3,419
2,264
1,859
8,699
85
0
0
1,065
352
0
9,554
238
9,316
1,531
0
0
7
0
0
0
0
0
1,851
204
0
1,415
0
4,187 13,016 13,068 39,214
4,874
0
8,778 29,985 80,631 203,556 429,841
6,201
8,310 29,751 79,418 203,186 423,640
4,295 15,325 156,824 195,762
1,044
2,554
0
409
0
80
0
1,213
468
234
370
7,807
7,266 25,456 64,094 46,362 227,878
14,061 34,487 15,683 12,685
62,134
7,697 97,196
2,767
557
675,954 113,345 35,706 22,468 11,801 18,263 38,574 118,314 233,065 1,267,490
10,921
1,632 13,392 30,185
686,875 113,609 38,926 22,571 11,910 18,459 38,921 119,946 246,458 1,297,674
7,785
249
2,252 12,277
1,455
3,220
109
197
103
264
347
163
Deutsche Bank
Annual Report 2020
Risk and capital performance
Liquidity risk exposure
The following tables present a maturity analysis of our total liabilities based on carrying value and upon earliest legally exer-
cisable maturity as of December 31, 2020 and 2019 respectively.
Analysis of the earliest contractual maturity of liabilities
On
demand
(incl.
Over-
night and
one day
notice)
Over
1 month
to no
more
than
3 months
375,436 20,323 85,104 47,290 10,005
5,353
34,818
7,969
4,653
340,618 18,959 77,244 39,322
992
3,660 57,516 28,093
151,438
Over
3 months
but no
more
than
6 months
Over
6 months
but no
more
than
9 months
Up to
one
month
7,860
1,364
Dec 31, 2020
Over
9 months
but no
more
than
1 year
6,510
1,354
5,156
714
Over
1 year
but no
more
than
2 years
5,362
2,961
2,401
605
Over
2 years
but no
more
than
5 years
8,053
5,853
2,199
490
Over
5 years
Total
9,948 568,031
7,901 75,432
2,047 492,599
150 243,656
189,180 15,300 19,728 11,229
0
372,090
0
43,882
0
434
0
0
0
0
0
0
3,661
0
0
0
4,442
0
0
0
1,796
0
0
0
1,709
0
0
0
1,898 248,943
0 372,090
0 43,882
434
0
327,775
0
0
0
0
0
0
0
0 327,775
in € m.
Deposits
Due to banks
Due to customers
Retail
Corporates and other
customers
Trading liabilities
Trading securities
Other trading liabilities
Negative market values from
derivative financial
instruments
Financial liabilities designed at
fair value through profit or loss 12,658 18,594
9,961
2,101
86
26
347
1,494
1,316 46,582
11,258 18,511
36
84
9,780
164
2,065
34
0
24
1
25
11
317
10
1,450
0 41,636
3,374
1,240
Securities sold under repur-
chase agreements
Long-term debt
Other financial liabilities
designated at fair value
through profit or loss
Investment contract liabilities
Negative market values from
derivative financial instruments
qualifying for hedge accounting
Central bank funds purchased
Securities sold under repur-
chase agreements
Due to banks
Due to customers
Securities loaned
Due to banks
Due to customers
Other short term borrowings
Long-term debt
Debt securities - senior
Debt securities - subordi-
nated
Other long-term debt - senior
Other long-term debt -
subordinated
Trust Preferred Securities
Other financial liabilities
Total financial liabilities
Other liabilities
Total equity
Total liabilities and equity
Off-balance sheet commitments
given
Banks
Retail
Corporates and other
customers
1,316
0
47
0
17
0
1
0
62
0
0
526
18
0
34
0
77
0
1,572
526
0
0
108
0
245
0
46
0
11
0
9
0
65
0
254
0
541
0
1,279
0
1,815
1,814
1
1,697
426
1,271
1,385
0
0
14
13
0
0
0
0
282
4,307
4,143
0
0
0
164
0
0
0
0
0
0
647
1
0
1
0
0
0
366
2,325
2,246
79
1,698
427
1,271
3,553
5,579 13,873 25,273 10,595 13,751 47,489 28,297 149,163
7,356 12,462 35,199 20,266 93,391
5,229
0
0
0
0
0
0
400
0
0
0
0
0
0
474
485
409
76
0
0
0
0
1
0
1
0
0
0
0
9
9
0
0
0
0
0
5,093
3,643
14
0
335 10,202 20,180
4
0
3,239
0
1,274
3,948
8,156
7,352
3,386
4,552 48,103
0
0
942
0
0
1,735
316
0
1,321
0
1,784 93,894
86,658
851,738 44,569 102,991 64,753 36,232 18,898 20,410 58,985 41,888 1,240,463
0
0
22,599
0 22,599
0 62,196 62,196
0
0
874,337 44,569 102,991 64,753 36,232 18,898 20,410 58,985 104,084 1,325,259
185
0
1,211
0
269
188
0
528
230
24
524
272
15
0
875
93
0
0
0
0
0
0
0
0
0
0
0
41,744
576
16,654
8,996 11,000 18,109
2,137
1,268
1,356
333
950
802
8,285 21,379 36,149 84,924 33,269 263,854
1,453
2,704 15,437
468 10,262 31,570
225
1,532
1,529
2,008
349
2,401
24,514
6,838
8,783 15,639
6,607 18,318 33,792 82,054 20,303 216,847
164
Deutsche Bank
Annual Report 2020
Risk and capital performance
Liquidity risk exposure
Analysis of the earliest contractual maturity of liabilities
On
demand
(incl.
Over-
night and
one day
notice)
Over
1 month
to no
more
than
3 months
Over
3 months
but no
more
than
6 months
Over
6 months
but no
more
than
9 months
Over
9 months
but no
more
than
1 year
Up to
one
month
364,007 20,305 92,964 35,712 17,979 15,110
665
43,745
320,262 18,674 84,130 30,374 16,914 14,445
5,854
135,727
4,746 57,398 16,271
1,065
8,895
8,834
1,631
5,338
Dec 31, 2019
Over
1 year
but no
more
than
2 years
7,205
2,153
5,052
579
Over
2 years
but no
more
Over
than
5 years
Total
5 years
8,675 10,251 572,208
7,972 76,856
5,453
2,279 495,352
3,222
171 230,296
654
184,534 13,929 26,732 14,102
0
353,571
0
36,692
0
373
0
0
0
0
0
0
8,018
0
0
0
8,591
0
0
0
4,473
0
0
0
2,569
0
0
0
2,108 265,056
0 353,571
0 36,692
373
0
316,506
0
0
0
0
0
0
0
0 316,506
in € m.
Deposits
Due to banks
Due to customers
Retail
Corporates and other
customers
Trading liabilities
Trading securities
Other trading liabilities
Negative market values from
derivative financial
instruments
Financial liabilities designed at
fair value through profit or loss
Securities sold under repur-
chase agreements
Long-term debt
Other financial liabilities
designated at fair value
through profit or loss
Investment contract liabilities
Negative market values from
derivative financial instruments
qualifying for hedge accounting
Central bank funds purchased
Securities sold under repur-
chase agreements
Due to banks
Due to customers
Securities loaned
Due to banks
Due to customers
Other short term borrowings
Long-term debt
Debt securities - senior
Debt securities - subordi-
nated
Other long-term debt - senior
Other long-term debt -
subordinated
Trust Preferred Securities
Other financial liabilities
Total financial liabilities
Other liabilities
Total equity
Total liabilities and equity
Off-balance sheet commitments
given
Banks
Retail
Corporates and other
customers
9,860 15,487 10,201
5,066
4,802
954
162
983
2,816 50,332
7,617 14,965 10,016
112
160
89
4,796
256
4,555
223
754
137
2
159
16
951
2 42,723
4,761
2,675
2,154
0
362
0
74
0
14
0
25
0
63
544
1
0
16
0
139
0
2,848
544
0
218
140
0
147
0
42
0
105
0
97
0
64
0
491
0
343
0
1,431
218
1,493
1,248
246
258
15
243
1,861
0
0
22
158
960
22
32
750
0
127
210
0
0
0
0
0
0
0
0
0
518
604
1,477
630 14,841 11,320
4,811
3,139
572
0
0
0
0
0
0
229
7,194
6,992
13
0
13
0
0
0
0
205
205
0
0
0
0
529
2,897
2,257
640
259
16
243
5,218
4,104 28,724 37,228 32,433 136,473
3,232 27,178 32,215 23,047 101,187
37
0
37
0
0
0
0
7
0
7
0
0
0
0
0
0
0
15
54 11,687
2,023
4,480
0
198
13
855
0
1,522
1,295
3,529
3,588
6,934
5,695 28,019
3
0
1,088
0
0
1,653
333
0
2,013
0
78,597
867 85,361
809,867 39,129 121,442 54,304 30,564 22,553 37,043 48,908 46,716 1,210,524
0
0
24,990
0 24,990
0 62,160 62,160
0
0
834,857 39,129 121,442 54,304 30,564 22,553 37,043 48,908 108,876 1,297,674
190
0
1,493
7
1,257
280
4
0
254
3
756
253
24
0
875
101
0
0
0
0
0
0
0
0
0
0
0
39,558
594
17,028
7,525 12,808 14,979
1,365
1,145
1,025
364
701
769
8,110 18,609 33,148 90,696 35,238 260,672
2,481 13,791
1,265
9,468 30,025
82
2,147
227
2,158
1,086
1,609
301
21,936
5,731 10,962 13,249
6,763 15,365 31,237 88,322 23,290 216,856
1 The figures for 2019 have been revised
165
Compensation Report
167
Introduction
168 Management Board compensation report
168 Management Board compensation governance
169 Compensation principles
170 Compensation structure
179
181
181
Long-term incentive and sustainability
Forfeiture conditions / clawback
Limitations in the event of exceptional
developments
181 Shareholding guidelines
181
Pension benefits
182 Other benefits upon early termination
182
Management Board compensation
for the 2020 financial year
185 Share awards
186
Management Board share ownership,
shareholding guidelines
Compensation in accordance with the
German Corporate Governance Code (GCGC)
Compensation in accordance with the German
Accounting Standard No. 17 (GAS 17)
Outlook: Further development of the
compensation system from 2021 onwards
188
195
197
199 Employee compensation report
200 Regulatory environment
201 Compensation governance
202 Compensation strategy
203 Group compensation framework
204
Determination of performance-based variable
compensation
205 Variable compensation structure
Ex-post risk adjustment of
206
variable compensation
Employee groups with specific
compensation structures
208 Compensation decision for 2020
209
207
Material risk taker compensation disclosure
211
212
Compensation system for Supervisory
Board members
Supervisory Board compensation for the
2020 financial year
Deutsche Bank
Annual Report 2020
Introduction
Supervisory Board report and disclosure
Introduction
The 2020 Compensation report provides detailed compensation information with regard to the overall Deutsche Bank Group.
The Compensation report comprises the following three sections:
Management Board compensation report
The first section is the Compensation Report for the Management Board, which consists of three parts. The first part of the
Report sets out the structure and design of the compensation system for the members of the Management Board of Deutsche
Bank AG. The second part comprises the report on the actual compensation on the compensation and other benefits granted
by the Supervisory Board to the members of the Management Board of Deutsche Bank AG. In the third part, which was added
this year, we inform you about the most important changes in the compensation system that will apply from the financial year
2021. The new compensation system will be presented to the shareholders for their approval at the 2021 Annual General
Meeting. We also refer here to the Letter of the Supervisory Board on pages … to ….
Employee compensation report
The second section of the Compensation Report discloses information with regard to the compensation system and structure
that applies to the employees in Deutsche Bank Group (including DWS Group). The report provides details on the Group
Compensation Framework and outlines the decisions on Variable Compensation for 2020. Furthermore, this part contains
quantitative disclosures specific to employees identified as Material Risk Takers (MRTs) in accordance with the Remuneration
Ordinance for Institutions (Institutsvergütungsverordnung – InstVV).
Supervisory Board report and disclosure
The third section of the Compensation Report provides information on the structure and level of compensation for Supervisory
Board members of Deutsche Bank AG.
The Compensation Report complies with the requirements of Section 314 (1) No. 6 of the German Commercial Code (Han-
delsgesetzbuch, “HGB”), the German Accounting Standard No. 17 (“DRS 17”) “Reporting on Executive Body Remuneration”,
CRR, InstVV, and the recommendations of the German Corporate Governance Code.
167
Deutsche Bank
Annual Report 2020
Management Board compensation report
Management Board compensation governance
Management Board compensation report
Management Board compensation governance
The Supervisory Board as a whole is responsible for the structuring and design of the system for the compensation of the mem-
bers of the Management Board as well as for determining their individual compensation. The Supervisory Board is supported by
the Compensation Control Committee. The Compensation Control Committee controls and supports the appropriate structuring
of the compensation policy and prepares the resolutions of the Supervisory Board regarding the individual compensation of the
Management Board members. In addition, the Compensation Control Committee and/or the Supervisory Board will obtain advice
from external consultants where this is considered necessary.
The number of members of the Compensation Control Committee was increased from four to six with effect from July 1, 2020.
In accordance with regulatory requirements, at least one member must have sufficient expertise and professional experience
in the area of risk management and risk controlling and at least one member must be an employee representative.
The Supervisory Board regularly reviews the compensation system for the members of the Management Board. In the past, the
Supervisory Board had made use of the possibility provided in § 120 (4) of the German Stock Corporation Act (Aktiengesetz –
AktG) for the General Meeting to approve the compensation system for Management Board members. The current system was
approved by the Annual General Meeting in 2017. In 2020, the Supervisory Board reviewed the compensation structures in
accordance with the legal framework changed by the law implementing the Second Shareholders' Rights Directive. It will have
the 2021 Annual General Meeting resolve on the amended compensation system, now in accordance with § 120a AktG. An
overview of the main changes can be found at the end of the Management Board compensation report. As part of the invitation
to the Annual General Meeting, the amended compensation system will be presented in a holistic and transparent manner with
all necessary detail.
168
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Annual Report 2020
Management Board compensation report
Compensation principles
Compensation system
Compensation principles
The compensation system and thus the determination of individual compensation are based on the six compensation princi-
ples outlined below. The compensation system was developed from these principles, and they provide guidance if questions
of interpretation arise. Therefore, they are always taken into consideration by the Supervisory Board when passing a resolution
on the compensation system and the assessment of individual compensation.
Governance
The structuring of the compensation system and determination of individual compensation takes
place within the framework of the statutory and regulatory requirements. The Supervisory Board’s
objective is to offer, within the boundaries of applicable regulatory requirements, a compensation
package that is in line with customary market practices and therefore competitive with comparable
roles.
Group Strategy
Through the structure of the compensation system, the members of the Management Board are
to be motivated to achieve the objectives set out in the Bank’s strategies, to work continuously
towards the positive development of the Group and thereby to avoid undue risks.
Collective and Individual
Performance of the Man-
agement Board Members
The variable, performance-related compensation is determined on the basis of the level of
achievement of previously agreed objectives. For this purpose, collective and Deutsche Bank
Group-related objectives applying equally to all Management Board members are set. In addition,
the Supervisory Board sets individual objectives for each member of the Management Board sep-
arately, which particularly take into account the development of the business, infrastructure or
regional areas of responsibility as the case may be. In a balanced way, such objectives may be
financial or non-financial.
Regulatory or
other compensation caps
Sustainability
Pursuant to CRD 4, the ratio of fixed to variable compensation is generally limited to 1:1 (cap
regulation), i.e. the amount of variable compensation must not exceed that of fixed compensation.
However, under CRD 4 EU member states are authorized to stipulate that shareholders may re-
solve to relax the requirement by setting the ratio of fixed to variable compensation at 1:2. Ger-
many has made use of this authorization. In line therewith, in May 2014, the General Meeting
approved the aforementioned setting at 1:2 with a majority of 91 %. The compensation system
resolved by the Supervisory Board also provides fixed caps for the different variable compensation
components. In addition, the Supervisory Board is entitled to set an additional cap for the total
compensation of the individual members of the Management Board. In the 2020 financial year,
the additional cap was set at € 9.85 million.
The total variable compensation for Management Board members is only to be granted on a de-
ferred basis. The Long-Term Award, and therefore about 60 % of the deferred variable compen-
sation, is to be granted in the form of equity-based compensation components, which only vest no
less than five years after the grant in one tranche (cliff vesting) and are subject to an additional
retention period of one year. The remaining portion is generally to be granted as non-equity-based
compensation component and to vest in equal tranches over a period of seven years. During the
deferral and retention period, deferred compensation is subject to specific performance- and for-
feiture provisions.
The total variable compensation may be reclaimed by the bank for up to two years after the expiry
of the last deferral period in response to specific individual negative contributions to results made
by the Management Board member (clawback).
Alignment of interests of
Management Board
members and sharehold-
ers
When designing the specific structure of the compensation system, determining individual com-
pensation amounts, and structuring compensation delivery and allocation, the focus is on ensuring
a close link between the interests of both the Management Board members and shareholders.
When defining the variable compensation, this is achieved through the utilization of clearly defined
key financial figures which are directly linked to the performance of Deutsche Bank.
Based on these principles, the Supervisory Board decides on the structure, amount and weighting of the individual compen-
sation components. In order to ensure the appropriateness of the compensation, it takes into account the compensation both
in a horizontal comparison with competitors and in a vertical comparison with the workforce.
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Annual Report 2020
Management Board compensation report
Compensation structure
The compensation system and the compensation structures they encompass are reflected in the individual Management
Board members’ contracts.
Compensation structure
Structure and compensation elements of the compensation policies
The compensation system applicable since January 2017 consist of non-performance-related (fixed) and performance-related
(variable) components.
Non-Performance-Related Components (Fixed Compensation)
The fixed compensation is not linked to performance and consists of the base salary, any allowances granted, contributions
to the company pension plan and “fringe benefits”.
The annual base salary amounts to € 3.4 million for the Chairman of the Management Board. The President receives an
annual base salary of € 3 million. With effect from August 1, 2020, the Supervisory Board has approved an annual base salary
for the Chief Financial Officer and the Chief Risk Officer of € 2.6 million. The annual base salary of the other ordinary Man-
agement Board members is € 2.4 million. As the business divisions CB and IB are currently not represented on the Manage-
ment Board separately, the base salary for a Management Board member that would be solely responsible for CB or IB, has
not yet been determined.
Various factors were considered when determining the appropriate level of the base salary. First, the base salary rewards
general assumption of the office of Management Board member and the related overall responsibility of the individual Man-
agement Board members. In addition, the compensation paid in the market to executives holding comparable positions is
taken into account when determining the amount of the base salary. However, a market comparison must take into consider-
ation that the regulatory requirements pursuant to the German Remuneration Ordinance for Institutions (Institutsvergütung-
sverordnung – InstVV) in conjunction with Section 25a (5) of the German Banking Act (Kreditwesengesetz) set a cap for
variable compensation at 200 % of the fixed compensation. Accordingly, the fixed compensation must be determined in a way
that ensures competitive total compensation in line with market standards while taking into account the aforementioned re-
quirements. The cap required for regulatory reasons was implemented in 2014.
In 2017, the Supervisory Board introduced an optional functional allowance which may be awarded to Management Board
members who are assigned additional tasks and a particular responsibility extending beyond the assigned regular area of
responsibility within the Management Board. Since August 2019, none of the Management Board members has received an
optional functional allowance.
In addition, the Management Board members receive contributions to the company pension plan, or alternatively, if certain
conditions are met, a so-called pension allowance. They are qualified as fixed compensation according to regulatory provisions
and are therefore to be taken into account when determining the ratio of fixed to variable compensation components. The
170
Deutsche Bank
Annual Report 2020
Management Board compensation report
Compensation structure
annual contribution to the company pension plan or the pension allowance for all Management Board members, including the
Chairman, was consistently € 650,000.
Additional non-performance-related components include “fringe benefits”. The “fringe benefits” comprise the monetary value
of non-cash benefits such as company cars and driver services, insurance premiums, expenses for company-related social
functions and security measures including payments, if applicable, of taxes on these benefits as well as taxable reimburse-
ments of expenses.
Performance-Related Components (Variable Compensation)
The current compensation system provides that compensation must be linked to pre-defined transparent performance cri-
teria. The system allows for the agreement of individual and divisional objectives alongside collective objectives and makes
it possible to achieve competitive pay levels in line with market standards on the basis of the respective member’s area of
responsibility and, at the same time, also meets in this respect the regulatory requirements.
The entire variable compensation is performance related (“pay for performance”). It consists of a short-term component, the
so-called Short-Term Award and a long-term component, the so-called Long-Term Award.
Since 2017, the InstVV generally stipulates a three-year assessment period for the determination of the variable compen-
sation for Management Board members. The bank complies with of this requirement by assessing each of the three objectives
of the long-term component over a three-year period. If the relevant three years cannot be attributed to a member of the
Management Board due to for example that member joining the bank only recently, the objective achievement level will be
determined for the period that can be attributed to the Management Board member. If the assessment period is shorter than
three years, the deferral period of the variable compensation to be granted is extended by the number of years missing with
respect to the assessment period.
Objectives
Objectives are established by the Supervisory Board as part of an objective setting agreement at the beginning of the
respective financial year for purposes of performance evaluation. For all objectives, financial metrics are set to measure the
achievement level of the objectives in a transparent way. The discretionary decision is limited to 3 to 6 % with respect to the
total variable compensation.
171
Deutsche Bank
Annual Report 2020
Management Board compensation report
Compensation structure
The allocation of the objectives to the individual compensation components is set out below.
172
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Annual Report 2020
Management Board compensation report
Compensation structure
Short-Term Award (STA)
The STA is linked to the achievement of short term and medium-term objectives. Objectives include collective objectives
to be achieved by the Management Board as a whole and individual objectives the level of achievement of which is determined
separately for each member of the Management Board.
In order to distinguish collective objectives from individual objectives, the STA is divided into two components:
– the Group Component and
– the Individual Component.
Group Component
Objectives to be achieved jointly by the Management Board are the basis for the assessment of the group component as part
of the STA. The key objective of the Group component is to link the variable compensation to the performance of the Bank.
In 2016, the Management Board decided to align part of the variable compensation for non-tariff employees of the Bank more
closely with Group performance. This seeks to reward the contribution of all employees to the financial results of the Bank
and the achievements in the implementation of its strategy. Management Board compensation is also closely linked to the
performance of the Bank using selected key financial figures. The Supervisory Board decided to align the compensation policy
for the Management Board members more closely with the compensation policies for employees. This is achieved by using
the annual performance metrics underlying the Group component in the compensation system for employees as the reference
value for the Group component of the STA since 2017.
In accordance with the bank’s strategy, four performance metrics constituting important indicators for the capital, risk, cost
and return profile of the Bank form the reference value for the Group Component of the STA:
Common Equity Tier 1
(CET1) capital ratio (fully
loaded)
The Common Equity Tier-1 Ratio of the Bank in relation to risk-weighted assets.
Leverage ratio
The Bank´s Tier 1 capital as a percentage of its total leverage exposure pursuant to CRR/CRD 4.
Adjusted costs
Total noninterest expenses, excluding restructuring, severance and litigation cost as well as im-
pairment of goodwill and other intangible assets.
Post-tax return on tangible
equity (RoTE)
Net income (or loss) attributable to Deutsche Bank shareholders as a percentage of average tan-
gible shareholders’ equity. The latter is the shareholders’ equity on the bank´s balance sheet,
excluding goodwill and other intangible assets.
The Supervisory Board regularly reviews the selection of the performance metrics. The above four objectives are equally
weighted at up to 25 % in the determination of the Group Component of the STA, depending on the achievement level. If,
overall, the performance metric-based objectives are not achieved during the period being evaluated, the Supervisory Board
may determine that a Group component will not be granted.
Individual Component
The individual component of the STA rewards the achievement of short- and medium-term individual and divisional objec-
tives. These objectives are established by the Supervisory Board as part of the objective setting agreement for the respective
financial year’s performance evaluation. The key objectives are designed to contribute to the applicable business policy and
strategic objectives of the Bank, in line with each Management Board member’s area of responsibility. In a balanced way,
financial and non-financial successes are taken into account. Objectives for the individual component may for example include
revenue developments in the course of the year, project-related targets, diversity objectives or other developments in em-
ployee or client satisfaction.
As part of the annual objective setting agreement, corresponding key financial figures and/or measurement criteria are set for
all objectives that are used to determine the objective achievement level. At least three objectives per financial year are set
for each Management Board member.
Since 2018, a 30% share of the individual component has been measured on the basis of Balanced Scorecards in which
qualitative and quantitative indicators are bundled. Balanced scorecards make it possible to translate strategic objectives into
concrete actions. The Bank has thus introduced an appropriate tool for the steering and control of key performance indicators,
which will measure the achievement level of targets against defined measurement parameters and measure them transpar-
ently at the end of the year.
173
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Annual Report 2020
Management Board compensation report
Compensation structure
Balanced scorecard
The Balanced Scorecards are based on financial indicators and non-financial targets in the areas of financial performance,
capital & risk, culture, control & conduct, franchise, digitization and innovation. At the beginning of the year, they will be
weighted, performance indicators or parameters will be set and, finally, the translation of the degree of achievement into the
percentage of achievement will be made transparent. At the same time, they provide an overview of the priorities of the
individual divisions across the entire Group. At the end of the performance period, the achievement of each KPI is measured
on the basis of predefined targets. The target achievement is represented by the colors green, amber and red in the Balanced
Scorecards, which leads to a performance band in the overall view. The performance range is limited by predefined lower and
upper limits. The weighting of the different KPI categories relative to each other as well as the relevant KPIs are determined
individually by the Supervisory Board at the beginning of the year for each member of the Management Board. A maximum
of 200 % of the target can be reached.
The sum of all individual and divisional objectives determine 90 % of the individual component of the STA. The Supervisory
Board decides on the remaining portion of 10 % of the individual component to reward outstanding contributions over the
course of the financial year making use of its discretionary authority. If, overall, the objectives are not achieved during the
period being evaluated, the Supervisory Board may determine that an individual component will not be granted.
Minimum, Target and Maximum Values
The sum of Group-wide and individually agreed objectives amounts to a maximum of 40 % of the total variable compensation,
depending on the achievement level of the aforementioned objectives. If, overall, the objectives are not achieved during the
period being evaluated, the Supervisory Board may determine that an STA will not be granted.
in €
Chairman
Group component
Individual component
STA total¹
Ordinary Board member
Group component
Individual component (from - up to)
STA total (from - up to)
1 STA: Short-Term Award.
Minimum
Target
0
0
0
500,000
1,400,000
1,900,000
2020
Maximum
1,000,000
2,800,000
3,800,000
500,000
800,000
1,000,000
0
0
1,600,000
0 up to 1,100,000 up to 2,200,000
0
2,600,000
0 up to 1,600,000 up to 3,200,000
1,300,000
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Compensation structure
Long-Term Award (LTA)
When determining the variable compensation, a clear focus is placed on the achievement of long-term objectives. Therefore,
the target figure of the LTA constitutes a portion of no less than 60 % of the total variable target compensation. As with the
short-term component, the Supervisory Board determines the collective long-term objectives for the Management Board mem-
bers. The achievement level is determined on the basis of the definition of clear performance metrics and/or factors which are
to be agreed for these objectives at the beginning of a financial year.
The Supervisory Board determined a total of three objectives for each Management Board member. Each shall be measured
over a period of three years and shall be included in the valuation of the LTA with a weighting of 60 % for the most recent
financial year ended, 30 % for the precending year and 10% for the year before the precending year. In the case of members
of the Management Board appointed for the first time within the last three years, who have joined the bank or have not yet
completed a corresponding period of time in which they were entrusted with tasks and risks comparable to those of a Man-
agement Board member, the retention period of the LTA shall be extended in accordance with regulatory requirements by the
reduction period as compensation for the reduced assessment period.
For 2020, the Supervisory Board determined the following three objectives for each Management Board member.
The relative performance of the Deutsche Bank share in comparison to selected peer institutions is an objective within the
framework of the LTA. This objective is intended to promote the sustainable performance of the Deutsche Bank share. The
long-term nature of this objective is supported by the determination of the Relative Total Shareholder Return (RTSR) on the
basis of a three-year assessment. The RTSR of Deutsche Bank is derived from the Total Shareholder Return of Deutsche
Bank in relation to the average total shareholder returns of a selected peer group (calculated in Euros). If the weighted average
of the relative total shareholder return of Deutsche Bank is greater than 100 % over a period of three years, then the value of
the RTSR portion increases proportionately to an upper limit of 150 % of the target figure, i.e., the value increases by 1 % for
each percentage point above 100 %. If the three-year average of the relative total shareholder return is lower than 100 %, the
value declines disproportionately. If the relative total shareholder return is calculated to be in the range of less than 100 % to
80 %, the value of the Award portion is reduced for each lower percentage point by 2 percentage points. In the range between
80 % and 60 %, the value of the Award portion is reduced for each lower percentage point by 3 percentage points. If the three-
year average of the RTSR does not exceed 60 %, the value of the Award portion is set to zero.
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Management Board compensation report
Compensation structure
Increase of RTSR and level of achievement
The peer group used for the calculation of the relative total shareholder return is selected based on the criteria of generally
comparable business activities, comparable size and international presence. The Supervisory Board reviews the composition
of the peer group regularly.
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In 2020, the peer group for the RTSR comprised the following banks:
The Supervisory Board sets an objective designed to promote the growing and strengthening of the Bank, based on the notion
of actual Organic Capital Growth. Organic Capital Growth is defined as the balance of the following changes (which are also
reported in the Consolidated Statement of Changes in Equity) occurring during the financial year, divided by the Deutsche
Bank Shareholders Equity attributable as at December 31 of the previous financial year.
– Total comprehensive income, net of tax
– Coupons on additional equity components, net of tax
– Remeasurement gains (losses) related to defined benefit plans, net of tax
– Option premiums and other effects from options on common shares
– Net gains (losses) on treasury shares sold
Consequently, "non-organic" changes in equity, in particular payment of a dividend or capital increase, are of no relevance to
the achievement of the objective.
From an average organic capital growth of 2.5 %, the value of the Award share increases on a straight line basis by 1 % for
each 0.05 % growth up to the 150 % cap, which is the case with an organic capital growth of 10% or more. If the three-year
average remains below 2.5 %, the Award share value is zero.
Development of organic capital growth and level of achievement
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The third objective is the “Culture & Client” factor. In this context, the Supervisory Board sets an objective which is linked to
corporate culture, client satisfaction and dealing with clients. This objective is linked to the sustainable development of the
intrabank environment or designed to foster the development of client relations for the 2020 financial year. One objective set
by the Supervisory Board for all Management Board members is – this year again – the evaluation of the control environment
within the Deutsche Bank Group and divided this into four equally weighted sub-targets. At the end of the financial year, the
achievement of the sub-targets will be assessed as under average, average, good or excellent and the assessment will be
translated into a level of achievement of 0-150%.
“Culture & Client” Factor and level of achievement
The Long-Term Award can be a maximum of 150% of the respective target figures.
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Maximum Compensation
Total Compensation/Target and Maximum Values
in €
Chairman
Target
Maximum
Ordinary Board member (CIB)3
Target
Maximum
Ordinary Board member (PB)4
Target
Maximum
Ordinary Board member (CFO & CRO)5
Base
salary
Group
component
STA1
Individual
component
2020
2019
LTA2
Total
compensation
Total
compensation
3,400,000
3,400,000
500,000
1,000,000
1,400,000
2,800,000
3,400,000
5,100,000
8,700,000
12,300,000
8,700,000
12,300,000
0
0
0
0
0
0
0
0
0
0
7,700,000
11,000,000
2,400,000
2,400,000
500,000
1,000,000
1,100,000
2,200,000
2,800,000
4,200,000
6,800,000
9,800,000
6,800,000
9,800,000
Target
Maximum
2,600,000
2,600,000
500,000
1,000,000
800,000
1,600,000
2,800,000
4,200,000
6,700,000
9,400,000
6,500,000
9,200,000
Ordinary Board member (Infrastructure/Re-
gion)
Target
Maximum
2,400,000
2,400,000
500,000
1,000,000
800,000
1,600,000
2,800,000
4,200,000
6,500,000
9,200,000
6,500,000
9,200,000
1 STA: Short-Term Award.
2 LTA: Long-Term Award.
3 Annual amounts until July 31, 2019. As of August 2019, the CEO has been responsible for the CB and the IB division, into which CIB was split.
4 As of August 2019, the President has been responsible for the PB division. His Fixed Pay was 3,000,000 €.
5 Annual amounts from August 1, 2020 onwards. For the period from January 1 to July 31, 2020, the remuneration was the same as for ordinary Board Members (Infrastruc-
ture/Region).
The total compensation of a Management Board member is subject to additional caps. Due to regulatory requirements, the
variable compensation is capped at 200 % of the fixed compensation. In addition, the Supervisory Board has in recent years
set a cap for the overall total compensation, which will become mandatory in the future due to the German Law implementing
the Shareholders’ Rights Directive. For the 2020 financial year, the Supervisory Board has again capped compensation at a
maximum of € 9.85 million, so that even where the objective achievement level would result in higher compensation, compen-
sation is capped at a maximum of € 9.85 million. This cap is understood to be exclusive of any other benefits and annual
service costs related to the pension scheme.
Long-term incentive and sustainability
According to the requirements of the InstVV at least 60 % of the total variable compensation must be granted on a deferred
basis. Not less than half of this deferred portion must comprise equity-based compensation components, while the remaining
portion is granted as deferred cash compensation. Both compensation components must be deferred over a multi-year period
which, for the equity-based compensation components, must be followed by a retention period. During the period until payment
or delivery, the compensation portions awarded on a deferred basis may be forfeited. At least half of the maximum of 40 % of
the variable compensation granted on a non-deferred basis must consist of equity-based compensation components and only
the remaining portion may be paid out directly in cash. Of the total Variable Compensation, no more than a maximum of 20 %
may be paid out in cash immediately, while at least 80 % are paid or delivered at a later date.
Since 2014, the total variable compensation for Management Board members is only granted on a deferred basis.
In order to bind the Management Board members even closer to the performance of the Bank and the Deutsche Bank share
price, the Supervisory Board decided that as of the 2019 financial year, the long-term component (LTA) will only be granted
in the form of Restricted Equity Awards. The short-term component (STA) is generally granted in the form of a cash compen-
sation (Restricted Incentive Awards). However, should the STA amount to more than 50 % of the total variable compensation,
the amount exceeding 50 % will also be granted in the form of Restricted Equity Awards. This is designed to ensure that at
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least 50 % of total variable compensation are granted in the form of equity-based compensation in accordance with regulatory
requirements.
The InstVV requires in principle, that the combined (i) target assessment period and (ii) vesting period are at least eight years.
With respect to the vesting schedule, the InstVV allows both, vesting in one tranche (“cliff vesting”) or in consecutive instal-
ments (“tranche vesting”). The LTA is based on a three year assessment period, the Restricted Equity Awards granted for the
LTA vest after five years in one tranche. The assessment period for the STA is only one year. Therefore, the Restricted
Incentive Awards granted for the STA vest in seven equal tranches over a period of seven years. Any additional Restricted
Equity Awards granted for the STA vest also after seven years, but in one tranche. All Restricted Equity Awards have an
additional retention period of one year which follows the vesting period. Accordingly, Management Board members are first
permitted to dispose of the equities after six or eight years respectively. During the deferral and retention period, the value of
the Restricted Equity Awards is linked to the Bank’s share price and is therefore tied to the sustained performance of the Bank.
Specific forfeiture provisions apply for Restricted Incentive Awards and Restricted Equity Awards during the deferral and
retention period.
Instead of receiving Restricted Equity Awards and Restricted Incentive Awards as described above, specified function holders
of certain Deutsche Bank U.S. entities are required by applicable regulation to be compensated under different plans. Re-
stricted compensation for this employee group consists of restricted share awards and restricted cash awards. The employee
will be the beneficial owner of the awards from the Award Date and the awards will be held on the employee’s behalf. These
awards will be restricted for a period of time (subject to the applicable plan rules and award statements, including performance
conditions and forfeiture provisions). The restriction period is aligned with retention periods of the Bank´s usual deferred
awards. With regard to the Management Board of Deutsche Bank AG, these rules apply to Christiana Riley as she is identified
as such function holder under the described regime.
The following chart shows the time period for the payment or the delivery of the variable compensation components in the
seven consecutive years following the grant year as well as the period of a possible clawback.
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Forfeiture conditions / clawback
In order to create long-term incentives, the Restricted Equity Awards and the Restricted Incentive Awards compensation
components are deferred or spread out over several years. To this end, the Supervisory Board regularly reviews the results
achieved in the past for their sustainability (back-testing). If the outcome is that the results rewarded by the granting of the
variable compensation were not sustainable, the awards may be partially or fully forfeited.
Also, if the Group result is negative, the awards may be fully or partially forfeited. In addition, the awards may be fully or
partially forfeited if specific solvency or liquidity conditions were not met.
Furthermore, awards may be forfeited in whole or in part in the event of individual misconduct (including breaches of regula-
tions), dismissal for cause or negative individual contributions (malus).
The contracts of the members of the Management Board contain "clawback provisions" and thus meet the requirements of
InstVV. Going beyond the forfeiture conditions, this clause allows the Supervisory Board to reclaim already paid or delivered
compensation components in response to specific individual negative contributions made by the Management Board member
for up to two years after the expiry of the last deferral period.
Limitations in the event of exceptional developments
In the event of exceptional developments, the total compensation for each Management Board member is limited to a certain
maximum amount. In addition, the Supervisory Board and the members of the Management Board agreed on a possible
limitation of the variable compensation which is included in the service contracts of the Management Board members and
according to which the variable compensation may be limited to amounts below the provided maximum amounts or may not
be granted altogether. Furthermore, statutory regulations provide that the Supervisory Board may reduce the compensation
of the Management Board members to an appropriate level, if the situation of the company deteriorates in such a way following
the determination of the compensation that the continued granting of the compensation would be inappropriate for the com-
pany. A payment of variable compensation elements will also not take place if the payment of variable compensation compo-
nents is prohibited or restricted by the competent regulator in accordance with existing statutory requirements.
Shareholding guidelines
All members of the Management Board are required to hold a specified value of Deutsche Bank shares. This requirement
fosters the identification of the Management Board members with Deutsche Bank and its shareholders and aims to ensure a
sustainable link to the performance of the Bank.
For the Chairman, the number of shares to be held amounts to two times the annual base salary, i.e., the equivalent of
€ 6,800,000. For other Management Board members, the number of shares to be held is one time the annual base salary,
i.e., the equivalent of € 2,400,000 or € 2,600,000, respectively.
The share retention obligations must first be fulfilled on the date on which the Management Board member was granted an
overall equity based variable compensation corresponding to 1 ⅓ times the retention obligations since his or her appointment
to the Management Board. Deferred equity-based compensation may be taken into account at 75 % of its value towards
fulfillment of the obligation.
Observance of the requirement is reviewed semi-annually as of June 30 and December 31. If the required number of shares
is not met, the Management Board members have to make up for any deficits by the next review.
Even if a member leaves the Management Board, the deferred compensation components, which have been spread out over
several years, ensure that these members are linked to the performance of Deutsche Bank’s share over a long period of time.
Pension benefits
The Supervisory Board allocates an entitlement to pension plan benefits to the Management Board members. These entitle-
ments involve a pension plan with predefined contributions. Under this pension plan, a personal pension account is set up for
each participating member of the Management Board after appointment to the Management Board.
Management Board members receive a contribution in the form of a contractually agreed fixed annual amount in Euro. The
contribution accrues interest credited in advance, determined by means of an age-related factor, at an average rate of 4 %
per year up to the age of 60. From the age of 61 onwards, an additional contribution in the amount of 4 % per year of the
amount reached on December 31 of the previous year will be credited to the pension account. The Supervisory Board resolved
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that the interest for new Management Board members with employment contracts negotiated after January 1, 2020 will be
reduced to 2 % p.a.
The annual contributions, taken together, form the pension amount available to pay the future pension benefit in case of a
pension event (age limit, disability or death). The pension right is vested from the start.
If a member of the Management Board is subject to the income tax regulations of various countries, whereby the pension
component granted is already subject to partial or full taxation at the time it is granted, he or she may choose to receive an
annual pension allowance. This option can be exercised once and is valid in principle for the entire Management Board period.
The pension allowance is equal to the amount of the annual pension contributions usually foreseen for the member of the
Management Board, i.e. currently 650,000 €.
Other benefits upon early termination
The Management Board members are in principle entitled to receive a severance payment upon early termination of their
appointment at the Bank’s initiative, provided the Bank is not entitled to revoke the appointment or give notice under the
contractual agreement for cause. The circumstances of the early termination of the appointment and the length of service on
the Management Board are to be taken into account when determining the amount of the severance payment. The severance
payment, as a rule, is two annual compensation amounts and is limited to the claims to compensation for the remaining term
of the contract. The calculation of the severance payment is based on the annual compensation for the previous financial year
and on the expected annual compensation for the current financial year, if applicable. The severance payment is determined
and granted in accordance with the statutory and regulatory requirements, in particular with the provisions of the InstVV.
If a Management Board member leaves office in connection with a change of control, he/she is also, under certain conditions,
entitled in principle to a severance payment. The exact amount of the severance payment is determined by the Supervisory
Board within its sole discretion. According to the German Corporate Governance Codex, the severance payment will not
exceed three annual compensation amounts and is limited to the claims to compensation for the remaining term of the contract.
The calculation of the compensation is again based on the annual compensation for the previous financial year.
Management Board compensation for the 2020 financial year
Fixed compensation
In the 2020 financial year, the annual base salary was € 3,400,000 for the CEO. and € 3,000,000 for the President. The annual
base salaries of the other Management Board members were € 2,400,000 each, with a base salary of the Chief Financial
Officer and the Chief Risk Officer of € 2.600.000 per year, effective from August 1, 2020.
As part of the measurements taken in the context of the COVID-19 crisis, the members of the Management Board agreed to
forgo one month`s base salary. Please find an overview on the COVID-19 related measures regarding Management Board
compensation in the section “COVID-19 measures / reduction of compensation (“moderation”)”.
Variable compensation
The Supervisory Board, acting on a proposal of the Compensation Control Committee, determined the variable compensation
for the Management Board members for the 2020 financial year. The Supervisory Board calculated and determined the amount
of the LTA and the Group component of the STA based on the level of achievement of the respective objectives and/or key
performance figures. The individual contribution was assessed by the achievement of the individually agreed targets and
taking into account the results of the Balanced Scorecard.
Level of objective achievement
In the 2020 financial year, the development of the four performance metrics for the Group component of the STA was as
follows: The 2020 target KPIs for Common Equity Tier 1 capital ratio (CET1), Leverage ratio (please refer to section “Leverage
Ratio” in the Risk Report for further detail) and Adjusted Cost were achieved or exceeded, so that the degree of achievement
of all three performance indicators was 100 %. The Group's return on equity target was positive in 2020, above our plan
expectation; however, because the achievement level was only slightly above zero, the degree of achievement for this perfor-
mance metric was set at 0 %.
Mathematically, this resulted in an overall achievement level for the Group component of 75 % for 2020. As the Management
Board decided to reduce the achievement level from 75 % to 72.5 % when determining the Group component as a commitment
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in light of the crisis situation triggered by the COVID-19 pandemic to exhibit moderation in variable compensation the Super-
visory Board decided on the same reduction for the compensation of the members of the Management Board. As a result
thereof, the Supervisory Board decided to set the payout rate for the Group component at 72.5 % (see also paragraph "
COVID-19 measures / reduction of compensation (‘moderation’)”).
The individual component of the STA is linked to the achievement of short-term and medium-term individual and divisional
objectives determined for the Management Board members in 2020, including those from the Scorecard. The current Man-
agement Board members as of December 31, 2020 had the following objectives:
Christian Sewing
In 2020, Mr. Sewing's main objective was to deliver on DB strategy execution while respecting the timetable ("mile-stones").
The further development of the culture and vision 2025 for Deutsche Bank was another target. In addition, it was his objective
to continue to foster team spirit and to empower the leadership team. Finally, he was responsible for developing a bank-
wide ESG and sustainable banking strategy. In his responsibility for the Corporate Bank and the Investment Bank, he aimed
to deliver on CB/IB strategy execution and to generate sustainable profitability.
Karl von Rohr
Mr. von Rohr’s objectives for 2020 included: the implementation of the Private Bank strategy, including efficiency and growth
measures and to generate sustainable profitability. In his role as Chairman of the Supervisory Board of DWS KGaA, one
important aspect was to drive the implementation of the DWS strategy. As President of Deutsche Bank AG and CEO Ger-
many, it was his priority to support the CEO, especially in Germany, in particular in political and economic affairs and with
core client relationships in Germany on Group level. He also provided oversight of the Legal function until July 31. Finally,
he was to support the CEO in fostering a culture of team spirit, accountability and integrity.
Fabrizio Campelli
Mr. Campelli’s objectives included developing and driving a bank-wide transformation roadmap, including the establishment
of a Transformation Office tasked with supporting the effective execution of the Bank’s strategy. Another objective was to
drive better client centricity across the Bank, as well as costs and complexity reduction, including through the cost catalyst
program. As responsible Board Member for Human Resources, he was tasked with providing oversight to HR transformation
as well as supporting the new global head of HR in his transition into Deutsche Bank. He was also asked to support the
CEO in fostering a culture of accountability, integrity and team spirit.
Frank Kuhnke
As responsible Board Member for the Capital Release Unit (CRU), Mr. Kuhnke's objectives included optimizing capital usage
(RWA), leverage exposure, costs and divestment losses within agreed time frames and loss targets. Furthermore, the im-
plementation of the Know-Your-Client regulatory remedial measures for the Corporate Bank and the Investment Bank as
well as for the CRU was on the agenda for 2020. To ensure stability and increase efficiency, the implementation of specific
measures was agreed. In the EMEA region, one of its objectives until mid-2020 was to provide oversight to this region e.g.
with regard to key control matters and client engagement. In addition, he supported the CEO in fostering a culture of team
spirit, ownership and integrity.
Bernd Leukert
The main objective for Mr. Leukert was to drive the IT strategy execution. He should also continuously improve DB’s tech
and data estate. Driving product and service innovation across the bank was another objective. He was to support the CEO
in fostering a culture of team spirit, accountability and integrity.
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Stuart Lewis
As Chief Risk Officer, Mr. Lewis was mandated to ensure operational resilience and proactive risk management during the
prevailing operating and market environment. He was also tasked to implement further changes to the risk and compliance
operating model, achieving planned efficiencies. Mr. Lewis objectives also included delivery on a portfolio of core transfor-
mation initiatives to enhance the effectiveness and efficiency of controls. As the Management Board member responsible
for the UK, he had to oversee activities and stakeholder relationships for the region, including implementation of the Brexit
program. He also supported the CEO in fostering team spirit and delivering cultural initiatives regarding accountability and
integrity.
James von Moltke
A key objective for Mr. von Moltke in 2020 was to ensure that the Group’s financial plan is executed through appropriately
managing the Group’s performance. A further focus was to drive investor and Rating Agencies engagement. Mr. von Moltke
was in charge of the continued optimization of the DB Group balance sheet in terms of both assets and liabilities and equity.
The execution of the Group Finance strategy, including Financial & Analytics enhancement, was another objective. He was
to support the CEO in fostering a culture of team spirit, accountability and integrity.
Alexander von zur Mühlen
When joining the Management Board on August 1, 2020, the strengthening of the APAC franchise and client focus was an
objective for Mr. von zur Mühlen. The execution on the APAC strategy was another objective. Finally, he was to support the
CEO in fostering a culture of team spirit, accountability and integrity.
Christiana Riley
Mrs. Riley's objectives included the execution on the Americas strategy. A further focus has been put on addressing U.S.
regulators' requirements and trustful interaction with them. Her objectives included supporting the CEO in fostering a culture
of team spirit, accountability and integrity.
Prof. Dr. Stefan Simon
Since joining the Management Board on August 1, 2020, one of Mr. Simon’s objectives was to further drive down the bank-
wide litigation portfolio. Improvement of the strategic engagement with regulatory authorities and governments was an ob-
jective that Mr. Simon had for the area of Government & Regulatory Affairs (GRAD), for which he was responsible. In addi-
tion, he was responsible for the targeted reorganization of processes for the definition and implementation of policies. An-
other objective was to support the CEO in fostering a culture of team spirit, accountability and integrity.
The individual level of achievement of the Management Board members in 2020 is between 104 % and 175 %.
The three key performance indicators of the LTA developed as follows in fiscal year 2020: In 2020, the RTSR achieved a
significant improvement compared to the previous year. In 2020, Deutsche Bank's share price increased by more than 29%
and developed better than any other bank of the peer group. In the relevant three-year period (2018 to 2020), the RTSR
achievement level was at 114 % compared to 54 % in the previous year. Organic capital growth, as defined, has been negative
between 2018 and 2020; this resulted in an achievement of 0%. The strengthening of the control environment has been
assessed over three years on the basis of feedback from the internal audit and supervisory authorities; the achievement was
37.5% over the three-year period. This results in an overall achievement of 54 % for the LTA decided by the Supervisory
Board. Bernd Leukert and Stefan Simon were appointed to Management Board in 2020 but had already joined the bank in
2019, so two years were available as reference period. The overall target achievement for the LTA derived is also 54 %.
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COVID-19 measures / reduction of compensation ("moderation")
The target achievement levels for the STA as well as the LTA set by the Supervisory Board and presented above result in a
total variable compensation of € 30,168,330 for the entire Management Board for the 2020 financial year.
In the light of the crisis situation triggered by the COVID-19 pandemic, the European Supervisory Authority ECB has formu-
lated the expectation that credit institutions exercise moderation with regard to the payment of variable remuneration for the
2020 financial year.
Against this background, the total compensation for the entire Management Board for the 2020 financial year was reduced by
a total of € 4,624,140.
This was implemented by reducing the group component of the STA from 75 % to 72.5 %. In addition, the total compensation
for the 2020 financial year was reduced by one twelfth (i.e. one month´s total compensation including base salary). The
Chairman of the Supervisory Board joined by also reducing his compensation by one twelfth (please also see the ´Supervisory
Board Report and Disclosure´).
Total compensation
The members of the Management Board collectively received in/for the 2020 financial year compensation (exclusive of fringe
benefits and pension service costs) totaling € 50,020,069 (2019: € 35,994,279). € 22,473,664 (2019: € 22,700,000) of this
amount was for fixed compensation. € 27,546,405 (2019: € 13,294,279) was received for performance-related compo-nents
with long-term incentives.The Supervisory Board determined the aforementioned compensation on an individual basis for
2020 and 2019 as follows:
Base
salary
3,116,667
2,750,000
2,200,000
2,200,000
2,200,000
2,283,333
2,283,333
963,189
2,193,809
1,000,000
1,283,333
–
–
–
22,473,664
STA¹
LTA²
2020
2019
Total
compensation
Total
compensation
Group
component
332,292
332,292
332,292
332,292
332,292
332,292
332,292
138,454
332,292
138,454
193,836
–
–
–
3,129,080
Individual
component
2,246,475
1,422,758
1,269,400
850,667
986,700
986,333
1,269,400
381,944
869,367
406,389
443,606
–
–
–
11,133,039
1,672,611
1,377,445
1,377,445
1,377,445
1,390,278
1,377,445
1,377,445
573,935
1,377,445
579,283
803,509
–
–
–
13,284,286
7,368,045
5,882,495
5,179,137
4,760,403
4,909,270
4,979,403
5,262,470
2,057,522
4,772,912
2,124,126
2,724,286
–
–
–
50,020,069
5,031,717
4,396,708
632,785
3,796,708
–
3,796,708
3,796,708
–
–
–
3,796,708
2,588,079
4,968,079
3,190,079
35,994,279
in €
Christian Sewing
Karl von Rohr
Fabrizio Campelli3
Frank Kuhnke
Bernd Leukert4
Stuart Lewis
James von Moltke
Alexander von zur Mühlen5
Christiana Riley4
Prof. Dr. Stefan Simon5
Werner Steinmüller7
Sylvie Matherat7
Garth Ritchie7
Frank Strauß7
Total
1 STA: Short-Term Award.
2 LTA: Long-Term Award.
3 Member since November 1, 2019.
4 Member since January 1, 2020.
5 Member since August 1, 2020.
6 Member until July 31, 2020.
7 Member until July 31, 2019.
The employment contracts of the Management Board members contain an obligation of the members to ensure that any
remuneration they may claim in their capacity as a member of any body, in particular a supervisory board, advisory board or
similar body of any group entity of the Bank (§ 18 of the German Stock Corporation Act (Aktiengesetz – AktG)) will not accrue
to them. Accordingly, Management Board members did not receive any compensation for mandates on boards of Deutsche
Bank subsidiaries.
Share awards
The number of share awards granted to the members of the Management Board in the form of Restricted Equity Awards
(REA) in 2021 for the 2020 financial year was calculated by dividing the respective amounts in Euro by the higher of both, the
average Xetra closing price of the Deutsche Bank share during the last ten trading days in February 2021 or the Xetra closing
price on February 26, 2021 (€ 10.2140).
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Members of the Management Board
Units
Christian Sewing
Karl von Rohr
Fabrizio Campelli3
Frank Kuhnke
Bernd Leukert5
Stuart Lewis
James von Moltke
Alexander von zur Mühlen7
Christiana Riley5
Prof. Dr. Stefan Simon7
Werner Steinmüller8
Restricted Equity Award(s)
(deferred with additional
retention period)
208,1151
144,392
153,3432
118,911
145,8364
19,819
134,859
118,911
136,1156
134,859
118,911
145,8367
118,911
56,191
134,859
56,71510
78,667
118,911
69,365
79,58913
97,04514
Year
2020
2019
2020
2019
2020
2019
2020
2019
2020
2020
2019
2020
2019
2020
2020
2020
2020
2019
2019
2019
2019
Sylvie Matherat
Garth Ritchie
Frank Strauß
1 Thereof 44,359 shares are attributable to the STA, which vest after 7 years.
2 Thereof 18,485 shares are attributable to the STA, which vest after 7 years.
3 Member since November 1, 2019.
4 Thereof 10,977 shares are attributable to the STA, which vest after 7 years.
5 Member since January 1, 2020.
6 Thereof 38.890 shares, which vest after 7 years.
7 Thereof 10,977 shares are attributable to the STA, which vest after 7 years.
8 Member since August 1, 2020.
9 Member since January 1, 2020. As a specified functionholder of certain Deutsche Bank US entities, specific plan rules are applicable for Christiana Riley; please see the
respective disclosure in section ´Long-term Incentive and Sustainability`.
10 Thereof 16.204 shares, which vest after 7 years.
11 Member until July 31, 2020.
12 Member until July 31, 2019.
13 Thereof 10,224 shares are attributable to the STA, which vest after 7 year.
14 Thereof 27,680 shares are attributable to the STA, which vest after 7 year.
Management Board share ownership, shareholding guidelines
As of February 19, 2021 and January 31, 2020, respectively, the current members of the Management Board held Deutsche
Bank shares as presented below:
Members of the Management Board
Christian Sewing
Karl von Rohr
Fabrizio Campelli1
Frank Kuhnke
Bernd Leukert2
Stuart Lewis
James von Moltke
Alexander von zur Mühlen3
Christiana Riley2
Prof. Dr. Stefan Simon3
Total
1 Member since November 1, 2019.
2 Member since January 1, 2020.
3 Member since August 1, 2020.
Number of
shares
163,665
114,892
17,283
9,803
86,303
50,417
37,922
15,407
1,500
1,500
174,434
145,743
68,486
55,959
270,333
55,082
43,907
0
875,008
437,628
2021
2020
2021
2020
2021
2020
2021
2020
2021
2020
2021
2020
2021
2020
2021
2021
2020
2021
2021
2020
The current members of the Management Board held an aggregate of 875,008 Deutsche Bank shares on February 19, 2021,
amounting to approximately 0.04 % of Deutsche Bank shares issued on that date.
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Management Board compensation for the 2020 financial year
The following table shows the number of outstanding share awards of the current Management Board members as of Janu-
ary 31, 2020 and February 19, 2021 as well as the number of share awards newly granted, delivered or forfeited in this period.
Delivered
Balance as of
Jan 31, 2020
Members of the Management Board
Christian Sewing
Karl von Rohr
Fabrizio Campelli1
Frank Kuhnke
Bernd Leukert2
Stuart Lewis
James von Moltke
Alexander von zur Mühlen3
Christiana Riley2
Prof. Dr. Stefan Simon3
1 Member since November 1, 2019.
2 Member since January 1, 2020.
3 Member since August 1, 2020.
4 The awards listed in the table above as ´Forfeited´are equity-based awards granted under the Key Retention Plan in January 2017. These awards were subject to an additional
Granted
144,392
118,911
127,751
118,911
25,309
118,911
118,911
–
64,8025
–
24,693
15,433
67,636
42,866
–
54,239
23,767
–
51,4836
–
365,416
289,373
296,795
196,399
0
283,470
335,369
–
255,057
–
–
–
78,3064
33,1814
–
–
–
–
52,5364
–
Balance as of
19 Feb 2021
485,115
392,851
278,603
239,263
25,309
348,142
430,513
251,256
215,8417
31,740
Forfeited
share price condition and were forfeited as a result of this condition not being met. Please also see the section Share-Based Compensation Plans.
5 Under the associated plan, 64,802 restricted share awards originally granted were taxed at the time of grant, with 34,590 shares remaining on an after-tax basis. Please see the
respective disclosure in section ´Long-term Incentive and Sustainability`.
6 Thereof a number of 30,212 share awards delivered to cover the tax amount due under the associated plan (see footnote 5).
7 Thereof a net number of 34,590 restricted share awards under the associated plan (see footnote 5).
All Management Board members fulfilled the retention obligations for shares in 2020 or are currently in the waiting period.
The Chairman of the Management Board, Mr. Sewing, voluntarily committed to invest 15 % of his net salary in Deutsche Bank
shares from September 2019 until the end of December 2022. In each case, purchases took place on the 22nd day of each
month or on the following trading day. All shares purchased by February 19, 2021 are included in the above table.
Pension benefits
The following table shows the annual contributions, the interest credits, the account balances and the annual service costs for
the years 2020 and 2019 as well as the corresponding defined benefit obligations for each member of the Management Board
in office in 2020 as of December 31, 2020 and December 31, 2019. The different balances are attributable to the different
lengths of service on the Management Board, the respective age-related factors, and the different contribution rates, as well
as the individual pensionable compensation amounts and the previously mentioned additional individual entitlements.
Members of the
Management Board
Annual contribution,
in the year
Interest credit,
in the year
Account balance,
end of year
Service cost (IFRS),
in the year
Present value of the
defined benefit
obligation (IFRS),
end of year
in €
Christian Sewing
Karl von Rohr
Fabrizio Campelli1
Frank Kuhnke
Bernd Leukert2
Stuart Lewis
James von Moltke
Alexander von zur
Mühlen3
Christina Riley2
2020
936,000
786,500
1,046,500
845,000
1,135,3345
786,500
903,500
0
0
2019
975,000
812,500
180,918
871,000
0
812,500
936,000
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
2020
2019
2020
2019
5,742,500
4,806,500
3,967,001
3,180,501
2020
936,063
831,427
2019
2020
2019
939,695
5,816,960
4,701,381
819,511
4,205,087
3,261,910
1,227,418
180,918
1,008,742
174,626
1,224,209
1,716,000
871,000
1,135,334
0
5,657,938
4,871,438
3,318,250
2,414,750
0
0
0
0
867,588
851,694
818,838
895,972
0
0
178,170
868,111
0
849,657
1,759,798
0
1,181,299
819,511
6,358,878
5,536,127
907,600
3,385,498
2,382,139
0
0
0
0
0
0
0
903,039
0
1,335,674
380,305
667,193
2,660,574
2,259,433
0
1,293,5015
Prof. Dr. Stefan Si-
mon3
Werner Steinmüller4
1 Member since November 1, 2019.
2 Member since January 1, 2020.
3 Member since August 1, 2020.
4 Member until July 31, 2020.
5 This also includes amounts granted for the period prior to appointment as a member of the Management Board.
1,293,501
2,647,405
2,216,519
650,000
379,167
60,251
51,719
0
0
0
Expense for long-term incentive components
The following table presents the compensation expense recognized in the respective years for long-term incentive components
of compensation granted for service on the Management Board.
187
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Compensation in accordance with the German Corporate Governance Code (GCGC)
Members of the Management Board
in €
Christian Sewing
Karl von Rohr
Fabrizio Campelli1
Frank Kuhnke
Bernd Leukert2
Stuart Lewis
James von Moltke
Alexander von zur Mühlen3
Christina Riley2
Prof. Dr. Stefan Simon3
Werner Steinmüller4
1 Member since November 1, 2019.
2 Member since January 1, 2020.
3 Member since August 1, 2020.
4 Member until July 31, 2020.
Share-based compensation
components
Amount expensed for
Cash-based compensation
components
2020
887,894
661,926
23,935
143,607
0
351,726
644,657
0
0
0
2,936,877
2019
226,040
163,938
0
0
0
472,969
156,957
0
0
0
144,494
2020
372,347
293,690
14,024
84,140
0
278,156
293,690
0
0
0
655,935
2019
380,022
275,911
0
0
0
255,458
275,911
0
0
0
243,186
Compensation in accordance with the German Corporate Gov-
ernance Code (GCGC)
The compensation for the members of the Management Board in accordance with the requirements of section 4.2.5 para-
graph 3 of the GCGC 2017 is provided below. This comprises the benefits granted for the year under review including the
fringe benefits and including the maximum and minimum achievable compensation for variable compensation components.
In addition, the payment and delivery, as the case may be of fixed compensation and variable compensation (broken down by
Restricted Incentive Awards and Restricted Equity Awards) in/for the year under review, broken down into the relevant refer-
ence years are reported.
The following table provides the compensation granted for the 2020 and 2019 financial years according to GCGC 2017:
in €
Fixed compensation (base salary)
Fixed pay allowance
Fringe benefits (fixed compensation)
Total
Variable compensation
thereof:
Restricted Incentive Awards
Restricted Equity Awards
Determined
3,116,667
0
3,756
3,120,423
4,251,378
Target
3,400,000
0
3,756
3,403,756
5,300,000
Min
3,400,000
0
3,756
3,403,756
0
Fringe benefits (variable compensation)
Total
Pension service costs
Total compensation (GCGC)
Total compensation2
1 Thereof Restricted Equity Awards in the amount of € 453,078 that are attributable to the STA and vest after 7 years.
2 Without fringe benefits and pension service costs.
1,900,000
3,400,000
0
5,300,000
936,063
9,639,819
8,700,000
0
0
0
0
936,063
4,339,819
3,400,000
2,125,689
2,125,6891
0
4,251,378
936,063
8,307,864
7,368,045
in €
Fixed compensation (base salary)
Fixed pay allowance
Fringe benefits (fixed compensation)
Total
Variable compensation
thereof:
Restricted Incentive Awards
Restricted Equity Awards
Determined
2,750,000
0
11,208
2,761,208
3,132,495
Target
3,000,000
0
11,208
3,011,208
4,400,000
Min
3,000,000
0
11,208
3,011,208
0
Fringe benefits (variable compensation)
Total
Pension service costs
Total compensation (GCGC)
Total compensation2
1 Thereof Restricted Equity Awards in the amount of € 188,803 that are attributable to the STA and vest after 7 years.
2 Without fringe benefits and pension service costs.
1,600,000
2,800,000
0
4,400,000
831,427
8,242,635
7,400,000
0
0
0
0
831,427
3,842,635
3,000,000
1,566,247
1,566,2481
0
3,132,495
831,427
6,725,130
5,882,495
2020
Max
3,400,000
0
3,756
3,403,756
8,900,000
3,800,000
5,100,000
0
8,900,000
936,063
13,239,819
12,300,000
2020
Max
3,000,000
0
11,208
3,011,208
7,400,000
3,200,000
4,200,000
0
7,400,000
831,427
11,242,635
10,400,000
Christian Sewing
Determined
3,400,000
0
69,338
3,469,338
1,631,717
300,000
1,331,717
0
1,631,717
939,695
6,040,750
5,031,717
2019
Target
3,400,000
0
69,338
3,469,338
5,300,000
1,900,000
3,400,000
0
5,300,000
939,695
9,709,033
8,700,000
Karl von Rohr
2019
Target
3,000,000
0
43,642
3,043,642
4,225,000
1,425,000
2,800,000
0
4,225,000
819,511
8,088,153
7,225,000
Determined
3,000,000
0
43,642
3,043,642
1,396,708
300,000
1,096,708
0
1,396,708
819,511
5,259,861
4,396,708
188
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Compensation in accordance with the German Corporate Governance Code (GCGC)
in €
Fixed compensation (base salary)
Fixed pay allowance
Fringe benefits (fixed compensation)
Total
Variable compensation
thereof:
Restricted Incentive Awards
Restricted Equity Awards
Determined
2,200,000
0
21,984
2,221,984
2,979,137
Target
2,400,000
0
21,984
2,421,984
4,100,000
Min
2,400,000
0
21,984
2,421,984
0
Fringe benefits (variable compensation)
Total
Pension service costs
Total compensation (GCGC)
Total compensation3
1 Member since November 1, 2019.
2 Thereof Restricted Equity Awards in the amount of € 112,124 that are attributable to the STA and vest after 7 years.
3 Without fringe benefits and pension service costs.
1,489,568
1,489,5692
0
2,979,137
1,008,742
6,209,863
5,179,137
1,300,000
2,800,000
0
4,100,000
1,008,742
7,530,726
6,500,000
0
0
0
0
1,008,742
3,430,726
2,400,000
in €
Fixed compensation (base salary)
Fixed pay allowance
Fringe benefits (fixed compensation)
Total
Variable compensation
thereof:
Restricted Incentive Awards
Restricted Equity Awards
Fringe benefits (variable compensation)
Total
Pension service costs
Total compensation (GCGC)
Total compensation1
1 Without fringe benefits and pension service costs.
Determined
2,200,000
0
6,692
2,206,692
2,560,403
1,182,958
1,377,445
0
2,560,403
867,588
5,634,683
4,760,403
Target
2,400,000
0
6,692
2,406,692
4,100,000
1,300,000
2,800,000
0
4,100,000
867,588
7,374,280
6,500,000
Min
2,400,000
0
6,692
2,406,692
0
0
0
0
0
867,588
3,274,280
2,400,000
in €
Fixed compensation (base salary)
Fixed pay allowance
Fringe benefits (fixed compensation)
Total
Variable compensation
thereof:
Restricted Incentive Awards
Restricted Equity Awards
Determined
2,200,000
0
21,926
2,221,926
2,709,270
Target
2,400,000
0
21,926
2,421,926
4,100,000
Fringe benefits (variable compensation)
Total
Pension service costs
Total compensation (GCGC)
Total compensation3
1 Member since January 1, 2020.
2 Thereof Restricted Equity Awards in the amount of € 397,222 that vest after 7 years.
3 Without fringe benefits and pension service costs.
1,318,992
1,390,2782
0
2,709,270
851,694
5,782,890
4,909,270
1,300,000
2,800,000
0
4,100,000
851,694
7,373,620
6,500,000
Min
2,400,000
0
21,926
2,421,926
0
0
0
0
0
851,694
3,273,620
2,400,000
2020
Max
2,400,000
0
21,984
2,421,984
6,800,000
2,600,000
4,200,000
0
6,800,000
1,008,742
10,230,726
9,200,000
2020
Max
2,400,000
0
6,692
2,406,692
6,800,000
2,600,000
4,200,000
0
6,800,000
867,588
10,074,280
9,200,000
2020
Max
2,400,000
0
21,926
2,421,926
6,800,000
2,600,000
4,200,000
0
6,800,000
851,694
10,073,620
9,200,000
Fabrizio Campelli1
2019
Determined
400,000
–
8,182
408,182
232,785
50,000
182,785
–
232,785
174,626
815,593
632,785
Target
400,000
–
8,182
408,182
683,333
216,667
466,667
–
683,333
174,626
1,266,141
1,083,333
Frank Kuhnke
2019
Target
2,400,000
–
29,580
2,429,580
4,100,000
1,300,000
2,800,000
–
4,100,000
849,657
7,379,237
6,500,000
Bernd Leukert1
2019
Target
–
–
–
–
–
–
–
–
–
–
–
–
Determined
2,400,000
–
29,580
2,429,580
1,396,708
300,000
1,096,708
–
1,396,708
849,657
4,675,945
3,796,708
Determined
–
–
–
–
–
–
–
–
–
–
–
–
189
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Compensation in accordance with the German Corporate Governance Code (GCGC)
in €
Fixed compensation (base salary)
Fixed pay allowance
Fringe benefits (fixed compensation)
Total
Variable compensation
thereof:
Restricted Incentive Awards
Restricted Equity Awards
Fringe benefits (variable compensation)
Total
Pension service costs
Total compensation (GCGC)
Total compensation1
1 Without fringe benefits and pension service costs.
Determined
2,283,333
0
29,166
2,312,499
2,696,070
1,318,625
1,377,445
0
2,696,070
818,838
5,827,407
4,979,403
Target
2,483,333
0
29,166
2,512,499
4,100,000
1,300,000
2,800,000
0
4,100,000
818,838
7,431,337
6,583,333
Min
2,483,333
0
29,166
2,512,499
0
0
0
0
0
818,838
3,331,337
2,483,333
in €
Fixed compensation (base salary)
Fixed pay allowance
Fringe benefits (fixed compensation)
Total
Variable compensation
thereof:
Restricted Incentive Awards
Restricted Equity Awards
Determined
2,283,333
0
42,980
2,326,313
2,979,137
Target
2,483,333
0
42,980
2,526,313
4,100,000
Min
2,483,333
0
42,980
2,526,313
0
Fringe benefits (variable compensation)
Total
Pension service costs
Total compensation (GCGC)
Total compensation2
1 Thereof Restricted Equity Awards in the amount of € 112,124 that are attributable to the STA and vest after 7 years.
2 Without fringe benefits and pension service costs.
1,300,000
2,800,000
615,516
4,715,516
895,972
8,137,801
6,583,333
0
0
615,516
615,516
895,972
4,037,801
2,483,333
1,489,568
1,489,5691
615,516
3,594,653
895,972
6,816,938
5,262,470
2020
Max
2,483,333
0
29,166
2,512,499
6,800,000
2,600,000
4,200,000
0
6,800,000
818,838
10,131,337
9,283,333
2020
Max
2,483,333
0
42,980
2,526,313
6,800,000
2,600,000
4,200,000
615,516
7,415,516
895,972
10,837,801
9,283,333
Stuart Lewis
2019
Target
2,400,000
0
312,607
2,712,607
4,100,000
1,300,000
2,800,000
0
4,100,000
819,511
7,632,118
6,500,000
Determined
2,400,000
0
312,607
2,712,607
1,396,708
300,000
1,096,708
0
1,396,708
819,511
4,928,826
3,796,708
James von Moltke
Determined
2,400,000
0
310,510
2,710,510
1,396,708
300,000
1,096,708
615,516
2,012,224
907,600
5,630,334
3,796,708
2019
Target
2,400,000
0
310,510
2,710,510
4,100,000
1,300,000
2,800,000
615,516
4,715,516
907,600
8,333,626
6,500,000
in €
Fixed compensation (base salary)
Fixed pay allowance
Fringe benefits (fixed compensation)
Total
Variable compensation
thereof:
Restricted Incentive Awards
Restricted Equity Awards
Determined
963,1892
270,833
14,851
1,248,873
1,094,333
Target
1,000,000
270,833
14,851
1,285,684
1,708,333
Min
1,000,000
270,833
14,851
1,285,684
0
2020
Max
1,000,000
270,833
14,851
1,285,684
2,833,333
Alexander von zur Mühlen1
2019
Determined
–
–
–
–
–
Target
–
–
–
–
–
Fringe benefits (variable compensation)
Total
Pension service costs
Total compensation (GCGC)
Total compensation3
1 Member since August 1, 2020.
2 As the fixed compensation is granted in local currency, it is subject to FX-rate changes. The waiver of 1/12th of the base salary took place prior to the appointment to the
520,398
573,935
33,304
1,127,637
0
2,376,510
2,057,522
541,666
1,166,667
33,304
1,741,637
0
3,027,321
2,708,333
0
0
33,304
33,304
0
1,318,988
1,000,000
1,083,332
1,750,001
33,304
2,866,637
0
4,152,321
3,833,333
–
–
–
–
–
–
–
Management Board.
3 Without fixed pay allowance and fringe benefits.
–
–
–
–
–
–
–
190
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Compensation in accordance with the German Corporate Governance Code (GCGC)
in €
Fixed compensation (base salary)
Fixed pay allowance
Fringe benefits (fixed compensation)
Total
Variable compensation
thereof:
Restricted Incentive Awards
Restricted Equity Awards
Determined
2,193,8092
650,000
94,530
2,938,339
2,579,103
Target
2,400,000
650,000
94,530
3,144,530
4,100,000
Min
2,400,000
650,000
94,530
3,144,530
0
2020
Max
2,400,000
650,000
94,530
3,144,530
6,800,000
Christiana Riley1
2019
Determined
–
–
–
–
–
Target
–
–
–
–
–
Fringe benefits (variable compensation)
Total
Pension service costs
Total compensation (GCGC)
Total compensation3
1 Member since January 1, 2020. As a specified functionholder of certain Deutsche Bank US entities, specific plan rules are applcable for Christiana Riley; please see the
1,201,658
1,377,445
95,643
2,674,746
0
5,613,085
4,772,912
1,300,000
2,800,000
95,643
4,195,643
0
7,340,173
6,500,000
0
0
95,643
95,643
0
3,240,173
2,400,000
2,600,000
4,200,000
95,643
6,895,643
0
10,040,173
9,200,000
–
–
–
–
–
–
–
–
–
–
–
–
–
–
respective disclosure in section ´Long-term Incentive and Sustainability`.
2 As the fixed compensation is granted in local currency, it is subject to FX-rate changes.
3 Without fixed pay allowance and fringe benefits.
in €
Fixed compensation (base salary)
Fixed pay allowance
Fringe benefits (fixed compensation)
Total
Variable compensation
thereof:
Restricted Incentive Awards
Restricted Equity Awards
Determined
1,000,0002
0
7,354
1,007,354
1,124,126
Target
1,000,000
0
7,354
1,007,354
1,708,333
Min
1,000,000
0
7,354
1,007,354
0
Fringe benefits (variable compensation)
Total
Pension service costs
Total compensation (GCGC)
Total compensation4
1 Member since August 1, 2020.
2 The waiver of 1/12th of the base salary took place prior to the appointment to the Management Board.
3 Thereof Restricted Equity Awards in the amount of € 165,509 that vest after 7 years.
4 Without fringe benefits and pension service costs.
544,843
579,2833
0
1,124,126
903,039
3,034,519
2,124,126
541,666
1,166,667
0
1,708,333
903,039
3,618,726
2,708,333
0
0
0
0
903,039
1,910,393
1,000,000
2020
Max
1,000,000
0
7,354
1,007,354
2,833,333
1,083,332
1,750,001
0
2,833,333
903,039
4,743,726
3,833,333
Prof. Dr. Stefan Simon1
2019
Determined
–
–
–
–
–
–
–
–
–
–
–
–
Target
–
–
–
–
–
–
–
–
–
–
–
–
in €
Fixed compensation (base salary)
Fringe benefits (fixed compensation)
Total
Variable compensation
thereof:
Restricted Incentive Awards
Restricted Equity Awards
Fringe benefits (variable compensation)
Total
Pension service costs
Total compensation (GCGC)
Total compensation2
1 Member until July 31, 2020.
2 Without fringe benefits and pension service costs.
Determined
1,283,333
31,620
1,314,953
1,440,953
637,444
803,509
322,542
1,763,495
380,305
3,458,753
2,724,286
Target
1,400,000
31,620
1,431,620
2,391,667
758,334
1,633,333
322,542
2,714,209
380,305
4,494,514
3,791,667
Min
1,400,000
31,620
1,431,620
0
0
0
322,542
322,542
380,305
1,986,180
1,400,000
2020
Max
1,400,000
31,620
1,431,620
3,966,668
1,516,668
2,450,000
322,542
4,289,210
380,305
6,069,515
5,366,668
Werner Steinmüller1
2019
Determined
2,400,000
68,463
2,468,463
1,396,708
300,000
1,096,708
510,033
1,906,741
667,193
5,042,397
3,796,708
Target
2,400,000
68,463
2,468,463
4,100,000
1,300,000
2,800,000
510,033
4,610,033
667,193
7,745,689
6,500,000
191
Deutsche Bank
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Management Board compensation report
Compensation in accordance with the German Corporate Governance Code (GCGC)
in €
Fixed compensation (base salary)
Fringe benefits (fixed compensation)
Total
Variable compensation
thereof:
Restricted Incentive Awards
Restricted Equity Awards
Fringe benefits (variable compensation)
Total
Pension service costs
Total compensation (GCGC)
Total compensation2
1 Member until July 31, 2019.
2 Without fringe benefits and pension service costs.
Determined
Target
Min
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
in €
Fixed compensation (base salary)
Functional allowance
Fringe benefits (fixed compensation)
Total
Variable compensation
thereof:
Restricted Incentive Awards
Restricted Equity Awards2
Determined
Target
Min
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
Fringe benefits (variable compensation)
Total
Pension service costs
Total compensation (GCGC)
Total compensation3
1 Member until July 31, 2019.
2 Thereof Restricted Equity Awards in the amount of € 94,294 that are attributable to the STA and vest after 7 years.
3 Without functional allowance fringe benefits and pension service costs.
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
in €
Fixed compensation (base salary)
Fringe benefits (fixed compensation)
Total
Variable compensation
thereof:
Restricted Incentive Awards
Restricted Equity Awards2
Determined
Target
Min
0
0
0
0
0
0
0
0
0
0
0
0
Fringe benefits (variable compensation)
Total
Pension service costs
Total compensation (GCGC)
Total compensation3
1 Member until July 31, 2019.
2 Thereof Restricted Equity Awards in the amount of € 255,294 that are attributable to the STA and vest after 7 years.
3 Without fringe benefits and pension service costs.
2020
Max
0
0
0
0
0
0
0
0
0
0
0
2020
Max
0
0
0
0
0
0
0
0
0
0
0
0
2020
Max
0
0
0
0
0
0
0
0
0
0
0
Sylvie Matherat1
2019
Determined
1,400,000
4,636
1,404,636
1,188,079
548,333
639,746
0
1,188,079
0
2,592,715
2,588,079
Target
1,400,000
4,636
1,404,636
2,391,667
758,333
1,633,333
0
2,391,667
0
3,796,303
3,791,667
Garth Ritchie1
2019
Target
1,750,000
1,750,000
267,834
3,767,834
2,741,667
1,108,333
1,633,333
0
2,741,667
0
6,509,501
4,491,667
Frank Strauß1
2019
Target
1,400,000
35,253
1,435,253
2,566,667
933,333
1,633,333
0
2,566,667
545,325
4,547,245
3,966,667
Determined
1,750,000
1,750,000
267,834
3,767,834
1,468,079
734,039
734,040
0
1,468,079
0
5,235,913
3,218,079
Determined
1,400,000
35,253
1,435,253
1,790,079
895,039
895,040
0
1,790,079
545,325
3,770,657
3,190,079
192
Deutsche Bank
Annual Report 2020
Management Board compensation report
Compensation in accordance with the German Corporate Governance Code (GCGC)
The following table provides the compensation payments and deliveries in/for the 2020 and 2019 financial years according to
GCGC 2017
in €
Fixed compensation
Functional allowance
Fixed pay allowance
Fringe benefits (fixed compensation)
Total
Variable compensation
thereof Cash:
thereof Restricted Incentive Awards:
Fabrizio Campelli1
2019
Christian Sewing
Karl von Rohr
Frank Kuhnke
2020
2019
2020
2019
2020
0
0
3,756
2019
3,116,667 3,400,000 2,750,000 3,000,000 2,200,000 400,000 2,200,000 2,400,000
–
0
–
0
29,580
43,642
3,120,423 3,469,338 2,761,208 3,043,642 2,221,984 408,182 2,206,692 2,429,580
–
0
232,061
–
0
0
0 168,625
0
0
0
0
21,984
0
0
11,208
0
0
69,338
–
–
8,182
0
0
6,692
–
–
0
0
0
0
2020
2015 Restricted Incentive Award for 2014
2017 Restricted Incentive Award: Sign On
2017 Restricted Incentive Award: Buyout
2019 Restricted Incentive Award for 2018
0
0
0
232,061
0
0
0
0
0
0
– 168,625
0
0
0
0
0
0
0
0
–
–
–
0
0
0
0
0
–
–
–
–
thereof Equity Awards:
2017 Equity Upfront Award: Sign On
2014 Restricted Equity Award for 2013
2015 DB Equity Plan for 2014
2017 Restricted Equity Award: Buyout
Fringe benefits (variable compensation)
Total
Pension service costs
Total compensation (GCGC)
1 Member since November 1, 2019.
in €
Fixed compensation
Functional allowance
Fixed pay allowance
Fringe benefits (fixed compensation)
Total
Variable compensation
thereof Cash:
thereof Restricted Incentive Awards:
2015 Restricted Incentive Award for 2014
2017 Restricted Incentive Award: Sign On
2017 Restricted Incentive Award: Buyout
2019 Restricted Incentive Award for 2018
thereof Equity Awards:
2017 Equity Upfront Award: Sign On
2014 Restricted Equity Award for 2013
2015 DB Equity Plan for 2014
2017 Restricted Equity Award: Buyout
Fringe benefits (variable compensation)
Total
Pension service costs
Total compensation (GCGC)
–
0
0
–
0
0
–
0
0
–
0
0
–
0
0
232,061
–
0
936,063 939,695 831,427 819,511 1,008,742 174,626 867,588 849,657
4,288,547 4,409,033 3,761,260 3,863,153 3,230,726 582,808 3,074,280 3,279,237
0
0
0
0
0
0
0
0
0
0
0 168,625
–
–
–
–
–
–
0
0
0
0
0
0
0
0
0
0
0
0
Bernd Leukert1
2019
2020
Stuart Lewis
James von Moltke
2020
2019
2020
2019
2,200,000
0
0
21,926
2,221,926
0
0
0
0
0
0
29,166 312,607
– 2,283,333 2,400,000 2,283,333 2,400,000 963,1893
0
–
0
0 270,833
–
–
14,851
– 2,312,499 2,712,607 2,326,313 2,710,510 1,248,873
0
– 599,399 704,736 693,011 951,953
0
0
0
–
42,980 310,510
0
0
0
0
2020
Alexander von zur
Mühlen2
2019
–
–
–
–
–
–
–
0
0
0
0
0
0 105,340
–
0
0
66,638
–
0 280,379 420,568
0
–
0
0 168,625
– 156,125
0
66,638
0
0
0
0
0
0
0
0
0
0
851,694
3,073,620
0
0 183,170
0
0
–
0
0
0
0 599,396
–
0
0
0 0
– 443,274
0
0 177,369 281,577
0
–
33,304
–
0 615,516 615,516
0
33,304
– 599,399 704,736 1,308,527 1,567,469
– 818,838 819,511 895,972 907,600
0
– 3,730,736 4,236,854 4,530,812 5,185,579 1,282,177
–
–
–
–
–
–
–
–
–
–
–
–
1 Member since January 1, 2020.
2 Member since August 1, 2020.
3 As the fixed compensation is granted in local currency, it is subject to FX-rate changes. The waiver of 1/12th of the base salary took place prior to the appointment to the
Management Board.
193
Deutsche Bank
Annual Report 2020
Management Board compensation report
Compensation in accordance with the German Corporate Governance Code (GCGC)
Christiana Riley1
2019
2020
Prof. Dr. Stefan Simon2
2019
2020
Werner Steinmüller3
2019
2020
in €
Fixed compensation
Functional allowance
Fixed pay allowance
Fringe benefits (fixed compensation)
Total
Variable compensation
thereof Cash:
thereof Restricted Incentive Awards:
2015 Restricted Incentive Award for 2014
2017 Restricted Incentive Award: Sign On
2017 Restricted Incentive Award: Buyout
2019 Restricted Incentive Award for 2018
thereof Equity Awards:
2017 Equity Upfront Award: Sign On
2014 Restricted Equity Award for 2013
2015 DB Equity Plan for 2014
2017 Restricted Equity Award: Buyout
Fringe benefits (variable compensation)
Total
Pension service costs
Total compensation (GCGC)
2,193,8095
0
650,000
94,530
2,938,339
0
0
0
0
0
0
0
0
0
0
95,643
95,643
0
3,033,982
– 1,000,0006
0
–
0
–
–
7,354
– 1,007,354
0
–
0
–
–
–
–
–
0
0
0
0
–
0
–
0
–
0
–
0
–
0
0
–
– 903,039
– 1,910,393
1 Member since January 1, 2020.
2 Member since August 1, 2020.
3 Member until July 31, 2020.
4 Member until July 31, 2019.
5 As the fixed compensation is granted in local currency, it is subject to FX-rate changes.
6 The waiver of 1/12th of the base salary took place prior to the appointment to the Management Board.
in €
Fixed compensation
Functional allowance
Fixed pay allowance
Fringe benefits (fixed compensation)
Total
Variable compensation
thereof Cash:
thereof Restricted Incentive Awards:
2015 Restricted Incentive Award for 2014
2017 Restricted Incentive Award: Sign On
2017 Restricted Incentive Award: Buyout
2019 Restricted Incentive Award for 2018
thereof Equity Awards:
2017 Equity Upfront Award: Sign On
2014 Restricted Equity Award for 2013
2015 DB Equity Plan for 2014
2017 Restricted Equity Award: Buyout
Fringe benefits (variable compensation)
Total
Pension service costs
Total compensation (GCGC)
1 Member until July 31, 2019.
– 1,283,333 2,400,000
0
0
–
0
0
–
–
68,463
31,620
– 1,314,953 2,468,463
0
– 148,625
0
0
–
2020
Sylvie Matherat4
2019
0 1,400,000
0
0
0
0
0
4,636
0 1,404,636
0
0
0
0
0
–
0
–
–
0
– 148,625
0
0
0
0
0
0
0
0
0
0
0
0
0
0
–
0
0
–
0 281,577
0
–
0
0
– 322,542 510,033
– 471,167 510,033
– 380,305 667,193
– 2,166,425 3,645,689
0
0
0
0
–
0
0
0
0
0
0
0
0
0
0 1,404,636
Garth Ritchie1
2019
2020
0 1,750,000
0 1,750,000
0
0
0 267,834
0 3,767,834
0
0
0
0
2020
Frank Strauß1
2019
0 1,400,000
0
0
0
0
0
35,253
0 1,435,253
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
–
0
0
0
0
0
0
0
0
0
0 3,767,834
#REF!
0
0
0
0
0
0
0
0
0
0
0
0
0 545,325
0 1,980,578
#REF!
With respect to deferred awards scheduled to be delivered in the first quarter of 2021, the Supervisory Board has confirmed
that the performance conditions for the financial year 2020 have been met.
194
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Management Board compensation report
Compensation in accordance with the German Accounting Standard No. 17 (GAS 17)
Compensation in accordance with the German Accounting
Standard No. 17 (GAS 17)
In accordance with the requirements of the GAS 17, the members of the Management Board collectively received in the 2020
financial year compensation totaling € 40,119,062 (2019: € 34,835,009). Of that, € 22,473,664 (2019: € 20,950,000) was for
fixed compensation, € 0 (2019: € 1,750,000) for functional allowances, € 920,833 (2019: 0 €) for fixed pay allowances,
€ 1,353,072 (2019: € 2,275,594) for fringe benefits and € 15,371,493 (2019: € 9,859,415) for performance-related compo-
nents.
In accordance with German Accounting Standard No. 17, the Restricted Incentive Awards, as a deferred, non-equity-based
compensation component subject to certain (forfeiture) conditions, must be recognized in the total compensation for the year
of their payment (i.e. in the financial year in which the unconditional payment takes place) and not in the year they are originally
granted. Based thereon, the Management Board members individually received the following compensation components for
their service on the Management Board for or in the years 2020 and 2019, including the non-performance-related fringe
benefits.
Compensation according to GAS 17
in €
Compensation
Performance-related components
Without long-term incentives
Immediately paid out
With short-term incentives
Cash
With long-term incentives
Cash-based
Christian Sewing
Karl von Rohr
2020
2019
2020
2019
Fabrizio Campelli1
2019
2020
Frank Kuhnke
2020
2019
0
0
0
0
0
0
0
0
0
0
0
0
0
0
Restricted Incentive
Award(s) paid
Share-based
Restricted Equity Award(s) 2,125,6892 1,331,717 1,566,2483 1,096,708 1,489,5694
232,061
168,625
0
0
0
Non-performance-related compo-
nents
Base salary
Functional allowance
Fixed pay allowance
Fringe benefits (fixed and varia-
ble)
Total
3,116,667 3,400,000 2,750,000 3,000,000 2,200,000
0
0
0
0
0
0
0
0
0
0
3,756
21,984
5,478,173 4,801,055 4,496,081 4,140,350 3,711,553
69,338
11,208
43,642
1 Member since November 1, 2019.
2 Thereof Restricted Equity Awards in the amount of € 453,078 that are attributable to the STA and vest after 7 years.
3 Thereof Restricted Equity Awards in the amount of € 188,803 that are attributable to the STA and vest after 7 years.
4 Thereof Restricted Equity Awards in the amount of € 112,124 that are attributable to the STA and vest after 7 years.
0
0
182,785 1,377,445 1,096,708
400,000 2,200,000 2,400,000
0
0
0
0
0
0
8,182
29,580
590,967 3,584,137 3,526,288
6,692
Bernd Leukert1
2019
2020
Stuart Lewis
James von Moltke
2020
2019
2020
2019
Alexander von zur Mühlen2
2019
2020
in €
Compensation
Performance-related components
Without long-term incentives
Immediately paid out
With short-term incentives
Cash
With long-term incentives
Cash-based
0
0
−
−
0
0
0
0
0
0
0
0
0
0
Restricted Incentive
Award(s) paid
Share-based
Restricted Equity Award(s) 1,390,278
0
Non-performance-related compo-
nents
Base salary
Functional allowance
Fixed pay allowance
Fringe benefits (fixed and varia-
ble compensation)
Total
2,200,000
0
0
21,926
3,612,204
−
156,125
105,340
515,642
487,207
0
− 1,377,445 1,096,708 1,489,5693 1,096,708
573,935
− 2,283,333 2,400,000 2,283,333 2,400,000
0
0
−
0
0
−
0
0
0
0
963,1894
0
270,833
29,166
−
48,155
− 3,846,069 3,914,655 4,947,040 4,909,941 1,856,112
926,026
658,496
312,607
1 Member since January 1, 2020.
2 Member since August 1, 2020.
3 Thereof Restricted Equity Awards in the amount of € 112,124 that are attributable to the STA and vest after 7 years.
0
0
0
−
−
−
−
−
−
−
−
−
195
Deutsche Bank
Annual Report 2020
Management Board compensation report
Compensation in accordance with the German Accounting Standard No. 17 (GAS 17)
4 As the fixed compensation is granted in local currency, it is subject to FX-rate changes. The waiver of 1/12th of the base salary took place prior to the appointment to the
Management Board.
Christiana Riley1
2019
2020
Prof. Dr. Stefan Simon2
2019
2020
Werner Steinmüller3
2019
2020
Sylvie Matherat4
2019
2020
in €
Compensation
Performance-related components
Without long-term incentives
Immediately paid out
With short-term incentives
Cash
With long-term incentives
Cash-based
Restricted Incentive
Award(s) paid
Share-based
Restricted Equity Award(s) 1,377,445
0
Non-performance-related compo-
nents
Base salary
Functional allowance
Fixed pay allowance
Fringe benefits (fixed and varia-
ble compensation)
0
0
−
−
0
0
−
−
0
0
0
0
0
0
−
0
−
148,625
0
0
−
579,283
−
803,509 1,096,708
0
639,746
0
0
0
2,193,8095
0
650,000
− 1,000,0006
0
−
0
−
− 1,283,333 2,400,000
0
0
−
0
0
−
0 1,400,000
0
0
0
0
Total
−
7,354
− 1,586,637
1 Member since January 1, 2020. As a specified functionholder of certain Deutsche Bank US entities, specific plan rules are applcable for Christiana Riley; please see the
−
578,496
− 2,589,629 4,075,204
190,173
4,411,427
0
4,636
0 2,044,382
354,162
respective disclosure in section ´Long-term Incentive and Sustainability`.
2 Member since August 1, 2020.
3 Member until July 31, 2020.
4 Member until July 31, 2019.
5 As the fixed compensation is granted in local currency, it is subject to FX-rate changes.
6 The waiver of 1/12th of the base salary took place prior to the appointment to the Management Board.
in €
Compensation
Performance-related components
Without long-term incentives
Immediately paid out
With short-term incentives
Cash
With long-term incentives
Cash-based
Restricted Incentive Award(s) paid
Share-based
Restricted Equity Award(s)
Non-performance-related components
Base salary
Functional allowance
Fixed pay allowance
Fringe benefits (fixed and variable compensation)
Total
Garth Ritchie1
2019
2020
Frank Strauß1
2019
2020
2020
Total
2019
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0 1,221,078
592,547
0
734,0402
0
895,0403 14,150,415 9,266,868
0 1,750,000
0 1,750,000
0
0
0
267,834
0 4,501,874
0 1,400,000 22,473,664 20,950,000
0 1,750,000
0
0
0
920,833
0
35,253 1,353,072 2,275,594
0 2,330,293 40,119,062 34,835,009
0
0
1 Member until July 31, 2019.
2 Thereof Restricted Equity Awards in the amount of € 94,294 that are attributable to the STA and vest after 7 years.
3 Thereof Restricted Equity Awards in the amount of € 255,294 that are attributable to the STA and vest after 7 years.
With respect to deferred awards scheduled to be delivered in the first quarter of 2021, the Supervisory Board has confirmed
that the performance conditions for the 2020 financial year have been met.
196
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Management Board compensation report
Outlook: Further development of the compensation system from 2021 onwards
Outlook: Further development of the compensation system
from 2021 onwards
The current system for the compensation of Management Board members was approved by the 2017 Annual General Meeting
with a large majority of around 97 %. The structure of the compensation system has proven itself since then, and its application
shows that the targets anchored in it set the right incentives and lead to appropriate results ("pay for performance").
The compensation system will be resubmitted to the 2021 Annual General Meeting for approval in accordance with § 120a (1)
of the German Stock Corporation Act (AktG) in order to take into account the changed regulatory requirements resulting from
the entry into force of ARUG II (Act Implementing the Second Shareholders' Rights Directive).
Aim of the adjustments
The Supervisory Board took the upcoming vote on the compensation system as an opportunity to comprehensively review
and develop further the current structure. As a result, adjustments were made that serve to structure the compensation com-
ponents in such a way that they lead to even greater uniformity and transparency with regard to the compensation structures
and weighting of the components. In the context of promoting good corporate governance and sustainable corporate devel-
opment, ESG objectives in particular will be given even greater consideration in the performance criteria in the future. In order
to closely link the compensation to the long-term development of the company, the level of share ownership will be promoted
further in accordance with the ambitious Deutsche Bank Shareholding Guidelines. The alignment of the interests of the Man-
agement Board with those of the shareholders will thus be significantly strengthened.
Since the previous design and application of the system has overall worked well and was always in line with the statutory
regulatory requirements, the basic structure of the Management Board compensation remains unchanged, except for the
aforementioned adjustments. Where necessary, other components of the Management Board compensation system have
been adjusted to the changed regulatory framework conditions; in particular, the requirements of Section 87a of the German
Stock Corporation Act (AktG), the Remuneration Ordinance for Institutions (Institutsvergütungsverordnung) and the recom-
mendations of the revised German Corporate Governance Code (DCGK 2020) have been taken into account. Within the
framework of consistent management of compensation outcomes (consequence management), regular backtesting will be
performed and the necessary instruments to correct or reverse undesired outcomes will continue to be used, in particular in
the form of forfeiture, malus and clawback provisions. The continuation of the deferral and retention periods ensures that only
sustainable successes are rewarded and through the availability of forfeiture, malus and clawback provisions, as well as the
shareholding guidelines, the compensation granted is closely linked to the company's success even for a number of years
after a member of the Management Board has left the company. In the event of a change of control, a severance payment will
no longer be available and a simple special termination right will continue to apply instead.
Target structure from January 2021
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Outlook: Further development of the compensation system from 2021 onwards
In particular, three areas requiring action were identified, resulting in the following adjustments to the compensation system:
1. Increasing the portion of share-based variable compensation to up to 100 % in
the interest of full compliance with the Shareholding Guidelines
The portion of share-based variable compensation can be increased in relation to cash compensation for individual members
of the Management Board until the DB Shareholding Guidelines are fulfilled, especially for members who are new to the
Management Board and do not yet hold any shares or hardly any shares of the company. Until the shareholding obligation
according to the Guidelines is fulfilled by each member of the Management Board, the Supervisory Board is given the option
to temporarily increase the portion of share-based variable compensation to up to 100% for individual Management Board
members concerned. This is a moderate way to achieve the desired level of the shareholding obligation in the coming years
without increasing the complexity of the compensation system at the same time.
2. Increasing transparency and consistency of variable compensation components
The variable compensation is to be made clearer and more transparent through the setting of a fixed ratio of the target values
of the two variable compensation components and the alignment of the maximum target achievement of both variable com-
pensation components. In the future, the target values of the Short Term Award and the Long Term Award will account for
40% and 60%, as the case may be, of the total variable compensation for each Management Board member. The maximum
target achievement for the Short Term Award and the Long Term Award will be harmonized and set at 150% for both compo-
nents (instead of previously 200% for the Short Term Award). Furthermore, the fact that all individual targets will relate to the
Short Term Award and all group targets will relate to the Long Term Award leads to a further increase in transparency and
reduction of complexity with regard to the target structure. Overall, the adjustment of the compensation system will lead to a
reduction in the total amount of achievable variable compensation.
3. Linking the sustainability strategy to variable compensation by implementing
ESG objectives
Since 2000, Deutsche Bank has joined numerous sustainability programs and signed renowned voluntary commitments. For
example, Deutsche Bank has been committed to the ten principles of the United Nations Global Compact, the goals of the
Paris Climate Agreement, the Climate Commitment of the German banking industry, the UN Principles for Responsible Bank-
ing and the Equator Principles for many years. Sustainability issues are actively promoted and supported with memberships
in the Banking Environment Initiative (BEI), the Sustainability Finance Advisory Council of the German Federal Government,
the Finance Initiative of the UN Environment Programme (UNEP FI) and participation in the ECB's pilot project on climate
intensity. Deutsche Bank has bundled and expanded the management and monitoring of sustainability aspects within the
Group-wide Sustainability Council established in 2018 and expanded this with the Sustainability Committee established last
year.
Taking responsible action for the protection of the climate and biodiversity, adopting resource-saving business practices and
assuming responsibility towards society by the Bank is seen as an important contribution to corporate success. Aspects of
employee diversity and satisfaction as well as good corporate governance have been part of the Management Board's com-
pensation for some time.
An important goal of the further development of the compensation system is therefore linking Deutsche Bank's ESG sustain-
ability strategy with the objectives of the Management Board and thus the compensation of the Management Board. Last year,
the Supervisory Board and the Management Board further strengthened the Bank's sustainability commitment by linking the
compensation of the Management Board and other top executives to additional non-financial sustainability criteria and objec-
tives from 2021. Several ESG targets were added to the variable compensation components, such as a target volume for
sustainable financing/ESG investments and a reduction of electricity consumption in the Bank's buildings. The Culture & Client
Factor with its governance objectives was expanded to include environmental and social aspects and will in future be merged
into a so-called ESG Factor. The degree of achievement of the ESG factor will be measured within the framework of a
Deutsche Bank-specific matrix on the basis of various selected goals from the areas of environment, social and governance.
These targets can be set and monitored ambitiously by the Bank. The ESG factor will be included in the Long Term Award
with a share of 20% of the total long-term variable compensation.
The following table provides an overview of the changes in the compensation structure applicable from 2021 compared to the
previous compensation system.
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Outlook: Further development of the compensation system from 2021 onwards
Overview of changes in the compensation system
Employee compensation report
The content of the 2020 Employee Compensation Report is based on the qualitative and quantitative remuneration disclosure
requirements outlined in Article 450 No. 1 (a) to (i) Capital Requirements Regulation (CRR) in conjunction with Section 16 of
the Remuneration Ordinance for Institutions (Institutsvergütungsverordnung – InstVV).
This Compensation Report takes a group-wide view and covers all consolidated entities of the Deutsche Bank Group. In
accordance with regulatory requirements, equivalent reports for 2020 are prepared for the following Significant Institutions
within Deutsche Bank Group: BHW Bausparkasse AG, Germany; Deutsche Bank Luxembourg S.A., Luxembourg; Deutsche
Bank S.p.A., Italy; Deutsche Bank Mutui S.p.A., Italy; Deutsche Bank S.A.E., Spain.
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Regulatory environment
Regulatory environment
Ensuring compliance with regulatory requirements is an overarching consideration in our Group Compensation Strategy. We
strive to be at the forefront of implementing regulatory requirements with respect to compensation and will continue to work
closely with our prudential supervisor, the European Central Bank (ECB), to be in compliance with all existing and new re-
quirements.
As an EU-headquartered institution, Deutsche Bank is subject to the Capital Requirements Regulation / Capital Requirements
Directive (CRR / CRD) globally, as transposed into German national law in the German Banking Act and InstVV. We adopted
the rules in its current version for all of Deutsche Bank’s subsidiaries and branches world-wide to the extent required in ac-
cordance with Section 27 InstVV. As a Significant Institution within the meaning of InstVV, Deutsche Bank identifies all em-
ployees whose work is deemed to have a material impact on the overall risk profile (Material Risk Takers or MRTs) in accord-
ance with criteria stipulated under the Commission Delegated Regulation (EU) No. 604/2014. MRTs are identified at a Group
level and at the level of Significant Institutions.
Taking into account more sector-specific legislation and in accordance with InstVV, some of Deutsche Bank’s subsidiaries (in
particular within the DWS Group) fall under the local transpositions of the Alternative Investments Fund Managers Directive
(AIFMD) or the Undertakings for Collective Investments in Transferable Securities Directive (UCITS). We also identify MRTs
in these subsidiaries. Identified employees are subject to the remuneration provisions outlined in the Guidelines on sound
remuneration policies under AIFMD/UCITS published by the European Securities and Markets Authority (ESMA).
Deutsche Bank takes into account the regulations targeted at employees who engage directly or indirectly with the bank’s
clients, for instance as per the local transpositions of the Markets in Financial Instruments Directive II – MiFID II. Accordingly,
we have implemented specific provisions for employees deemed to be Relevant Persons to ensure that they act in the best
interest of our clients.
Where applicable, Deutsche Bank is also subject to specific rules and regulations implemented by local regulators. Many of
these requirements are aligned with the InstVV. However, where deviations exist, proactive and open discussions with regu-
lators have enabled us to follow the local regulations whilst ensuring that any impacted employees or locations remain within
the bank’s overall Group Compensation Framework. This includes, for example, the identification of Covered Employees in
the United States under the requirements of the Federal Reserve Board. In any case, we apply the InstVV requirements as
minimum standards globally.
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Compensation governance
Compensation governance
Deutsche Bank has a robust governance structure enabling it to operate within the clear parameters of its Compensation
Strategy and Compensation Policy. In accordance with the German two-tier board structure, the Supervisory Board governs
the compensation of the Management Board members while the Management Board oversees compensation matters for all
other employees in the Group. Both the Supervisory Board and the Management Board are supported by specific committees
and functions, in particular the Compensation Control Committee (CCC), the Compensation Officer, and the Senior Executive
Compensation Committee (SECC).
In line with their responsibilities, the bank’s control functions are involved in the design and application of the bank’s remuner-
ation systems, in the identification of MRTs and in determining the total amount of VC. This includes assessing the impact of
employees’ behavior and the business-related risks, performance criteria, granting of remuneration and severance payments
as well as ex-post risk adjustments.
Reward Governance structure
Supervisory Board1
Chairman’s
Committee
Audit
Committee
Risk
Committee
Integrity
Committee
Compensation
Control
Committee
Support
& Information
Compensation
Officer
Monitoring
Information & Reporting
Monitoring
Information
Management Board
Senior Executive
Compensation Committee
(SECC)
1 Does not comprise a complete list of Supervisory Board Committees.
Compensation Control Committee (CCC)
The Supervisory Board has set up the CCC to support it in establishing and monitoring the structure of the compensation
system for the Management Board members of Deutsche Bank AG, considering, in particular, the effects on the risks and risk
management in accordance with the InstVV. Furthermore, the CCC monitors the appropriateness of the compensation sys-
tems for the employees of Deutsche Bank Group, as established by the Management Board and the SECC. The CCC checks
regularly whether the total amount of variable compensation is affordable and set in accordance with the InstVV. The CCC
also assesses the impact of the compensation systems on the management of risk, capital and liquidity, and seeks to ensure
that the compensation systems are aligned with the business and risk strategies. Furthermore, the CCC supports the Super-
visory Board in monitoring the MRT identification process and whether the internal control functions and the other relevant
areas are properly involved in the structuring of the compensation systems.
The CCC consists of the Chairperson of the Supervisory Board and five further Supervisory Board members, three of whom
are employee representatives. The CCC held seven meetings in the calendar year 2020. The members of the Risk Committee
attended two meetings as guests. Further details can be found in the Report of the Supervisory Board within the Annual
Report.
Compensation Officer
The Management Board, in cooperation with the CCC, has appointed a Group Compensation Officer to support the Supervi-
sory Board of Deutsche Bank AG and the supervisory boards of the bank’s Significant Institutions in Germany in performing
their compensation related duties. The Compensation Officer is involved in the conceptual review, development, monitoring
and application of the employees’ compensation systems on an ongoing basis. The Compensation Officer performs his mon-
itoring obligations independently and provides an assessment of the appropriateness of the design and practices of the com-
pensation systems for employees at least annually. He supports and advises the CCC regularly.
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Compensation strategy
Senior Executive Compensation Committee (SECC)
The SECC is a delegated committee established by the Management Board which has the mandate to develop sustainable
compensation principles, to prepare recommendations on Total Compensation levels and to ensure appropriate compensation
governance and oversight. The SECC establishes the Group Compensation Strategy and the Compensation and Benefits
Policy. Moreover, using quantitative and qualitative factors, the SECC assesses Group and divisional performance as a basis
for compensation decisions and makes recommendations to the Management Board regarding the total amount of annual
variable compensation and its allocation across business divisions and infrastructure functions.
In order to maintain its independence, only representatives from infrastructure and control functions who are not assigned to
any of the business divisions are members of the SECC. In 2020, the SECC’s members were comprised of the Chief Trans-
formation Officer (based on his responsibility for HR) and the Chief Financial Officer as Co-Chairpersons, as well as the Chief
Risk Officer (all of whom are Management Board members), the Global Head of Human Resources as well as an additional
representative from both Finance and Risk as voting members. The Compensation Officer, the Deputy Compensation Officer,
the Global Head of HR Performance & Reward and an additional representative from Finance participated as non-voting
members. The SECC generally meets on a monthly basis and meets more frequently during the compensation process. It
held 25 meetings in total with regard to the compensation process for performance year 2020.
Compensation strategy
Deutsche Bank recognizes that its compensation framework plays a vital role in supporting its strategic objectives. It enables
us to attract and retain the individuals required to achieve our bank’s objectives. The Group Compensation Strategy is aligned
to Deutsche Bank’s business strategy, risk strategy, and to its corporate values and beliefs as outlined below.
Five key objectives of our compensation practices
Core remuneration principles
– To support the delivery of the bank’s client-focused,
global bank strategy by attracting and retaining talent
across its full range of diverse business models and
country locations
– To support the long-term, sustainable performance
and development of the bank and a corresponding
risk strategy
– To promote and support long-term performance
based on cost discipline and efficiency
– To ensure that the bank’s compensation practices are
safe, by way of risk-adjusting performance outcomes,
preventing inappropriate risk taking, ensuring
sustained compatibility with capital and liquidity
planning, and complying with regulation
– To apply and promote the bank’s corporate values of
integrity, sustainable performance, client centricity,
innovation, discipline and partnership
– Align compensation to shareholder
interests and sustained bank-wide
profitability, taking account of risk
– Maximize sustainable performance, both
at the employee and the bank-wide level
– Attract and retain the best talent
– Calibrate compensation to reflect different
divisions and levels of responsibility
– Apply a simple and transparent
compensation design
– Ensure compliance with regulatory
requirements
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Group compensation framework
Group compensation framework
Our compensation framework emphasizes an appropriate balance between Fixed Pay (FP) and Variable Compensation (VC)
– together Total Compensation (TC). It aligns incentives for sustainable performance at all levels of Deutsche Bank whilst
ensuring the transparency of compensation decisions and their impact on shareholders and employees. The underlying prin-
ciples of our compensation framework are applied to all employees equally, irrespective of differences in seniority, tenure or
gender.
Pursuant to CRD 4 and the requirements subsequently adopted in the German Banking Act, Deutsche Bank is subject to a
ratio of 1:1 with regard to fixed-to-variable remuneration components, which was increased to 1:2 through shareholder ap-
proval on May 22, 2014 with an approval rate of 95.27 %, based on valid votes by 27.68 % of the share capital represented
at the Annual General Meeting. Nonetheless, the bank has determined that employees in specific infrastructure functions
should continue to be subject to a ratio of at least 1:1 while Control Functions as defined by InstVV are subject to a ratio of
2:1.
The bank has assigned a Reference Total Compensation (RTC) to eligible employees that describes a reference value for
their role. This value provides our employees orientation regarding their FP and VC. Actual individual TC can be at, above or
below the Reference Total Compensation, depending on VC decisions.
Fixed Pay is used to compensate employees for their skills, experience and competencies, commensurate with the require-
ments, size and scope of their role. The appropriate level of FP is determined with reference to the prevailing market rates for
each role, internal comparisons and applicable regulatory requirements. FP plays a key role in permitting us to meet our
strategic objectives by attracting and retaining the right talent. For the majority of our employees, FP is the primary compen-
sation component.
Variable Compensation reflects affordability and performance at Group, divisional, and individual level. It allows us to differ-
entiate individual performance and to drive behavior through appropriate incentives that can positively influence culture. It also
allows for flexibility in the cost base. VC generally consists of two elements – the Group VC Component and the Individual VC
Component.
The Group VC Component is based on one of the overarching goals of the compensation framework – to ensure an explicit
link between VC and the performance of the Group. To assess our annual achievements in reaching our strategic targets, the
four Key Performance Indicators (KPIs) utilized as the basis for determining the 2020 Group VC Component were: Common
Equity Tier 1 (CET 1) Capital Ratio, Leverage Ratio, Adjusted Costs, and Post-Tax Return on Tangible Equity (RoTE). These
four KPIs represent the bank’s capital, leverage, profitability, and cost targets.
The Individual VC Component is delivered either in the form of Individual VC (generally applicable for employees at the level
of Vice President (VP) and above) or as Recognition Award (generally applicable for employees at the level of Assistant Vice
President (AVP) and below). In cases of negative performance contributions or misconduct, an employee’s VC can be reduced
accordingly and can go down to zero. VC is granted and paid out subject to Group affordability. Under our compensation
framework, there continues to be no guarantee of VC in an existing employment relationship. Guaranteed VC arrangements
are utilized only in very limited cases for new hires in the first year of employment and are subject to the bank’s standard
deferral requirements.
Key components of the compensation framework
Vice President and above
Assistant Vice President and below1
Reference Total
Compensation
Reference Total
Compensation
Individual VC
Group VC
Component
Fixed Pay
1 Some Assistant Vice Presidents and below in select entities and divisions are eligible for Individual VC in lieu of the Recognition Award.
Recognition
Award
Group VC
Component
Fixed Pay
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Determination of performance-based variable compensation
Individual VC takes into consideration a number of financial and nonfinancial factors, including the applicable divisional per-
formance, the employee’s individual performance, conduct, and adherence to values and beliefs, as well as additional factors
such as the comparison of pay levels with the employee’s peer group and retention considerations.
Recognition Awards provide the opportunity to acknowledge and reward outstanding contributions made by the employees of
lower seniority levels in a timely and transparent manner. Generally, the overall size of the Recognition Award budget is
directly linked to a set percentage of FP for the eligible population and it is currently paid out twice a year, based on a review
of nominations and contributions in a process managed at the divisional level.
In the context of InstVV, severance payments are considered variable compensation. The bank’s framework for severance
payments ensures full alignment with the respective InstVV requirements.
Employee benefits complement Total Compensation and are considered FP from a regulatory perspective, as they have no
direct link to performance or discretion. They are granted in accordance with applicable local market practices and require-
ments. Pension expenses represent the main element of the bank’s benefits portfolio globally.
Determination of performance-based variable compensation
In 2020, we put a special focus on further improving our governance on compensation related decision making processes.
This included the development of more sophisticated analytical tools and scenarios for testing affordability and other premises
to determine variable compensation. Furthermore, we simplified and increased transparency of our policies and procedures.
This resulted in a strengthened set of rule-based principles for compensation decisions with an even closer link to the business
and individual performance.
The total amount of VC for any given performance year is initially determined at Group level, taking into account the bank’s
affordability parameters, and then allocated to divisions and infrastructure functions based on their performance in support of
achieving the bank’s strategic objectives.
In a first step, Deutsche Bank assesses the bank’s profitability, solvency and liquidity position in line with its Risk Appetite
Framework, including a holistic review against the bank’s multi-year strategic plan to determine what the bank “can” award in
line with regulatory requirements (i.e. Group affordability). In the next step, the bank assesses Group and divisional risk-
adjusted performance, i.e. what the bank “should” award in order to provide an appropriate compensation for contributions to
the bank’s success.
When assessing divisional performance, a range of considerations is referenced. Performance is assessed in the context of
financial and – based on Balanced Scorecards – nonfinancial targets. The financial targets for front-office divisions are subject
to appropriate risk-adjustment, in particular by referencing the degree of future potential risks to which Deutsche Bank may
be exposed, and the amount of capital required to absorb severe unexpected losses arising from these risks. For the infra-
structure functions, the financial performance assessment is mainly based on the achievement of cost targets. While the
allocation of VC to infrastructure functions, and in particular to control functions, depends on the overall performance of
Deutsche Bank, it is not dependent on the performance of the division(s) that these functions oversee.
At the level of the individual employee, we have established Variable Compensation Guiding Principles, which detail the factors
and metrics that have to be taken into account when making Individual VC decisions. Our managers must fully appreciate the
risk-taking activities of individuals to ensure that VC allocations are balanced and risk-taking is not inappropriately incentivized.
The factors and metrics to be considered include, but are not limited to, individual performance based on quantitative and
qualitative aspects, culture and behavioral considerations, and disciplinary sanctions. Managers of MRTs must specifically
document the factors and risk metrics considered when making Individual VC decisions. Generally, performance is assessed
based on a one year period. However, for Management Board members of Significant Institutions, the performance over three
years is taken into account.
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Variable compensation structure
Variable compensation structure
Our compensation structures are designed to provide a mechanism that promotes and supports long-term performance of our
employees and our bank. Whilst a portion of VC is paid upfront, these structures require that an appropriate portion is deferred
to ensure alignment with the sustainable performance of the Group. For both parts of VC, we use Deutsche Bank shares as
instruments and as an effective way to align compensation with Deutsche Bank’s sustainable performance and the interests
of shareholders.
We continue to go beyond regulatory requirements with the amount of VC that is deferred and our minimum deferral periods.
The deferral rate and period are determined based on the risk categorization of the employee, the division and the business
unit. We start to defer parts of variable compensation for MRTs where VC is set at or above € 50,000. For non-MRTs, deferrals
start at higher levels of VC. MRTs are on average subject to deferral rates in excess of the minimum 40 % (60 % for Senior
Management) as required by InstVV. For MRTs in Material Business Units (MBU) we introduced a deferral rate of at least
50 %. The VC threshold for MRTs requiring at least 60 % deferral is set at € 500,000.
Furthermore, Directors and Managing Directors in Corporate Bank (CB), Investment Bank (IB) or Capital Release Unit (CRU)
are subject to a VC deferral rate of 100 % with respect to any VC in excess of € 500,000. If Fixed Pay for these employees
exceeds an amount of € 500,000, the full VC is deferred.
As detailed in the table below, deferral periods range from three to five years, dependent on employee groups.
Overview on 2020 Award Types (excluding DWS Group)
Award Type
Upfront:
Cash VC
Description
Upfront cash portion
Beneficiaries
All eligible employees
Deferral Period
N/A
Retention Period
N/A
Proportion
InstVV MRTs: 50 % of
upfront VC
Non-MRTs: 100 % of
upfront VC
Upfront:
Equity Upfront Award
(EUA)
Upfront equity portion (linked to
Deutsche Bank’s share price
over the retention period)
All InstVV MRTs with
VC >= € 50,000
N/A
Twelve months
50 % of upfront VC
Deferred:
Restricted Incentive
Award (RIA)
Deferred cash portion
All employees with de-
ferred VC
Deferred:
Restricted Equity
Award (REA)
Deferred equity portion (linked
to Deutsche Bank’s share price
over the vesting and retention
period)
All employees with de-
ferred VC
N/A
50 % of deferred VC
Twelve months for In-
stVV MRTs
50 % of deferred VC
Equal tranche vesting:
CB/IB/CRU: 4 years
MRTs in MBU: 4 years
Sen. Mgmt.1: 5 years
Other: 3 years
Equal tranche vesting:
CB/IB/CRU: 4 years
MRTs in MBU: 4 years
Sen. Mgmt.1: 5 years
Other: 3 years
N/A – Not applicable
1 For the purpose of Performance Year 2020 annual awards, Senior Management is defined as DB AG MB-1 positions; voting members of Business Division Top Executive
Committees; MB members of Significant Institutions; respective MB-1 positions with managerial responsibility. For the specific deferral rules for the Management Board of
DB AG refer to the Compensation Report for the Management Board.
Our employees are not allowed to sell, pledge, transfer or assign a deferred award or any rights in respect to the award. They
may not enter into any transaction having an economic effect of hedging any variable compensation, for example offsetting
the risk of price movement with respect to the equity-based award. Our Human Resources and Compliance functions, sup-
ported by the Compensation Officer, work together to monitor employee trading activity and to ensure that all our employees
comply with this requirement.
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Ex-post risk adjustment of variable compensation
Ex-post risk adjustment of variable compensation
In line with regulatory requirements relating to ex-post risk adjustment of variable compensation, we believe that a long-term
view on conduct and performance of our employees is a key element of deferred VC. As a result, all deferred awards are
subject to performance conditions and forfeiture provisions as detailed below.
Overview of Deutsche Bank Group performance conditions and forfeiture provisions of Variable Compensation granted for Perfor-
mance Year 2020
1 Considering clearly defined and governed adjustments for relevant Profit and Loss items (e.g., business restructurings; impairments of goodwill or intangibles).
2 Other provisions may apply as outlined in the respective plan rules.
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Employee groups with specific compensation structures
Employee groups with specific compensation structures
For some areas of our bank, compensation structures apply that deviate, within the applicable regulatory framework, in some
aspects from the Group Compensation Framework outlined previously.
Postbank units
While generally executive staff of former Postbank follows the remuneration structure of Deutsche Bank, the compensation
for any other staff in Postbank units is based on specific frameworks agreed with trade unions or with the respective workers’
councils. Where no collective agreements exist, compensation is subject to individual contracts. In general, non-executive and
tariff staff in Postbank units receive VC, but the structure and portion of VC can differ between legal entities.
DWS
The vast majority of DWS asset management entities and employees fall under AIFMD or UCITS, while a limited number of
employees remain in scope of the bank’s Group Compensation Framework and InstVV. DWS has established its own com-
pensation governance, policy, and structures, as well as a Risk Taker identification process in line with AIFMD/UCITS require-
ments. These structures and processes are in line with InstVV where required, but tailored towards the Asset Management
business. Pursuant to the ESMA Guidelines, DWS’s compensation strategy is designed to ensure an appropriate ratio be-
tween fixed and variable compensation.
Generally, DWS applies remuneration rules that are equivalent to the Deutsche Bank Group approach, but use DWS Group-
related parameters, where possible. Notable deviations from the Group Compensation Framework include the use of share-
based instruments linked to DWS shares and fund-linked instruments. These serve to improve the alignment of employee
compensation with DWS’ shareholders’ and investors’ interests.
Control Functions
In line with InstVV, the bank has defined control functions that are subject to specific regulatory requirements. These control
functions comprise Risk, Compliance, Anti-Financial Crime, Group Audit, parts of Human Resources, and the Compensation
Officer and his Deputy. To prevent conflicts of interests, the parameters used to determine the Individual VC Component of
these control functions do not follow the same parameters being used for the business they oversee. Based on their risk
profile, these functions are subject to a fixed-to-variable pay ratio of 2:1.
In addition, for some corporate functions that perform internal control roles (including Legal, Group Finance, Group Tax, Reg-
ulation, and other parts of Human Resources), the bank has determined a fixed-to-variable pay ratio of 1:1.
Tariff staff
Within Deutsche Bank Group there are more than 17,000 tariff employees in Germany (based on full-time equivalent). These
tariff employees are primarily employed by Deutsche Bank AG and former Postbank subsidiaries. Tariff employees employed
by Deutsche Bank AG are subject to a collective agreement (Tarifvertrag für das private Bankgewerbe und die öffentlichen
Banken), as negotiated between trade unions and employer associations. Former Postbank units are subject to agreements
as negotiated with the respective trade unions directly. The remuneration of tariff staff is included in the quantitative disclosures
in this report.
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Compensation decisions for 2020
Compensation decisions for 2020
Year-end considerations and decisions for 2020
All compensation decisions are made within the boundaries of regulatory requirements. These requirements form the over-
arching and limiting principle of determining compensation in Deutsche Bank. In particular, management must ensure that
compensation decisions are not detrimental to maintaining a sound capital base and liquidity resources of the bank.
In this respect, 2020 was an extraordinary year for the industry. In the light of the COVID-19 pandemic, the ECB and national
regulators called upon all institutions to apply a moderate approach to variable compensation in order to preserve a strong
capital base for the future. At the same time, despite the external circumstances and the bank’s ongoing transformation, 2020
was a successful year for Deutsche Bank. Thanks to our new strategy and to the great dedication of our employees to the
bank, we are ahead of our transformation plan. As a result, we have achieved all of our strategic objectives over the past year.
In 2020, we are profitable with a pre-tax profit of more than € 1 billion and a net profit of more than € 600 million. We have
also made further progress on costs, which allowed us to achieve our adjusted cost target. The bank has built firm foundations
for sustainable profitability, and we are confident that this overall positive trend will continue in 2021, despite these challenging
times.
At the same time, Deutsche Bank recognized the current economic situation and the recommendation of the ECB and took
this into consideration when making its compensation decisions. We applied a prudent and forward-looking approach when
deciding on the 2020 variable compensation and deferral structures, without losing sight of the need to remunerate our em-
ployees, according to their performance and in line with market conditions, and of course within the boundaries of affordability.
In particular, when determining the amount of year-end performance-based VC, we have exercised more moderation than the
results at the Group and divisional level would have required. Also, we continue to apply deferral structures that go beyond
the regulatory minimum, resulting in a deferral rate of 47 % in 2020.
In the context of the above considerations, the Management Board confirmed that the bank is in a position to award variable
compensation, including a year-end performance-based VC pool of € 1.857 billion for 2020. The VC for the Management
Board of Deutsche Bank AG was determined by our Supervisory Board in a separate process. It is, however, included in the
tables and charts below. For details, please refer to the Management Board Compensation Report.
As part of the overall 2020 VC awards granted in March 2021, the Group VC Component was awarded to all eligible employees
in line with the assessment of the four defined KPIs, as outlined in the section Group Compensation Framework. The Man-
agement Board determined a payout rate of 72.5 % for the Group VC Component in 2020 (2019: 60 %).
Compensation awards for 2020 – all employees
in € m. (unless stated
otherwise)¹
Number of employees
(full-time equivalent)
Total compensation
Base salary and allow-
ances
Pension expenses
Fixed Pay according to
§ 2 InstVV
Year-end perfor-
mance-based VC4
Other VC4
Severance payments5
Super-
visory
Board²
Mana-
gement
Board3
IB3
CB3
PB3
AM3
CRU3
Control
Func-
tions3
Corporate
Func-
tions3
2020
2019
Group
Total
Group
Total
20
6
6
0
6
0
0
0
10 4,258 7,368 29,945 3,926
690
62
1,032
2,048
2,570
482 6,423 32,247 84,659 87,597
2,798 10,119 10,093
161
757
26
7
946
60
695
67
1,975
138
415
37
88
7
606
56
2,190
182
6,940 7,350
581
554
32
1,006
762
2,113
451
95
663
2,371
7,494 7,931
30
0
0
876
138
28
152
14
103
227
54
177
181
36
22
25
15
26
70
4
20
295
25
107
1,857 1,444
314
405
286
482
Variable Pay according
to § 2 InstVV
1 The table may contain marginal rounding differences. FTE (full-time equivalent) as of December 31, 2020. Pension expenses for 2019 adjusted.
2 Supervisory Board includes the Deutsche Bank AG Supervisory Board members. They are not considered for the Group Total number of employees. Employee representa-
tives are considered with their compensation for the Supervisory Board role only (their employee compensation is included in the relevant divisional column). The remunera-
tion for members of the Deutsche Bank AG Supervisory Board is not reflected in the Group Total.
2,625 2,162
1,042
269
239
427
457
95
30
66
3 Management Board includes the board members of Deutsche Bank AG. IB = Investment Bank; CB = Corporate Bank; PB = Private Bank; AM = Asset Management; CRU =
0
Capital Release Unit. Control Functions include Chief Risk Office, Group Audit, Compliance and Anti-Financial Crime. Corporate Functions include any Infrastructure function
which is neither captured as a Control Function nor part of any division. Employees’ full year compensation is allocated to columns based on the role at year-end.
4 Year-end performance-based VC includes Individual and Group VC. Other VC includes other contractual VC commitments such as sign-on awards and retention awards
(including € 171 million granted at the beginning of the year due to increased retention risk). Other VC in 2020 also includes recognition awards (€ 45 million) and specific VC
elements for tariff staff and civil servants formerly reported as Year-end performance-based VC. 2019 figures disclosed in the 2019 Compensation Report for Year-end perfor-
mance-based VC (€ 1,516 million) and Other VC (€ 242 million) were adjusted accordingly for the purpose of this table. The table does not include expenses eligible for reim-
bursement related to Prime Finance and does not include new hire replacement awards for lost entitlements from previous employers (buyouts).
5 Severance payments now includes restructuring based severance costs. 2019 number restated to include severance costs formerly reported in Note 10 “Restructuring” only.
All relevant 2019 Group Totals adjusted accordingly.
208
Deutsche Bank
Annual Report 2020
Employee compensation report
Material Risk Taker compensation disclosure
Reported year-end performance-based Variable Compensation and deferral rates year over year
Material Risk Taker compensation disclosure
On a global basis, 2,298 employees were identified as MRTs according to InstVV for financial year 2020, compared to 2,553
employees for 2019 (-10 %). This decrease is primarily a result of a reduced number of quantitative (remuneration driven)
MRTs, along with a reduction of headcount and our exit from some businesses. The remuneration elements for all MRTs are
detailed in the table below in accordance with Section 16 InstVV and Article 450 CRR.
209
Deutsche Bank
Annual Report 2020
Employee compensation report
Material Risk Taker compensation disclosure
Aggregate remuneration for Material Risk Takers according to InstVV
Super-
visory
Board²
Mana-
gement
Board3
IB3
CB3
PB3
AM3
CRU3
Control
Func-
tions3
Corporate
Func-
tions3
2020
2019
Group
Total
Group
Total
41
31
45
36
1,027
925
36
94
52
18
1,239
522
183
165
29
128
63
301
256
51
192
108
37
26
4
46
20
95
53
4
73
34
229
216
39
103
80
340
292
2,298 2,553
1,999 2,101
51
247
135
232
253
2,130 2,070
1,022 1,297
52
522
63
108
20
34
80
135
1,020 1,295
0
0
0
0
0
0
0
0
1
1
42
716
66
84
26
39
23
112
1,109
773
22
364
37
48
17
23
14
66
590
411
21
352
28
36
0
0
0
0
9
1
17
0
36
593
41
45
10
28
18
297
21
22
18
296
21
22
0
0
0
0
4
5
1
14
14
0
9
0
8
4
4
0
45
518
361
0
1
1
51
813
526
26
406
260
26
406
265
0
1
1
64
1,050
69
93
43
65
29
122
1,536 1,971
11
41
5
9
5
2
5
12
89
115
10
54
41
1,009
4
64
9
84
5
38
2
63
5
24
11
110
88
114
1,446 1,856
in € m. (unless stated
otherwise)¹
Number of MRTs
(headcount)
Number of MRTs (FTE)
Thereof: Senior Man-
agement4
Total Pay
Total Fixed Pay
Thereof:
In cash (incl. pension
expenses)
In shares or other in-
struments
Total Variable Pay for
period5
Thereof:
In cash
In shares or share-
based instruments
In other types of in-
struments
Total Variable Pay for
period, deferred
Thereof:
In cash
In shares or share-
based instruments
In other types of in-
struments
Total amount of variable
pay still outstanding at
the beginning of the year
that was deferred in pre-
vious years
Thereof:
Vested
Vested and paid/de-
livered
Unvested
Deferred Variable Pay
awarded, paid out or re-
duced during period
0
7
7
6
1
0
0
0
0
0
0
0
0
0
0
0
0
0
0
7
5
5
1
0
11
20
27
13
187
275
0
0
831
461
22
15
42
36
31
17
46
36
9
11
21
10
29
17
393
247
592
389
Awarded during period
Paid out during period
Reduced through ex-
plicit risk adjustments6
Number of beneficiaries
of guaranteed variable
remuneration (incl. sign-
on payments)
Total amount of guaran-
teed variable pay (incl.
sign-on payments)
Total amount of sever-
ance payments granted
during period7
Number of beneficiaries
of severance payments
granted during period
Highest severance pay-
ment granted to an indi-
vidual during period
1 The table may contain marginal rounding differences. Employees are allocated to columns based on their primary role. FTE as of December 31, 2020.
2 Supervisory Board includes the Supervisory Board members of all Significant Institutions within Deutsche Bank Group. Employee representatives solely identified due to their
130
11
10
69
20
12
20
33
25
23
8
3
2
1
0
0
3
2
5
6
0
0
213
1
1
9
1
3
2
2
1
3
1
0
1
9
5
0
1
0
3
5
0
0
70
11
9
9
2
0
0
0
0
Supervisory Board role are considered with their compensation for the Supervisory Board role only.
3 Management Board includes the respective board members of all Significant Institutions within Deutsche Bank Group. IB = Investment Bank; CB = Corporate Bank; PB =
Private Bank; AM = Asset Management; CRU = Capital Release Unit. Control Functions include Chief Risk Office, Group Audit, Compliance, Anti-Financial Crime. Corporate
Functions include any Infrastructure function which is neither captured as a Control Function nor part of any division.
4 Senior Management for the purpose of this disclosure includes DB AG MB and MB-1 positions, voting members of Business Division Top Executive committees, MB members
of Significant Institutions and respective MB-1 positions with managerial responsibility.
5 Total Variable Pay includes Deutsche Bank´s Year-end performance-based VC for 2020, Other VC, and severance payments. Buyouts are not included.
6 Includes forfeited equity based parts of the Retention Award Program granted in January 2017 due to not meeting the predefined share price target in 2020.
7 Severance payments are generally not deferred.
210
Deutsche Bank
Annual Report 2020
Compensation system for Supervisory Board members
Material Risk Taker compensation disclosure
Remuneration of high earners
in €
Total Pay1
1,000,000 to 1,499,999
1,500,000 to 1,999,999
2,000,000 to 2,499,999
2,500,000 to 2,999,999
3,000,000 to 3,499,999
3,500,000 to 3,999,999
4.000,000 to 4,499,999
4,500,000 to 4,999,999
5,000,000 to 5,999,999
6,000,000 to 6,999,999
7,000,000 to 7,999,999
8,000,000 to 8,999,999
9,000,000 to 9,999,999
10,000,000 to 10,999,999
11,000,000 to 11,999,999
12,000,000 to 12,999,999
13,000,000 to 13,999,999
Total
2020
2019
Number of individuals
Number of individuals
333
150
67
38
25
15
17
9
12
10
3
3
1
1
0
0
0
684
305
122
50
37
21
20
9
8
6
4
0
0
0
0
0
0
1
583
1 Includes all components of FP and VC (including severances). Buyouts are not included. Includes DB AG Management Board members and 2020 leavers.
In total, 684 employees received a Total Pay of € 1 million or more for 2020, compared to 583 employees in 2019. This
increase is based on higher levels of performance-based variable compensation following our significantly improved
Group and divisional results as outlined above.
Compensation system for Supervisory Board mem-
bers
The compensation principles for Supervisory Board members are set forth in our Articles of Association, which our sharehold-
ers amend from time to time at the Annual General Meeting. Such compensation provisions, which were newly conceived in
2013, were last amended by resolution of the Annual General Meeting on May 18, 2017 and became effective on October 5,
2017. Accordingly, the following provisions apply:
The members of the Supervisory Board receive fixed annual compensation (“Supervisory Board Compensation”). The annual
base compensation amounts to € 100,000 for each Supervisory Board member. The Supervisory Board Chairman receives
twice that amount and the Deputy Chairperson one and a half times that amount.
Members and chairs of the committees of the Supervisory Board are paid additional fixed annual compensation as follows:
Committee
in €
Audit Committee
Risk Committee
Nomination Committee
Mediation Committee
Integrity Committee
Chairman’s Committee
Compensation Control Committee
Strategy Committee
Technology, Data and Innovation Committee
Dec 31, 2020
Member
100,000
100,000
50,000
0
100,000
50,000
50,000
50,000
50,000
Chair
200,000
200,000
100,000
0
200,000
100,000
100,000
100,000
100,000
75 % of the compensation determined is disbursed to each Supervisory Board member after submitting invoices within the
first three month of the following year. The other 25 % is converted by the company at the same time into company shares
based on the average closing price on the Frankfurt Stock Exchange (Xetra or successor system) during the last ten trading
days of the preceding January, calculated to three digits after the decimal point. The share value of this number of shares is
paid to the respective Supervisory Board member in February of the year following his departure from the Supervisory Board
or the expiration of his term of office, based on the average closing price on the Frankfurt Stock Exchange (Xetra or successor
system) during the last ten trading days of the preceding January, provided that the member does not leave the Supervisory
Board due to important cause which would have justified dismissal.
211
Deutsche Bank
Annual Report 2020
Compensation system for Supervisory Board members
Supervisory Board compensation for the 2020 financial year
In case of a change in Supervisory Board membership during the year, compensation for the financial year will be paid on a
pro rata basis, rounded up/down to full months. For the year of departure, the entire compensation is paid in cash; a forfeiture
regulation applies to 25 % of the compensation for that financial year.
The company reimburses the Supervisory Board members for the cash expenses they incur in the performance of their office,
including any value added tax (VAT) on their compensation and reimbursements of expenses. Furthermore, any employer
contributions to social security schemes that may be applicable under foreign law to the performance of their Supervisory
Board work shall be paid for each Supervisory Board member affected. Finally, the Chairman of the Supervisory Board will be
appropriately reimbursed for travel expenses incurred in performing representative tasks that his function requires and for the
costs of security measures required on account of his function.
In the interest of the company, the members of the Supervisory Board will be included in an appropriate amount, with a
deductible, in any financial liability insurance policy held by the company. The premiums for this are paid by the company.
Supervisory Board compensation for the 2020 financial year
Individual members of the Supervisory Board received the following compensation for the 2020 financial year (excluding value
added tax).
Members of the Supervisory Board
in €
Dr. Paul Achleitner1
Detlef Polaschek
Ludwig Blomeyer-Bartenstein
Frank Bsirske
Mayree Carroll Clark
Jan Duscheck
Dr. Gerhard Eschelbeck
Sigmar Gabriel2
Katherine Garrett-Cox3
Timo Heider
Martina Klee
Henriette Mark
Richard Meddings4
Gabriele Platscher
Bernd Rose
Gerd Alexander Schütz
Prof. Dr. Stefan Simon4
Stephan Szukalski5
John Alexander Thain
Michele Trogni
Dr. Dagmar Valcárcel6
Dr. Theodor Weimer7
Prof. Dr. Norbert Winkeljohann
Jürg Zeltner8
Total
Compensation for fiscal year 2020
Compensation for fiscal year 2019
Fixed
802,083
450,000
300,000
300,000
425,000
250,000
150,000
166,667
100,000
250,000
150,000
250,000
0
300,000
275,000
175,000
0
200,000
200,000
350,000
425,000
108,333
450,000
0
6,077,083
Thereof payable
in 1st quarter
2021
601,563
337,500
225,000
225,000
318,750
187,500
112,500
125,000
100,000
187,500
112,500
187,500
0
225,000
206,250
131,250
0
200,000
150,000
262,500
318,750
81,250
337,500
0
4,632,813
Fixed
900,000
450,000
300,000
300,000
370,833
250,000
150,000
0
300,000
250,000
150,000
250,000
87,500
300,000
250,000
150,000
320,833
200,000
200,000
320,833
166,667
0
420,833
25,000
6,112,499
Thereof paid in
1st quarter 2020
675,000
337,500
225,000
225,000
278,125
187,500
112,500
0
225,000
187,500
112,500
187,500
87,500
225,000
187,500
112,500
320,833
150,000
150,000
240,625
125,000
0
315,625
25,000
4,692,708
1 In the context of the discussion of a voluntary waiver by senior managers of the bank of portions of their compensation claims, Dr. Achleitner offered to waive one-twelfth (€
72,917) if this future compensation claim for the 2020 financial year pursuant to the Articles of Association. The Management Board accepted his offer.
2 Member since March 11, 2020.
3 Member until May 20, 2020.
4 Member until July 31, 2019.
5 Member until December 31, 2020.
6 Member since August 1, 2019.
7 Member since May 20,2020.
8 Member from August 20 until December 15, 2019.
Following the submission of invoices 25 % of the compensation determined for each Supervisory Board member for the 2020
financial year was converted into notional shares of the company on the basis of a share price of € 8.9201 (average closing
price on the Frankfurt Stock Exchange (Xetra) during the last ten trading days of January 2021). Members who left the Super-
visory Board in 2020 were paid the entire amount of compensation in cash.
The following table shows the number of notional shares of the Supervisory Board members, to three digits after the decimal
point, that were awarded in the first three months 2021 as part of their 2020 compensation as well as the number of notional
shares accrued from previous years as part of the compensation accumulated during the respective membership in the Su-
pervisory Board as well as the total amounts paid out in February 2021 for members that left the Supervisory Board.
212
Deutsche Bank
Annual Report 2020
Compensation system for Supervisory Board members
Supervisory Board compensation for the 2020 financial year
Members of the Supervisory Board
Dr. Paul Achleitner2
Detlef Polaschek3
Ludwig Blomeyer-Bartenstein3
Frank Bsirske4
Mayree Carroll Clark3
Jan Duscheck4
Dr. Gerhard Eschelbeck5
Sigmar Gabriel6
Katherine Garrett-Cox7
Timo Heider4
Martina Klee4
Henriette Mark4
Gabriele Platscher4
Bernd Rose4
Gerd Alexander Schütz8
Stephan Szukalski9
John Alexander Thain3
Michele Trogni3
Dr. Dagmar Valcárcel10
Dr. Theodor Weimer11
Prof. Dr. Norbert Winkeljohann12
Total
Number of notional shares
Converted in
February 2021
as part of the
compensation
2020
22,479.662
12,611.966
8,407.977
8,407.977
11,911.301
7,006.648
4,203.989
4,671.099
0
7,006.648
4,203.989
7,006.648
8,407.977
7,707.313
4,904.654
0
5,605.318
9,809.307
11,911.301
3,036.214
12,611.966
161,911.954
Total number accrued
during the current
term of office
63,229.466
22,616.259
15,077.506
15,077.506
18,256.494
12,564.588
9,788.371
0
21,530.850
12,564.588
7,538.753
12,564.588
15,077.506
12,564.588
7,538.753
10,051.671
10,051.671
15,743.576
5,328.559
0
15,283.311
302,448.604
Total (cumulative)
85,709.128
35,228.225
23,485.483
23,485.483
30,167.795
19,571.236
13,992.360
4,671.099
21,530.850
19,571.236
11,742.742
19,571.236
23,485.483
20,271.901
12,443.407
10,051.671
15,656.989
25,552.883
17,239.860
3,036.214
27,895.277
464,360.558
In February 2021
payable
in €¹
0
0
0
0
0
0
0
0
192,057
0
0
0
0
0
0
89,662
0
0
0
0
0
281,719
1 At a value of € 8.9201 based on the average closing price on the Frankfurt Stock Exchange (Xetra or successor system) during the last ten trading days of January 2021.
2 Member was re-elected on May 18, 2017. The calculation was performed while taking into account Dr. Achleitner’s waiver of one-twelfth (€ 72,917) of his compensation for the
2020 financial year pursuant to the Articles of Association.
3 Member since May 24, 2018.
4 As Employee representatives on April 26, 2018 re-elected.
5 Member since May 18, 2017.
6 Member since March 11, 2020.
7 Member until May 20, 2020.
8 Member on May 24, 2018 re-elected.
9 Member until December 31, 2020.
10 Member since August 1, 2019.
11Member since May 20, 2020.
12 Member since August 1, 2018.
All employee representatives on the Supervisory Board, with the exception of Frank Bsirske, Jan Duscheck and Stephan
Szukalski (Member until December 31, 2020), are employed by us. In the 2020 financial year, we paid such members a total
amount of € 1.1 million in the form of salary, retirement and pension compensation in addition to their Supervisory Board
compensation.
We do not provide members of the Supervisory Board with any benefits after they have left the Supervisory Board, though
members who are or were employed by us are entitled to the benefits associated with the termination of such employment.
During 2020, we set aside € 0.11 million for pension, retirement or similar benefits for the members of the Supervisory Board
who are or were employed by us.
With the agreement of the Bank’s Management Board, Dr. Paul Achleitner performs representative functions in various ways
on an unpaid basis for the Bank and participates in opportunities for referrals of business for the Bank. These tasks are related
to the functional responsibilities of the Chairman of the Supervisory Board of Deutsche Bank AG. In this respect, the reim-
bursement of costs is provided for in the Articles of Association. On the basis of a separate contractual agreement, the Bank
provides Dr. Paul Achleitner with infrastructure and support services free of charge for his services in the interest of the Bank.
He is therefore entitled to avail himself of internal resources for preparing and carrying out these activities. The Bank’s security
and car services are available for Dr. Paul Achleitner for use free of charge for these tasks. The Bank also reimburses travel
expenses and attendance fees and covers the taxes for any non-cash benefits provided. On September 24, 2012, the Chair-
man’s Committee approved the conclusion of this agreement. The provisions apply for the duration of Dr. Paul Achleitner’s
tenure as Chairman of the Supervisory Board and are reviewed on an annual basis for appropriateness. Under this agreement
between Deutsche Bank and Dr. Achleitner, support services equivalent to € 135,000 (2019: € 208,000) were provided and
reimbursements for expenses amounting to € 150,290 (2019: € 277,010) were paid during the 2020 financial year.
213
Deutsche Bank
Annual Report 2020
Sustainability
Supervisory Board compensation for the 2020 financial year
Sustainability
Deutsche Bank has long been committed to sustainability and in recent years this issue has steadily gained importance in our
discussions with investors, clients, and the broader public. Sustainability is a central component of our “Compete to win,”
strategy, which we set in mid-2019. Since then, we have made significant progress in embedding sustainability into our busi-
ness practices.
As part of this progress, we defined a sustainability mission. The mission reflects our broad understanding of sustainability,
encompassing environmental, social, and governance (ESG) aspects. Executing our sustainability strategy will involve a pro-
found transformation of our bank and its business activities, which must increasingly assist our clients in their transformation
toward sustainable and climate-neutral business models. This is why in 2020 we set a target of achieving € 200 billion in
sustainable financing and ESG investment by year-end 2025. This target does not include assets managed by asset manager
DWS.
We see sustainability as a significant business opportunity. But we also strive to help achieve the Paris Climate Agreement’s
targets and the United Nations (UN) Sustainable Development Goals through our actions. In addition, we support a number
of international principles and standards, including the Ten Principles of the UN Global Compact and the UN Principles for
Responsible Banking. In 2020, we added to these commitments by formally joining the Equator Principles. We also signed
the Collective Commitment to Climate Action of the German Financial Sector, pledging to align our credit portfolios with the
goals of the Paris Agreement.
To execute our sustainability mission and achieve our targets, we have embedded sustainability holistically throughout the
bank, focusing our efforts on the following four dimensions:
– Sustainable finance
– Policies and commitments
– Our own operations
– Thought leadership and stakeholder engagement
In 2020, we have significantly strengthened our sustainability governance structure to move forward effectively in all four
dimensions of our sustainability strategy. We established a Management Board Sustainability Committee, which held its inau-
gural meeting in late October 2020. It makes decisions on all of the bank’s significant sustainability initiatives. Chaired by our
Chief Executive Officer, it met twice in 2020 and consists of 13 members, including Management Board members, and the
four heads of the business divisions. The committee also serves as the steering committee for sustainability-related transfor-
mation initiatives as part of the bank’s change management governance, which is coordinated by the Group Transformation
Office.
Our Sustainability Council, which was established in in 2018, remains an important governance body. It does preparatory work
for the Sustainability Committee’s decisions, coordinates their implementation, and oversees the work streams aligned to the
four dimensions of the bank’s sustainability strategy. It is composed of executives from the four business divisions and all
infrastructure functions. It meets on a monthly basis.
More information on sustainability is published in our Non-Financial Report 2020. It includes Deutsche Bank’s combined sep-
arate non-financial report in accordance with § 315 (3) of the German Commercial Code. A PDF of the Non-Financial Report
is published on our Investor Relations website at db.com/annual-reports.
214
Deutsche Bank
Annual Report 2020
Employees
Group headcount
Employees
Group headcount
As of December 31, 2020, we employed a total of 84,659 staff members compared to 87,597 as of December 31, 2019.
We calculate our employee figures on a full-time equivalent basis, meaning we include proportionate numbers of part-time
employees.
The following table shows our numbers of full-time equivalent employees as of December 31, 2020, 2019 and 2018.
Employees1
Germany
Europe (outside Germany), Middle East and Africa
Asia/Pacific
North America2
Latin America
Total employees
Dec 31, 2020
Dec 31, 2019
37,315
19,617
19,430
8,149
148
84,659
40,491
19,672
18,874
8,399
162
87,597
Dec 31, 2018
41,669
20,871
19,732
9,275
189
91,737
1 Full-time equivalent employees; in 2019 the health insurance company of Deutsche Bank aligned its FTE definition which decreased the Group number as of December 31,
2019 by 81 (prior period not restated).
2 Primarily the United States.
The number of our employees decreased in 2020 by 2,938 or 3.4 % driven by implementation of our targets announced in
July 2019:
– Germany (-3,176; -7.8 %) driven by the implementation of restructuring measures, primarily in the Private Bank related to
private clients and global functions of the Private Bank and to Infrastructure functions driven by the sale of Postbank Sys-
tems (-1,339);
– North America (-250; -3.0 %) driven by reductions in all divisions and related infrastructure functions;
– Latin America (-14; -8.6 %) due to reductions primarily in Mexico as a result of the implementation of our footprint strategy;
– EMEA ex Germany (-55; -0.3 %) mainly driven by reductions in the Private Bank partly offset by increases in Technology
Data & Innovation and in COO;
– Asia/Pacific (+556; +2.9 %) primarily driven by increases in Technology Data & Innovation and in COO.
The following table shows the distribution of full-time equivalent employees by division as of December 31, 2020, 2019 and
2018.
Employees
Corporate Bank (CB)
Investment Bank (IB)
Private Bank (PB)
Asset Management (AM)
Capital Release Unit (CRU)
Infrastructure
Dec 31, 2020
Dec 31, 2019
Dec 31, 2018
8.7 %
5.0 %
35.4 %
4.6 %
0.6 %
45.7 %
8.8 %
5.0 %
36.0 %
4.5 %
0.7 %
45.0 %
8.3 %
5.0 %
35.4 %
4.4 %
1.7 %
45.2 %
– Corporate Bank (CB, -345; -4.5 %) mainly driven by reductions in Commercial Banking Germany;
– Investment Bank (IB, -93; -2.1 %) mainly reductions in Fixed Income & Currencies;
– Private Bank (PB, -1,654; -5.2 %) mainly driven by the reductions in Germany and in EMEA ex Germany;
– Asset Management (AM, +1; +0.0 %) primarily driven by reductions in the US and UK more than offset by increases in
Asia/Pacific related to DWS COO;
– Capital Release Unit (CRU, -139; -22.3 %) mainly driven by reductions in the legacy Equities Business;
– Infrastructure functions (-709; -1.8 %) primarily driven by the sale of Postbank Systems (-1,339) and reductions in Chief
Transformation Office and HR (-171) and in Finance (-146), partly offset by increases in Technology Data & Innovation
(+667 excluding sale of Postbank Systems) and in COO division (+322) mainly driven by insourcing of business critical
external roles.
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Employees
Promoting internal career mobility
Post-employment benefit plans
We sponsor a number of post-employment benefit plans on behalf of our employees, both defined contribution plans and
defined benefit plans.
In our globally coordinated accounting process covering defined benefit plans with a defined benefit obligation exceeding
€ 2 million our global actuary reviews the valuations provided by locally appointed actuaries in each country.
By applying our global principles for determining the financial and demographic assumptions we ensure that the assumptions
are best-estimate, unbiased and mutually compatible, and that they are globally consistent.
For a further discussion on our employee benefit plans see Note 33 “Employee Benefits” to our consolidated financial state-
ments.
Restructuring
As of December 31, 2020, Deutsche Bank had reduced the number of employees by 2,938 (-3.4%) to 84,659. The COVID-19
pandemic affected our reduction target in 2020. Deutsche Bank continued to improve efficiency and infrastructure, including
further reduction of positions by the end of 2022.
Reductions primarily in Germany mainly driven by Private Bank (-1,356) and by sale of entity Postbank Systems. In 2020,
business-critical external roles, especially in IT, were again insourced.
Talent acquisition
In 2020, the total staff turnover has been affected by the COVID-19 pandemic: the bank temporarily suspended restructuring,
while voluntary staff turnover declined by about 25% in 2020.
The voluntary staff turnover rate was at 5.9 % in 2020 (2019: 8.0). The decrease of 2.1 percentage points is mainly driven by
a lower staff turnover rate in Asia/Pacific (2020: 11.3 %, 2019: 17.0 %), Americas (2020: 10.1 %, 2019: 14.5% %) and in
EMEA excluding Germany (2020: 5.6 %, 2019: 7.7 %), while voluntary staff turnover rate in Germany remains at prior year’s
level (2020: 2.6 %, 2019: 2.5 %).
Even amid the above-mentioned restructuring measures, recruiting talent remains a key priority for us. In 2020 the main focus
was on filling the front office roles in growth areas (such as Global Transaction Banking, Wealth Management, and Asset
Management). In addition, focus was on replacing operation-centre employees who left voluntarily, and hiring talent to meet
the growing demand in regulatory roles (such as Client Lifecycle Management and Anti-Financial Crime).
We remain committed to our strategic priority of hiring university graduates, as they help propel our change agenda. We hired
717 university graduates in 2020 (2019: 955). The bank also insourced 1,498 external roles (2019: 881), particularly in IT.
Promoting internal career mobility
Internal mobility plays a vital role in developing and retaining qualified, talented employees and ensuring that the bank contin-
ues to benefit from their expertise and experience. In 2020 Deutsche Bank continued to implement its internal mobility strategy
and live up to its commitment to filling one-third of all vacant positions with suitable candidates from within the organization.
Vacant positions (except for managing directors) are typically first advertised inside the group for at least two weeks. Priori-
tizing internal candidates helps employees affected by restructuring find new roles in the bank. We also foster mobility between
divisions, which enables employees to broaden their skills and experience. Moreover, internal mobility helps reduce the bank’s
redundancy and recruitment costs.
In 2020, 35.9 % (2019: 37.6 %) of all job vacancies were filled internally (excluding Postbank). On average, it took 74 days to
fill vacant positions (2019: 56 days).
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Employees
Diversity and inclusion
Diversity and inclusion
We aim to attract, develop, and retain talented employees from all cultures, countries, races, ethnicities, genders, sexual
orientations, disabilities, beliefs, backgrounds, and experiences. We want all individuals to feel welcomed, accepted, respected
and supported. We expect our leaders to build inclusive teams of people with different skills, styles, and approaches who are
empowered to contribute their best work.
Throughout 2020 we continued our journey to embed diversity and inclusion in our culture and employee practices by sup-
porting the advancement of women and members of other under-represented groups through targeted outreach to attract and
hire, enhanced career planning, leadership development, exposure opportunities, and senior leader sponsorship. We continue
to equip our people with resources to practice inclusion and interrupt unconscious bias in people-related decisions.
At year-end 2020, six, or 30%, of Supervisory Board members were women (2019: 35%). This met the statutory requirement
of 30% for publicly listed and codetermined German companies pursuant to gender quota legislation that took effect in 2015.
The Supervisory Board’s goal, set in 2017, is to have at least 20% women on the Management Board by June 30, 2022. Two
women would be required to achieve this goal on a Management Board with between eight and twelve members. At year-end
2020, there was one woman on the Management Board. The Supervisory Board is working toward the 2022 goal in line with
the diversity principles of its Suitability Guidelines for Selecting Members of the Management Board.
In accordance with the German Gender Quota Law, the bank set goals of 20.0% (at first management level below the Man-
agement Board) and 25.0% (at second management level below the Management Board) for December 31, 2020. As of
December 31, 2020, 20.0% of executive positions at the first management level below the Management Board were held by
women (2019: 19.7%). At the second level below the Management Board the figure was 23.9% (2019: 19.5%). The voluntary
goals as of December 31, 2020 have only partly been achieved.
Since the target on the proportion of women at the two levels below the Management Board was set in September 2015,
relevant conditions have changed. These include changes in the context of the transformation of the bank, which was decided
in July 2019, and the decisions on the IPO of DWS and the merger of DB Privat- und Firmenkundenbank AG into Deutsche
Bank AG. Our extensive cost-saving program has also limited our ability to hire or appoint at these two levels. In fact, since
September 2015, the already relatively small number of employees at the two levels below the Management Board has been
further reduced by around 36%. This leads to comparatively high percentage fluctuations with small absolute changes. Nev-
ertheless, we have stuck to the goal and have continuously focused on increasing the proportion of women in leadership
positions. Within this framework, we base our promotion and appointment decisions in particular on the suitability of the can-
didates for the role, their potential and their demonstrated performance.
The Management Board remains committed to increasing the representation of women in leadership positions. The bank’s
voluntary goals for women’s representation remain unchanged and focus on the top three corporate titles (in headcount terms):
Managing Director (21%), Director (28%), and Vice President (35% excluding Postbank). These goals form part of the key
performance indicators on the performance “Balanced Scorecard” assessing the Management Board and Group Management
Committee, and are designed to strengthen the pipeline of women at two levels below the Management Board. Deutsche
Bank firmly believes that improved gender balance in leadership roles will meaningfully contribute to its future success.
There has been an improvement at Managing Director and Director level since 2010, when the bank first published voluntary
global gender diversity goals. Including promotions beginning of 2021, we have achieved 19.0% for Managing Directors,
25.5% for Directors and 32.5% for Vice President (excluding Postbank).
Against these voluntary goals, we faced some challenges throughout 2020. However, the Management Board remains com-
mitted to these goals and focused initiatives are put in place to accelerate change. These initiatives impact on the full lifecycle
of people spanning across Talent Attraction, Talent Development, and promotion. In accordance with legal requirements and
based on our self-perception of enhanced diversity and inclusion, the Management Board will set new goals for the proportion
of women at the two management levels below the Management Board in the course of 2021.
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Deutsche Bank
Annual Report 2020
Employees
Key employee figures
Key employee figures
A few selected employee figures and KPIs are set forth below. For full details on Deutsche Bank’s people metrics, as well as
its strategic HR priorities and achievements, please refer to the bank’s Human Resources Report 2020.
Dec 31, 2020
Dec 31, 2019
Dec 31, 2018
Female staff (in %, Headcount)1
Female Managing Directors
Female Directors
Female Vice Presidents
Female Assistant Vice Presidents & Associates
Female Non Officers
Total female staff
Age (in %, headcount)
up to 29 years
30 - 39 years
40 - 49 years
Over 49 years
Part-time employment (in % of total staff)
Germany
Europe (outside Germany), Middle East and Africa
Americas
Asia/Pacific
Total part-time employment
Apprentices ratio in Germany
Commitment index2
Enablement index2
Voluntary staff turnover rate
Germany
Europe (outside Germany), Middle East and Africa
Americas
Asia/Pacific
Total voluntary staff turnover rate
Health rate (in %)³
1 Declared corporate titles of Postbank (incl. subsidiaries) are only alternative, technically derived, and not contractually defined or agreed.
2 Postbank included in 2019; prior period not restated.
3 Health rate: 100 - ((total sickness days x 100)/total regular working days); Germany, Postbank included in 2019, prior period restated.
18.4 %
25.1 %
32.4 %
40.6 %
59.9 %
46.4 %
14.9 %
28.4 %
27.1 %
29.6 %
27.2 %
5.8 %
0.2 %
0.1 %
14.3 %
4.2 %
2020
69 %
76 %
2.6 %
5.6 %
10.1 %
11.3 %
5.9 %
92.7 %
18.3 %
25.1 %
31.4 %
40.6 %
59.6 %
46.3 %
15.1 %
28.6 %
27.1 %
29.2 %
24.1 %
6.1 %
0.3 %
0.2 %
13.3 %
3.6 %
2019
58 %
66 %
2.5 %
7.7 %
14.4 %
17.0 %
8.0 %
92.2 %
18.1 %
24.5 %
31.2 %
40.2 %
59.8 %
46.2 %
15.5 %
29.3 %
27.6 %
27.6 %
23.9 %
6.4 %
0.5 %
0.2 %
13.1 %
3.4 %
2018
57 %
63 %
2.0 %
9.2 %
14.1 %
18.0 %
8.4 %
92.3 %
218
Deutsche Bank
Annual Report 2020
Internal control over financial reporting
Risks in financial reporting
Internal control over financial reporting
General
Management of Deutsche Bank and its consolidated subsidiaries is responsible for establishing and maintaining adequate
Internal Control over Financial Reporting (ICOFR). Our internal control over financial reporting is a process designed under
the supervision of our Chairman and our Chief Financial Officer to provide reasonable assurance regarding the reliability of
financial reporting. In addition to the preparation of the company’s consolidated financial statements for external reporting
purposes in accordance with International Financial Reporting Standards (IFRS) as issued by the International Accounting
Standards Board (IASB) and endorsed by the European Union (EU). Our Internal control over financial reporting includes our
disclosure controls and procedures designed to prevent misstatements.
Risks in financial reporting
The primary risks in financial reporting are that either financial statements do not present a true and fair view due to inadvertent
or intentional errors (fraud) or the publication of financial statements is not done on a timely basis. These risks may reduce
investor confidence or cause reputational damage and may have legal consequences including banking regulatory interven-
tions. A lack of fair presentation arises when one or more financial statement amounts or disclosures contain misstatements
(or omissions) that are material. Misstatements are deemed material if they could, individually or in aggregate, influence eco-
nomic decisions that users make on the basis of the financial statements.
To confine those risks of financial reporting, management of the Group has established internal control over financial reporting
with the aim of providing reasonable but not absolute assurance against material misstatements. In addition, an assessment
was conducted of the effectiveness of the Group’s internal control over financial reporting. This was based on the Internal
Control Integrated Framework (2013) issued by the Committee of Sponsoring Organizations of the Treadway Commission
(COSO). COSO recommends the establishment of specific objectives to facilitate the design and evaluate adequacy of a
control system. As a result in establishing internal control over financial reporting, management has adopted the following
financial statement objectives:
– Existence - assets and liabilities exist and transactions have occurred;
– Completeness - all transactions are recorded, account balances are included in the financial statements;
– Valuation - assets, liabilities and transactions are recorded in the financial statements at the appropriate amounts;
– Rights, Obligations and Ownership – rights, obligations and ownership are appropriately recorded as assets and liabilities;
– Presentation and Disclosures - classification, disclosure and presentation of financial reporting is appropriate;
– Safeguarding of assets - unauthorized acquisition, use or disposition of assets is prevented or detected in a timely manner.
However, any internal control system, including internal control over financial reporting, no matter how well conceived and
operated, can provide only reasonable, but not absolute assurance that the objectives of that control system are met. As such,
disclosure controls and procedures or systems for internal control over financial reporting may not prevent all errors; inadvert-
ent or intentional errors (fraud). Furthermore, projections of any evaluation of effectiveness to future periods, are subject to
the risk that controls may become inadequate because of changes in conditions, or that the degree of compliance with policies
or procedures may deteriorate over time. In addition, the design of a control system must reflect the fact that there are resource
constraints, and the benefits of controls must be considered relative to their costs.
On January 1, 2020, we adopted fair value hedge accounting for portfolio hedges of interest rate risk (macro hedging) for core
deposits under the EU ‘carve-out’ rules of IAS 39, and have updated and modified certain internal controls over financial
reporting as a result of the introduction of the new hedge accounting approach.
Controls to minimize the risk of financial reporting misstatement
The system of internal control over financial reporting includes those policies and procedures that:
– Pertain to the maintenance of records, that, in reasonable detail accurately and fairly reflect the transactions and disposi-
tions of the company’s assets;
– Provide reasonable assurance that transactions are recorded as necessary to permit preparation of financial statements in
accordance with generally accepted accounting principles, and that receipts and expenditures of the company are made
only in accordance with authorisations of the company’s management and;
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Annual Report 2020
Internal control over financial reporting
Risks in financial reporting
– Provide reasonable assurance regarding prevention or timely detection of unauthorized acquisition, use or disposition of
the company’s assets that could have a material effect on the financial statements.
Measuring effectiveness of internal control
Each year, management of the Group undertakes a formal evaluation of the adequacy and effectiveness of the system of
internal control over financial reporting. This evaluation incorporates an assessment of the effectiveness of the control envi-
ronment as well as individual controls which make up the system of internal control over financial reporting taking into account:
– The financial misstatement risk of the financial statement line items, considering such factors as materiality and the sus-
ceptibility of the particular financial statement item to misstatement; and,
– The susceptibility of identified controls to failure, considering such factors as the degree of automation, complexity, and
risk of management override, competence of personnel and the level of judgment required.
These factors determine in their entirety the type and scope of the evidence required by § 315 HGB, which the management
needs to assess whether or not the established internal control over financial reporting is effective. The evidence itself is
generated from procedures integrated within the daily responsibilities of staff or from procedures implemented specifically for
purposes of the internal control over financial reporting evaluation. Information from other sources also form an important
component of the evaluation since such evidence may either bring additional control issues to the attention of management
or may corroborate findings. Such information sources may include:
– Reports on audits carried out by or on behalf of regulatory authorities;
– External Auditor reports; and,
– Reports commissioned to evaluate the effectiveness of outsourced processes to third parties.
In addition, Group Audit evaluates the design and operating effectiveness of internal control over financial reporting by per-
forming periodic and ad-hoc risk-based audits. Reports are produced summarizing the results from each audit which are
distributed to the responsible managers for the activities concerned. These reports also provide evidence to support the annual
evaluation by management of the overall operating effectiveness of internal control over financial reporting.
As a result of the evaluation, management has concluded that internal control over financial reporting is appropriately designed
and operating effectively as of December 31, 2020.
220
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Annual Report 2020
Information pursuant to section 315a (1) of the German Commercial Code and explanatory report
System of Control of any Employee Share Scheme where the Control Rights are not Exercised Directly
by the Employees
Information pursuant to section 315a (1) of the Ger-
man Commercial Code and explanatory report
Structure of the share capital including authorized and condi-
tional capital
For information regarding Deutsche Bank’s share capital please refer to Note 32 “Common Shares” to the Consolidated Fi-
nancial Statements.
Restrictions on voting rights or the transfer of shares
Under Section 136 of the German Stock Corporation Act the voting right of the affected shares is excluded by law. As far as
the bank held own shares as of December 31, 2020 in its portfolio according to Section 71b of the German Stock Corporation
Act no rights could be exercised. We are not aware of any other restrictions on voting rights or the transfer of shares.
Shareholdings which exceed 10 % of the Voting Rights
The German Securities Trading Act (Wertpapierhandelsgesetz) requires that any investor whose share of voting rights
reaches, exceeds or falls below certain thresholds as the result of purchases, disposals or otherwise, must notify us and the
German Federal Financial Supervisory Authority (BaFin) thereof. The lowest threshold is 3 %. We are not aware of any share-
holder holding directly or indirectly 10 % or more of the voting rights.
Shares with Special Control Rights
Shares which confer special control rights have not been issued.
System of Control of any Employee Share Scheme where the
Control Rights are not Exercised Directly by the Employees
The employees, who hold Deutsche Bank shares, exercise their control rights as other shareholders in accordance with ap-
plicable law and the Articles of Association (Satzung).
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Information pursuant to section 315a (1) of the German Commercial Code and explanatory report
Rules governing the amendment of the Articles of Association
Rules governing the appointment and replacement of members
of the Management Board
Pursuant to the German Stock Corporation Act (Section 84) and the Articles of Association of Deutsche Bank (Section 6) the
members of the Management Board are appointed by the Supervisory Board. The number of Management Board members
is determined by the Supervisory Board. According to the Articles of Association, the Management Board has at least three
members. The Supervisory Board may appoint one or two members of the Management Board as Chairpersons of the Man-
agement Board. Members of the Management Board may be appointed for a maximum term of up to five years. They may be
reappointed or have their term extended for one or more terms of up to a maximum of five years each. The German Co-
Determination Act (Mitbestimmungsgesetz; Section 31) requires a majority of at least two thirds of the members of the Super-
visory Board to appoint members of the Management Board. If such majority is not achieved, the Mediation Committee shall
give, within one month, a recommendation for the appointment to the Management Board. The Supervisory Board will then
appoint the members of the Management Board with the majority of its members. If such appointment fails, the Chairperson
of the Supervisory Board shall have two votes in a new vote. If a required member of the Management Board has not been
appointed, the Local Court (Amtsgericht) in Frankfurt am Main shall, in urgent cases, make the necessary appointments upon
motion by any party concerned (Section 85 of the Stock Corporation Act).
Pursuant to the German Banking Act (Kreditwesengesetz) and Regulation (EU) No 468/2014 of the European Central Bank
(SSM Framework Regulation) evidence must be provided to the European Central Bank (ECB), the German Federal Financial
Supervisory Authority (BaFin) and the Deutsche Bundesbank that the member of the Management Board has adequate the-
oretical and practical experience of the businesses of the Bank as well as managerial experience before the member is ap-
pointed (Sections 24 (1) No. 1 and 25c (1) of the Banking Act, Article 93 of the SSM Framework Regulation).
The Supervisory Board may revoke the appointment of an individual as member of the Management Board or as Chairperson
of the Management Board for good cause. Such cause includes in particular a gross breach of duties, the inability to manage
the Bank properly or a vote of no-confidence by the shareholders’ meeting (Hauptversammlung, referred to as the General
Meeting), unless such vote of no-confidence was made for obviously arbitrary reasons.
The ECB or the BaFin may appoint a special representative and transfer to such special representative the responsibility and
powers of individual members of the Management Board if such members are not trustworthy or do not have the required
competencies or if the credit institution does not have the required number of Management Board members. In any such case,
the responsibility and powers of the Management Board members concerned are suspended (Section 45c (1) through (3) of
the Banking Act, Article 93 (2) of the SSM Framework Regulation).
If the discharge of a bank’s obligations to its creditors is endangered or if there are valid concerns that effective supervision
of the bank is not possible, the BaFin may take temporary measures to avert that risk. It may also prohibit members of the
Management Board from carrying out their activities or impose limitations on such activities (Section 46 (1) of the Banking
Act). In such case, the Local Court Frankfurt am Main shall, at the request of the BaFin appoint the necessary members of
the Management Board, if, as a result of such prohibition, the Management Board no longer has the necessary number of
members in order to conduct the business (Section 46 (2) of the Banking Act).
Rules governing the amendment of the Articles of Association
Any amendment of the Articles of Association requires a resolution of the General Meeting (Section 179 of the Stock Corpo-
ration Act). The authority to amend the Articles of Association in so far as such amendments merely relate to the wording,
such as changes of the share capital as a result of the issuance of authorized capital, has been assigned to the Supervisory
Board by the Articles of Association of Deutsche Bank (Section 20 (3)). Pursuant to the Articles of Association, the resolutions
of the General Meeting are taken by a simple majority of votes and, in so far as a majority of capital stock is required, by a
simple majority of capital stock, except where law or the Articles of Association determine otherwise (Section 20 (1)). Amend-
ments to the Articles of Association become effective upon their entry in the Commercial Register (Section 181 (3) of the Stock
Corporation Act).
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Information pursuant to section 315a (1) of the German Commercial Code and explanatory report
Powers of the Management Board to issue or buy back shares
Powers of the Management Board to issue or buy back shares
The Annual General Meeting of May 18, 2017 authorized the Management Board pursuant to Section 71 (1) No. 7 of the Stock
Corporation Act to buy and sell, for the purpose of securities trading, own shares of Deutsche Bank AG on or before April
30, 2022, at prices which do not exceed or fall short by more than 10 % of the average of the share prices (closing auction
prices of the Deutsche Bank share in Xetra trading and/or in a comparable successor system on the Frankfurt Stock Exchange)
on the respective three preceding stock exchange trading days. In this context, the shares acquired for this purpose may not,
at the end of any day, exceed 5 % of the share capital of Deutsche Bank AG.
The Annual General Meeting of May 20, 2020 authorized the Management Board pursuant to Section 71 (1) No. 8 of the Stock
Corporation Act to buy, on or before April 30, 2025, own shares of Deutsche Bank AG in a total volume of up to 10 % of the
share capital at the time the resolution was taken or – if the value is lower – of the share capital at the time this authorization
is exercised. Together with own shares acquired for trading purposes and/or for other reasons and which are from time to time
in the company’s possession or attributable to the company pursuant to Sections 71a et seq. of the Stock Corporation Act,
the own shares purchased on the basis of this authorization may not at any time exceed 10 % of the company’s respectively
applicable share capital. The own shares may be bought through the stock exchange or by means of a public purchase offer
to all shareholders. The consideration for the purchase of shares (excluding ancillary purchase costs) through the stock ex-
change may not be more than 10 % higher or more than 20 % lower than the average of the share prices (closing auction
prices of the Deutsche Bank share in Xetra trading and/or in a comparable successor system on the Frankfurt Stock Exchange)
on the last three stock exchange trading days before the obligation to purchase. In the case of a public purchase offer, it may
not be more than 10 % higher or more than 20 % lower than the average of the share prices (closing auction prices of the
Deutsche Bank share in Xetra trading and/or in a comparable successor system on the Frankfurt Stock Exchange) on the last
three stock exchange trading days before the day of publication of the offer. If the volume of shares offered in a public purchase
offer exceeds the planned buyback volume, acceptance must be in proportion to the shares offered in each case. The pre-
ferred acceptance of small quantities of up to 50 of the company’s shares offered for purchase per shareholder may be defined.
The Management Board has also been authorized to dispose of the purchased shares and of any shares purchased on the
basis of previous authorizations pursuant to Section 71 (1) No. 8 of the Stock Corporation Act on the stock exchange or by an
offer to all shareholders. The Management Board has been authorized to dispose of the purchased shares against contribu-
tion-in kind and with the exclusion of shareholders’ pre-emptive rights for the purpose of acquiring companies or shareholdings
in companies or other assets that serve the company’s business operations. In addition, the Management Board has been
authorized, in case it disposes of such own shares by offer to all shareholders, to grant to the holders of the option rights,
convertible bonds and convertible participatory rights issued by the company and its affiliated companies pre-emptive rights
to the shares to the extent that they would be entitled to such rights if they exercised their option and/or conversion rights.
Shareholders’ pre-emptive rights are excluded for these cases and to this extent.
The Management Board has also been authorized to use shares purchased on the basis of authorizations pursuant to § 71
(1) No. 8 Stock Corporation Act to issue staff shares, with the exclusion of shareholders’ pre-emptive rights, to employees and
retired employees of the company and its affiliated companies or to use them to service option rights on shares of the company
and/or rights or duties to purchase shares of the company granted to employees or members of executive or non-executive
management bodies of the company and of affiliated companies.
Furthermore, the Management Board has been authorized, with the exclusion of shareholders’ pre-emptive rights, to sell such
own shares to third parties against cash payment if the purchase price is not substantially lower than the price of the shares
on the stock exchange at the time of sale. Use may only be made of this authorization if it has been ensured that the number
of shares sold on the basis of this authorization does not exceed 10 % of the company’s share capital at the time this author-
ization becomes effective or – if the amount is lower – at the time this authorization is exercised. Shares that are issued or
sold during the validity of this authorization with the exclusion of pre-emptive rights, in direct or analogous application of
Section 186 (3) sentence 4 Stock Corporation Act, are to be included in the maximum limit of 10 % of the share capital. Also
to be included are shares that are to be issued to service option and/or conversion rights from convertible bonds, bonds with
warrants, convertible participatory rights or participatory rights, if these bond or participatory rights are issued during the validity
of this authorization with the exclusion of pre-emptive rights in corresponding application of Section 186 (3) sentence 4 Stock
Corporation Act.
The Management Board has also been authorized to cancel shares acquired on the basis of this or a preceding authorization
without the execution of this cancellation process requiring a further resolution by the General Meeting.
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Deutsche Bank
Annual Report 2020
Information pursuant to section 315a (1) of the German Commercial Code and explanatory report
Agreements for compensation in case of a takeover bid
The Annual General Meeting of May 20, 2020 authorized the Management Board pursuant to Section 71 (1) No. 8 of the Stock
Corporation Act to execute the purchase of shares under the resolved authorization also with the use of put and call options
or forward purchase contracts. The company may accordingly sell to third parties put options based on physical delivery and
buy call options from third parties if it is ensured by the option conditions that these options are fulfilled only with shares which
themselves were acquired subject to compliance with the principle of equal treatment. All share purchases based on put or
call options are limited to shares in a maximum volume of 5 % of the actual share capital at the time of the resolution by the
General Meeting on this authorization. The term of the options must be selected such that the share purchase upon exercising
the option is carried out at the latest on April 30, 2025.
The purchase price to be paid for the shares upon exercise of the put options or upon the maturity of the forward purchase
may not exceed more than 10 % or fall below 10 % of the average of the share prices (closing auction prices of the Deutsche
Bank share in Xetra trading and/or in a comparable successor system on the Frankfurt Stock Exchange) on the last three
stock exchange trading days before conclusion of the respective transaction in each case excluding ancillary purchase costs
but taking into account the option premium received. The call options may only be exercised if the purchase price to be paid
does not exceed by more than 10 % or fall below 10 % of the average of the share prices (closing auction prices of the
Deutsche Bank share in Xetra trading and/or in a comparable successor system on the Frankfurt Stock Exchange) on the last
three stock exchange trading days before the acquisition of the shares.
To the sale and cancellation of shares acquired with the use of derivatives the general rules established by the General
Meeting apply.
Own shares may continue to be purchased using existing derivatives that were agreed on the basis and during the existence
of previous authorizations.
Significant agreements which take effect, alter or terminate
upon a change of control of the company following a takeover
bid
Significant agreements which take effect, alter or terminate upon a change of control of the company following a takeover bid
have not been entered into.
Agreements for compensation in case of a takeover bid
If a member of the Management Board leaves the bank within the scope of a change of control, she or he receives a one-off
compensation payment described in greater detail in the Compensation Report.
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Deutsche Bank
Annual Report 2020
Standalone parent company information (HGB)
Deutsche Bank AG Performance
Corporate governance statement pursuant to sections
289f and 315d of the German Commercial Code
The entire Corporate Governance Statement according to sections 289f and 315d of the German Commercial Code is avail-
able on our website under https://www.db.com/ir/en/reports.htm as well as in the chapter “3 – Corporate Governance State-
ment according to Sections 289f, 315d of the German Commercial Code / Corporate Governance Report”.
Standalone parent company information (HGB)
Introduction
Deutsche Bank AG is the parent company of Deutsche Bank Group and is its most material component. The management of
Deutsche Bank Group is based on IFRS result of our corporate divisions. Deutsche Bank AG is fully integrated in the initiatives
and target setting of Deutsche Bank Group. The performance of the Group is ultimately driving the performance of Deutsche
Bank AG. Further, the bank has utilized the option under Section 2a of the German Banking Act (KWG) with respect to regu-
latory capital so that regulatory capital ratios are only applicable on Group level.
Therefore, information, that has been provided regarding Deutsche Bank Group in this combined management report, in
general also is relevant and applies to Deutsche Bank AG. Additional information, that facilitates an understanding of Deutsche
Bank AG, is contained in this section. The financial information in this section has been prepared in accordance with the
German Commercial Code (“Handelsgesetzbuch”, HGB), unless stated otherwise. Further details on financial information
prepared in accordance with HGB can be found in the notes to the financial statements for Deutsche Bank AG in a separate
report.
Deutsche Bank AG Performance
Due to the circumstances set forth in the introduction above, the financial information prepared in accordance with HGB of
Deutsche Bank AG are in general less relevant to assess or steer the financial performance. An additional parameter to
evaluate the performance DB Bank Group is the ability to return capital to shareholders. This ability depends on the availability
of distributable profit for DB AG.
In May 2020 the former subsidiary DB Privat- und Firmenkundenbank AG (PFK) was merged with Deutsche Bank AG effective
January 1, 2020. Therefore the explanation of changes to prior year is referring to the pro-forma financial data for 2019 and
as of January 1, 2020, respectively which include PFK.
In 2020, Deutsche Bank AG recorded a net loss of € 1.8 billion compared to net loss of € 19.7 billion in 2019 pro-forma finan-
cials. Prior year’s loss was largely driven by our transformation strategy announced in July 2019, leading to significant valua-
tion allowances. As a consequence, the operating result of prior year was negative € 7.0 billion and the net other ordinary
expenses were recorded at € 11.7 billion, mainly driven by valuation adjustments related to investments. In the current year,
COVID-19 was an additional significant driver for valuation allowances, thus leading to an operating result of negative
€ 902 million and net other ordinary expenses of € 752 million. Partly offsetting, net extraordinary results of € 779 million were
recorded, positively impacted by a gain of € 1.2 billion on the merger with PFK. Tax expense amounted to € 894 million.
Although the overall income situation of Deutsche Bank improved significantly compared to prior year, the bank recorded a
net loss. Therefore, in line with public announcements made in the context with the transformation strategy during 2019,
Deutsche Bank AG will not pay out dividends for the financial year 2020.
225
Deutsche Bank
Annual Report 2020
Standalone parent company information (HGB)
Deutsche Bank AG Performance
Income Statement
Condensed income statement
in € m.
Interest income1
Current income2
Total interest income
Interest expenses
Net interest income
Commission income
Commission expenses
Net commission income
Net trading result
thereof release of trading-related special reserve
according to Section 340e HGB
Total revenues
Wages and salaries
Compulsory social security contributions3
Staff expenses
Other administrative expenses4
Administrative expenses
Balance of other operating income/expenses
Risk provisioning
Operating profit
Balance of other ordinary income/expenses
Extraordinary result
Releases from/(Additions) to the fund for general banking
risks
Income before taxes
Taxes
Net income (loss)
Profit carried forward from the previous year
Withdrawal from capital reserves
Allocations to revenue reserves
– to other revenue reserves
Distributable profit
2019 (pro-forma)
2020
15,079
1,254
16,333
7,808
8,525
7,841
2,487
5,354
1,328
0
15,207
4,679
1,294
5,972
10,002
15,974
835
971
(902)
(752)
779
21,757
2,049
23,806
14,871
8,935
8,881
2,820
6,062
715
0
15,712
4,697
1,248
5,945
11,831
17,777
(1,204)
3,767
(7,035)
(11,669)
(421)
2019
16,525
1,997
18,522
12,852
5,671
7,538
1,892
5,646
710
0
12,027
3,623
949
4,572
8,725
13,297
(1,497)
3,684
(6,452)
(12,231)
(446)
in € m.
(6,678)
(795)
(7,473)
(7,063)
(410)
(1,040)
(333)
(708)
613
0
(505)
(18)
46
27
(1,829)
(1,803)
2,039
(2,796)
6,133
10,917
1,200
0
0
0
0
(875)
894
(1,769)
0
(1,769)
1,769
0
0
0
(19,126)
559
(19,685)
259
(19,426)
19,426
0
0
0
(19,129)
556
(19,685)
259
(19,426)
19,426
0
0
0
18,251
335
17,916
(259)
17,657
(17,657)
0
0
0
Change
in %
(31)
(39)
(31)
(47)
(5)
(12)
(12)
(12)
86
N/M
(3)
(0)
4
0
(15)
(10)
N/M
(74)
(87)
(94)
N/M
N/M
(95)
60
(91)
N/M
(91)
(91)
N/M
N/M
N/M
N/M - Not meaningful
1 From lending and money market business, fixed-income securities, and government inscribed debt.
2 From equity shares and other variable-yield securities, participating interests, investments in affiliated companies (including profit transfer agreements).
3 Including expenses for pensions and other employee benefits.
4 Including depreciation on tangible and intangible assets.
Net interest income decreased by € 410 million to € 8.5 billion. Within current income, down by € 795 million, income from
equities and other non-fixed-income securities was down by € 873 million, mainly driven by continued de-risking strategies in
CRU. In addition, income from investments in subsidiaries was down by € 186 million. Partly offsetting, income from profit
pooling increased by € 264 million. The net interest result from lending and securities less interest expenses increased by
€ 385 million, reflecting, among other items, repricing of deposits in order to pass on negative interest rates. The significant
decrease of gross interest income and expense is mainly driven by lower interest rates especially outside Euro denomination.
Net commission income of € 5.4 billion was down by € 708 million compared to the previous year, mainly driven by lower
income from services rendered to group companies and lower income from loan business.
Deutsche Bank AG reported € 1.3 billion net trading result in 2020, up by € 613 million compared to prior year. This increase
was mainly driven by positive results in foreign currency transactions and bonds.
Staff expenses were slightly up by € 27 million to € 6.0 billion. Increased costs for pensions were not fully compensated by a
reduction in wages and salaries and social contributions excluding pension costs.
Geographical breakdown of our staff (full-time-equivalent)
Staff (full-time equivalents)1
Germany2
Europe excl. Germany
Americas
Africa/Asia/Australia
Total
1 Staff (full-time equivalent) = total headcount adjusted proportionately for part time staff, excluding apprentices and interns.
Dec 31, 2020
Jan 1, 2020
(pro-forma)
Dec 31, 2019
Change
22,305
8,144
560
5,331
36,341
22,682
8,215
645
5,400
36,942
11,133
8,149
645
5,400
25,326
(377)
(71)
(85)
(69)
(601)
226
Deutsche Bank
Annual Report 2020
Standalone parent company information (HGB)
Deutsche Bank AG Performance
2 In 2019 the health insurance company of Deutsche Bank aligned its FTE definition which decreased the Group number as of December 31, 2019 by 81
(prior period not restated).
The number of employees in Germany decreased mainly driven by the implementation of restructuring measures, primarily in
the Private Bank (PB) and Infrastructure functions. The number of employees in the Americas decreased mainly driven by
reductions in Investment Bank (IB), Capital Release Unit (CRU) and in Infrastructure functions. In Europe excluding Germany
the number of employees decreased primarily in the Netherlands and in Belgium. In region Africa/Asia/Australia the number
of employees was primarily lower in Hong Kong and Singapore.
Other administrative expenses (excluding depreciation and amortization on tangible and intangible assets) decreased by
€ 1.5 billion to € 8.8 billion. This development was driven by lower expenses from intercompany charges, down by € 1.0 billion,
costs for IT equipment reduced by € 323 million and general operational expenses, down by € 226 million.
Scheduled depreciation and amortization of tangible and intangible assets amounted to € 1.2 billion in 2020 (2019: € 1.3 bil-
lion). The decrease is mainly attributable to lower levels of self-developed software after last years’ impairments.
The balance of other operating income/expenses improved from negative € 1.2 billion in 2019 to positive € 835 million in 2020.
The total improvement by € 2.0 billion was mainly driven by the following items: An increase in the net result from financial
instruments in the banking book by € 802 million, reduced net interest expenses on staff related provisions which decreased
by € 607 million. Expenses for civil damages penalties and fines were down by € 423 million.
In 2020, total net risk provisioning, consisting of changes in credit related risk provisioning and the net result from securities
held in the liquidity reserve, went down by € 2.8 billion from € 3.8 billion to € 971 million.
This development was attributable to lower risk provisioning in the loan business, down by € 2.4 billion, and net results from
securities held in the liquidity reserve, up by € 418 million, driven mainly by gains on sales. Prior year risk provisioning in the
loan business was mainly driven by a credit loss allowance for one Group-internal funding relationship. Besides the impact
from the COVID-19 pandemic, current year risk provisioning in the loan business increased by € 249 million due to the changes
in our methodology to calculate credit loss allowance on financial assets which are not credit-impaired but have an increased
probability of default. Starting this year, for such financial assets the credit loss allowance is based on probability of default
(PD), loss given default (LGD) and exposure at default (EAD) all based on the remaining lifetime of the Financial Asset. Before
this year, this methodology was based on a 12 months horizon.
The balance of other ordinary income and expenses was negative € 752 million (2019: negative € 11.7 billion). Prior years’
negative balance was mainly driven by expenses for value adjustments of investments in affiliated companies of € 10.3 billion
driven by the strategic transformation and a weaker economic outlook. This years’ loss is also mainly driven by net value
adjustments of € 879 million. These impairments are mainly concerning bank subsidiaries und reflect, among other factors,
the worsened economic outlook caused by COVID-19 and the expected development of interest rates.
In addition, write-downs and non-scheduled depreciation of tangible and intangible assets amounted to € 38 million in 2020
(2019: € 787 million). Prior year impairments related to self-developed software, reflecting our strategic transformation.
Expenses from loss take-over, also presented within other ordinary income and expenses, amounted to € 100 million in 2020
(2019: € 455 million).
Net extraordinary income and expenses were positive € 779 million (2019: negative € 421 million). This change was mainly
driven by a gain of € 1.2 billion from the merger with PFK.
In 2020, a tax expense of € 894 million was recorded compared to a tax expense of € 556 million in the prior year. The current
year’s income tax expense was mainly impacted by deferred tax assets valuation adjustments.
Deutsche Bank AG recorded in 2020 a net loss of € 1.8 billion after a prior year net loss of € 19.7 billion.
After a partial release of the capital reserves by € 1.8 billion, the distributable profit amounted to € 0 million as of Decem-
ber 31, 2020.
227
Deutsche Bank
Annual Report 2020
Standalone parent company information (HGB)
Deutsche Bank AG Performance
Balance Sheet
in € m.
Assets
Receivables from banks and customers incl. balances with
central banks and debt instruments of public-sector entities
Participating interests and investments in affiliatied compa-
nies
Bonds and other securities and equity shares
Trading Assets
Remaining other assets
Total assets
Liabilities and Shareholders' Equity
Liabilities to banks and customers
Liabilities in certificate form
Trading liabilities
Provisions
Capital and reserves
Subordinated liabilities, Participation rights capital, Instru-
ments for Additional Tier 1 Regulatory Capital and Fund for
general banking risks
Remaining other liabilities
Total liabilities and shareholders' equity
Dec 31, 2020
Jan 1, 2020
(pro-forma)
Dec 31, 2019
in € m.
610,390
601,896
426,036
8,494
28,190
33,011
34,559
(4,821)
89,519
241,390
23,803
993,292
87,849
247,904
19,408
990,066
55,907
248,158
12,421
777,081
609,701
87,002
203,986
5,670
32,959
608,615
94,377
191,743
5,522
35,884
428,495
91,425
192,652
4,670
34,728
1,670
(6,514)
4,395
3,226
1,086
(7,375)
12,243
148
(2,925)
20,179
19,881
18,068
298
33,794
993,292
34,044
990,066
7,044
777,081
(250)
3,226
Change
in %
1
(15)
2
(3)
23
0
0
(8)
6
3
(8)
1
(1)
0
Total assets of Deutsche Bank AG amounted to € 993.3 billion as of December 31, 2020. The slight increase by € 3.2 billion
compared to January 1, 2020 (on pro forma basis) was mainly driven by increases in Receivables from banks and customers
incl. balances with central banks and debt instruments of public-sector entities and Remaining other assets, partly offset by
decreases in Participating interests and investments.
Total credit extended (excluding reverse repos and securities spot deals)
in € bn.
Claims on customers
with a residual period of
up to 5 years1
over 5 years
Loans to banks
with a residual period of
up to 5 years1
over 5 years
Total
Dec 31, 2020
Jan 1, 2020
(pro-forma)
Dec 31, 2019
in € bn.
380
272
107
38
32
6
417
399
228
(20)
291
109
56
40
16
456
206
22
51
38
13
279
(19)
(1)
(18)
(9)
(10)
(38)
Change
in %
(5)
(6)
(1)
(33)
(21)
(63)
(8)
1 Including those repayable on demand and those with an indefinite period.
Total credit extended (excluding reverse repos and securities spot deals) decreased by € 38.3 billion (8 %), to € 417.3 billion.
This development was primarily driven by a decrease in Claims on Customers by € 19.8 billion (5 %) to € 379.5 billion and a
decrease in Loans to banks, which are reported under total credit extended, by € 18.5 billion (33 %) to € 37.7 billion.
Receivables from banks (excluding loans) outside trading decreased by € 1.2 billion to € 42.4 billion compared to January 1,
2020 (on pro forma basis).
Our securities portfolio (excluding trading assets) increased by € 1.7 billion to € 89.5 billion, mainly driven by an increase in
bonds.
Trading assets amounted to € 241.4 billion, a decrease of € 6.5 billion (3%) compared to January 1, 2020 (on pro forma basis).
This was mainly driven by a decrease in securities qualifying as trading, which were down by € 5 billion (6) % to € 78.5 billion
and Receivables qualifying as trading down by € 4.9 billion (6) % to € 78.5 billion, partly offset by increases in positive market
values from trading derivatives by € 1.9 billion (2 %) to € 82.8 billion.
Investments in affiliated companies decreased by € 6.4 billion to € 27.9 billion. The decrease was attributable to the merger
of DB Privat- und Firmenkundenbank AG with Deutsche Bank AG with retrospective effect as of January 1st, 2020 of € 5.3
billion, net write-downs of € 0.9 billion and a negative impact of foreign currency translation of € 0.5 billion, partially offset by
net capital increases of € 0.3 bn.
.
228
Deutsche Bank
Annual Report 2020
Standalone parent company information (HGB)
Management of Deutsche Bank AG within the Group
Further details of Liabilities to banks, Liabilities to customers and Liabilities in certificate form are provided in the following
table:
Breakdown of liabilities
in € bn.
Liabilities to banks
repayable on demand
with agreed period or notice period
Liabilities to customers
savings deposits
other liabilities
repayable on demand
with agreed period or notice period
Liabilities in certificate form
bonds and notes issued
other liabilities in certificate form
thereof: money market instruments
Dec 31, 2020
Jan 1, 2020
(pro-forma)
Dec 31, 2019
in € bn.
142
59
83
467
61
327
79
87
84
4
3
128
67
61
480
62
309
110
94
91
4
3
158
71
87
270
3
172
95
91
88
4
3
14
(8)
22
(13)
(1)
18
(30)
(7)
(7)
(0)
(0)
Change
in %
11
(12)
37
(3)
(2)
6
(28)
(8)
(8)
(8)
(4)
Trading liabilities amounted to € 204.0 billion, an increase of 12.2 billion (6 %) in comparison to January 1, 2020 (on pro forma
basis). This was mainly driven by increases in negative market values from trading derivatives by € 7.5 billion (9 %) to
€ 89.5 billion.
Instruments for additional Tier 1 Regulatory Capital amounted to € 5.7 billion compared to € 5.0 billion last year. The year-on-
year movement is the result of the new AT1 instrument issued in 2020 as well as currency translation effects.
Capital and reserves of Deutsche Bank AG amounted to € 33.0 billion. The reduction of € 2.9 billion is mainly attributable to
the net loss incurred in 2020 and subsequent releases of capital reserves as well as the gain from the merger with PFK of
€ 1.2 billion shown in the pro-forma financials.
Consistent with prior years, the Bank has utilized the option available under Section 2a of the German Banking Act (KWG)
with respect to its regulatory capital and presents capital requirements for Deutsche Bank Group only.
In summary: The bank maintained its stable funding, high liquidity base and solid regulatory capital position which is based
on Group capital. For further details please refer to the liquidity risk and capital adequacy sections in the Risk Report.
Management of Deutsche Bank AG within the Group
The content in this chapter should be read in conjunction with the respective group sections in this Annual Report, especially
“Risk Report”, “Outlook”, “Risks and Opportunities” and “Internal control over financial reporting”.
Risk Management
The impact of the risks on Deutsche Bank AG cannot be isolated from the effects on Deutsche Bank’s other legal entities,
mainly driven by:
– The Group’s management structure, including its corporate Divisions follows its customers’ needs. The legal structure is
determined by local legislation and therefore does not necessarily follow the management structure. For example, local
legislation can determine whether the Group’s business in a certain country is conducted by a branch of Deutsche Bank
AG or by a separate subsidiary. However, the management has to monitor the risks in the bank’s business – irrespective
of whether it is transacted by a branch or a subsidiary.
– Adequate risk monitoring and management requires knowledge of the extent to which the Group’s profit situation depends
on the development of certain risk factors, i.e. on the creditworthiness of individual customers or securities issuers or on
movements in market prices. The respective exposures therefore need to be analyzed across legal entities. Especially for
the credit risk attached to a borrower, as it is irrelevant whether the credit exposure to a company is spread over several
Group companies or concentrated on Deutsche Bank AG. Separate monitoring of the risk affecting Deutsche Bank AG
alone would neglect the potential exposure facing the Group and, indirectly, Deutsche Bank AG – as the parent – if the
company became insolvent.
229
Deutsche Bank
Annual Report 2020
Standalone parent company information (HGB)
Management of Deutsche Bank AG within the Group
– Individual risk factors are sometimes correlated, and in some cases they are independent of each other. If estimates of the
nature and extent of this correlation are available, the Group’s management can significantly reduce the overall risk by
diversifying its businesses across customer groups, issuers and countries. The risk correlation is also independent of the
Group’s legal and divisional structure. Therefore, management can only optimize the risk-mitigating effects of diversification
if it manages them Group-wide and across legal entities.
For the reasons mentioned, the identification, monitoring and management of all risks in Deutsche Bank AG are integrated
into the Group-wide risk management process. Following Group policies, DB AG adheres to the respective legal and regulatory
requirements.
The Liquidity Coverage Ratio (LCR) which is calculated separately to ensure an appropriate level of liquidity within Deutsche
Bank AG stands at 136 % as of December 31, 2020 compared to 128 % as of December 31, 2019.
Outlook and Strategy
Deutsche Bank AG as the parent company of the Group defines the strategy and planning for the individual Group Divisions.
Deutsche Bank AG participates in the results of the Group Divisions through own activities and profit distribution from subsid-
iaries. Therefore, the Group’s outlook encompasses all Group Divisions and is not limited to the parent company. In addition,
financial key performance indicators are solely defined on Group level, except for the amount of distributable profit.
Risks and Opportunities
Risks
Deutsche Bank AG as a solo entity reporting under HGB faces additional risks compared to the Group plan based on IFRS
that certain transactions in a given year lead to higher losses or lower than in the Group financial statements. The following
items carry significant risk in this respect:
– Potential valuation adjustments of investments in affiliated companies, driven by local economic environment, increased
local regulatory requirements, restructuring or changes of share prices of listed investments.
– Increase in long-term provisions, especially pension obligations, despite rises in interest rate levels caused by the discount-
ing with average interest rates according to section 253 par. 2 German Commercial Code.
– Negative valuation adjustments to plan assets, especially in an environment of rising interest rate levels. Due to the above
mentioned valuation methodology there might be no offsetting effect from lower pension obligations if interest rates are
rising.
– Potential requirement to set up a provision according to German accounting pronouncement IDW RS BFA 3 in case the
interest bearing banking book does not generate an interest margin sufficient to cover expected credit risk costs and ad-
ministrative expenses. A persisting low interest rate environment and the treatment of coupon payments related to the AT1
instruments as expenses under HGB increase this risk.
In addition, profits or retained earnings from affiliated companies might not allow for sufficient dividend payments to fully cover
losses recognized in Deutsche Bank AG.
Opportunities
Deutsche Bank AG as a solo entity reporting under HGB may have additional opportunities compared to the Group plan based
on IFRS that certain transactions in a given year are reported in a more beneficial manner than for the Group under IFRS,
such as realized gains which were recognized in the income statement under IFRS in an earlier period
In addition, there is the possibility that Deutsche Bank AG as parent entity shows higher profits in a given year compared to
its contribution to the group net income, that result from increased profit distributions from affiliated companies.
Internal control over financial reporting
The controls that are performed for our Group Annual Statements under IFRS apply to our financial statements under HGB
accordingly. In addition to these controls specific HGB related controls are implemented which include:
– Inter-branch reconciliation and elimination are performed for HGB specific balances; and,
– Analytical reviews of revaluation and reclassification items between IFRS and HGB on the level of foreign branches and
the German headquarters.
230
Deutsche Bank
Annual Report 2020
Standalone parent company information (HGB)
Non-financial Statement for Deutsche Bank AG
Non-financial Statement for Deutsche Bank AG
The details pursuant to § 340a (1a) German Commercial Code (HGB) in conjunction with § 289b (3) HGB can be found as a
combined separate non-financial report under https://www.db.com/ir/en/annual-reports.htm.
231
2
Consolidated Financial
Statements
233 Consolidated statement of income
234
Consolidated statement of
comprehensive income
235 Consolidated balance sheet
236
Consolidated statement of
changes in equity
238 Consolidated statement of cash flows
240
240
Notes to the consolidated financial
statements
1 – Significant accounting policies and
critical accounting estimates
263
2 – Recently adopted and new accounting
pronouncements
266
266
3 – Acquisitions and dispositions
4 – Business segments and related
information
274
274
Notes to the consolidated income
statement
5 – Net interest income and net gains
(losses) on financial assets / liabilities
at fair value through profit or loss
6 – Commissions and fee income
7 – Gains and losses on derecognition
of financial assets measured at
amortized cost
8 – Other income (loss)
9 – General and administrative expenses
10 – Restructuring
11 – Earnings per share
Notes to the consolidated balance
sheet
12 – Financial assets / liabilities at fair value
through profit or loss
276
278
278
278
279
280
281
281
282
13 – Financial instruments carried at fair
value
296
14 – Fair Value of financial instruments not
carried at fair value
298
15 – Financial assets at fair value through
other comprehensive income
299
17 – Offsetting financial assets and
302
303
305
308
309
310
315
316
316
317
329
330
331
financial liabilities
18 – Loans
19 – Allowance for credit losses
20 – Transfer of financial assets, assets
pledged and received as collateral
21 – Property and equipment
22 – Leases
23 – Goodwill and other intangible assets
24 – Non-current assets and disposal
groups held for sale
25 – Other assets and other liabilities
26 – Deposits
27 – Provisions
28 – Credit related commitments
29 – Other short-term borrowings
30 – Long-term debt and trust preferred
securities
331
31 – Maturity analysis of the earliest
contractual undiscounted cash flows
of financial liabilities
333 Additional notes
333
334
348
350
354
355
357
361
32 – Common shares
33 – Employee benefits
34 – Income taxes
35 – Derivatives
36 – Related party transactions
37 – Information on subsidiaries
38 – Structured entities
39 – Current and non-current assets and
liabilities
362 40 – Events after the reporting period
363
367
41 – Regulatory capital information
42 – Supplementary information to the
consolidated financial statements
according to Sections 297 (1a) / 315a
HGB
369
371
390
43 – Country by country reporting
44 – Shareholdings
45 – Impact of Deutsche Bank’s
transformation
298
16 – Equity method investments
391 Confirmations
Deutsche Bank
Annual Report 2020
Consolidated statement of income
Earnings per share
Consolidated statement of income
Notes
5
6
5
5
5
19
2018
24,718
11,402
13,316
525
12,791
10,039
2020
17,806
6,280
11,526
1,792
9,734
9,424
2019
25,208
11,458
13,749
723
13,026
9,520
in € m.
Interest and similar income1
Interest expense
Net interest income
Provision for credit losses
Net interest income after provision for credit losses
Commissions and fee income
Net gains (losses) on financial assets/liabilities at fair value through
profit or loss
Net gains (losses) on derecognition of assets measured at amortized cost
Net gains (losses) on financial assets at fair value through other
comprehensive income
Net income (loss) from equity method investments
Other income (loss)
Total noninterest income
Compensation and benefits
General and administrative expenses
Impairment of goodwill and other intangible assets
Restructuring activities
Total noninterest expenses
Profit (loss) before income taxes
Income tax expense (benefit)
Profit (loss)
Profit (loss) attributable to noncontrolling interests
Profit (loss) attributable to Deutsche Bank shareholders and additional
267
equity components
1 Interest and similar income included € 14.0 billion, € 18.0 billion and € 16.8 billion for the year ended December 31, 2020, 2019 and 2018, respectively, calculated based on
260
110
(668)
9,416
11,142
12,253
1,037
644
25,076
(2,634)
2,630
(5,265)
125
323
120
(154)
12,503
10,471
10,259
0
485
21,216
1,021
397
624
129
317
219
215
12,000
11,814
11,286
0
360
23,461
1,330
989
341
75
33
9
23
10
2,465
324
193
0
16
8
1,209
2
(5,390)
495
34
effective interest method.
Earnings per share
Notes
in € m.
Earnings per share:1
Basic
Diluted
Number of shares in million:
Denominator for basic earnings per share –
weighted-average shares outstanding
Denominator for diluted earnings per share –
adjusted weighted-average shares after assumed conversions2
2,102.2
1 Earnings were adjusted by € 349 million and € 330 million before tax and € 292 million net of tax for the coupons paid on Additional Tier 1 Notes in April 2020, April 2019 and
April 2018. Since 2019 the tax impact is recognized in net income (loss) directly. In accordance with IAS 33 the coupons paid on Additional Tier 1 Notes are not attributable to
Deutsche Bank shareholders and therefore need to be deducted in the calculation. This adjustment created a net loss situation for Earnings per Common Share for 2018.
2 Due to the net loss situation for 2019 and 2018 potentially dilutive shares are generally not considered for the earnings per share calculation, because to do so would de-
(€ 2.71)
(€ 2.71)
€ 0.07
€ 0.07
(€ 0.01)
(€ 0.01)
2,110.0
2,110.0
2,108.2
2,170.1
2,102.2
11
2018
2020
2019
crease the net loss per share. Under a net income situation however, the number of adjusted weighted average shares after assumed conversion would have been increased
by 60 million shares for 2019 and 53 million shares for 2018.
The accompanying notes are an integral part of the Consolidated Financial Statements.
233
Deutsche Bank
Annual Report 2020
Consolidated statement of comprehensive income
Earnings per share
Consolidated statement of comprehensive income
in € m.
Profit (loss) recognized in the income statement
Other comprehensive income
Items that will not be reclassified to profit or loss
Remeasurement gains (losses) related to defined benefit plans, before tax
Net fair value gains (losses) attributable to credit risk related to financial
liabilities designated as at fair value through profit or loss, before tax
Total of income tax related to items that will not be reclassified to profit or loss
Items that are or may be reclassified to profit or loss
Financial assets at fair value through other comprehensive income
Unrealized net gains (losses) arising during the period, before tax
Realized net (gains) losses arising during the period (reclassified to profit or loss),
before tax
Derivatives hedging variability of cash flows
Unrealized net gains (losses) arising during the period, before tax
Realized net (gains) losses arising during the period (reclassified to profit or loss),
before tax
Assets classified as held for sale
Unrealized net gains (losses) arising during the period, before tax
Realized net (gains) losses arising during the period (reclassified to profit or loss),
before tax
Foreign currency translation
Unrealized net gains (losses) arising during the period, before tax
Realized net (gains) losses arising during the period (reclassified to profit or loss),
before tax
Equity Method Investments
Net gains (losses) arising during the period
Total of income tax related to items that are or may be reclassified to profit or loss
Other comprehensive income (loss), net of tax
Total comprehensive income (loss), net of tax
Attributable to:
Noncontrolling interests
Deutsche Bank shareholders and additional equity components
2020
624
2019
(5,265)
2018
341
149
(1,396)
(216)
(24)
82
(3)
403
676
309
(323)
(260)
(14)
4
0
0
(2)
(2)
0
0
(1,819)
(20)
6
(9)
1
(122)
(1,385)
(762)
(22)
193
(809)
(6,073)
59
(821)
136
(6,209)
52
10
(245)
(317)
(3)
0
2
(2)
457
0
(10)
228
(43)
298
116
182
The accompanying notes are an integral part of the Consolidated Financial Statements.
234
Deutsche Bank
Annual Report 2020
Consolidated balance sheet
Earnings per share
Consolidated balance sheet
in € m.
Assets:
Cash and central bank balances
Interbank balances (w/o central banks)
Central bank funds sold and securities purchased under resale agreements
Securities borrowed
Financial assets at fair value through profit or loss
Trading assets
Positive market values from derivative financial instruments
Non-trading financial assets mandatory at fair value through profit and loss
Financial assets designated at fair value through profit or loss
Total financial assets at fair value through profit or loss
Financial assets at fair value through other comprehensive income
Equity method investments
Loans at amortized cost
Property and equipment
Goodwill and other intangible assets
Other assets 1
Assets for current tax
Deferred tax assets
Total assets
Liabilities and equity:
Deposits
Central bank funds purchased and securities sold under repurchase agreements
Securities loaned
Financial liabilities at fair value through profit or loss
Trading liabilities
Negative market values from derivative financial instruments
Financial liabilities designated at fair value through profit or loss
Investment contract liabilities
Total financial liabilities at fair value through profit or loss
Other short-term borrowings
Other liabilities 1
Provisions
Liabilities for current tax
Deferred tax liabilities
Long-term debt
Trust preferred securities
Total liabilities
Common shares, no par value, nominal value of € 2.56
Additional paid-in capital
Retained earnings
Common shares in treasury, at cost
Accumulated other comprehensive income (loss), net of tax
Total shareholders’ equity
Additional equity components
Noncontrolling interests
Total equity
Total liabilities and equity
1 Includes non-current assets and disposal groups held for sale.
The accompanying notes are an integral part of the Consolidated Financial Statements.
Notes
Dec 31, 2020
Dec 31, 2019
20
20
12, 13, 20, 35
15
16
18, 19, 20
21, 22
23
24, 25
34
166,208
9,130
8,533
0
107,929
343,455
76,121
437
527,941
55,834
901
426,995
5,549
6,725
110,399
986
6,058
1,325,259
137,592
9,636
13,801
428
110,875
332,931
86,901
7
530,713
45,503
929
429,841
4,930
7,029
110,359
926
5,986
1,297,674
26
20
20
568,031
2,325
1,697
572,208
3,115
259
12, 13, 20, 35
29
22, 24, 25
19, 27
34
30
30
32
32
44,316
327,775
46,582
526
419,199
3,553
114,208
2,430
574
561
149,163
1,321
1,263,063
5,291
40,606
10,014
(7)
(1,118)
54,786
5,824
1,587
62,196
1,325,259
37,065
316,506
50,332
544
404,448
5,218
107,964
2,622
651
545
136,473
2,013
1,235,515
5,291
40,505
9,644
(4)
421
55,857
4,665
1,638
62,160
1,297,674
235
Deutsche Bank
Annual Report 2020
Consolidated statement of changes in equity
Consolidated statement of changes in equity
in € m.
Balance as of December 31, 2017
IFRS 9 introduction impact
Balance as of January 1, 2018 (IFRS 9)
Total comprehensive income (loss), net of tax1
Gains (losses) attributable to equity instruments des-
ignated as at fair value through other comprehensive
income, net of tax
Gains (losses) upon early extinguishment attributa-
ble to change in own credit risk of financial liabilities
designated as at fair value through profit and loss,
net of tax
Cash dividends paid
Coupon on additional equity components, net of tax
Remeasurement gains (losses) related to defined
benefit plans, net of tax
Net change in share awards in the reporting period
Treasury shares distributed under share-based com-
pensation plans
Tax benefits related to share-based compensation
plans
Option premiums and other effects from options on
common shares
Purchases of treasury shares
Sale of treasury shares
Net gains (losses) on treasury shares sold
Other
Balance as of December 31, 2018
IFRS 16 transition impact
Balance as of January 1, 2019 (IFRS 16)
Total comprehensive income (loss), net of tax1
Gains (losses) attributable to equity instruments des-
ignated as at fair value through other comprehensive
income, net of tax
Gains (losses) upon early extinguishment attributa-
ble to change in own credit risk of financial liabilities
designated as at fair value through profit and loss,
net of tax
Cash dividends paid
Coupon on additional equity components, before tax
Remeasurement gains (losses) related to defined
benefit plans, net of tax
Net change in share awards in the reporting period
Treasury shares distributed under share-based com-
pensation plans
Tax benefits related to share-based compensation
plans
Option premiums and other effects from options on
common shares
Purchases of treasury shares
Sale of treasury shares
Net gains (losses) on treasury shares sold
Other
Balance as of December 31, 2019
Total comprehensive income (loss), net of tax1
Common shares
(no par value)
Additional
paid-in capital
5,291
0
5,291
0
39,918
(2)
39,916
0
Retained
earnings
17,454
(301)
17,153
267
Common shares
in treasury,
at cost
Unrealized net gains (losses)
On financial
assets at fair
value through
other
compre-
hensive
income,
net of tax2
Attributable to
change in own
credit risk of
financial
liabilities
designated as
at fair value
through profit
and loss,
net of tax2
On financial
assets
available for
sale,
net of tax2
On
derivatives
hedging
variability of
cash flows,
net of tax2
On assets
classified as
held for sale,
net of tax2
Foreign
currency
translation,
net of tax2
Unrealized
net gains
(losses) from
equity method
investments
Accumula-
ted other
comprehen-
sive income,
net of tax1
(9)
0
(9)
0
689
(689)
0
0
0
394
394
(428)
0
(16)
(16)
44
18
0
18
(1)
0
0
0
0
(227)
(45)
(272)
500
40
(12)
28
(14)
520
(368)
152
101
Total
shareholders’
equity
63,174
(671)
62,503
368
Additional
equity
components3
Noncontrolling
interests
4,675
0
4,675
0
250
(1)
249
122
Total equity
68,099
(672)
67,427
490
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
5,291
0
5,291
0
0
0
0
0
90
0
(5)
0
0
0
(2)
2534
40,252
0
40,252
0
0
(227)
(292)
(186)
0
0
0
0
0
0
0
0
16,714
(136)
16,578
(5,390)
0
0
0
0
0
199
0
0
(4,119)
3,914
0
0
(15)
0
(15)
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
(34)
0
(34)
79
0
0
0
0
0
0
0
0
0
0
0
0
28
0
28
(2)
0
0
0
0
0
0
0
0
0
0
0
0
17
0
17
(3)
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
228
0
228
108
0
0
0
0
0
0
0
0
0
0
0
0
15
0
15
(15)
0
0
0
0
0
0
0
0
0
0
0
0
253
0
253
168
0
(227)
(292)
(186)
90
199
(5)
0
(4,119)
3,914
(2)
2534
62,495
(136)
62,358
(5,222)
0
0
0
0
0
0
0
0
0
0
0
0
4,675
0
4,675
0
0
(8)
0
(12)
23
0
1
0
0
0
0
1,1934
1,568
0
1,568
142
0
(235)
(292)
(198)
112
199
(4)
0
(4,119)
3,914
(2)
1,446
68,737
(137)
68,601
(5,079)
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
5,291
0
0
0
0
0
118
0
0
0
0
0
3
133
40,505
0
0
(227)
(330)5
(987)
0
0
0
0
0
0
0
0
9,644
495
0
0
0
0
0
185
0
0
(1,359)
1,185
0
0
(4)
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
45
233
0
0
0
0
0
0
0
0
0
0
0
0
25
(18)
0
0
0
0
0
0
0
0
0
0
0
0
14
(7)
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
336
(1,747)
0
0
0
0
0
0
0
0
0
0
0
0
0
(1)
0
0
0
0
0
0
0
0
0
0
0
0
421
(1,539)
0
(227)
(330)5
(987)
118
185
0
0
(1,359)
1,185
3
133
55,857
(1,044)
0
0
0
0
0
0
0
0
0
0
0
(10)6
4,665
0
0
(59)
0
(7)
2
0
0
0
0
0
0
(9)
1,638
57
0
(286)
(330)
(994)
119
185
0
0
(1,359)
1,185
3
114
62,160
(987)
236
Additional
paid-in capital
Retained
earnings
Common shares
in treasury,
at cost
On financial
assets at fair
value through
other
compre-
hensive
income,
net of tax2
Attributable to
change in own
credit risk of
financial
liabilities
designated as
at fair value
through profit
and loss,
net of tax2
On financial
assets
available for
sale,
net of tax2
On
derivatives
hedging
variability of
cash flows,
net of tax2
On assets
classified as
held for sale,
net of tax2
Foreign
currency
translation,
net of tax2
Unrealized
net gains
(losses) from
equity method
investments
Accumula-
ted other
comprehen-
sive income,
net of tax1
Total
shareholders’
equity
Additional
equity
components3
Noncontrolling
interests
Total equity
Unrealized net gains (losses)
Common shares
(no par value)
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
Deutsche Bank
Annual Report 2020
Consolidated statement of changes in equity
in € m.
Gains (losses) attributable to equity instruments des-
ignated as at fair value through other comprehensive
income, net of tax
Gains (losses) upon early extinguishment attributa-
ble to change in own credit risk
of financial liabilities designated as at fair value
through profit and loss, net of tax
Cash dividends paid
Coupon on additional equity components, before tax
Remeasurement gains (losses) related to defined
benefit plans, net of tax
Net change in share awards in the reporting period
Treasury shares distributed under share-based com-
pensation plans
Tax benefits related to share-based compensation
plans
Option premiums and other effects from options on
common shares
Purchases of treasury shares
Sale of treasury shares
Net gains (losses) on treasury shares sold
Other
Balance as of December 31, 2020
0
0
0
0
0
0
0
0
0
0
0
(131)
0
11
0
0
(349)5
223
0
0
0
0
0
0
0
0
208
0
0
0
0
0
0
5,291
1 Excluding remeasurement gains (losses) related to defined benefit plans, net of tax.
2 Excluding unrealized net gains (losses) from equity method investments.
3 Includes Additional Tier 1 Notes, which constitute unsecured and subordinated notes of Deutsche Bank and are classified as equity in accordance with IFRS.
4 Includes the impact from the initial public offering of DWS Group GmbH & Co. KGaA.
5 Since 2019 tax impact is recognized in net income (loss) directly.
6 Includes net proceeds from issuance, purchase and sale of Additional Equity Components.
0
0
0
0
221
40,606
0
0
0
0
0
10,014
0
(279)
68
0
0
(7)
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
278
0
0
0
0
0
0
0
0
0
0
0
0
7
0
0
0
0
0
0
0
0
0
0
0
0
7
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
(1,411)
0
0
0
0
0
0
0
0
0
0
0
0
(1)
0
0
0
0
0
0
0
0
0
0
0
0
(1,118)
0
0
(349)5
223
(131)
208
11
0
(279)
68
0
221
54,786
0
0
0
0
0
0
0
0
0
0
0
1,1596
5,824
0
(77)
0
2
(4)
0
0
0
0
0
0
(28)
1,587
0
(77)
(349)
225
(135)
208
11
0
(279)
68
0
1,352
62,196
237
Deutsche Bank
Annual Report 2020
Consolidated statement of cash flows
01 – Significant accounting policies and critical accounting estimates
Consolidated statement of cash flows
in € m.
Net Income (loss)
Cash flows from operating activities:
Adjustments to reconcile net income to net cash provided by (used in) operating activities:
Provision for credit losses
Restructuring activities
Gain on sale of financial assets at fair value through other comprehensive income, equity method
investments and other
Deferred income taxes, net
Impairment, depreciation and other amortization, and accretion
Share of net income from equity method investments
Income (loss) adjusted for noncash charges, credits and other items
Adjustments for net change in operating assets and liabilities:
Interest-earning time deposits with central banks and banks
Central bank funds sold, securities purchased under resale agreements, securities borrowed
Non-Trading financial assets mandatory at fair value through profit and loss
Financial assets designated at fair value through profit or loss
Loans at amortized cost
Other assets
Deposits
Financial liabilities designated at fair value through profit or loss and investment contract liabili-
ties1
Central bank funds purchased, securities sold under repurchase agreements, securities loaned
Other short-term borrowings
Other liabilities
Senior long-term debt2
Trading assets and liabilities, positive and negative market values from derivative financial in-
struments, net
Other, net
Net cash provided by (used in) operating activities
Cash flows from investing activities:
Proceeds from:
Sale of financial assets at fair value through other comprehensive income
Maturities of financial assets at fair value through other comprehensive income
Sale of debt securities held to collect at amortized cost
Maturities of debt securities held to collect at amortized cost
Sale of equity method investments
Sale of property and equipment
Purchase of:
Financial assets at fair value through other comprehensive income
Debt Securities held to collect at amortized cost
Equity method investments
Property and equipment
Net cash received in (paid for) business combinations/divestitures
Other, net
Net cash provided by (used in) investing activities
Cash flows from financing activities:
Issuances of subordinated long-term debt
Repayments and extinguishments of subordinated long-term debt
Issuances of trust preferred securities
Repayments and extinguishments of trust preferred securities
Principal portion of lease payments
Common shares issued
Purchases of treasury shares
Sale of treasury shares
Additional Equity Components (AT1) issued
Purchases of Additional Equity Components (AT1)
Sale of Additional Equity Components (AT1)
Coupon on additional equity components, pre tax
Dividends paid to noncontrolling interests
Net change in noncontrolling interests
Cash dividends paid to Deutsche Bank shareholders
Other, net
Net cash provided by (used in) financing activities
2020
624
2019
(5,265)
1,792
485
(665)
(296)
2,192
(103)
4,030
(1,202)
5,688
8,597
(430)
(1,098)
(11,743)
(2,154)
(3,233)
678
(1,638)
7,030
13,282
9,892
3,036
30,736
38,325
32,964
10,110
4,890
69
24
(82,709)
(4,011)
(3)
(512)
5
(1,045)
(1,892)
1,6843
(1,168)3
04
(676)4
(653)
0
(279)
76
1,153
(792)
798
(349)
(77)
(28)
0
0
(311)
723
644
(277)
1,868
3,993
(104)
1,582
(1,203)
(2,529)
11,403
101
(27,335)
7,464
6,432
(3,766)
(4,871)
(8,954)
(16,563)
(16,112)
22,559
(8,657)
(40,449)
23,721
40,806
390
964
9
92
(56,568)
(20,134)
(17)
(327)
1,762
(978)
(10,280)
47
(152)
0
(1,235)
(659)
0
(1,359)
1,191
0
(131)
121
(330)
(59)
(9)
(227)
0
(2,802)
2018
341
525
360
(619)
276
2,391
(129)
3,145
(10,954)
15,004
(98,560)
91,176
302
6,284
(16,763)
(10,549)
(16,716)
(4,266)
(19,119)
(6,840)
20,542
(6,858)
(54,172)
22,126
26,001
94
1,904
30
356
(41,031)
(309)
(1)
(465)
220
(1,291)
7,634
68
(1,171)
4
(2,733)
N/A
0
(4,119)
3,912
0
(236)
234
(315)
(8)
1,205
(227)
52
(3,334)
238
Deutsche Bank
Annual Report 2020
Consolidated statement of cash flows
01 – Significant accounting policies and critical accounting estimates
in € m.
Net effect of exchange rate changes on cash and cash equivalents
Net increase (decrease) in cash and cash equivalents
Cash and cash equivalents at beginning of period
Cash and cash equivalents at end of period
Net cash provided by (used in) operating activities include
Income taxes paid (received), net
Interest paid
Interest received
Dividends received
Cash and cash equivalents comprise
Cash and central bank balances (not included: Interest-earning time deposits with central
banks)
Interbank balances (w/o central banks) (not included: time deposits with banks of € 19.0 billion
as of
December 31, 2020, € 18.4 billion as of December 31, 2019 and € 16.8 billion as of December
31, 2018)
Total
2020
(1,074)
27,459
128,869
156,328
805
6,937
18,498
307
2019
1,578
(51,953)
180,822
128,869
945
11,493
23,748
1,309
2018
1,668
(48,203)
229,025
180,822
468
11,743
22,408
2,186
149,323
121,412
174,059
7,006
156,328
7,457
128,869
6,763
180,822
1 Included are senior long-term debt issuances of € 2.3 billion and € 3.1 billion and repayments and extinguishments of € 3.5 billion and € 4.4 billion through December 31, 2020
and December 31, 2019, respectively.
2 Included are issuances of € 67.4 billion and € 23.4 billion and repayments and extinguishments of € 51.4 billion and € 42.7 billion through December 31, 2020 and Decem-
ber 31, 2019, respectively.
3 Non-cash changes for Subordinated Long Term Debt are € (114) million in total, mainly driven by Foreign Exchange movements € (293) million and Fair Value changes of
€ 177 million.
4 Non-cash changes for Trust Preferred Securities are € (15) million in total and driven by Foreign Exchange movements of € (18) million and Fair Value changes of € 12 mil-
lion.
The accompanying notes are an integral part of the Consolidated Financial Statements.
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Notes to the consolidated financial statements
01 – Significant accounting policies and critical accounting estimates
Notes to the consolidated financial statements
01 – Significant accounting policies and critical accounting esti-
mates
Basis of accounting
Deutsche Bank Aktiengesellschaft, Frankfurt am Main (“Deutsche Bank” or the “Parent”) is a stock corporation organized
under the laws of the Federal Republic of Germany. Deutsche Bank together with all entities in which Deutsche Bank has a
controlling financial interest (collectively the “Group”, “Deutsche Bank” or “DB”) is a global provider of a full range of corporate
and investment banking, private clients and asset management products and services.
The accompanying consolidated financial statements are stated in euros, the presentation currency of the Group. All financial
information presented in million euros has been rounded to the nearest million. The consolidated financial statements have
been prepared in accordance with International Financial Reporting Standards (“IFRS”) as issued by the International Ac-
counting Standards Board (“IASB”) and endorsed by the European Union (EU).
EU carve-out
Since the first quarter of 2020, the Group applies fair value hedge accounting for portfolio hedges of interest rate risk (fair
value macro hedges) in accordance with the EU carve out version of IAS 39. The purpose of applying the EU carve out version
of IAS 39 is to align the Group’s hedge accounting approach with its risk management practice and the accounting practice of
its major European peers. Under the EU carve out version of IAS 39, fair value macro hedge accounting may be applied to
core deposits and hedge ineffectiveness is only recognized when the revised estimate of the amount of cash flows in sched-
uled time buckets falls below the original designated amount of that bucket. If the revised amount of cash flows in scheduled
time buckets is more than the original designated amount then there is no hedge ineffectiveness. Under IFRS as issued by
the IASB, hedge accounting for fair value macro hedges cannot be applied to core deposits. In addition, under IFRS as issued
by the IASB hedge ineffectiveness arises for all fair value macro hedge accounting relationships whenever the revised esti-
mate of the amount of cash flows in scheduled time buckets is either more or less than the original designated amount of that
bucket.
For the financial year ended December 31, 2020, application of the EU carve out version of IAS 39 had a positive impact of €
18 million on net revenues and profit before taxes and of € 12 million on profit post taxes. The Group’s regulatory capital and
ratios thereof are also reported on the basis of the EU carve out version of IAS 39. The impact on profit after taxes also impacts
the calculation of the CET 1 capital ratio and had a positive impact of less than 1 basis point as of December 31, 2020.
IFRS 7 disclosures
Disclosures about the nature and the extent of risks arising from financial instruments as required by IFRS 7, “Financial In-
struments: Disclosures” are set forth in the Risk Report section of the Management Report and are an integral part of the
Consolidated Financial Statements. These audited disclosures are identified by grey shading in the Risk report.
COVID-19 related disclosures
The impact of the COVID-19 pandemic on the Group’s financial statements is reflected as follows:
The Management Report section includes the impact of COVID-19 on the Group’s financial targets and client franchise, on
the Global Economy and on the Macroeconomic and market conditions in the chapters Strategy, Outlook and Risks and
Opportunities, respectively.
The Risk Report section includes references to the COVID-19 pandemic in the Risk and Capital Management chapter, spe-
cifically in the line items “Forward-looking-information”, “Application of EBA guidance regarding Default, Forbearance and
IFRS 9 in light of COVID-19 measures”, “Legislative and non-legislative moratoria and public guarantee schemes”, “ECL
Model” and “Focus Industries”. The Risk and Capital Performance chapter includes the impact of supervisory measures in
reaction to the COVID-19 pandemic in the line item “Minimum capital requirements and additional capital buffers”.
The accompanying consolidated financial statements include COVID-19 related disclosures in the notes 5 “Net interest income
and net gains (losses) on financial assets/liabilities at fair value through profit or loss”, 13 “Financial instruments measured at
fair value”, 23 “Goodwill and Other Intangible Assets” and 33 “Employee Benefits”.
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The section Supplementary Information (Unaudited) describes the impact of COVID-19 on the Group transformation charges
in the Non-GAAP Financial Measures chapter.
Change in accounting treatment of purchased financial guarantees
In the second quarter of 2020, the Group changed its accounting policies for purchased contracts that meet the definition of a
financial guarantee under IFRS 9. Previously, the Group accounted for purchased financial guarantees as contingent assets
and did not recognize the reimbursement gain as Other Income (loss) in the Group’s Consolidated Statement of Income until
the Group received payment from the guarantor. Under the Group’s new accounting policy, purchased financial guarantees
are deemed to result in reimbursements under IAS 37 to the extent that the financial guarantee is entered into to mitigate the
credit exposure from debt instruments with Hold to Collect (HTC) or Hold to Collect and Sell (HTC&S) business models. The
new accounting policy results in recognition of a reimbursement asset for subsequent increases in the expected credit losses,
to the extent it is virtually certain that the purchased financial guarantee will reimburse the Group for the loss incurred. Ac-
cordingly, when the credit risk of the borrower significantly deteriorates a reimbursement asset is recognized equal to the life-
time expected credit losses and is presented as Other Assets in the Group’s Consolidated Balance Sheet. The corresponding
reimbursement gain is recognized as a reduction in the Provision for credit losses in the Group’s Consolidated Statement of
Income. Purchased financial guarantees entered into to mitigate credit exposure from debt instruments included in the Other
business model are accounted for at fair value through profit or loss. The new accounting policy more appropriately aligns the
measurement basis and income statement presentation of the debt instruments and associated purchased financial guaran-
tees. It therefore more accurately presents the credit exposure and provision for credit losses in the financial statements
resulting in the presentation of more relevant information. The adoption of the changes for the financial year ended December
31, 2020 did not have a material impact to the Group’s Consolidated Statement of Income.
Revision in estimate of contractual redemption payment from CLO’s issued
In the second quarter of 2020, the Group refined its estimation of contractual cash flows from Collateralized Loan Obligations
(CLO’s) issued that mitigate credit exposure from debt instruments with HTC or HTC&S business models. Under this refine-
ment, the Group revises its estimated contractual redemption payment from the CLO when the credit risk of a borrower covered
by the embedded financial guarantee in the CLO significantly deteriorates. The Group revises its estimated contractual re-
demption payment under the CLO based on the life-time expected credit losses of the debt instrument (to the extent covered
by the CLO). The refinement in the estimate of the contractual cashflows reduced the Group’s interest expense for financial
year ended December 31, 2020, by € 44.5 million.
Valuation adjustments for defined benefit pension plans
For the Group’s most significant pension plans in the key countries, the discount rate used at each measurement date is set
based on a high quality corporate bond yield curve, which is derived using a bond universe sourced from reputable third-party
index data providers and rating agencies, and reflects the timing, amount and currency of the future expected benefit payments
for the respective plan. A review of the Eurozone discount rate derivation was instigated in March 2020 following unprece-
dented market turmoil, which resulted in several refinements to the methodology being implemented in 2020, initially in Q1
and more fundamentally in Q4 with the introduction of an internally produced DB Proprietary curve, which was employed as
the basis for discounting the defined benefit obligation from December 31, 2020. Compared to the curve deployed at Decem-
ber 31, 2019, the DB Proprietary curve results in a defined benefit obligation that is € 20 million higher, with the impact
recognized through Other Comprehensive Income. The defined benefit obligation was € 435 million lower as at December 31,
2020 compared to curve utilized as at June 30, 2020. Due to the change in discount rate methodology and other effects, the
Group’s net pension liability for the German pension plans was reduced by € 481 million from € 1,355 million as of December
31, 2019 to € 874 million as of December 31, 2020.
In the financial year ended December 31, 2020, the Group recognized € 48 million of negative past service costs in connection
with the inclusion of a lump-sum payment option to one of the German retirement benefit arrangements in the Private Bank
division. This reduction in defined benefit plan obligations was reported in Compensation and benefits in the Consolidated
Statement of Income.
Adjustment of compensation expense
Due to recent developments and historical experience, the Group has in the second quarter of 2020 changed its estimate of
the service period for certain compensation awards granted to employees to recognize compensation expense over the re-
spective vesting periods in which the related employee services are rendered. As a result of the change in estimate, the Group
reported a benefit of approximately € 105 million in “Compensation and benefits” in the Group’s Consolidated Statement of
Income in the second quarter 2020, and a benefit of approximately € 115 million due to the change in the ongoing rate of
expense for the financial year ended December 31, 2020.
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Notes to the consolidated financial statements
01 – Significant accounting policies and critical accounting estimates
Critical accounting estimates
The preparation of financial statements under IFRS requires management to make estimates and assumptions for certain
categories of assets and liabilities. These estimates and assumptions affect the reported amounts of assets and liabilities and
disclosure of contingent assets and liabilities at the balance sheet date, and the reported amounts of revenue and expenses
during the reporting period. Actual results could differ from management’s estimates, especially in relation to the COVID-19
crisis. The Group’s significant accounting policies are described in “Significant Accounting Policies”.
Certain of the Group’s accounting policies require critical accounting estimates that involve complex and subjective judgments
and the use of assumptions, some of which may be for matters that are inherently uncertain and susceptible to change. Such
critical accounting estimates could change from period to period and may have a material impact on the Group’s financial
condition, changes in financial condition or results of operations. Critical accounting estimates could also involve estimates
where management could have reasonably used another estimate in the current accounting period. The Group has identified
the following significant accounting policies that involve critical accounting estimates:
– the impairment of associates (see “Associates” below)
– the impairment of financial assets at fair value through other comprehensive income (see “Financial Assets – Financial
Assets at Fair Value through Other Comprehensive Income” below)
– the determination of fair value (see “Determination of Fair Value” below)
– the recognition of trade date profit (see “Recognition of Trade Date Profit” below)
– the impairment of loans and provisions for off-balance sheet positions (see “Impairment of Loans and Provision for Off-
balance Sheet Positions” below)
– the impairment of goodwill and other intangibles (see “Goodwill and Other Intangible Assets” below)
– the recognition and measurement of deferred tax assets (see “Income Taxes” below)
– the accounting for legal and regulatory contingencies and uncertain tax positions (see “Provisions” below)
Significant accounting policies
The following is a description of the significant accounting policies of the Group. Except for the changes in accounting policies
and changes in accounting estimates described previously and noted below these policies have been consistently applied for
2018, 2019 and 2020.
Principles of consolidation
The financial information in the Consolidated Financial Statements includes the parent company, Deutsche Bank AG, together
with its consolidated subsidiaries, including certain structured entities presented as a single economic unit.
Subsidiaries
The Group’s subsidiaries are those entities which it directly or indirectly controls. Control over an entity is evidenced by the
Group’s ability to exercise its power in order to affect any variable returns that the Group is exposed to through its involvement
with the entity.
The Group sponsors the formation of structured entities and interacts with structured entities sponsored by third parties for a
variety of reasons, including allowing clients to hold investments in separate legal entities, allowing clients to invest jointly in
alternative assets, for asset securitization transactions, and for buying or selling credit protection.
When assessing whether to consolidate an entity, the Group evaluates a range of control factors, namely:
– the purpose and design of the entity
– the relevant activities and how these are determined
– whether the Group’s rights result in the ability to direct the relevant activities
– whether the Group has exposure or rights to variable returns
– whether the Group has the ability to use its power to affect the amount of its returns
Where voting rights are relevant, the Group is deemed to have control where it holds, directly or indirectly, more than half of
the voting rights over an entity unless there is evidence that another investor has the practical ability to unilaterally direct the
relevant activities.
Potential voting rights that are deemed to be substantive are also considered when assessing control.
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Likewise, the Group also assesses existence of control where it does not control the majority of the voting power but has the
practical ability to unilaterally direct the relevant activities. This may arise in circumstances where the size and dispersion of
holdings of the shareholders give the Group the power to direct the activities of the investee.
The Group reassesses the consolidation status at least at every quarterly reporting date. Therefore, any changes in the struc-
ture leading to a change in one or more of the control factors, require reassessment when they occur. This includes changes
in decision making rights, changes in contractual arrangements, changes in the financing, ownership or capital structure as
well as changes following a trigger event which was anticipated in the original documentation.
All intercompany transactions, balances and unrealized gains on transactions between Group companies are eliminated on
consolidation.
Consistent accounting policies are applied throughout the Group for the purposes of consolidation. Issuances of a subsidiary’s
stock to third parties are treated as non-controlling interests. Profit or loss attributable to non-controlling interests are reported
separately in the Consolidated Statement of Income and Consolidated Statement of Comprehensive Income.
At the date that control of a subsidiary is lost, the Group a) derecognizes the assets (including attributable goodwill) and
liabilities of the subsidiary at their carrying amounts, b) derecognizes the carrying amount of any non-controlling interests in
the former subsidiary, c) recognizes the fair value of the consideration received and any distribution of the shares of the
subsidiary, d) recognizes any investment retained in the former subsidiary at its fair value and e) recognizes any resulting
difference of the above items as a gain or loss in the income statement. Any amounts recognized in prior periods in other
comprehensive income in relation to that subsidiary would be reclassified to the Consolidated Statement of Income or trans-
ferred directly to retained earnings if required by other IFRSs.
Associates
Investments in associates are accounted for under the equity method of accounting. An associate is an entity in which the
Group has significant influence, but not a controlling interest, over the operating and financial management policy decisions
of the entity. Significant influence is generally presumed when the Group holds between 20 % and 50 % of the voting rights.
The existence and effect of potential voting rights that are currently exercisable or convertible are considered in assessing
whether the Group has significant influence. Among the other factors that are considered in determining whether the Group
has significant influence are representation on the board of directors (supervisory board in the case of German stock corpo-
rations) and material intercompany transactions. The existence of these factors could require the application of the equity
method of accounting for a particular investment even though the Group’s investment is less than 20 % of the voting stock.
Under the equity method of accounting, the Group’s investments in associates and jointly controlled entities are initially rec-
orded at cost including any directly related transaction costs incurred in acquiring the associate, and subsequently increased
(or decreased) to reflect both the Group’s pro-rata share of the post-acquisition net income (or loss) of the associate or jointly
controlled entity and other movements included directly in the equity of the associate or jointly controlled entity. The Group’s
share of the results of associates is adjusted to conform to the accounting policies of the Group and is reported in the Consol-
idated Statement of Income as Net income (loss) from equity method investments. The Group’s share in the associate’s profits
and losses resulting from intercompany sales is eliminated on consolidation. Goodwill arising on the acquisition of an associate
or a jointly controlled entity is included in the carrying value of the investment. As goodwill is not reported separately it is not
specifically tested for impairment. Rather, the entire equity method investment is tested for impairment at each balance sheet
date.
If there is objective evidence of impairment, an impairment test is performed by comparing the investment’s recoverable
amount, which is the higher of its value in use and fair value less costs to sell, with its carrying amount. An impairment loss
recognized in prior periods is only reversed if there has been a positive change in the estimates used to determine the invest-
ment’s recoverable amount since the last impairment loss was recognized. If this is the case the carrying amount of the
investment is increased to its higher recoverable amount. The increased carrying amount of the investment in the associate
attributable to a reversal of an impairment loss shall not exceed the carrying amount that would have been determined had
no impairment loss been recognized for the investment in prior years.
At the date that the Group ceases to have significant influence over the associate or jointly controlled entity the Group recog-
nizes a gain or loss on the disposal of the equity method investment equal to the difference between the sum of the fair value
of any retained investment and the proceeds from disposing of the associate and the carrying amount of the investment.
Amounts recognized in prior periods in other comprehensive income in relation to the associate are accounted for on the same
basis as would have been required if the investee had directly disposed of the related assets or liabilities.
Critical accounting estimates: The assessment of whether there is objective evidence of impairment may require significant
management judgment and the estimates for impairment could change from period to period based on future events that may
or may not occur. The Group considers this to be a critical accounting estimate.
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01 – Significant accounting policies and critical accounting estimates
Foreign currency translation
The Consolidated Financial Statements are prepared in euro, which is the presentation currency of the Group. Various entities
in the Group use a different functional currency, being the currency of the primary economic environment in which the entity
operates.
An entity records foreign currency revenues, expenses, gains and losses in its functional currency using the exchange rates
prevailing at the dates of recognition.
Monetary assets and liabilities denominated in currencies other than the entity’s functional currency are translated at the period
end closing rate. Foreign exchange gains and losses resulting from the translation and settlement of these items are recog-
nized in the Consolidated Statement of Income as net gains (losses) on financial assets/liabilities at fair value through profit
or loss in order to align the translation amounts with those recognized from foreign currency related transactions (derivatives)
which hedge these monetary assets and liabilities.
Non-monetary items that are measured at historical cost are translated using the historical exchange rate at the date of the
transaction. Translation differences on non-monetary items which are held at fair value through profit or loss are recognized
in profit or loss.
For purposes of translation into the presentation currency, assets and liabilities of foreign operations are translated at the
period end closing rate and items of income and expense are translated into euros at the rates prevailing on the dates of the
transactions, or average rates of exchange where these approximate actual rates. The exchange differences arising on the
translation of a foreign operation are included in other comprehensive income. For foreign operations that are subsidiaries,
the amount of exchange differences attributable to any non-controlling interests is recognized in non-controlling interests.
Upon disposal of a foreign subsidiary and associate (which results in loss of control or significant influence over that operation)
the total cumulative exchange differences recognized in other comprehensive income are reclassified to profit or loss.
Upon partial disposal of a foreign operation that is a subsidiary and which does not result in loss of control, the proportionate
share of cumulative exchange differences is reclassified from other comprehensive income to non-controlling interests as this
is deemed a transaction with equity holders. For a partial disposal of an associate which does not result in a loss of significant
influence, the proportionate share of cumulative exchange differences is reclassified from other comprehensive income to
profit or loss.
Interest, commissions and fees
Net interest income – Interest income and expense from all interest-bearing assets and liabilities is recognized as net interest
income using the effective interest method. The effective interest rate (EIR) is a method of calculating the amortized cost of a
financial asset or a financial liability and of allocating the interest income or expense over the relevant period using the esti-
mated future cash flows.
The estimated future cash flows used in the EIR calculation include those determined by all of the contractual terms of the
asset or liability, all fees (including commissions) that are considered to be integral to the effective interest rate, direct and
incremental transaction costs and all other premiums or discounts. However, if the financial instrument is carried at fair value
through profit or loss, any associated fees are recognized in trading income when the instrument is initially recognized, pro-
vided there are no significant unobservable inputs used in determining its fair value.
If a financial asset is credit impaired interest revenue is calculated by applying the effective interest rate to the amortized cost
amount. The amortized cost amount of a financial asset is the gross carrying amount of a financial asset after adjusting for
any impairment allowance. For assets which are initially recognized as purchased or credit impaired, interest revenue is cal-
culated through the use of a credit-adjusted effective interest rate which takes into consideration expected credit losses.
The Group presents negative interest paid on interest-bearing assets as interest expense, and interest revenue received from
interest-bearing liabilities as interest income.
Commissions and fee income –The Group applies the IFRS 15, “Revenue from Contracts with Customers” five-step revenue
recognition model to the recognition of Commissions and Fee Income, under which income must be recognized when control
of goods and services is transferred, hence the contractual performance obligations to the customer has been satisfied.
Accordingly, after a contract with a customer has been identified in the first step, the second step is to identify the performance
obligation – or a series of distinct performance obligations – provided to the customer. The Group must examine whether the
service is capable of being distinct and is actually distinct within the context of the contract. A promised service is distinct if
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Notes to the consolidated financial statements
01 – Significant accounting policies and critical accounting estimates
the customer can benefit from the service either on its own or together with other resources that are readily available to the
customer, and the promise to transfer the service to the customer is separately identifiable from other promises in the contract.
The amount of income is measured on the basis of the contractually agreed transaction price for the performance obligation
defined in the contract. If a contract includes a variable consideration, the Group estimates the amount of consideration to
which it will be entitled in exchange for transferring the promised goods or services to a customer. Income is recognized in
profit and loss when the identified performance obligation has been satisfied. The Group does not present information about
its remaining performance obligations if it is part of a contract that has an original expected duration of one year or less.
The Group determines the stand-alone selling price at contract inception of a distinct service underlying each performance
obligation in the contract and allocates the transaction price in proportion to those stand-alone selling prices. The stand-alone
selling price is the price at which DB would sell a promised service separately to a customer on an unbundled basis. The best
evidence of a stand-alone selling price is the observable price of a service when the Group sells that service separately in
similar circumstances and to similar customers. If the Group does not sell the service to a customer separately, it estimates
the stand-alone selling price at an amount using a suitable method, for example, in loan syndication transactions the Group
applies the requirements for recognition of trade day profit and considers the price at which other market participants provide
the same service on an unbundled basis. As such when estimating a stand-alone selling price, the Group considers all infor-
mation (including market conditions) that is reasonably available to it. In doing so, the Group maximizes the use of observable
inputs and applies estimation methods consistently in similar circumstances.
The Group provides asset management services that give rise to asset management and performance fees and constitute a
single performance obligation. The asset management and performance fee components are variable considerations such
that at each reporting date the Group estimates the fee amount to which it will be entitled in exchange for transferring the
promised services to the customer. The benefits arising from the asset management services are simultaneously received
and consumed by the customer over time. The Group recognizes revenue over time by measuring the progress towards
complete satisfaction of that performance obligation, subject to the removal of any uncertainty as to whether it is highly prob-
able that a significant reversal in the cumulative amount of revenue recognized would occur or not. For the management fee
component this is the end of the monthly or quarterly service period. For performance fees this date is when any uncertainty
related to the performance component has been fully removed.
Loan commitment fees related to commitments that are accounted for off balance sheet are recognized in commissions and
fee income over the life of the commitment if it is unlikely that the Group will enter into a specific lending arrangement. If it is
probable that the Group will enter into a specific lending arrangement, the loan commitment fee is deferred until the origination
of a loan and recognized as an adjustment to the loan’s effective interest rate.
Commissions and Fee Income predominantly earned from services that are received and consumed by the customer over
time: Administration, assets under management, foreign commercial business, loan processing and guarantees sundry other
customer services. The Group recognizes revenue from these services over time by measuring the progress towards complete
satisfaction of that performance obligation, subject to the removal of any uncertainty as to whether it is highly probable that a
significant reversal in the cumulative amount of revenue recognized would occur or not.
Commissions and Fee Income predominantly earned from providing services at a point in time or transaction-type services
include: other securities, underwriting and advisory fees, brokerage fees, local payments, foreign currency/ exchange business
and intermediary fees.
Expenses that are directly related and incremental to the generation of Commissions and Fee Income are presented net in
Commissions and Fee Income in the Consolidated Statement of Income. This includes income and associated expense where
the Group contractually owns the performance obligation (i.e. as Principal) in relation to the service that gives rise to the
revenue and associated expense. In contrast, it does not include situations where the Group does not contractually own the
performance obligation and is acting as agent. The determination of whether the Group is acting as principal or agent is based
on the contractual terms of the underlying service arrangement. The gross Commissions and Fee Income and Expense
amounts are disclosed in “Note 6 – Commissions and Fee Income”.
Financial assets
The Group classifies financial assets in line with the classification and measurement requirements of IFRS 9, where financial
assets are classified based on both the business model used for managing the financial assets and the contractual cash flow
characteristics of the financial asset (known as Solely Payments of Principal and Interest or “SPPI”). There are three business
models available:
– Hold to Collect - Financial assets held with the objective to collect contractual cash flows. They are subsequently measured
at amortized cost and are recorded in multiple lines on the Group’s consolidated balance sheet.
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– Hold to Collect and Sell - Financial assets held with the objective of both collecting contractual cash flows and selling
financial assets. They are recorded as Financial assets at Fair Value through Other Comprehensive Income on the Group’s
consolidated balance sheet.
– Other - Financial assets that do not meet the criteria of either “Hold to Collect” or “Hold to Collect and Sell”. They are
recorded as Financial Assets at Fair Value through Profit or Loss on the Group’s consolidated balance sheet.
The assessment of business model requires judgment based on facts and circumstances upon initial recognition. As part of
this assessment, the Group considers quantitative factors (e.g., the expected frequency and volume of sales) and qualitative
factors such as how the performance of the business model and the financial assets held within that business model are
evaluated and reported to the Group’s key management personnel. In addition to taking into consideration the risks that affect
the performance of the business model and the financial assets held within that business model, in particular, the way in which
those market and credit risks are managed; and how managers of the business are compensated (e.g., whether the compen-
sation is based on the fair value of the assets managed or on the contractual cash flows collected). This assessment results
in an asset being classified in either a Hold to Collect, Hold to Collect and Sell or Other business model.
If the Group holds a financial asset either in a Hold to Collect or a Hold to Collect and Sell business model, then an assessment
at initial recognition to determine whether the contractual cash flows of the financial asset are Solely Payments of Principal
and Interest on the principal amount outstanding at initial recognition is required to determine the business model classification.
Contractual cash flows, that are SPPI on the principal amount outstanding, are consistent with a basic lending arrangement.
Interest in a basic lending arrangement is consideration for the time value of money and the credit risk associated with the
principal amount outstanding during a particular period of time. It can also include consideration for other basic lending risks
(e.g., liquidity risk) and costs (e.g., administrative costs) associated with holding the financial asset for a particular period of
time; and a profit margin that is consistent with a basic lending arrangement.
Financial assets at fair value through profit or loss
Financial assets are classified at fair value through profit or loss if they are held in the Other business model because they
are either held for trading or because they do not meet the criteria for Hold to Collect or Hold to Collect and Sell. In addition,
it includes financial assets that meet the criteria for Hold to Collect or Hold to Collect and Sell business model, but the financial
asset fails SPPI or where the Group designated the financial assets under the fair value option.
Financial assets classified as Financial assets at fair value through profit or loss are measured at fair value with realized and
unrealized gains and losses included in Net gains (losses) on financial assets/liabilities at fair value through profit or loss.
Interest on interest earning assets such as trading loans and debt securities and dividends on equity instruments are presented
in Interest and Similar Income.
Financial assets classified at fair value through profit or loss are recognized or derecognized on trade date. Trade date is the
date on which the Group commits to purchase or sell the asset.
Trading assets – Financial assets are classified as held for trading if they have been originated, acquired or incurred principally
for the purpose of selling or repurchasing them in the near term, or they form part of a portfolio of identified financial instruments
that are managed together and for which there is evidence of a recent actual pattern of short-term profit-taking. Trading assets
include debt and equity securities, derivatives held for trading purposes, and trading loans. This also includes loan commit-
ments that are allocated to the Other business model and that are presented as derivatives held for trading.
Non-trading financial assets mandatory at fair value through profit and loss –The Group assigns any non-trading financial
asset that does not fall into the Hold to Collect nor Hold to Collect and Sell business models into the Other business model
and classifies them as Non-Trading Financial Assets mandatory at Fair Value through Profit and Loss. This includes predom-
inately reverse repurchase agreements which are managed on a fair value basis. Additionally, any financial asset that falls
into the Hold to Collect or Hold to Collect and Sell business models for which the contractual cash flow characteristics are not
SPPI is classified by the Group as Non-Trading Financial Assets Mandatory at Fair Value through Profit and Loss.
Financial assets designated at fair value through profit or loss – Certain financial assets that would otherwise be measured
subsequently at amortized cost or at fair value through other comprehensive income, may be designated at Fair Value through
Profit or Loss if the designation eliminates or significantly reduces a measurement or recognition inconsistency. The use of
the fair value option under IFRS 9 is limited. The Group allows the fair value option to be designated only for those financial
instruments for which a reliable estimate of fair value can be obtained.
Financial assets at fair value through other comprehensive income
A financial asset shall be classified and measured at Fair Value through Other Comprehensive Income (“FVOCI”), if the finan-
cial asset is held in a Hold to Collect and Sell business model and the contractual cash flows are SPPI, unless designated
under the fair value option.
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Under FVOCI, a financial asset is measured at its fair value with any changes being recognized in Other Comprehensive
Income (”OCI”) and is assessed for impairment under the IFRS 9 expected credit loss model where provisions are recorded
through profit or loss based on expectations of potential credit losses. The Group’s impairment policy is described further in
the section “Impairment of Loans and Provision for Off-Balance Sheet Positions (IFRS 9)”. The foreign currency translation
effect for FVOCI assets is recognized in profit or loss, as is the interest component by using the effective interest method. The
amortization of premiums and accretion of discounts are recorded in net interest income. Realized gains and losses are
reported in net gains (losses) on financial assets at FVOCI. Generally, the weighted-average cost method is used to determine
the cost of FVOCI financial assets.
Financial assets classified as FVOCI are recognized or derecognized on trade date. Trade date is the date on which the Group
commits to purchase or sell the asset.
It is possible to designate non-trading equity instruments as FVOCI. However, this category is expected to have limited usage
by the Group and has not been used to date.
Financial assets at amortized cost
A financial asset is classified and subsequently measured at amortized cost if the financial asset is held in a Hold to Collect
business model and the contractual cash flows are SPPI.
Under this measurement category, the financial asset is measured at fair value at initial recognition. Subsequently the carrying
amount is reduced for principal payments, plus or minus the cumulative amortization using the effective interest method. The
financial asset is assessed for impairment under the IFRS 9 expected credit loss model where provisions are recognized
based on expectations of potential credit losses. The Group’s impairment of financial instruments policy is described further
in the section “Impairment of Loans and Provision for Off-Balance Sheet Positions (IFRS 9)”. Financial assets measured at
amortized cost are recognized on a settlement date basis.
Financial Assets at amortized cost include predominately Loans at amortized cost, Central bank funds sold and securities
purchased under resale agreements, Securities borrowed and certain receivables presented in Other Assets.
Modification of financial assets and financial liabilities
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. The modified financial asset will continue to accrued interest at its
original EIR. When a modification results in derecognition the original instrument is derecognized and the new instrument
recognized at fair value.
Non-credit related or commercial renegotiations where an obligor has not experienced a significant increase in credit risk since
origination, and has a readily exercisable right to early terminate the financial asset results in derecognition of the original
agreement and recognition of a new financial asset based on the newly negotiated commercial terms.
For credit related modifications (i.e. those modifications due to significant increase in credit risk since inception) or those where
the obligor does not have the readily exercisable right to early terminate, the Group assesses whether the modified terms
result in the financial asset being significantly modified and therefore derecognized. This assessment includes a quantitative
assessment of the impact of the change in cash flows from the modification of contractual terms and additionally, where
necessary, a qualitative assessment of the impact of the change in the contractual terms. Where these modifications are not
concluded to be significant, the financial asset is not derecognized and is accounted for as a modification as described above.
If the changes are concluded to be significant, the old instrument is derecognized and a new instrument recognized. The
Group then recognizes a credit loss allowance based on 12-month expected credit losses. However, if following a modification
that results in a derecognition of the original financial asset, there is evidence that the new financial asset is credit-impaired
on initial recognition; then the new financial asset should be recognized as an originated credit-impaired financial asset and
initially classified in Stage 3 (refer to section “Impairment of Loans and Provision for Off-Balance Sheet Positions” below).
When the terms of a financial liability are renegotiated or modified then the Group assesses whether the modified terms result
in the financial liability being significantly modified and therefore derecognized. This assessment includes a quantitative as-
sessment of the impact of the change in cash flows from the modification of contractual terms and additionally, where neces-
sary, a qualitative assessment of the impact of the change in the contractual terms. Where these modifications are not con-
cluded to be significant, the financial liability is not derecognized and 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. Where there is derecognition the original financial liability is derecognized and the new liability recognized at its
fair value.
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Loan commitments
Loan commitments remain off-balance sheet, unless allocated to the Other business model and presented as derivatives held
for trading. The Group does not recognize and measure changes in fair value of off-balance sheet loan commitments that
result from changes in market interest rates or credit spreads. However, as specified in the sections “Impairment of Loans and
Provision for Off-Balance Sheet Positions” below, these off-balance sheet loan commitments are assessed for impairment
individually and where appropriate, collectively.
Financial liabilities
Under IFRS 9 financial liabilities are measured at amortized cost using the effective interest method, except for financial lia-
bilities at fair value through profit or loss.
Financial liabilities at fair value through profit or loss
Financial liabilities at fair value through profit or loss include Trading Liabilities, Financial Liabilities Designated at Fair Value
through Profit or Loss and Non-Participating Investment Contracts (“Investment Contracts”). Under IFRS 9 they are carried at
fair value with realized and unrealized gains and losses included in net gains (losses) on financial assets and liabilities at fair
value through profit or loss. For financial liabilities designated at fair value through profit and loss the fair value movements
attributable to the Group’s own credit component for fair value movements is recognized in Other Comprehensive Income.
Financial liabilities classified at fair value through profit or loss are recognized or derecognized on trade date. Trade date is
the date on which the Group commits to issue or repurchase the financial liability.
Interest on interest paying liabilities are presented in interest expense for financial instruments at fair value through profit or
loss.
Trading liabilities - Financial liabilities that arise from debt issued are classified as held for trading if they have been originated
or incurred principally for the purpose of repurchasing them in the near term. Trading liabilities consist primarily of derivative
liabilities (including certain loan commitments) and short positions. This also includes loan commitments where the resulting
loan upon funding is allocated to the other business model such that the undrawn loan commitment is classified as derivatives
held for trading.
Financial liabilities designated at fair value through profit or loss - Certain financial liabilities that do not meet the definition of
trading liabilities are designated at fair value through profit or loss using the fair value option. To be designated at fair value
through profit or loss, financial liabilities must meet one of the following criteria: (1) the designation eliminates or significantly
reduces a measurement or recognition inconsistency; (2) a group of financial liabilities is managed and its performance is
evaluated on a fair value basis in accordance with a documented risk management or investment strategy; or (3) the instrument
contains one or more embedded derivatives unless: (a) the embedded derivative does not significantly modify the cash flows
that otherwise would be required by the contract; or (b) it is clear with little or no analysis that separation is prohibited. In
addition, the Group allows the fair value option to be designated only for those financial instruments for which a reliable
estimate of fair value can be obtained. Financial liabilities which are designated at fair value through profit or loss, under the
fair value option, include repurchase agreements, loan commitments and structured note liabilities.
Investment contracts - All of the Group’s investment contracts are unit-linked contract that match specific assets held by the
Group. The contracts oblige the Group to use these assets to settle investment contract liabilities. They do not contain signif-
icant insurance risk or discretionary participation features. The contract liabilities are determined using current unit prices
multiplied by the number of units attributed to the contract holders as of the balance sheet date. As this amount represents
fair value, the liabilities have been classified as financial liabilities at fair value through profit or loss. Deposits collected under
investment contracts are accounted for as an adjustment to the investment contract liabilities. Investment income attributable
to investment contracts is included in the consolidated statement of Income. Investment contract claims reflect the excess of
amounts paid over the account balance released. Investment contract policyholders are charged fees for policy administration,
investment management, surrenders or other contract services.
Embedded derivatives
Some hybrid financial liability contracts contain both a derivative and a non-derivative component. In such cases, the derivative
component is termed an embedded derivative, with the non-derivative component representing the host financial liability con-
tract. If the economic characteristics and risks of embedded derivatives are not closely related to those of the host financial
liability contract and the hybrid financial liability contract itself is not carried at fair value through profit or loss, the embedded
derivative is bifurcated and reported at fair value, with gains and losses recognized in net gains (losses) on financial assets/li-
abilities at fair value through profit or loss. The host financial liability contract will continue to be accounted for in accordance
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with the appropriate accounting standard. The carrying amount of an embedded derivative is reported in the same Consoli-
dated balance sheet line item as the host financial liability contract. Certain hybrid financial liability instruments have been
designated at fair value through profit or loss using the fair value option.
Financial liabilities at amortized cost
Financial liabilities measured at amortized cost include long-term and short-term debt issued which are initially measured at
fair value, which is the consideration received, net of transaction costs incurred. Repurchases of issued debt in the market are
treated as extinguishments and any related gain or loss is recorded in the Consolidated Statement of Income. A subsequent
sale of own bonds in the market is treated as a reissuance of debt. Financial liabilities measured at amortized cost are recog-
nized on a settlement date basis.
Offsetting of financial instruments
Financial assets and liabilities are offset, with the net amount presented in the Consolidated balance sheet, only if the Group
holds a currently enforceable legal right to set off the recognized amounts and there is an intention to settle on a net basis or
to realize an asset and settle the liability simultaneously. The legal right to set off the recognized amounts must be enforceable
in both the normal course of business and in the event of default, insolvency or bankruptcy of both the Group and its counter-
party. In all other situations they are presented gross. When financial assets and financial liabilities are offset in the Consoli-
dated balance sheet, the associated income and expense items will also be offset in the Consolidated Statement of Income,
unless specifically prohibited by an applicable accounting standard.
The majority of the offsetting applied by the Group relates to derivatives and repurchase and reverse repurchase agreements.
A significant portion of offsetting is applied to interest rate derivatives and related cash margin balances, which are cleared
through central clearing parties. For further information please refer to Note 17 “Offsetting Financial Assets and Financial
Liabilities”.
Determination of fair value
Fair value is defined as the price that would be received to sell an asset or paid to transfer a liability in an arm’s length
transaction between market participants at the measurement date. The fair value of instruments that are quoted in active
markets is determined using the quoted prices where they represent those at which regularly and recently occurring transac-
tions take place.
The Group measures certain portfolios of financial assets and financial liabilities on the basis of their net risk exposures when
the following criteria are met:
– The group of financial assets and liabilities is managed on the basis of its net exposure to a particular market risk (or risks)
or to the credit risk of a particular counterparty, in accordance with a documented risk management strategy,
– The fair values are provided to key management personnel, and
– The financial assets and liabilities are measured at fair value through profit or loss.
This portfolio valuation approach is consistent with how the Group manages its net exposures to market and counterparty
credit risks.
Critical accounting estimates – The Group uses valuation techniques to establish the fair value of instruments where prices
quoted in active markets are not available. Therefore, where possible, parameter inputs to the valuation techniques are based
on observable data derived from prices of relevant instruments traded in an active market. These valuation techniques involve
some level of management estimation and judgment, the degree of which will depend on the price transparency for the instru-
ment or market and the instrument’s complexity.
In reaching estimates of fair value management judgment needs to be exercised. The areas requiring significant management
judgment are identified, documented and reported to senior management as part of the valuation control process and the
standard monthly reporting cycle. The specialist model validation and valuation control groups focus attention on the areas of
subjectivity and judgment.
The level of management judgment required in establishing fair value of financial instruments for which there is a quoted price
in an active market is usually minimal. Similarly there is little subjectivity or judgment required for instruments valued using
valuation models which are standard across the industry and where all parameter inputs are quoted in active markets.
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The level of subjectivity and degree of management judgment required is more significant for those instruments valued using
specialized and sophisticated models and where some or all of the parameter inputs are less liquid or less observable. Man-
agement judgment is required in the selection and application of appropriate parameters, assumptions and modelling tech-
niques. In particular, where data are obtained from infrequent market transactions then extrapolation and interpolation tech-
niques must be applied. Where no market data are available for a particular instrument then pricing inputs are determined by
assessing other relevant sources of information such as historical data, fundamental analysis of the economics of the trans-
action and proxy information from similar transactions, and making appropriate adjustment to reflect the actual instrument
being valued and current market conditions. Where different valuation techniques indicate a range of possible fair values for
an instrument then management has to decide what point within the range of estimates appropriately represents the fair value.
Further, some valuation adjustments may require the exercise of management judgment to achieve fair value.
Financial assets and liabilities carried at fair value are required to be disclosed according to the inputs to the valuation method
that are used to determine their fair value. Specifically, segmentation is required between those valued using quoted market
prices in an active market (level 1), valuation techniques based on observable parameters (level 2) and valuation techniques
using significant unobservable parameters (level 3). Management judgment is required in determining the category to which
certain instruments should be allocated. This specifically arises when the valuation is determined by a number of parameters,
some of which are observable and others are not. Further, the classification of an instrument can change over time to reflect
changes in market liquidity and therefore price transparency.
The Group provides a sensitivity analysis of the impact upon the level 3 financial instruments of using a reasonably possible
alternative for the unobservable parameter. The determination of reasonably possible alternatives requires significant man-
agement judgment.
For financial instruments measured at amortized cost (which include loans, deposits and short and long term debt issued) the
Group discloses the fair value. Generally there is limited or no trading activity in these instruments and therefore the fair value
determination requires significant management judgment.
For further discussion of the valuation methods and controls and quantitative disclosures with respect to the determination of
fair value, please refer to Note 13 “Financial Instruments carried at Fair Value” and Note 14 “Fair Value of Financial Instru-
ments not carried at Fair Value”.
Recognition of trade date profit
Trade date profit is recognized if the fair value of the financial instrument measured at fair value through profit or loss is
obtained from a quoted market price in an active market, or otherwise evidenced by comparison to other observable current
market transactions or based on a valuation technique incorporating observable market data. If there are significant unobserv-
able inputs used in the valuation technique, the financial instrument is recognized at the transaction price and any profit implied
from the valuation technique at trade date is deferred.
Using systematic methods, the deferred amount is recognized over the period between trade date and the date when the
market is expected to become observable, or over the life of the trade (whichever is shorter). Such methodology is used
because it reflects the changing economic and risk profile of the instrument as the market develops or as the instrument itself
progresses to maturity. Any remaining trade date deferred profit is recognized in the Consolidated Statement of Income when
the transaction becomes observable. In the rare circumstances that a trade date loss arises, it would be recognized at inception
of the transaction to the extent that it is probable that a loss has been incurred and a reliable estimate of the loss amount can
be made.
Critical Accounting Estimates – Management judgment is required in determining whether there exist significant unobservable
inputs in the valuation technique. Once deferred, the decision to subsequently recognize the trade date profit requires a careful
assessment of the then current facts and circumstances supporting observability of parameters and/or risk mitigation.
Derivatives and hedge accounting
Derivatives are used to manage exposures to interest rate, foreign currency, credit and other market price risks, including
exposures arising from forecast transactions. All freestanding contracts that are considered derivatives for accounting pur-
poses are carried at fair value on the Consolidated balance sheet regardless of whether they are held for trading or non-
trading purposes.
The changes in fair value on derivatives held for trading are included in net gains (losses) on financial assets/liabilities at fair
value through profit or loss.
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Hedge accounting
IFRS 9 includes an accounting policy choice to defer the adoption of IFRS 9 hedge accounting and to continue with IAS 39
hedge accounting. The Group decided to exercise this accounting policy choice and did not adopt IFRS 9 hedge accounting
as of January 1, 2018. The Group applies fair value hedge accounting for portfolio hedges of interest rate risk (fair value macro
hedges) in accordance with the EU carve out version of IAS 39. Under the EU IAS 39 carve-out, fair value macro hedge
accounting may be applied to core deposits and hedge ineffectiveness for all fair value macro hedge accounting applications
is only recognized when the revised estimate of the amount of cash flows in scheduled time buckets falls below the original
designated amount of that bucket and is not recognized when the revised amount of cash flows in scheduled time buckets is
more than the original designated amount.
For accounting purposes there are three possible types of hedges: (1) hedges of changes in the fair value of assets, liabilities
or unrecognized firm commitments (fair value hedges); (2) hedges of the variability of future cash flows from highly probable
forecast transactions and floating rate assets and liabilities (cash flow hedges); and (3) hedges of the translation adjustments
resulting from translating the functional currency financial statements of foreign operations into the presentation currency of
the parent (hedges of net investments in foreign operations).
When hedge accounting is applied, the Group designates and documents the relationship between the hedging instrument
and the hedged item as well as its risk management objective and strategy for undertaking the hedging transactions and the
nature of the risk being hedged. This documentation includes a description of how the Group will assess the hedging instru-
ment’s effectiveness in offsetting the exposure to changes in the hedged item’s fair value or cash flows attributable to the
hedged risk. Hedge effectiveness is assessed at inception and throughout the term of each hedging relationship. Hedge
effectiveness is always assessed, even when the terms of the derivative and hedged item are matched.
For hedges of changes in fair value, the changes in the fair value of the hedged asset, liability or unrecognized firm commit-
ment, or a portion thereof, attributable to the risk being hedged, are recognized in the Consolidated Statement of Income along
with changes in the entire fair value of the derivative. When hedging interest rate risk, any interest accrued or paid on both the
derivative and the hedged item is reported in interest income or expense and the unrealized gains and losses from the hedge
accounting fair value adjustments are reported in other revenue. Hedge ineffectiveness is reported in other revenue and is
measured as the net effect of changes in the fair value of the hedging instrument and changes in the fair value of the hedged
item arising from changes in the market rate or price related to the risk(s) being hedged.
If a fair value hedge of a debt instrument is discontinued prior to the instrument’s maturity because the derivative is terminated
or the relationship is de-designated, any remaining interest rate-related fair value adjustments made to the carrying amount
of the debt instrument (basis adjustments) are amortized to interest income or expense over the remaining term of the original
hedging relationship. For other types of fair value adjustments and whenever a fair value hedged asset or liability is sold or
otherwise derecognized, any basis adjustments are included in the calculation of the gain or loss on derecognition.
For hedges of variability in future cash flows, there is no change to the accounting for the hedged item and the derivative is
carried at fair value, with changes in value reported initially in other comprehensive income to the extent the hedge is effective.
These amounts initially recorded in other comprehensive income are subsequently reclassified into the Consolidated State-
ment of Income in the same periods during which the forecast transaction affects the Consolidated Statement of Income.
Thus, for hedges of interest rate risk, the amounts are amortized into interest income or expense at the same time as the
interest is accrued on the hedged transaction.
Hedge ineffectiveness is recorded in other income and is measured as changes in the excess (if any) in the absolute cumu-
lative change in fair value of the actual hedging derivative over the absolute cumulative change in the fair value of the hypo-
thetically perfect hedge.
When hedges of variability in cash flows attributable to interest rate risk are discontinued, amounts remaining in accumulated
other comprehensive income are amortized to interest income or expense over the remaining life of the original hedge rela-
tionship, unless the hedged transaction is no longer expected to occur in which case the amount will be reclassified into other
income immediately. When hedges of variability in cash flows attributable to other risks are discontinued, the related amounts
in accumulated other comprehensive income are reclassified into either the same Consolidated Statement of Income caption
and period as profit or loss from the forecast transaction, or into other income when the forecast transaction is no longer
expected to occur.
For hedges of the translation adjustments resulting from translating the functional currency financial statements of foreign
operations (hedges of net investments in foreign operations) into the functional currency of the parent, the portion of the
change in fair value of the derivative due to changes in the spot foreign exchange rates is recorded as a foreign currency
translation adjustment in other comprehensive income to the extent the hedge is effective; the remainder is recorded as other
income in the Consolidated Statement of Income.
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Changes in fair value of the hedging instrument relating to the effective portion of the hedge are subsequently recognized in
profit or loss on disposal of the foreign operations.
Hedging derivatives are reported as other assets and other liabilities. In the event that a derivative is subsequently de-desig-
nated from a hedging relationship, it is transferred to financial assets/liabilities at fair value through profit or loss.
Impairment of loans and provision for off-balance sheet positions
The impairment requirements of IFRS 9 apply to all credit exposures that are measured at amortized cost or FVOCI, and to
off balance sheet lending commitments such as loan commitments and financial guarantees. For purposes of the impairment
policy below, these instruments are referred to as (“Financial Assets”)
The determination of impairment losses an expected credit loss (“ECL”) model under IFRS 9, where allowances are taken
upon initial recognition of the Financial Asset, based on expectations of potential credit losses at the time of initial recognition.
Staged approach to the determination of expected credit losses
IFRS 9 states a three stage approach to impairment for Financial Assets that are not credit impaired at the date of origination
or purchase. This approach is summarized as follows:
– Stage 1: The Group recognizes a credit loss allowance at an amount equal to 12-month expected credit losses for all
Financial Assets. This represents the portion of lifetime expected credit losses from default events that are expected within
12 months of the reporting date, assuming that credit risk has not increased significantly after initial recognition.
– Stage 2: The Group recognizes a credit loss allowance at an amount equal to lifetime expected credit losses for those
Financial Assets which are considered to have experienced a significant increase in credit risk since initial recognition. This
requires the computation of ECL based on lifetime probability of default, lifetime loss given default and lifetime exposure at
default that represents the probability of default occurring over the remaining lifetime of the Financial Asset. Allowance for
credit losses are higher in this stage because of an increase in credit risk and the impact of a longer time horizon being
considered compared to 12 months in Stage 1.
– Stage 3: The Group recognizes a loss allowance at an amount equal to lifetime expected credit losses, reflecting a Proba-
bility of Default of 100 %, via the expected recoverable cash flows for the asset, for those Financial Assets that are credit-
impaired. The Group’s definition of default is aligned with the regulatory definition. Financial Assets that are credit-impaired
upon initial recognition are categorized within Stage 3 with a carrying value already reflecting the lifetime expected credit
losses. The accounting treatment for these purchased or originated credit-impaired (“POCI”) assets is discussed further
below.
Significant increase in credit risk
Under IFRS 9, when determining whether the credit risk (i.e., risk of default) of a Financial Asset has increased significantly
since initial recognition, the Group considers reasonable and supportable information that is relevant and available without
undue cost or effort. This includes quantitative and qualitative information based on the Group’s historical experience, credit
risk assessment and forward-looking information (including macro-economic factors). The assessment of significant credit
deterioration is key in determining when to move from measuring an allowance based on 12-month ECLs to one that is based
on lifetime ECLs (i.e., transfer from Stage 1 to Stage 2).
The Group’s framework for determining if there has been a significant increase in credit risk aligns with the internal Credit Risk
Management (“CRM”) process and covers rating related and process related indicators which are discussed further in section
“IFRS 9 Impairment Approach” in the Risk Report.
Credit impaired financial assets in Stage 3
The Group has aligned its definition of credit impaired under IFRS 9 to when a Financial Asset has defaulted for regulatory
purposes, according to the Capital Requirements Regulation under Art. 178.
The determination of whether a Financial Asset is credit impaired and therefore in Stage 3 focusses exclusively on default
risk, without taking into consideration the effects of credit risk mitigants such as collateral or guarantees. Specifically, a Finan-
cial Asset is credit impaired and in Stage 3 when:
– The Group considers the obligor is unlikely to pay its credit obligations to the Group. Determination may include forbearance
actions, where a concession has been granted to the borrower or economic or legal reasons that are qualitative indicators
of credit impairment; or
– Contractual payments of either principal or interest by the obligor are past due by more than 90 days.
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For Financial Assets considered to be credit impaired, the ECL allowance covers the amount of loss the Group is expected to
suffer. The estimation of ECLs is done on a case-by-case basis for non-homogeneous portfolios, or by applying portfolio based
parameters to individual Financial Assets in these portfolios via the Group’s ECL model for homogeneous portfolios. This
estimate includes the use of discounted cash flows that are adjusted for scenarios.
Forecasts of future economic conditions when calculating ECLs are considered. The lifetime expected losses are estimated
based on the probability-weighted present value of the difference between the contractual cash flows that are due to the Group
under the contract; and the cash flows that the Group expects to receive.
A Financial Asset can be classified as credit impaired in Stage 3 but without an allowance for credit losses (i.e., no impairment
loss is expected). This may be due to the value of collateral. The Group’s engine based ECL calculation is conducted on a
monthly basis, whereas the case-by-case assessment of ECL in Stage 3 for non-homogeneous portfolio has to be performed
at least on a quarterly basis.
Purchased or originated credit impaired financial assets in Stage 3
A Financial Asset is considered purchased or originated credit-impaired if there is objective evidence of impairment at the time
of initial recognition. Such credit impaired Financial Assets are termed POCI Financial Assets. POCI Financial Assets are
measured to reflect lifetime expected credit losses, and all subsequent changes in lifetime expected credit losses, whether
positive or negative, are recognized in the income statement as a component of the provision for credit losses. POCI Financial
Assets can only be classified in Stage 3 over the life of the Financial Asset.
Write-offs
The Group reduces the gross carrying amount of a Financial Asset when there is no reasonable expectation of recovery.
Write-offs can relate to a Financial Asset in its entirety, or to a portion of it, and constitute a derecognition event. The Group
considers all relevant information in making this determination, including but not limited to:
– Foreclosure actions taken by the Group which have not been successful or have a high probability of not being successful
– Collateral liquidation which has not, or will not lead to further considerable recoveries
– Situations where no further recoveries are reasonably expected
Write-offs can take place before legal actions against the borrower to recover the debt have been concluded, and a write-off
does not involve the Group forfeiting its legal right to recover the debt.
Collateral for financial assets considered in the impairment analysis
IFRS 9 requires cash flows expected from collateral and other credit enhancement to be reflected in the ECL calculation. The
following are key aspects with respect to collateral and guarantees:
– Eligibility of collateral, i.e. which collateral should be considered in the ECL calculation;
– Collateral evaluation, i.e. what collateral (liquidation) value should be used; and
– Projection of the available collateral amount over the life of a transaction.
These concepts are outlined in more detail in section “IFRS 9 Impairment Approach” in the Risk Report.
Critical accounting estimates – The accounting estimates and judgments related to the impairment of Financial Assets is a
critical accounting estimate because the underlying assumptions used can change from period to period and may significantly
affect the Group’s results of operations.
In assessing assets for impairments, management judgment is required, particularly in projecting future economic information
and scenarios in particular in circumstances of economic and financial uncertainty, when developments and changes to ex-
pected cash flows can occur both with greater rapidity and less predictability. The actual amount of the future cash flows and
their timing may differ from the estimates used by management and consequently may cause actual losses to differ from
reported allowances.
For those non-homogeneous loans in Stage 3 the determination of the impairment allowance often requires the use of con-
siderable judgment concerning such matters as local economic conditions, the financial performance of the counterparty and
the value of any collateral held, for which there may not be a readily accessible market.
The determination of the expected credit losses in Stages 1 and 2 and for homogeneous loans in Stage 3 is calculated using
statistical expected loss models. The model incorporates numerous estimates and judgments. The Group performs a regular
review of the model and underlying data and assumptions. The probability of defaults, loss recovery rates and judgments
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01 – Significant accounting policies and critical accounting estimates
concerning ability of borrowers in foreign countries to transfer the foreign currency necessary to comply with debt repayments,
amongst other things, are incorporated into this review.
The quantitative disclosures are provided in Note 18 “Loans” and Note 19 “Allowance for credit losses”.
Derecognition of financial assets and liabilities
Financial asset derecognition
A financial asset is considered for derecognition when the contractual rights to the cash flows from the financial asset expire,
or the Group has either transferred the contractual right to receive the cash flows from that asset, or has assumed an obligation
to pay those cash flows to one or more recipients, subject to certain criteria.
The Group derecognizes a transferred financial asset if it transfers substantially all the risks and rewards of ownership.
The Group enters into transactions in which it transfers previously recognized financial assets but retains substantially all the
associated risks and rewards of those assets; for example, a sale to a third party in which the Group enters into a concurrent
total return swap with the same counterparty. These types of transactions are accounted for as secured financing transactions.
In transactions in which substantially all the risks and rewards of ownership of a financial asset are neither retained nor trans-
ferred, the Group derecognizes the transferred asset if control over that asset is not retained, i.e., if the transferee has the
practical ability to sell the transferred asset. The rights and obligations retained in the transfer are recognized separately as
assets and liabilities, as appropriate. If control over the asset is retained, the Group continues to recognize the asset to the
extent of its continuing involvement, which is determined by the extent to which it remains exposed to changes in the value of
the transferred asset.
The derecognition criteria are also applied to the transfer of part of an asset, rather than the asset as a whole, or to a group
of similar financial assets in their entirety, when applicable. If transferring a part of an asset, such part must be a specifically
identified cash flow, a fully proportionate share of the asset, or a fully proportionate share of a specifically-identified cash flow.
If an existing financial asset is replaced by another asset from the same counterparty on substantially different terms, or if the
terms of the financial asset are substantially modified (due to forbearance measures or otherwise), the existing financial asset
is derecognized and a new asset is recognized. Any difference between the respective carrying amounts is recognized in the
Consolidated Statement of Income.
Securitization
The Group securitizes various consumer and commercial financial assets, which is achieved via the transfer of these assets
to a structured entity, which issues securities to investors to finance the acquisition of the assets. Financial assets awaiting
securitization are classified and measured as appropriate under the policies in the “Financial Assets and Liabilities” section. If
the structured entity is not consolidated then the transferred assets may qualify for derecognition in full or in part, under the
policy on derecognition of financial assets. Synthetic securitization structures typically involve derivative financial instruments
for which the policies in the “Derivatives and Hedge Accounting” section would apply. Those transfers that do not qualify for
derecognition may be reported as secured financing or result in the recognition of continuing involvement liabilities. The in-
vestors and the securitization vehicles generally have no recourse to the Group’s other assets in cases where the issuers of
the financial assets fail to perform under the original terms of those assets.
Interests in the securitized financial assets may be retained in the form of senior or subordinated tranches, interest only strips
or other residual interests (collectively referred to as “retained interests”). Provided the Group’s retained interests do not result
in consolidation of a structured entity, nor in continued recognition of the transferred assets, these interests are typically
recorded in financial assets at fair value through profit or loss and carried at fair value. Consistent with the valuation of similar
financial instruments, the fair value of retained tranches or the financial assets is initially and subsequently determined using
market price quotations where available or internal pricing models that utilize variables such as yield curves, prepayment
speeds, default rates, loss severity, interest rate volatilities and spreads. The assumptions used for pricing are based on
observable transactions in similar securities and are verified by external pricing sources, where available. Where observable
transactions in similar securities and other external pricing sources are not available, management judgment must be used to
determine fair value. The Group may also periodically hold interests in securitized financial assets and record them at amor-
tized cost.
In situations where the Group has a present obligation (either legal or constructive) to provide financial support to an uncon-
solidated securitization entity a provision will be created if the obligation can be reliably measured and it is probable that there
will be an outflow of economic resources required to settle it.
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01 – Significant accounting policies and critical accounting estimates
When an asset is derecognized a gain or loss equal to the difference between the consideration received and the carrying
amount of the transferred asset is recorded. When a part of an asset is derecognized, gains or losses on securitization depend
in part on the carrying amount of the transferred financial assets, allocated between the financial assets derecognized and the
retained interests based on their relative fair values at the date of the transfer.
Derecognition of financial liabilities
A financial liability is derecognized when the obligation under the liability is discharged or cancelled or expires. If an existing
financial liability is replaced by another from the same lender on substantially different terms, or the terms of the existing
liability are substantially modified, such an exchange or modification is treated as a derecognition of the original liability and
the recognition of a new liability, and the difference in the respective carrying amounts is recognized in the Consolidated
Statement of Income.
Repurchase and reverse repurchase agreements
Securities purchased under resale agreements (“reverse repurchase agreements”) and securities sold under agreements to
repurchase (“repurchase agreements”) are treated as collateralized financings and are recognized initially at fair value, being
the amount of cash disbursed and received, respectively. The party disbursing the cash takes possession of the securities
serving as collateral for the financing and having a market value equal to, or in excess of, the principal amount loaned. The
securities received under reverse repurchase agreements and securities delivered under repurchase agreements are not
recognized on, or derecognized from, the balance sheet, because the risks and rewards of ownership are not obtained nor
relinquished. Securities delivered under repurchase agreements which are not derecognized from the balance sheet and
where the counterparty has the right by contract or custom to sell or repledge the collateral are disclosed in Note 20 “Transfer
of Financial Assets, Assets Pledged and Received as Collateral”.
The Group allocates reverse repurchase portfolios that are managed on a fair value basis to the other business model under
IFRS 9 and classifies them as “Non-trading financial assets mandatory at fair value through profit or loss”.
Interest earned on reverse repurchase agreements and interest incurred on repurchase agreements is reported as interest
income and interest expense, respectively.
Securities borrowed and securities loaned
Securities borrowed transactions generally require the Group to deposit cash with the securities lender. In a securities loaned
transaction, the Group generally receives either cash collateral, in an amount equal to or in excess of the market value of
securities loaned, or securities. The Group monitors the fair value of securities borrowed and securities loaned and additional
collateral is disbursed or obtained, if necessary.
The securities borrowed are not themselves recognized in the financial statements. If they are sold to third parties, the obliga-
tion to return the securities is recorded as a financial liability at fair value through profit or loss and any subsequent gain or
loss is included in the Consolidated Statement of Income in net gains (losses) on financial assets/liabilities at fair value through
profit or loss. Securities lent to counterparties are also retained on the Consolidated balance sheet.
The Group records the amount of cash advanced or received as securities borrowed and securities loaned, respectively, in
the Consolidated balance sheet.
Fees received or paid are reported in interest income and interest expense, respectively. Securities lent to counterparties
which are not derecognized from the Consolidated balance sheet and where the counterparty has the right by contract or
custom to sell or repledge the collateral are disclosed in Note 20 “Transfer of Financial Assets, Assets Pledged and Received
as Collateral”.
Goodwill and other intangible assets
Goodwill arises on the acquisition of subsidiaries and associates and represents the excess of the aggregate of the cost of an
acquisition and any non-controlling interests in the acquiree over the fair value of the identifiable net assets acquired at the
date of the acquisition.
For the purpose of calculating goodwill, fair values of acquired assets, liabilities and contingent liabilities are determined by
reference to market values or by discounting expected future cash flows to present value. This discounting is either performed
using market rates or by using risk-free rates and risk-adjusted expected future cash flows. Any non-controlling interests in
the acquiree is measured either at fair value or at the non-controlling interests’ proportionate share of the acquiree’s identifiable
net assets (this is determined for each business combination).
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Notes to the consolidated financial statements
01 – Significant accounting policies and critical accounting estimates
Goodwill on the acquisition of subsidiaries is capitalized and reviewed for impairment annually or more frequently if there are
indications that impairment may have occurred. For the purposes of impairment testing, goodwill acquired in a business com-
bination is allocated to cash-generating units (“CGUs”), which are the smallest identifiable groups of assets that generate cash
inflows largely independent of the cash inflows from other assets or groups of assets and that are expected to benefit from
the synergies of the combination and considering the business level at which goodwill is monitored for internal management
purposes. In identifying whether cash inflows from an asset (or a group of assets) are largely independent of the cash inflows
from other assets (or groups of assets) various factors are considered, including how management monitors the entity’s op-
erations or makes decisions about continuing or disposing of the entity’s assets and operations.
If goodwill has been allocated to a CGU and an operation within that unit is disposed of, the attributable goodwill is included
in the carrying amount of the operation when determining the gain or loss on its disposal.
Corporate assets are allocated to a CGU when the allocation can be done on a reasonable and consistent basis. If this is not
possible, the individual CGU is tested without the corporate assets. They are then tested on the level of the minimum collection
of CGUs to which they can be allocated on a reasonable and consistent basis.
Intangible assets are recognized separately from goodwill when they are separable or arise from contractual or other legal
rights and their fair value can be measured reliably. Intangible assets that have a finite useful life are stated at cost less any
accumulated amortization and accumulated impairment losses. Customer-related intangible assets that have a finite useful
life are amortized over periods of between 1 and 20 years on a straight-line basis based on their expected useful life. These
assets are tested for impairment and their useful lives reaffirmed at least annually.
Certain intangible assets have an indefinite useful life and hence are not amortized, but are tested for impairment at least
annually or more frequently if events or changes in circumstances indicate that impairment may have occurred.
Costs related to software developed or obtained for internal use are capitalized if it is probable that future economic benefits
will flow to the Group and the cost can be measured reliably. Capitalized costs are amortized using the straight-line method
over the asset’s useful life which is deemed to be either three, five or ten years. Eligible costs include external direct costs for
materials and services, as well as payroll and payroll-related costs for employees directly associated with an internal-use
software project. Overhead costs, as well as costs incurred during the research phase or after software is ready for use, are
expensed as incurred. Capitalized software costs are tested for impairment either annually if still under development or any
time when there is an indication of impairment once the software is in use.
Critical accounting estimates – The determination of the recoverable amount in the impairment assessment of non-financial
assets requires estimates based on quoted market prices, prices of comparable businesses, present value or other valuation
techniques (such as the cost approach), or a combination thereof, necessitating management to make subjective judgments
and assumptions. Because these estimates and assumptions could result in significant differences to the amounts reported if
underlying circumstances were to change, the Group considers these estimates to be critical.
The quantitative disclosures are provided in Note 23 “Goodwill and other intangible assets”.
Provisions
Provisions are recognized if the Group has a present legal or constructive obligation as a result of past events, if it is probable
that an outflow of resources will be required to settle the obligation, and a reliable estimate can be made of the amount of the
obligation.
The amount recognized as a provision is the best estimate of the consideration required to settle the present obligation as of
the balance sheet date, taking into account the risks and uncertainties surrounding the obligation.
If the effect of the time value of money is material, provisions are discounted and measured at the present value of the
expenditure expected to be required to settle the obligation, using a pre-tax rate that reflects the current market assessments
of the time value of money and the risks specific to the obligation. The increase in the provision due to the passage of time is
recognized as interest expense.
When some or all of the economic benefits required to settle a provision are expected to be recovered from a third party (for
example, because the obligation is covered by an insurance policy), an asset is recognized if it is virtually certain that reim-
bursement will be received.
If the Group has a contract that is onerous, the present obligation under the contract is recognized and measured as a provi-
sion. An onerous contract is a contract in which the unavoidable costs of meeting the obligations under the contract exceed
the economic benefits expected to be received under it.
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Notes to the consolidated financial statements
01 – Significant accounting policies and critical accounting estimates
Critical accounting estimates –The use of estimates is important in determining provisions for potential losses that may arise
from litigation and regulatory proceedings. The Group estimates and provides for potential losses that may arise out of litigation
and regulatory proceedings to the extent that such losses are probable and can be estimated, in accordance with IAS 37,
“Provisions, Contingent Liabilities and Contingent Assets”. Significant judgment is required in making these estimates and the
Group’s final liabilities may ultimately be materially different.
Contingencies in respect of legal matters are subject to many uncertainties and the outcome of individual matters is not pre-
dictable with assurance. Significant judgment is required in assessing probability and making estimates in respect of contin-
gencies, and the Group’s final liability may ultimately be materially different. The Group’s total liability in respect of litigation,
arbitration and regulatory proceedings is determined on a case-by-case basis and represents an estimate of probable losses
after considering, among other factors, the progress of each case, the Group’s experience and the experience of others in
similar cases, and the opinions and views of legal counsel. Predicting the outcome of the Group’s litigation matters is inherently
difficult, particularly in cases in which claimants seek substantial or indeterminate damages. See Note 27 “Provisions” for
information on the Group’s judicial, regulatory and arbitration proceedings.
Income taxes
The Group recognizes the current and deferred tax consequences of transactions that have been included in the consolidated
financial statements using the provisions of the respective jurisdictions’ tax laws. Current and deferred taxes are recognized
in profit or loss except to the extent that the tax relates to items that are recognized directly in equity or other comprehensive
income in which case the related tax is recognized either directly in equity or other comprehensive income accordingly.
Deferred tax assets and liabilities are recognized for future tax consequences attributable to temporary differences between
the financial statement carrying amounts of existing assets and liabilities and their respective tax bases, unused tax losses
and unused tax credits. Deferred tax assets are recognized only to the extent that it is probable that sufficient taxable profit
will be available against which those unused tax losses, unused tax credits and deductible temporary differences can be
utilized.
Deferred tax assets and liabilities are measured based on the tax rates that are expected to apply in the period that the asset
is realized or the liability is settled, based on tax rates and tax laws that have been enacted or substantively enacted at the
balance sheet date.
Current tax assets and liabilities are offset when (1) they arise from the same tax reporting entity or tax group of reporting
entities, (2) the legally enforceable right to offset exists and (3) they are intended to be settled net or realized simultaneously.
Deferred tax assets and liabilities are offset when the legally enforceable right to offset current tax assets and liabilities exists
and the deferred tax assets and liabilities relate to income taxes levied by the same taxing authority on either the same tax
reporting entity or tax group of reporting entities.
Deferred tax liabilities are provided on taxable temporary differences arising from investments in subsidiaries, branches and
associates and interests in joint ventures except when the timing of the reversal of the temporary difference is controlled by
the Group and it is probable that the difference will not reverse in the foreseeable future. Deferred income tax assets are
provided on deductible temporary differences arising from such investments only to the extent that it is probable that the
differences will reverse in the foreseeable future and sufficient taxable income will be available against which those temporary
differences can be utilized.
Deferred tax related to fair value remeasurement of financial assets classified as FVTOCI, cash flow hedges and other items,
which are charged or credited directly to other comprehensive income, is also credited or charged directly to other compre-
hensive income and subsequently recognized in the Consolidated Statement of Income once the underlying transaction or
event to which the deferred tax relates is recognized in the Consolidated Statement of Income.
For share-based payment transactions, the Group may receive a tax deduction related to the compensation paid in shares.
The amount deductible for tax purposes may differ from the cumulative compensation expense recorded. At any reporting
date, the Group must estimate the expected future tax deduction based on the current share price. The associated current
and deferred tax consequences are recognized as income or expense in the consolidated statement of Income for the period.
If the amount deductible, or expected to be deductible, for tax purposes exceeds the cumulative compensation expense, the
excess tax benefit is recognized directly in equity.
Critical accounting estimates – In determining the amount of deferred tax assets, the Group uses historical tax capacity and
profitability information and, if relevant, forecasted operating results based upon approved business plans, including a review
of the eligible carry-forward periods, available tax planning opportunities and other relevant considerations. The analysis of
historical tax capacity includes the determination as to whether a history of recent losses exists at the reporting date. The
determination of a history of recent losses is based on the pre-tax results adjusted for permanent differences and typically
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Notes to the consolidated financial statements
01 – Significant accounting policies and critical accounting estimates
covers the current and the two preceding financial years. Each quarter, the Group re-evaluates its estimate related to deferred
tax assets, including its assumptions about future profitability.
The Group believes that the accounting estimate related to the deferred tax assets is a critical accounting estimate because
the underlying assumptions can change from period to period and requires significant management judgment. For example,
tax law changes or variances in future projected operating performance could result in a change of the deferred tax asset. If
the Group was not able to realize all or part of its net deferred tax assets in the future, an adjustment to its deferred tax assets
would be charged to income tax expense or directly to equity in the period such determination was made. If the Group was to
recognize previously unrecognized deferred tax assets in the future, an adjustment to its deferred tax asset would be credited
to income tax expense or directly to equity in the period such determination was made.
The use of estimates is also important in determining provisions for potential losses that may arise from uncertain income tax
positions. The Group estimates and provides for potential losses that may arise out of uncertain income tax positions, in
accordance with IAS 12, “Income Taxes” and IFRIC 23, “Uncertainty over Income Tax Treatment”. Significant judgment is
required in making these estimates and the Group’s final liabilities may ultimately be materially different.
For further information on the Group’s deferred taxes (including quantitative disclosures on recognized deferred tax assets)
see Note 34 “Income Taxes”.
Business combinations and non-controlling Interests
The Group uses the acquisition method to account for business combinations. At the date the Group obtains control of the
subsidiary, the cost of an acquisition is measured at the fair value of the consideration given, including any cash or non-cash
consideration (equity instruments) transferred, any contingent consideration, any previously held equity interest in the acquiree
and liabilities incurred or assumed. The excess of the aggregate of the cost of an acquisition and any non-controlling interests
in the acquiree over the Group’s share of the fair value of the identifiable net assets acquired is recorded as goodwill. If the
aggregate of the acquisition cost and any non-controlling interests is below the fair value of the identifiable net assets (negative
goodwill), a gain is reported in other income. Acquisition-related costs are recognized as expenses in the period in which they
are incurred.
In business combinations achieved in stages (“step acquisitions”), a previously held equity interest in the acquiree is remeas-
ured to its acquisition-date fair value and the resulting gain or loss, if any, is recognized in profit or loss. Amounts recognized
in prior periods in other comprehensive income associated with the previously held investment would be recognized on the
same basis as would be required if the Group had directly disposed of the previously held equity interest.
Non-controlling interests are shown in the consolidated balance sheet as a separate component of equity, which is distinct
from the Group’s shareholders’ equity. The net income attributable to non-controlling interests is separately disclosed on the
face of the Consolidated Statement of Income. Changes in the ownership interest in subsidiaries which do not result in a
change of control are treated as transactions between equity holders and are reported in additional paid-in capital (“APIC”).
Non-current assets held for sale
Individual non-current assets (and disposal groups) are classified as held for sale if they are available for immediate sale in
their present condition subject only to the customary sales terms of such assets (and disposal groups) and their sale is con-
sidered highly probable. For a sale to be highly probable, management must be committed to a sales plan and be actively
looking for a buyer and has no substantive regulatory approvals outstanding. Furthermore, the assets (and disposal groups)
must be actively marketed at a reasonable sales price in relation to their current fair value and the sale should be expected to
be completed within one year. Non-current non-financial assets (and disposal groups) which meet the criteria for held for sale
classification are measured at the lower of their carrying amount and fair value less costs of disposal and are presented within
“Other assets” and “Other liabilities” in the balance sheet. Financial assets and liabilities meeting the criteria continue to be
measured in accordance with IFRS 9. The comparatives are not presented when non-current assets (and disposal groups)
are classified as held for sale. If the disposal group contains financial instruments, no adjustment to their carrying amounts is
permitted.
Property and equipment
Property and equipment includes own-use properties, leasehold improvements, furniture and equipment and software (oper-
ating systems only). Right-of-use assets are presented together with property and equipment on the Group’s consolidated
balance sheet. Own-use properties are carried at cost less accumulated depreciation and accumulated impairment losses.
Depreciation is generally recognized using the straight-line method over the estimated useful lives of the assets. The range
of estimated useful lives is 25 to 50 years for property and 3 to 10 years for furniture and equipment (including initial improve-
ments to purchased buildings). Leasehold improvements are capitalized and subsequently depreciated on a straight-line basis
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01 – Significant accounting policies and critical accounting estimates
over the shorter of the term of the lease and the estimated useful life of the improvement, which generally ranges from 3 to
18 years. Depreciation of property and equipment is included in general and administrative expenses. Maintenance and re-
pairs are also charged to general and administrative expenses. Gains and losses on disposals are included in other income.
Property and equipment are assessed for any indication of impairment at each quarterly reporting date. If such indication
exists, the recoverable amount, which is the higher of fair value less costs of disposal and value in use, must be estimated
and an impairment charge is recorded to the extent the recoverable amount is less than its carrying amount. Value in use is
the present value of the future cash flows expected to be derived from the asset. After the recognition of impairment of an
asset, the depreciation charge is adjusted in future periods to reflect the asset’s revised carrying amount. If an impairment is
later reversed, the depreciation charge is adjusted prospectively.
Financial guarantees
Financial guarantee contracts are contracts that require the issuer to make specified payments to reimburse the holder for a
loss it incurs because a specified debtor fails to make payments when due in accordance with the terms of a debt instrument.
Financial guarantees written
The Group has chosen to apply the fair value option to certain written financial guarantees that are managed on a fair value
basis. Financial guarantees that the Group has not designated at fair value are recognized initially in the financial statements
at fair value on the date the guarantee is given. Subsequent to initial recognition, the Group’s liabilities under such guarantees
are measured at the higher of the amount initially recognized, less cumulative amortization, and the best estimate of the
expenditure required to settle any financial obligation as of the balance sheet date. These estimates are determined based on
experience with similar transactions and history of past losses, and management’s determination of the best estimate.
Any increase in the liability relating to guarantees is recorded in the Consolidated Statement of Income in Provision for Credit
Losses.
Financial guarantees purchased
Purchased financial guarantees result in reimbursements under IAS 37 to the extent that the financial guarantee is entered
into to mitigate the credit exposure from debt instruments with Hold to Collect (HTC) or Hold to Collect and Sell (HTC&S)
business models. This results in recognition of a reimbursement asset for subsequent increases in the expected credit losses,
to the extent it is virtually certain that the purchased financial guarantee will reimburse the Group for the loss incurred. Ac-
cordingly, when the credit risk of the borrower significantly deteriorates a reimbursement asset is recognized equal to the life-
time expected credit losses and is presented as Other Assets in the Group’s Consolidated Balance Sheet. The corresponding
reimbursement gain is recognized as a reduction in the Provision for credit losses in the Group’s Consolidated Statement of
Income.
Purchased financial guarantees entered into to mitigate credit exposure from debt instruments allocated to HTC or HTC&S
business models may also be embedded in Collateralized Loan Obligations (CLO’s) issued by the Group. Such embedded
guarantees are not accounted for separately as a reimbursement asset and instead accounted as part of the CLO’s liability
held at amortized cost. The Group regularly revises its estimated contractual redemption payment (including the benefit of
such embedded guarantees) from the CLO when the credit risk of a borrower covered by the embedded financial guarantee
in the CLO significantly deteriorates. The revision is based on the life-time expected credit losses of the debt instrument (to
the extent covered by the CLO).
Purchased financial guarantees entered into to mitigate credit exposure from debt instruments included in the Other business
model are accounted for at fair value through profit or loss.
Leasing transactions
The Group enters into lease contracts, predominantly for land and buildings, as a lessee. Other categories are company cars
and technical/IT equipment.
The Group assesses at contract inception whether a contract is, or contains, a lease. That is, if the contract conveys the right
to control the use of an identified asset for a period of time in exchange for consideration.
The Group applies a single recognition and measurement approach for all leases with a term of more than 12 months, unless
the underlying asset is of low value. As a lessee, at the lease commencement date, the Group recognizes a right-of-use asset
representing its right to use the underlying leased asset and a lease liability representing its obligation to make lease payments.
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Notes to the consolidated financial statements
01 – Significant accounting policies and critical accounting estimates
The right-of-use asset is measured at cost, less any accumulated depreciation and impairment losses, and adjusted for any
re-measurement of lease liabilities. The cost of right-of-use assets includes the amount of lease liabilities, adjusted for any
lease payments made at or before the commencement date, plus any initial direct costs incurred and an estimate of costs to
dismantle and remove the underlying asset or to restore the site on which it is located, less any lease incentives received.
Right-of-use assets are depreciated on a straight-line basis over the lease term.
The lease liability is measured at the present value of lease payments to be made over the lease term. The lease payments
include fixed payments (including in substance fixed payments) less any lease incentives receivable and variable lease pay-
ments that depend on an index or a rate. Variable lease payments that do not depend on an index or a rate are recognized
as expenses in the period in which the event or condition that triggers the payment occurs.
In calculating the present value of lease payments, the Group uses its incremental borrowing rate at the lease commencement
date because the interest rate implicit in the lease is not readily determinable. After the commencement date, the amount of
lease liabilities is increased to reflect the accretion of interest and reduced for the lease payments made. In addition, the
carrying amount of lease liabilities is re-measured if there is a modification, a change in the lease term or a change in the
lease payments (e.g., changes to future payments resulting from a change in an index or rate used to determine such lease
payments).
Right-of-use assets are assessed for any indication of impairment at each quarterly reporting date. If such indication exists,
the recoverable amount, which is the fair value less costs of disposal, must be estimated and an impairment charge is recorded
to the extent the recoverable amount is less than its carrying amount. As right-of-use assets do not have independently gen-
erated cash flows to calculate its value in use, the Group considers any sublease income that could reasonably be earned.
After the recognition of impairment of an asset, the depreciation charge is adjusted in future periods to reflect the asset’s
revised carrying amount. If an impairment is later reversed, the depreciation charge is adjusted prospectively.
The Group presents right-of-use assets “Property and Equipment” and lease liabilities in “Other Liabilities”.
The Group applies the short-term lease recognition exemption to its short-term leases, i.e., those leases that have a lease
term of 12 months or less from the commencement date. It also applies the lease of low-value assets recognition exemption
to leases of technical/IT equipment that are considered to be low value. Lease payments on short-term leases and leases of
low value assets are recognized as expense on a straight-line basis over the lease term.
Employee benefits
Pension benefits
The Group provides a number of pension plans. In addition to defined contribution plans, there are retirement benefit plans
accounted for as defined benefit plans. The assets of all the Group’s defined contribution plans are held in independently
administered funds. Contributions are generally determined as a percentage of salary and are expensed based on employee
services rendered, generally in the year of contribution.
All retirement benefit plans accounted for as defined benefit plans are valued using the projected unit-credit method to deter-
mine the present value of the defined benefit obligation and the related service costs. Under this method, the determination is
based on actuarial calculations which include assumptions about demographics, salary increases and interest and inflation
rates. Actuarial gains and losses are recognized in Other Comprehensive Income and presented in equity in the period in
which they occur. The majority of the Group’s benefit plans is funded.
For the Group’s most significant pension plans in the key countries, the discount rate used at each measurement date is set
based on a high quality corporate bond yield curve – derived based on bond universe information sourced from reputable
third-party index data providers and rating agencies – reflecting the timing, amount and currency of the future expected benefit
payments for the respective plan.
Other post-employment benefits
In addition, the Group maintains unfunded contributory post-employment medical plans for a number of current and retired
employees who are mainly located in the United States. These plans pay stated percentages of eligible medical and dental
expenses of retirees after a stated deductible has been met. The Group funds these plans on a cash basis as benefits are
due. Analogous to retirement benefit plans these plans are valued using the projected unit-credit method. Actuarial gains and
losses are recognized in full in the period in which they occur in other comprehensive income and presented in equity.
Refer to Note 33 “Employee benefits” for further information on the accounting for pension benefits and other post-employment
benefits.
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Notes to the consolidated financial statements
01 – Significant accounting policies and critical accounting estimates
Termination benefits
Termination benefits arise when employment is terminated by the Group before the normal retirement date or whenever an
employee accepts voluntary redundancy in exchange for these benefits. The Group recognizes termination benefits as a
liability and an expense if the Group is demonstrably committed to a detailed formal plan without realistic possibility of with-
drawal. In the case of an offer made to encourage voluntary redundancy, termination benefits are measured based on the
number of employees expected to accept the offer. Benefits falling due more than twelve months after the end of the reporting
period are discounted to their present value. The discount rate is determined by reference to market yields on high-quality
corporate bonds.
Share-based compensation
Compensation expense for awards classified as equity instruments is measured at the grant date based on the fair value of
the share-based award. For share awards, the fair value is the quoted market price of the share reduced by the present value
of the expected dividends that will not be received by the employee and adjusted for the effect, if any, of restrictions beyond
the vesting date. In case an award is modified such that its fair value immediately after modification exceeds its fair value
immediately prior to modification, a remeasurement takes place and the resulting increase in fair value is recognized as addi-
tional compensation expense.
The Group records the offsetting amount to the recognized compensation expense in additional paid-in capital (“APIC”). Com-
pensation expense is recorded on a straight-line basis over the period in which employees perform services to which the
awards relate or over the period of the tranches for those awards delivered in tranches. Estimates of expected forfeitures are
periodically adjusted in the event of actual forfeitures or for changes in expectations. The timing of expense recognition relating
to grants which, due to early retirement provisions, include a nominal but non-substantive service period are accelerated by
shortening the amortization period of the expense from the grant date to the date when the employee meets the eligibility
criteria for the award, and not the vesting date. For awards that are delivered in tranches, each tranche is considered a
separate award and amortized separately.
Compensation expense for share-based awards payable in cash is remeasured to fair value at each balance sheet date and
recognized over the vesting period in which the related employee services are rendered. The related obligations are included
in Other Liabilities until paid.
Government Grants
The Group recognizes income from government grants when there is reasonable assurance that it will receive the grant and
will comply with the conditions attached to the grant. The Group presents income from government grants as a deduction of
the related expense.
The Group considers long-term debt that arises from the ECB’s Targeted Longer-Term Refinancing Operations III (“TLTRO
III”)-refinancing program as a borrowing at below-market rate interest. The effective interest rate for borrowings under the
TLTRO III refinancing program is determined based on the applicable ECB refinancing rates outside of TLTRO III. The Group
accounts for the benefit from the below-market rate interest as a government grant. The TLTRO III refinancing program is
intended to stimulate credit creation in the Eurozone area by incentivizing lending by participating banks to the “real economy”.
The size of the benefit depends on the amounts borrowed and on meeting the various lending performance thresholds. The
Group considers the ECB as a government or similar body for purposes of IAS 20. The Group recognizes the benefit from the
TLTRO III refinancing program in the period in which the grant is intended to compensate the Group for the related borrowing
costs if it has established reasonable assurance that it will meet the relevant lending thresholds.
For further information on the benefit recognized by the Group from the TLTRO III refinancing program see Note 5 “Net interest
income and net gains (losses) on financial assets/liabilities at fair value through profit or loss”.
Obligations to purchase common shares
Forward purchases of Deutsche Bank shares, and written put options where Deutsche Bank shares are the underlying, are
reported as obligations to purchase common shares if the number of shares is fixed and physical settlement for a fixed amount
of cash is required. At inception, the obligation is recorded at the present value of the settlement amount of the forward or
option. For forward purchases and written put options of Deutsche Bank shares, a corresponding charge is made to share-
holders’ equity and reported as equity classified as an obligation to purchase common shares.
The liabilities are accounted for on an accrual basis, and interest costs, which consist of time value of money and dividends,
on the liability are reported as interest expense. Upon settlement of such forward purchases and written put options, the liability
is extinguished and the charge to equity is reclassified to common shares in treasury.
261
Deutsche Bank
Annual Report 2020
Notes to the consolidated financial statements
01 – Significant accounting policies and critical accounting estimates
Deutsche Bank common shares subject to such forward contracts are not considered to be outstanding for purposes of basic
earnings per share calculations, but are considered for dilutive earnings per share calculations to the extent that they are, in
fact, dilutive.
Option and forward contracts on Deutsche Bank shares are classified as equity if the number of shares is fixed and physical
settlement is required. All other contracts in which Deutsche Bank shares are the underlying are recorded as financial assets
or liabilities at fair value through profit or loss.
Consolidated statement of cash flows
For purposes of the consolidated statement of cash flows, the Group’s cash and cash equivalents include highly liquid invest-
ments that are readily convertible into cash and which are subject to an insignificant risk of change in value. Such investments
include cash and balances at central banks and demand deposits with banks.
The Group’s assignment of cash flows to the operating, investing or financing category depends on the business model (“man-
agement approach”). For the Group the primary operating activity is to manage financial assets and financial liabilities. There-
fore, the issuance and management of long-term borrowings is a core operating activity which is different than for a non-
financial company, where borrowing is not a principal revenue producing activity and thus is part of the financing category.
The Group views the issuance of senior long-term debt as an operating activity. Senior long-term debt comprises structured
notes and asset-backed securities, which are designed and executed by the Corporate Bank and Investment Bank business
line segments and which are revenue generating activities. The other component is debt issued by Treasury, which is consid-
ered interchangeable with other funding sources; all of the funding costs are allocated to business activities to establish their
profitability.
Cash flows related to subordinated long-term debt and trust preferred securities are viewed differently than those related to
senior-long term debt because they are managed as an integral part of the Group’s capital, primarily to meet regulatory capital
requirements. As a result they are not interchangeable with other operating liabilities, but can only be interchanged with equity
and thus are considered part of the financing category.
The amounts shown in the consolidated statement of cash flows do not precisely match the movements in the consolidated
balance sheet from one period to the next as they exclude non-cash items such as movements due to foreign exchange
translation and movements due to changes in the group of consolidated companies.
Movements in balances carried at fair value through profit or loss represent all changes affecting the carrying value. This
includes the effects of market movements and cash inflows and outflows. The movements in balances carried at fair value are
usually presented in operating cash flows.
262
Deutsche Bank
Annual Report 2020
Notes to the consolidated financial statements
02 – Recently adopted and new accounting pronouncements
02 – Recently adopted and new accounting pronouncements
Recently adopted accounting pronouncements
The following are those accounting pronouncements which are relevant to the Group and which have been adopted during
2020 in the preparation of these consolidated financial statements.
IFRS 16 Leases
On June 1, 2020, the Group adopted amendments to IFRS 16 “Leases” that provide lessees with an exemption from assessing
whether a COVID-19-related rent concession is a lease modification. The adoption of the amendments did not have a material
impact on the Group’s consolidated financial statements.
IFRS 3 Business Combinations
On January 1, 2020, the Group adopted amendments to IFRS 3, “Business Combinations”. These amendments clarify the
determination of whether an acquisition made is of a business or a group of assets. The amended definition of a business
emphasizes that the output of a business is to provide goods and services to customers, whereas the previous definition
focused on returns in the form of dividends, lower costs or other economic benefits to investors and others. Distinguishing
between a business and a group of assets is important because an acquirer recognizes goodwill only when acquiring a busi-
ness. The adoption of the amendments did not have an impact on the Group’s consolidated financial statements.
In addition, the Group adopted on January 1, 2020 “Amendments to IAS 1 and IAS 8: Definition of Material” and “Amendments
to References to the Conceptual Framework in IFRS Standards”. The adoption of the amendments did not have an impact on
the Group's consolidated financial statements.
New accounting pronouncements
The following accounting pronouncements were not effective as of December 31, 2020 and therefore have not been applied
in preparing these consolidated financial statements.
IFRS 17 Insurance Contracts
In May 2017, the IASB issued IFRS 17, “Insurance Contracts”, which establishes the principles for the recognition, measure-
ment, presentation and disclosure of insurance contracts within the scope of the standard. IFRS 17 replaces IFRS 4 which
has given companies dispensation to carry on accounting for insurance contracts using national accounting standards, result-
ing in a multitude of different approaches. IFRS 17 solves the comparison problems created by IFRS 4 by requiring all insur-
ance contracts to be accounted for in a consistent manner, benefiting both investors and insurance companies. Insurance
obligations will be accounted for using current values – instead of historical cost. The information will be updated regularly,
providing more useful information to users of financial statements. IFRS 17 is effective for annual periods beginning on or after
January 1, 2023. Based on the Group’s current business activities it is expected that IFRS 17 will not have a material impact
on the Group’s consolidated financial statements. These amendments have yet to be endorsed by the EU.
In June 2020, the IASB issued amendments to IFRS 17 “Insurance Contracts” that address concerns and implementation
challenges that were identified after IFRS 17 was published in 2017. The amendments are effective for annual periods begin-
ning on or after January 1, 2023 with early adoption permitted. These amendments have yet to be endorsed by the EU.
IFRS 4 Insurance Contracts
The IASB has also issued an amendment to IFRS 4 “Insurance Contracts” which extends the temporary exemption to apply
IFRS 9 to annual periods beginning on or after 1 January 2023. The amendments will not have a material impact on the
Group’s consolidated financial statements.
IAS 37 Provisions, Contingent Liabilities and Contingent Assets
In May 2020, the IASB issued amendments to IAS 37, “Provisions, Contingent Liabilities and Contingent Assets” to clarify
what costs an entity considers in assessing whether a contract is onerous. The amendments specify that the ‘cost of fulfilling’
a contract comprises the ‘costs that relate directly to the contract’. Costs that relate directly to a contract can either be incre-
mental costs of fulfilling that contract or an allocation of other costs that relate directly to fulfilling contracts. The amendments
are effective for annual periods beginning on or after January 1, 2022 with early adoption permitted. The amendments will not
263
Deutsche Bank
Annual Report 2020
Notes to the consolidated financial statements
02 – Recently adopted and new accounting pronouncements
have a material impact on the Group’s consolidated financial statements. These amendments have yet to be endorsed by the
EU.
IAS 1 Presentation of Financial Statements
In January 2020, the IASB issued amendments to IAS 1 “Presentation of Financial Statements: Classification of Liabilities as
Current or Non-Current”. They clarify that the classification of liabilities as current or non-current should be based on rights
that are in existence at the end of the reporting period. The amendments also clarify that classification is unaffected by expec-
tations about whether an entity will exercise its right to defer settlement of a liability and make clear that settlement refers to
the transfer to the counterparty of cash, equity instruments, other assets or services. The amendments will be effective for
annual periods beginning on or after January 1, 2023 with early adoption permitted. The Group is currently assessing the
impact to its consolidated financial statements. These amendments have yet to be endorsed by the EU.
Improvements to IFRS 2018-2020 Cycles
In May 2020, the IASB issued amendments to multiple IFRS standards, which resulted from the IASB’s annual improvement
project for the 2018-2020 cycles. This comprises amendments that result in accounting changes for presentation, recognition
or measurement purposes as well as terminology or editorial amendments related to IFRS 1 “First-time Adoption of Interna-
tional Financial Reporting Standards”, IFRS 9 “Financial Instruments”, IFRS 16 “Leases” and IAS 41 “Agriculture”. The amend-
ments to IFRS 9 clarify which fees an entity includes when assessing whether to derecognize a financial liability. The amend-
ments will be effective for annual periods beginning on or after January 1, 2022 with early adoption permitted. The amend-
ments will not have a material impact on the Group’s consolidated financial statements. These amendments have yet to be
endorsed by the EU.
Interest Rate Benchmark Reform (Amendments to IFRS 9, IAS 39 and IFRS 7)
In August 2020, the IASB issued amendments to IFRS 9, “Financial Instruments”, IAS 39, “Financial Instruments: Recognition
and Measurement“, IFRS 7, “Financial Instruments: Disclosures”, IFRS 4, “Insurance Contracts” and IFRS 16, “Leases” as
Phase 2 of their project addressing the potential effects from the reform of the Interbank Offered Rate (“IBOR”) on financial
reporting. The amendments in Phase 2 deal with replacement issues, therefore, they address issues that might affect financial
reporting when an existing interest rate benchmark is actually replaced. This includes modification of financial assets, financial
liabilities and lease liabilities as well as specific hedge accounting requirements. The amendments introduce a practical expe-
dient for modifications required by the reform (modifications required as a direct consequence of the IBOR reform and made
on an economically equivalent basis). These modifications are accounted for by updating the effective interest rate. All other
modifications are accounted for using the current IFRS requirements. A similar practical expedient is introduced for lessee
accounting applying IFRS 16. Under the amendments, hedge accounting is not discontinued solely because of the IBOR
reform. Hedging relationships (and related documentation) must be amended to reflect modifications to the hedged item,
hedging instrument and hedged risk. Amended hedging relationships should meet all qualifying criteria to apply hedge ac-
counting, including effectiveness requirements. The amendments also amended IFRS 4 to require insurers that apply the
temporary exemption from IFRS 9 to apply the amendments in accounting for modifications directly required by IBOR reform.
The amendments also require additional disclosures that allow users to understand the nature and extent of risks arising from
the IBOR reform to which the entity is exposed to and how the entity manages those risks as well as the entity’s progress in
transitioning from IBORs to alternative benchmark rates, and how the entity is managing this transition. The amendments will
be effective for annual periods beginning on or after January 1, 2021 with early adoption permitted. Although the Group has
significant exposure to IBORs predominantly in financial instruments, the amendments will not have a material impact on
transition on the Group’s consolidated financial statements.
Recent Developments on Interest Rate Benchmark Reform
In recent years, transactions in the unsecured short-term financing market, which IBOR interest rate benchmarks seek to
measure, have significantly reduced. As a result, IBOR reform projects have been initiated under the leadership of the FSB
and central bank working groups, which aim to create alternative and robust benchmark interest rates or so-called risk-free
rates (“RFRs”).
Some reforms are already effective, e.g. on July 27, 2020 the discounting methodology of Euro denominated interest rate
derivatives centrally cleared through LCH, EUREX and CME changed from EONIA to €STR. This changed the fair value of
the derivatives with a compensating cash payment or receipt so there was no value transfer. The change in discounting to
€STR did not have a material impact to the Group’s consolidated income statement. A similar change for USD interest rate
discounted centrally cleared interest rate derivatives to change discounting from Federal Funds Rate to SOFR occurred on
October 19, 2020. The change in discounting to SOFR did not have a material impact to the Group’s consolidated income
statement.
264
Deutsche Bank
Annual Report 2020
Notes to the consolidated financial statements
02 – Recently adopted and new accounting pronouncements
Other reforms are still to be implemented or are under consideration. In 2019, EURIBOR was reformed to comply with the EU
financial benchmarks regulation and continues to be available. Effective October 2, 2019, the administrator of EONIA has
changed the way it calculates EONIA, so that it is now based on the “€STR” euro short-term rate”. EONIA will cease to exist
from January 3, 2022. In December 2020, the administrator of LIBOR consulted on its intention to cease publication of GBP,
CHF, JPY, EUR and certain USD settings after December 31, 2021, and additionally, to cease publication of the remaining
USD LIBOR settings after June 30, 2023.
Regulators have strongly urged market participants to transition to RFRs. As significant change effort is required across the
Group, specifically in relation to RFR product development, client legal documentation, upgrades and infrastructure changes
including to systems, processes and models, the Group has established a Group-wide IBOR & EU Benchmark Regulation
transition program in 2018, aimed at managing a smooth transition from LIBOR and other IBORs to the new RFRs. The
program is sponsored by the Chief Financial Officer and has senior representation from each division, region and infrastructure
functions. The program has been focused on identifying and quantifying exposures to various interest rate benchmarks, provid-
ing the capability to trade products referencing alternative RFRs and evaluating existing contracts that reference IBORs. Ef-
forts also include identifying potential accounting impacts and options to mitigate these impacts, for example, through impact
analysis on the reform and its effects on Financial Reporting. Progress updates are provided monthly to the Group’s IBOR
Transition Steering Committee and the CFO. The Group continues to work closely with regulators and industry bodies to
manage the impact. Oversight of the program to prepare for the transition has been a major focus along with activities across
all three lines of defense to minimize risk and disruption to customers.
The Group has significant exposure to IBORs predominantly in financial instruments and many of these contracts mature after
2021. The Group’s exposures from derivatives results from transactions that are entered into in order to make markets for its
clients and hedge its risks as well as from loans and deposits, bonds and securitizations. The Group’s core planning for LIBOR
transition has been a base case scenario of LIBOR cessation by end of 2021 with sufficient market adoption of RFRs to
provide a viable replacement. There are a number of dependencies within this scenario that are outside of the Group’s control,
creating significant uncertainty. Recently the cessation date for certain US LIBOR tenors was extended to be the end of June
2023 and so the Group’s plans have been updated accordingly.
As part of the program, the Group has undertaken a comprehensive risk assessment which is refreshed regularly and has
identified key inherent risks and mitigating actions. Key risks include business strategic risk, legal and compliance risk, liquidity
risk, market risk, credit risk, operational risk, transition risk, model risk, accounting, financial reporting and tax risk, information
security and technology transformation risk.
The Group continues to implement plans, aiming to mitigate the risks associated with the expected discontinuation of IBOR-
referenced benchmark interest rates, including LIBOR. In this regards, the Group:
- has reviewed, or is in the process of reviewing, the fallback language for LIBOR-linked instruments including the develop-
ment of a new framework introduced to quantify the potential impact of positions difficult to transition, referred to as “tough
legacy”;
- has active cross functional and advocacy channels to ensure continued appropriate offering of RFR linked products to
clients and gauge their adoption appetite in RFR related products. A Conduct Risk Advisory forum was initiated in the
beginning of 2020, aiming to discuss and review all conduct risks types (including new risks and current plan) relevant for
the IBOR transition;
- continues to engage with regulators, standard setters and industry groups in relation to the additional items for which relief
is being considered;
- has been engaged in the discussions with the IASB in relation to its project IBOR Reform and its effects on financial
reporting—Phase 2 which the Group will adopt on January 1, 2021.
The Group continues to develop infrastructure improvements and assess potential transition risk impacts alongside relevant
stress scenarios. Where possible, the Group is proactively using the most effective fallback language available when conduct-
ing new transactions.
265
Deutsche Bank
Annual Report 2020
Notes to the consolidated financial statements
04 – Business segments and related information
03 – Acquisitions and dispositions
Business combinations
During the years 2020, 2019 and 2018, the Group did not undertake any acquisitions accounted for as business combinations.
Dispositions
During 2020, 2019 and 2018, the Group finalized several dispositions of subsidiaries/businesses. These disposals are mainly
comprised of businesses the Group had previously classified as held for sale. Accordingly, dispositions in 2020 included the
sale of Postbank Systems AG. Disposals in 2019 mainly included the sale of the Private & Commercial Clients business in
Portugal, while dispositions in 2018 included the partial sale of the Polish Private & Commercial Bank business. For more
detail on these transactions, please refer to Note 24 “Non-Current Assets and Disposal Groups Held for Sale”. The total
consideration received for these dispositions (thereof in cash) in 2020, 2019 and 2018 was € 7 million (cash € 7 million),
€ 1.8 billion (cash € 1.8 billion) and € 398 million (cash € 270 million), respectively. The table below shows the assets and
liabilities that were included in these disposals.
in € m.
Cash and cash equivalents
All remaining assets
Total assets disposed
Total liabilities disposed
2020
2
7
9
79
2019
0
2,713
2,714
1,003
2018
50
4,619
4,669
6,035
04 – Business segments and related information
The Group’s segmental information has been prepared in accordance with the “management approach”, which requires
presentation of the segments on the basis of the internal management reports of the entity which are regularly reviewed by
the chief operating decision maker, which is the Deutsche Bank Management Board, in order to allocate resources to a seg-
ment and to assess its financial performance.
Business segments
The Group’s segment reporting follows the organizational structure as reflected in its internal management reporting systems,
which are the basis for assessing the financial performance of the business segments and for allocating resources to the
business segments. Restatements due to changes in the organizational structure were implemented in the presentation of
prior period comparisons.
Our business operations are organized under the divisional structure comprising the following corporate divisions:-
– Corporate Bank (CB)
– Investment Bank (IB)
– Private Bank (PB)
– Asset Management (AM)
– Capital Release Unit (CRU)
– Corporate & Other (C&O)
The segmental information for the corporate divisions CB, IB, AM, CRU and C&O remained unchanged in its scope. Within
PB, Wealth Management (WM) and Private & Commercial Business International (PCBI) has been combined into one unit
called the International Private Bank (IPB) from the third quarter 2020 reporting onwards. The segmental information for the
corporate divisions are outlined below.
The Corporate Bank is comprised of Global Transaction Banking as well Commercial Banking. The division covers global
corporate clients and commercial and business banking clients in Germany.
The Investment Bank (IB) combines Deutsche Bank’s Fixed Income, Currency (FIC) Sales & Trading and, Origination & Ad-
visory, as well as Deutsche Bank Research.
266
Deutsche Bank
Annual Report 2020
Notes to the consolidated financial statements
04 – Business segments and related information
The Private Bank comprises of Private Bank Germany and International Private Bank. Private Bank Germany remains un-
changed in its scope. The International Private Bank brings together WM’s globally connected clients across Germany, Eu-
rope, the Americas, Asia and the Middle East and Africa, along with PCBI’s private clients and small and medium-sized en-
terprises in Italy, Spain, Belgium and India. IPB revenues are further categorized into the client segments “IPB Personal
Banking” and “IPB Private Banking and Wealth Management”. The “IPB Personal Banking” client segment covers the retail
and affluent customers as well as small businesses. The client segment “Private Banking and Wealth Management” combines
our coverage of high-net-worth and ultra-high-net-worth clients, as well as private banking clients and small and medium-sized
corporate clients, providing an integrated servicing model for wealth management, private and business banking. Prior period
data has been restated.
Asset Management operates under the DWS brand. Asset Management provides investment solutions to individual investors
and institutions with a diversified range of Active, Passive and Alternative Asset Management products and services.
Capital Release Unit (CRU) includes the remaining assets transferred in from our Equities Sales & Trading business, lower
yielding fixed income positions, particularly in Rates, our former CIB Non-Strategic portfolio as well as a legacy loan portfolio
from the former Private & Commercial Bank in Poland. BNP Paribas and Deutsche Bank have signed a master transaction
agreement to provide continuity of service to Deutsche Bank’s Prime Finance and Electronic Equities clients. Under the agree-
ment Deutsche Bank will continue to operate the platform until clients can be migrated to BNP Paribas.
Corporate & Other includes revenues, costs and resources held centrally that are not allocated to the individual business
segments as well as valuation and timing differences from different accounting methods used for management reporting and
IFRS.
Measurement of segment profit or loss
Segment reporting requires a presentation of the segment results based on management reporting methods, including a
reconciliation between the results of the business segments and the consolidated financial statements, which is presented in
the “Segmental Results of Operations” within this note. The information provided about each segment is based on internal
management reporting about segment profit or loss, assets and other information which is regularly reviewed by the chief
operating decision maker. Segment assets are presented in the Group’s internal management reporting based on a consoli-
dated view, i.e., the amounts do not include intersegment balances. The Group`s internal management reporting does not
consider segment liabilities or interest expense separately. Similarly, depreciation and amortization, tax expenses and other
comprehensive income are not presented separately internally and are therefore not disclosed here
Non-IFRS compliant accounting methods used in the Group’s management reporting represent either valuation or classifica-
tion differences. The largest valuation differences relate to measurement at fair value in management reporting versus meas-
urement at amortized cost under IFRS and to the recognition of trading results from own shares in revenues in management
reporting (in IB) and in equity under IFRS. The major classification difference relates to noncontrolling interest, which repre-
sents the net share of minority shareholders in revenues, provision for credit losses, noninterest expenses and income tax
expenses. Noncontrolling interest is reported as a component of the profit before tax of the businesses in management re-
porting (with a reversal in C&O) and a component of net income appropriation under IFRS.
Since the Group’s business activities are diverse in nature and its operations are integrated, certain estimates and judgments
have been made to apportion revenue and expense items among the business segments.
The management reporting systems allocate the Group’s external net interest income according to the value of funding con-
sumed or provided by each business segment’s activities, in accordance with our internal funds transfer pricing (“FTP”) frame-
work. Furthermore, to retain comparability with those competitors that have legally independent units with their own equity
funding, the Group allocates a net notional interest benefit on its consolidated capital, in line with each segment’s proportion
of average shareholders’ equity.
Management uses certain measures for equity and related ratios as part of its internal reporting system because it believes
that these measures provide it with a useful indication of the financial performance of the business segments. The Group
discloses such measures to provide investors and analysts with further insight into how management operates the Group’s
businesses and to enable them to better understand the Group’s results. These measures includes allocation of average
shareholder’s equity.
Funds Transfer Pricing
In the third quarter of 2019, the FTP framework was changed in order to enhance its effectiveness as a management tool, as
well as to better support funding cost optimization. The new FTP framework aims to more accurately allocate funding costs
and benefits to the firm’s business divisions in a risk-adjusted and uniform manner across the Group. The methodology
267
Deutsche Bank
Annual Report 2020
Notes to the consolidated financial statements
04 – Business segments and related information
changes do not impact overall group funding costs, however, the framework results in a re-allocation of costs and benefits
between segments. This re-allocation resulted in a benefit to the trading businesses, partially offset by a reduction in funding
benefits to the Private Bank (PB) and Corporate Bank (CB) versus the prior methodology. As part of the introduction of the
new framework, a decision was made to hold certain transitional costs in Corporate & Others (C&O), which will reduce over
time, reflecting the long dated nature of our liabilities.
The impact of the new FTP framework for the first half of 2019 would have been a positive impact on the results of IB and
CRU of approximately € 140 million and € 30 million, respectively, while the results of CB, PB and C&O would have been
lower by approximately € 20 million, € 30 million and € 120 million, respectively.
The impact of the new FTP framework for the full year 2018 would have been a positive impact on the results of IB and CRU
of approximately € 200 million and € 40 million, respectively, while the results of CB, PB and C&O would have been lower by
approximately € 60 million, € 60 million and € 120 million, respectively.
Allocation of Average Shareholder’s Equity
Shareholders’ equity is fully allocated to the Group’s segments based on the regulatory capital demand of each segment.
Regulatory capital demand reflects the combined contribution of each segment to the Groups’ Common Equity Tier 1 ratio,
the Groups’ Leverage ratio and the Group’s Capital Loss under Stress. Contributions in each of the three dimensions are
weighted to reflect their relative importance and level of constraint for the Group. Contributions to the Common Equity Tier 1
ratio and the Leverage ratio are measured through Risk Weighted Assets (RWA) and Leverage Ratio Exposure. The Group’s
Capital Loss under Stress is a measure of the Group’s overall economic risk exposure under a defined stress scenario. Good-
will and other intangible assets are directly attributed to the Group’s segments in order to allow the determination of allocated
tangible shareholders’ equity and the respective returns. Shareholders’ equity and tangible shareholders’ equity is allocated
on a monthly basis and averaged across quarters and for the full year.
U.S. Tax Exempt Securities
Net interest income as a component of net revenues, profit (loss) before tax and related ratios are presented on a fully taxable-
equivalent basis for US tax-exempt securities for the Investment Bank. This enables management to measure performance
of taxable and tax-exempt securities on a comparable basis. This presentation resulted in an increase in Investment Bank net
interest income of € 45 million for full year 2020, € 35 million for full year 2019 and € 42 million for full year 2018. This increase
is offset in Group consolidated figures through a reversal in C&O. The tax rate used in determining the fully taxable-equivalent
of net interest income in respect of the majority of the US tax-exempt securities is 21 % for 2020, 2019 and 2018.
Infrastructure Full-time Employees realignment
During 2020 Infrastructure functions that were embedded within the operating business segments were realigned to the busi-
ness segment C&O. Accordingly, approximately 11,600 full-time equivalent employees (FTEs) moved from the Investment
Bank, Private Bank and Capital Release Unit to the business segment C&O. This change did not result in a material financial
impact at a segment level, as costs are allocated from C&O to the operating business segments that are using the service of
the respective infrastructure functions, in accordance with the plan. Comparative segmental financial information has been
restated accordingly.
Segmental results of operations
The following tables present the results of the Group’s business segments, including the reconciliation to the consolidated
results of operations under IFRS.
268
Deutsche Bank
Annual Report 2020
Notes to the consolidated financial statements
04 – Business segments and related information
in € m.
(unless stated otherwise)
Net revenues1
Provision for credit losses
Noninterest expenses
Compensation and benefits
General and administrative expenses
Impairment of goodwill and other intangible
assets
Restructuring activities
Total noninterest expenses
Noncontrolling interests
Profit (loss) before tax
Cost/income ratio
Assets2
Additions to non-current assets
Risk-weighted assets
Leverage exposure (fully loaded)3
Average allocated shareholders' equity
Post-tax return on average shareholders’
equity4
Post-tax return on average tangible share-
holders’ equity4
1 includes:
Net interest income
Net income (loss) from equity method
investments
2 includes:
Equity method investments
Corporate
Bank
5,145
366
Investment
Bank
9,283
688
1,064
3,126
0
28
4,218
0
561
82 %
1,906
3,493
0
14
5,413
11
3,171
58 %
Private
Bank
8,126
711
2,884
4,242
0
413
7,539
0
(124)
93 %
237,497
10
57,288
273,795
9,904
573,673
4
128,487
476,261
22,943
296,637
485
77,074
307,746
11,521
Asset
Manage-
ment
2,229
2
740
764
0
22
1,527
157
544
68 %
9,453
32
9,997
4,695
4,760
2020
Capital
Release Unit
(225)
29
Corporate &
Other
(530)
(3)
Total
Consolidated
24,028
1,792
168
1,774
0
5
1,947
(0)
(2,201)
N/M
197,667
0
34,415
71,726
6,205
3,709
(3,140)
10,471
10,259
0
3
572
(169)
(930)
N/M
10,333
2,891
21,690
29,243
0
0
485
21,216
0
1,021
88 %
1,325,259
3,423
328,951
1,078,268
55,332
3 %
9 %
(1) %
8 %
(26) %
N/M
4 %
10 %
(2) %
21 %
(27) %
N/M
0 %
0 %
2,882
3,325
4,475
3
69
22
399
23
60
1
63
304
61
9
67
781
11,526
1
4
120
901
N/M – Not meaningful
3 The Group leverage exposure is presented excluding certain Euro-based exposures facing Eurosystem central banks based on the ECB-decision (EU) 2020/1306 and after
having obtained permission from the ECB. The segmental leverage exposures are presented without that deduction.
4 The post-tax return on average tangible shareholders’ equity and average shareholders’ equity at the Group level reflects the reported effective tax rate for the Group, which
was 39 % for the year ended December 31, 2020. For the post-tax return on average tangible shareholders’ equity and average shareholders’ equity of the segments, the
Group effective tax rate was adjusted to exclude the impact of permanent differences not attributed to the segments, so that the segment tax rates were 28 % for the year
ended December 31, 2020. For further information, please refer to “Supplementary Information (Unaudited): Non-GAAP Financial Measures” of this annual report.
in € m.
(unless stated otherwise)
Net revenues1
Provision for credit losses
Noninterest expenses
Compensation and benefits
General and administrative expenses
Impairment of goodwill and other intangible
assets
Restructuring activities
Total noninterest expenses
Noncontrolling interests
Profit (loss) before tax
Cost/income ratio
Assets2
Additions to non-current assets
Risk-weighted assets
Leverage exposure (fully loaded)
Average allocated shareholders' equity
Post-tax return on average shareholders’
equity3
Post-tax return on average tangible share-
holders’ equity3
1 includes:
Net interest income
Net income (loss) from equity method
investments
2 includes:
Equity method investments
Corporate
Bank
5,244
284
Investment
Bank
7,019
109
1,073
3,165
492
137
4,867
0
92
93 %
1,983
4,237
0
169
6,389
20
502
91 %
Private
Bank
8,206
344
2,990
4,481
545
126
8,142
(0)
(279)
99 %
228,663
9
58,808
270,647
10,464
501,774
1
116,552
432,254
23,052
270,334
215
74,032
282,575
11,729
2019
Asset
Manage-
ment
2,332
1
Capital
Release Unit
217
(14)
Corporate &
Other
147
0
Total
Consolidated
23,165
723
832
851
359
2,898
3,906
(3,380)
11,142
12,253
0
29
1,711
152
468
73 %
9,936
27
9,527
4,643
4,821
0
143
3,400
1
(3,170)
N/M
259,224
0
45,874
126,905
10,105
0
40
566
(173)
(247)
N/M
27,743
1,069
19,223
51,016
0
1,037
644
25,076
0
(2,634)
108 %
1,297,674
1,322
324,015
1,168,040
60,170
0 %
1 %
(2) %
7 %
(23) %
N/M
(10) %
0 %
1 %
(3) %
18 %
(24) %
N/M
(11) %
2,633
2,707
4,804
(39)
3
66
32
412
14
82
49
276
85
12
90
3,559
13,749
1
4
110
929
N/M – Not meaningful
Prior year segmental information presented in the current structure
3 The post-tax return on average tangible shareholders’ equity and average shareholders’ equity at the Group level reflects the reported effective tax rate for the Group, which
was (100) % for the year ended December 31, 2019. For the post-tax return on average tangible shareholders’ equity and average shareholders’ equity of the segments, the
269
Deutsche Bank
Annual Report 2020
Notes to the consolidated financial statements
04 – Business segments and related information
Group effective tax rate was adjusted to exclude the impact of permanent differences not attributed to the segments, so that the segment tax rates were 28 % for the year
ended December 31, 2019. For further information, please refer to “Supplementary Information (Unaudited): Non-GAAP Financial Measures” of this annual report.
in € m.
(unless stated otherwise)
Net revenues1
Provision for credit losses
Noninterest expenses
Compensation and benefits
General and administrative expenses
Impairment of goodwill and other intangible
assets
Restructuring activities
Total noninterest expenses
Noncontrolling interests
Profit (loss) before tax
Cost/income ratio
Assets2
Additions to non-current assets
Risk-weighted assets3
Leverage exposure (fully loaded)
Average allocated shareholders' equity
Post-tax return on average shareholders’
equity4
Post-tax return on average tangible share-
holders’ equity4
1 includes:
Net interest income
Net income (loss) from equity method
investments
2 includes:
Equity method investments
Corporate
Bank
5,278
142
Investment
Bank
7,561
70
1,063
2,787
0
32
3,882
0
1,254
74 %
2,175
4,134
0
199
6,509
24
958
86 %
Private
Bank
8,520
349
3,059
4,448
0
49
7,556
(0)
616
89 %
216,163
13
60,305
257,921
10,927
458,464
2
122,662
413,631
22,629
270,150
303
67,180
287,760
12,397
2018
Asset
Manage-
ment
2,187
Capital
Release Unit
1,911
(1)
(36)
Corporate &
Other
(142)
1
Total
Consolidated
25,316
525
787
929
547
2,742
4,183
(3,754)
11,814
11,286
0
19
1,735
85
368
79 %
10,030
43
10,365
5,044
4,837
0
62
3,351
1
(1,404)
N/M
370,090
1
72,133
280,638
11,704
0
(1)
428
(109)
(461)
N/M
23,240
1,286
17,789
27,933
115
0
360
23,461
0
1,330
93 %
1,348,137
1,647
350,432
1,272,926
62,610
8 %
2 %
3 %
5 %
(9) %
N/M
(0) %
9 %
3 %
4 %
14 %
(9) %
N/M
(0) %
2,419
2,209
4,905
(51)
416
3,417
13,316
3
63
157
406
2
78
41
240
10
87
6
5
219
879
N/M – Not meaningful
Prior year segmental information presented in the current structure
3 Risk-weighted assets are based upon CRR/CRD 4 fully loaded.
4 The post-tax return on average tangible shareholders’ equity and average shareholders’ equity at the Group level reflects the reported effective tax rate for the Group, which
was 74 % for the year ended December 31, 2018. For the post-tax return on average tangible shareholders’ equity and average shareholders’ equity of the segments, the
Group effective tax rate was adjusted to exclude the impact of permanent differences not attributed to the segments, so that the segment tax rates were 28 % for the year
ended December 31, 2018. For further information, please refer to “Supplementary Information (Unaudited): Non-GAAP Financial Measures” of this annual report.
Corporate Bank
in € m.
(unless stated otherwise)
Net revenues
Global Transaction Banking
Commercial Banking
Total net revenues
Provision for credit losses
Noninterest expenses
Compensation and benefits
General and administrative expenses
Impairment of goodwill and other intangible assets
Restructuring activities
Total noninterest expenses
Noncontrolling interests
Profit (loss) before tax
Total assets (in € bn)1
Loans (gross of allowance for loan losses, in € bn)
Employees (full-time equivalent)
2020 increase (decrease)
from 2019
2019 increase (decrease)
from 2018
2020
2019
2018
in € m.
in %
in € m.
in %
3,698
1,447
5,145
366
1,064
3,126
0
28
4,218
0
561
237
114
7,368
3,810
1,433
5,244
284
1,073
3,165
492
137
4,867
0
92
229
119
7,712
3,908
1,370
5,278
142
1,063
2,787
0
32
3,882
0
1,254
216
114
7,653
(112)
14
(98)
82
(9)
(40)
(492)
(108)
(649)
0
469
9
(5)
(345)
(3)
1
(2)
29
(1)
(1)
N/M
(79)
(13)
N/M
N/M
4
(4)
(4)
(98)
63
(34)
142
10
378
492
105
986
0
(1,162)
13
5
60
(3)
5
(1)
100
1
14
N/M
N/M
25
N/M
(93)
6
5
1
N/M – Not meaningful
Prior year segmental information presented in the current structure
1 Segment assets represent consolidated view, i.e., the amounts do not include intersegment balances.
270
Deutsche Bank
Annual Report 2020
Notes to the consolidated financial statements
04 – Business segments and related information
Investment Bank
in € m.
(unless stated otherwise)
Net revenues
Fixed Income, Currency (FIC) Sales & Trading
Debt Origination
Equity Origination
Advisory
Origination & Advisory
Other
Total net revenues
Provision for credit losses
Noninterest expenses
Compensation and benefits
General and administrative expenses
Impairment of goodwill and other intangible assets
Restructuring activities
Total noninterest expenses
Noncontrolling interests
Profit (loss) before tax
Total assets (in € bn)1
Loans (gross of allowance for loan losses, in € bn)
Employees (full-time equivalent)
2020 increase (decrease)
from 2019
2019 increase (decrease)
from 2018
2020
2019
2018
in € m.
in %
in € m.
in %
7,088
1,542
379
277
2,198
(3)
9,283
688
1,906
3,493
0
14
5,413
11
3,171
574
69
4,258
5,525
1,119
149
370
1,638
(144)
7,019
109
1,983
4,237
0
169
6,389
20
502
502
75
4,351
5,644
1,146
197
458
1,801
117
7,561
70
2,175
4,134
0
199
6,509
24
958
458
65
4,623
1,563
423
231
(93)
560
142
2,265
579
(76)
(744)
0
(155)
(975)
(8)
2,669
72
(6)
(93)
28
38
155
(25)
34
(98)
32
N/M
(4)
(18)
N/M
(92)
(15)
(41)
N/M
14
(8)
(2)
(119)
(27)
(48)
(88)
(163)
(261)
(542)
38
(192)
103
0
(30)
(121)
(4)
(456)
43
10
(273)
(2)
(2)
(24)
(19)
(9)
N/M
(7)
54
(9)
2
N/M
(15)
(2)
(18)
(48)
9
16
(6)
N/M – Not meaningful
Prior year segmental information presented in the current structure
1 Segment assets represent consolidated view, i.e., the amounts do not include intersegment balances.
Private Bank
in € m.
(unless stated otherwise)
Net revenues:
Private Bank Germany
International Private Bank
IPB Personal Banking1
IPB Private Banking2 and Wealth Management
Total net revenues
Of which:
Net interest income
Commissions and fee income
Remaining income
Provision for credit losses
Noninterest expenses:
Compensation and benefits
General and administrative expenses
Impairment of goodwill and other intangible assets
Restructuring activities
Total noninterest expenses
Noncontrolling interests
Profit (loss) before tax
Total assets (in € bn)3
Loans (gross of allowance for loan losses, in € bn)
Assets under Management (in € bn)4
Net flows (in € bn)
Employees (full-time equivalent)
2020 increase (decrease)
from 2019
2019 increase (decrease)
from 2018
2020
2019
2018
in € m.
in %
in € m.
in %
4,992
3,134
830
2,304
8,126
4,475
3,048
603
711
2,884
4,242
0
413
7,539
0
(124)
297
237
493
16
29,945
5,070
3,137
869
2,267
8,206
4,804
2,865
537
344
2,990
4,481
545
126
8,142
(0)
(279)
270
227
482
4
31,599
5,320
3,200
888
2,312
8,520
4,905
2,788
827
349
3,059
4,448
0
49
7,556
(0)
616
270
216
446
(2)
32,437
(78)
(3)
(39)
37
(80)
(329)
183
66
367
(106)
(240)
(545)
287
(603)
1
155
26
10
11
12
(1,654)
(2)
(0)
(5)
2
(1)
(7)
6
12
107
(4)
(5)
N/M
N/M
(7)
N/M
(56)
10
5
2
N/M
(5)
(251)
(64)
(19)
(44)
(314)
(101)
77
(290)
(5)
(69)
34
545
76
586
(0)
(895)
0
11
36
7
(838)
(5)
(2)
(2)
(2)
(4)
(2)
3
(35)
(2)
(2)
1
N/M
155
8
N/M
N/M
0
5
8
N/M
(3)
N/M – Not meaningful
Prior year segmental information presented in the current structure
1 Including small businesses in Italy, Spain and India.
2 Including small & mid caps in Italy, Spain and India.
3 Segment assets represent consolidated view, i.e., the amounts do not include intersegment balances.
4 We define assets under management as (a) assets we hold on behalf of customers for investment purposes and/or (b) client assets that are managed by us. We manage
assets under management on a discretionary or advisory basis, or these assets are deposited with us. Deposits are considered assets under management if they serve in-
vestment purposes. In the Private Bank Germany, IPB Personal Banking and IPB Private Banking, this includes time deposits and savings deposits. In IPB Wealth Manage-
ment, it is assumed that all customer deposits are held with us primarily for investment purposes.
271
Deutsche Bank
Annual Report 2020
Notes to the consolidated financial statements
04 – Business segments and related information
Asset Management
in € m.
(unless stated otherwise)
Net revenues
Management Fees
Performance and transaction fees
Other
Total net revenues
Provision for credit losses
Noninterest expenses
Compensation and benefits
General and administrative expenses
Impairment of goodwill and other intangible assets
Restructuring activities
Total noninterest expenses
Noncontrolling interests
Profit (loss) before tax
Total assets (in € bn)1
Assets under Management (in € bn)
Net flows (in € bn)
Employees (full-time equivalent)
2020 increase (decrease)
from 2019
2019 increase (decrease)
from 2018
2020
2019
2018
in € m.
in %
in € m.
in %
2,136
90
3
2,229
2
740
764
0
22
1,527
157
544
9
793
30
3,926
2,141
201
(10)
2,332
1
832
851
0
29
1,711
152
468
10
768
25
3,925
2,115
91
(19)
2,187
(1)
787
929
0
19
1,735
85
368
10
664
(23)
4,022
(5)
(111)
13
(103)
1
(92)
(87)
0
(6)
(185)
5
76
(0)
25
5
1
(0)
(55)
N/M
(4)
59
(11)
(10)
N/M
(22)
(11)
4
16
(5)
3
N/M
0
26
111
9
146
2
45
(78)
0
10
(23)
68
99
(0)
103
48
(97)
1
122
(48)
7
N/M
6
(8)
N/M
51
(1)
80
27
(1)
16
N/M
(2)
N/M – Not meaningful
Prior year segmental information presented in the current structure
1 Segment assets represent consolidated view, i.e., the amounts do not include intersegment balances.
Capital Release Unit
in € m.
(unless stated otherwise)
Net revenues
Provision for credit losses
Noninterest expenses
Compensation and benefits
General and administrative expenses
Impairment of goodwill and other intangible assets
Restructuring activities
Total noninterest expenses
Noncontrolling interests
Profit (loss) before tax
Total assets (in € bn)1
Employees (full-time equivalent)
2020 increase (decrease)
from 2019
2019 increase (decrease)
from 2018
2020
(225)
29
2019
217
(14)
2018
1,911
(36)
in € m.
(442)
43
in %
N/M
N/M
in € m.
(1,694)
22
168
1,774
0
5
1,947
(0)
(2,201)
198
482
359
2,898
0
143
3,400
1
(3,170)
259
621
547
2,742
0
62
3,351
1
(1,404)
370
1,540
(191)
(1,124)
0
(139)
(1,453)
(1)
970
(62)
(139)
(53)
(39)
N/M
(97)
(43)
N/M
(31)
(24)
(22)
(188)
156
0
81
49
1
(1,766)
(111)
(919)
in %
(89)
(61)
(34)
6
N/M
131
1
136
126
(30)
(60)
N/M – Not meaningful
Prior year segmental information presented in the current structure
1 Segment assets represent consolidated view, i.e., the amounts do not include intersegment balances.
Corporate & Other (C&O)
2020 increase (decrease)
from 2019
2019 increase (decrease)
from 2018
in € m.
(unless stated otherwise)
Net revenues
Provision for credit losses
Noninterest expenses
Compensation and benefits
General and administrative expenses
Impairment of goodwill and other intangible assets
Restructuring activities
Total noninterest expenses
Noncontrolling interests
Profit (loss) before tax
Employees (full-time equivalent)
N/M – Not meaningful
Prior year segmental information presented in the current structure
2020
(530)
(3)
2019
147
0
2018
(142)
1
in € m.
(678)
(4)
in %
N/M
N/M
in € m.
289
(0)
3,709
(3,140)
0
3
572
(169)
(930)
38,680
3,906
(3,380)
0
40
566
(173)
(247)
39,389
4,183
(3,754)
0
(1)
428
(109)
(461)
41,463
(197)
240
0
(38)
6
3
(684)
(709)
(5)
(7)
N/M
(93)
1
(2)
N/M
(2)
(277)
374
0
41
138
(64)
215
(2,074)
in %
N/M
(84)
(7)
(10)
N/M
N/M
32
58
(47)
(5)
272
Deutsche Bank
Annual Report 2020
Notes to the consolidated financial statements
04 – Business segments and related information
Entity-wide disclosures
The Group’s Entity-Wide Disclosures include net revenues from internal and external counterparties. Excluding revenues from
internal counterparties would require disproportionate IT investment and is not in line with the Bank's management approach.
For detail of our net revenue components please see “Management Report: Operating and Financial Review: Results of Op-
erations: Corporate Divisions”.
The following table presents total net revenues (before provisions for credit losses) by geographic area for the years ended
December 31, 2020, 2019 and 2018, respectively. The information presented for CB, IB, PB, AM and CRU has been classified
based primarily on the location of the Group’s office in which the revenues are recorded. The information for C&O is presented
on a global level only, as management responsibility for C&O is held centrally.
in €
Germany:
Corporate Bank
Investment Bank
Private Bank
Asset Management
Capital Release Unit
Total Germany
UK:
Corporate Bank
Investment Bank
Private Bank
Asset Management
Capital Release Unit
Total UK
Rest of Europe, Middle East and Africa:
Corporate Bank
Investment Bank
Private Bank
Asset Management
Capital Release Unit
Total Rest of Europe, Middle East and Africa
Americas (primarily United States):
Corporate Bank
Investment Bank
Private Bank
Asset Management
Capital Release Unit
Total Americas
Asia/Pacific:
Corporate Bank
Investment Bank
Private Bank
Asset Management
Capital Release Unit
2020
2019
2018
2,532
431
5,460
992
23
9,439
110
3,552
31
292
(383)
3,602
934
358
1,680
344
35
3,352
772
3,281
362
465
50
4,930
2,441
365
5,541
1,054
80
9,481
207
2,244
29
345
(181)
2,645
846
292
1,669
380
99
3,286
952
2,697
374
437
88
4,548
2,366
419
5,903
985
85
9,758
241
2,621
26
295
485
3,667
832
250
1,704
379
243
3,408
1,023
2,958
361
413
712
5,467
796
1,660
594
136
49
3,236
(530)
24,028
797
1,420
593
116
130
3,057
147
23,165
816
1,313
527
114
387
3,157
(142)
25,316
Total Asia/Pacific
Corporate and Other
Consolidated net revenues1
1 Consolidated net revenues comprise interest and similar income, interest expenses and total noninterest income (including net commission and fee income). Revenues are
attributed to countries based on the location in which the Group’s booking office is located. The location of a transaction on the Group’s books is sometimes different from the
location of the headquarters or other offices of a customer and different from the location of the Group’s personnel who entered into or facilitated the transaction. Where the
Group records a transaction involving its staff and customers and other third parties in different locations frequently depends on other considerations, such as the nature of the
transaction, regulatory considerations and transaction processing considerations.
273
Deutsche Bank
Annual Report 2020
Notes to the consolidated income statement
05 – Net interest income and net gains (losses) on financial assets/liabilities at fair value through profit
or loss
Notes to the consolidated income statement
05 – Net interest income and net gains (losses) on financial as-
sets/liabilities at fair value through profit or loss
Net interest income
in € m.
Interest and similar income:1
Interest income on cash and central bank balances
Interest income on interbank balances (w/o central banks)
Central bank funds sold and securities purchased under resale agreements
Loans
Other
Total Interest and similar income from assets measured at amortized cost
Interest income on financial assets at fair value through other comprehensive income
Total interest and similar income calculated using the effective interest method
Financial assets at fair value through profit or loss
Total interest and similar income
Interest expense:1,2
Interest-bearing deposits
Central bank funds purchased and securities sold under repurchase agreements
Other short-term borrowings
Long-term debt
Trust preferred securities
Other
Total interest expense measured at amortized cost
Financial liabilities at fair value through profit or loss
Total interest expense
Net interest income
2020
2019
2018
321
325
318
11,439
913
13,315
635
13,950
3,856
17,806
1,941
169
62
1,612
42
807
4,633
1,648
6,280
11,526
1,762
293
340
13,760
844
16,999
1,023
18,022
7,186
25,208
3,643
367
163
2,002
187
1,667
8,030
3,429
11,458
13,749
1,860
223
221
12,992
475
15,771
1,014
16,785
7,933
24,718
3,122
379
139
1,981
234
1,679
7,534
3,868
11,402
13,316
1 Prior period comparatives for gross interest income and gross interest expense have been restated. The restatements did not affect net interest income. € 59 million and
€ 75 million for year ended December 31, 2019 and December 31, 2018 were restated.
2 € 124 million was reclassified from trading Income to interest expense for year ended December 31, 2018.
Other interest income for the year ended December 31, 2020, 2019 and 2018 included € 43 million, € 93 million and € 93 mil-
lion respectively, which were related to government grants under the Targeted Longer-Term Refinancing Operations II
(TLTRO II)-program.
Impact of ECB Targeted Longer-term Refinancing Operations (TLTRO III)
The Governing Council of the ECB decided on a number of modifications to the terms and conditions of its TLTRO III in order
to support further the provision of credit to households and firms in the face of the current economic disruption and heightened
uncertainty caused by the COVID-19 pandemic. Banks whose eligible net lending exceeds 0 % between March 1, 2020 and
March 31, 2021 pay a rate 0.5 % lower than the average deposit facility rate for borrowings between June 24, 2020 and
June 23, 2021. This would currently equate to an all-in rate of (1) %. The interest rate outside of this period will be the average
interest rate on the deposit facility (currently (0.5) %). The Group accounts for the potential reduction in the borrowing rate as
government grant under IAS 20. The income from the government grant is presented in net interest income and is recognized
when there is reasonable assurance that the Group will receive the grant and will comply with the conditions attached to the
grants.
The effective interest rate of each borrowing takes into account the base interest rate which is the average of the rates on the
main refinancing operations over the life of the relevant TLTRO III operation (with the exception of the period from June 24,
2020, to June 23, 2021, when it will be 50 basis points lower than that average).
Other interest income for the year ended December 31, 2020 included € 86 million, which were related to government grants
under the Targeted Longer-Term Refinancing Operations III (TLTRO III)-refinancing program. This is because for the year
ended December 31, 2020 the Group has established reasonable assurance for the benefit that arises from the base rate
discount and the initial modified lending criteria but not for the new lending criteria in the TLTRO III refinancing program. The
Group has borrowed € 37.5 billion under the TLTRO III-refinancing program as of December 31, 2020.
274
Deutsche Bank
Annual Report 2020
Notes to the consolidated income statement
05 – Net interest income and net gains (losses) on financial assets/liabilities at fair value through profit
or loss
Net gains (losses) on financial assets/liabilities at fair value through profit or loss
in € m.
Trading Income:
Sales & Trading (Equity)1,2
Sales & Trading (FIC)1
Total Sales & Trading
Other trading income (loss)1
Total trading income (loss)2
Net gains (losses) on non-trading financial assets mandatory at fair value through profit or loss:
Breakdown by financial assets category:
Debt Securities3
Equity Securities3
Loans and loan commitments
Deposits
Others non-trading financial assets mandatory at fair value through profit and loss
Total net gains (losses) on non-trading financial assets mandatory at fair value through profit or
loss:
Net gains (losses) on financial assets/liabilities designated at fair value through profit or loss:
Breakdown by financial asset/liability category:
Loans and loan commitments
Deposits
Long-term debt
Other financial assets/liabilities designated at fair value through profit or loss
Total net gains (losses) on financial assets/liabilities designated at fair value through profit or loss
Total net gains (losses) on financial assets/liabilities at fair value through profit or loss2
1 Prior year figures are presented in the current structure.
2 € 124 million was reclassified from trading income to net interest income for year ended December 31, 2018.
3 Prior year number revised.
in € m.
Net interest income1
Trading income (loss)1,2
Net gains (losses) on non-trading financial assets mandatory at fair value through profit or loss
Net gains (losses) on financial assets/liabilities designated at fair value through profit or loss
Total net gains (losses) on financial assets/liabilities at fair value through profit or loss
Total net interest income and net gains (losses) on financial assets/liabilities at fair value
through profit or loss3
Commercial Banking
Global Transaction Banking
Corporate Bank
FIC Sales & Trading
Remaining Products
Investment Bank
Private Bank
Asset Management
Capital Release Unit
Corporate & Other
Total net interest income and net gains (losses) on financial assets/liabilities at fair value
through profit or loss
1 € 124 million was reclassified from trading income to net interest income for year ended December 31, 2018.
2 Trading income (loss) includes gains and losses from derivatives not qualifying for hedge accounting.
3 Prior year segmental information presented in the current structure.
2020
2019
2018
(409)
3,457
3,049
(819)
2,230
5
114
(38)
(9)
203
276
15
(1)
(71)
16
(40)
2,465
87
2,563
2,650
(2,453)
197
72
271
28
(19)
25
377
(9)
(0)
(386)
15
(381)
193
2020
11,526
2,230
276
(40)
2,465
13,991
1,107
1,828
2,935
6,991
205
7,196
4,623
(98)
(33)
(632)
2019
13,749
197
377
(381)
193
13,942
1,089
1,620
2,709
5,696
(252)
5,444
4,946
87
155
602
369
2,712
3,081
(3,154)
(72)
(77)
159
77
27
26
212
7
19
1,118
(75)
1,069
1,209
2018
13,316
(72)
212
1,069
1,209
14,524
1,034
1,527
2,562
5,251
23
5,273
5,017
(88)
1,442
318
13,991
13,942
14,524
Combined net interest income and net gains (losses) on financial assets/liabilities at fair value through profit or loss
The Group’s trading and risk management businesses include significant activities in interest rate instruments and related
derivatives. Under IFRS, interest and similar income earned from trading instruments and financial instruments designated at
fair value through profit or loss (i.e., coupon and dividend income), and the costs of funding net trading positions, are part of
net interest income. The Group’s trading activities can periodically shift income to either net interest income or to net gains
(losses) of financial assets/liabilities at fair value through profit or loss depending on a variety of factors, including risk man-
agement strategies. The above table combines net interest income and net gains (losses) of financial assets/liabilities at fair
value through profit or loss by business division.
275
Deutsche Bank
Annual Report 2020
Notes to the consolidated income statement
06 – Commissions and fee income
06 – Commissions and fee income
in € m.
Commission and fee income and expense:
Commission and fee income
Commission and fee expense
Net commissions and fee income
Disaggregation of revenues by product type and business segment
2020
2019
2018
12,227
2,803
9,424
12,283
2,763
9,520
12,921
2,882
10,039
in € m.
(unless stated otherwise)
Major type of services:
Commissions for admi-
nistration
Commissions for assets
under management
Commissions for other
securities
Underwriting and advi-
sory fees
Brokerage fees
Commissions for local
payments
Commissions for foreign
commercial business
Commissions for foreign
currency/exchange busi-
ness
Commissions for loan
processing and guaran-
tees
Intermediary fees
Fees for sundry other
customer services
Total fee and commis-
sions income
Gross expense
Net fees and commis-
sions
Corporate
Bank
Investment
Bank
Private
Bank
Asset
Management
Capital
Release Unit
Corporate &
Other
Dec 31,2020
Total
Consolidated
245
17
235
23
319
3,090
19
365
29
21
1
0
1,688
357
35
13
1,103
437
(2)
951
409
25
104
0
0
72
0
0
1
0
0
1
113
0
0
(3)
518
1
3,429
0
401
(42)
(1)
1,688
1,665
7
1,394
(3)
536
4
0
6
0
0
0
11
529
13
210
2
305
757
0
1
271
289
39
131
7
1
4
7
12
1,058
787
7
741
2,343
2,588
3,867
3,317
127
(15)
12,227
(2,803)
9,424
276
Deutsche Bank
Annual Report 2020
Notes to the consolidated income statement
06 – Commissions and fee income
Prior year segmental information presented in the current structure.
in € m.
(unless stated otherwise)
Major type of services:
Commissions for admi-
nistration
Commissions for assets
under management
Commissions for other
securities
Underwriting and advi-
sory fees
Brokerage fees
Commissions for local
payments
Commissions for foreign
commercial business
Commissions for foreign
currency/exchange busi-
ness
Commissions for loan
processing and guaran-
tees
Intermediary fees
Fees for sundry other
customer services
Total fee and commis-
sions income
Gross expense
Net fees and commis-
sions
in € m.
(unless stated otherwise)
Major type of services:
Commissions for admi-
nistration
Commissions for assets
under management
Commissions for other
securities
Underwriting and advi-
sory fees
Brokerage fees
Commissions for local
payments
Commissions for foreign
commercial business
Commissions for foreign
currency/exchange busi-
ness
Commissions for loan
processing and guaran-
tees
Intermediary fees
Fees for sundry other
customer services
Total fee and commis-
sions income
Gross expense
Net fees and commis-
sions
Corporate
Bank
Investment
Bank
Private
Bank
Asset
Management
Capital
Release Unit
Corporate &
Other
Dec 31,2019
Total
Consolidated
251
22
330
29
13
8
1
0
1,568
253
498
0
974
455
26
106
234
23
304
3,219
28
15
930
1
0
81
0
0
5
1
1
61
470
1
0
0
521
2
3,547
0
359
(17)
5
1,656
1,751
1
1,474
(1)
586
7
0
7
0
0
0
15
497
32
189
2
281
486
0
0
297
349
54
127
16
1
23
6
14
1
2,429
2,397
3,419
3,451
578
10
989
535
850
12,283
(2,763)
9,520
Dec 31,2018
Total
Consolidated
Corporate
Bank
Investment
Bank
Private
Bank
Asset
Management
Capital
Release Unit
Corporate &
Other
275
10
249
22
15
(3)
568
23
16
260
3,131
301
0
29
38
12
1,479
260
15
884
490
(1)
959
471
32
117
2
(1)
82
0
0
6
2
193
999
12
2
0
3,436
0
335
(28)
0
1,696
2,238
(1)
1,460
(1)
621
7
0
7
0
1
0
15
521
24
187
1
246
437
0
0
281
578
69
117
26
13
31
1
17
981
493
0
1,076
2,444
2,564
3,273
3,352
1,300
(13)
12,921
(2,882)
10,039
Prior year segmental information presented in the current structure.
As of December 31, 2020, there were unsatisfied performance obligations with an expected original maturity of more than one
year of € 66 million with a time band of seven years from 2022 to 2028 from alternative funds managed by the Group’s asset
management business. The decrease of the unsatisfied performance obligations compared to December 31, 2019 (€ 75 million
with a time band of seven years from 2021 to 2027) was mainly driven by a change in the fund model. Likewise, this affected
timing of when fund assets would be sold and therefore when performance fees would be generated.
277
Deutsche Bank
Annual Report 2020
Notes to the consolidated income statement
09 – General and administrative expenses
As of December 31, 2020 and December 31, 2019, the Group’s balance of receivables from commission and fee income was
€ 876 million and € 861 million, respectively. As of December 31, 2020 and December 31, 2019, the Group’s balance of con-
tract liabilities associated to commission and fee income was € 65 million and € 195 million, respectively. Contract liabilities
arise from the Group’s obligation to provide future services to a customer for which it has received consideration from the
customer prior to completion of the services. The balances of receivables and contract liabilities do not vary significantly from
period to period reflecting the fact that they predominately relate to recurring service contracts with service periods of less
than one year such as monthly current account services and quarterly asset management services. As a result, prior period
balances of contract liabilities are generally recognized in revenue in the subsequent period. Customer payment in exchange
for services provided are generally subject to performance by the Group over the specific service period such that the Group’s
right to payment arises at the end of the service period when its performance obligations are fully completed. Therefore, no
material balance of contract asset is reported.
07 – Gains and Losses on derecognition of financial assets
measured at amortized cost
For the twelve months ended December 31, 2020, the Group sold financial assets measured at amortized cost of € 10 billion
(December 31, 2019: € 390 million and December 31, 2018: € 92 million) primarily from a Hold to Collect (HTC) portfolio in
Postbank as well as sales made from a HTC portfolio in Treasury. A decision was made to divest the Postbank bond portfolio
as part of the integration of Postbank into the Group. The Treasury sales were made as part of a strategy realignment for
managing the interest rate risk in the Banking Book as a result of these sales, the HTC business model is no longer valid for
future acquisitions of assets in this portfolio.
The table below presents the gains and (losses) arising from derecognition of these securities.
in €
Gains
Losses
Net gains (losses) from derecognition of securities measured at amortized cost
2020
334
(10)
324
2019
0
(0)
0
2018
2
(0)
2
08 – Other income (loss)
in € m.
Other income (loss):
Net gains (losses) on disposal of loans
Insurance premiums
Net income (loss) from hedge relationships qualifying for hedge accounting
Remaining other income (loss)1
Total other income (loss)
2020
2019
2018
(13)
3
(306)
161
(154)
3
3
(635)
(40)
(668)
(4)
3
(497)
712
215
1 Includes net gains (losses) of € (59) million, € 4 million and € 141 million for the years ended December 31, 2020, 2019 and 2018, respectively, that are related to non-current
assets and disposal groups held for sale.
09 – General and administrative expenses
in € m.
General and administrative expenses:
Information Technology1
Occupancy, furniture and equipment expenses2
Regulatory, Tax & Insurance2,3
Professional services4
Banking Services and outsourced operations4
Market Data and Research Services1
Travel expenses
Marketing expenses
Other expenses5
Total general and administrative expenses
2020
2019
2018
3,862
1,724
1,407
982
962
376
76
174
696
10,259
5,011
1,693
1,440
1,143
967
421
256
251
1,071
12,253
4,043
1,698
1,570
1,323
960
415
288
299
690
11,286
1 Prior year numbers have been restated to reflect the shift of telecommunications expenses from (communications) and market data & research services expenses to infor-
mation technology expenses.
2 Prior year numbers have been restated to reflect the shift of insurance premium expenses from occupancy, furniture and equipment expenses to regulatory, tax & insurance
expenses.
3 Includes bank levy of € 633 million in 2020, € 622 million in 2019 and € 690 million in 2018.
4 Prior year numbers have been restated to reflect the shift of other outsourced operations expenses from professional services expenses to banking services and outsourced
operations expenses.
5 Includes litigation related expenses of € 158 million in 2020, € 473 million in 2019 and € 88 million in 2018. See Note 27 “Provisions”, for more detail on litigation.
278
Deutsche Bank
Annual Report 2020
Notes to the consolidated income statement
10 – Restructuring
10 – Restructuring
Restructuring is primarily driven by the implementation of the Group’s strategic changes as announced in the third quarter
2019. We have defined and are in the process of implementing measures that aim to strengthen the bank, position it for growth
and simplify its organizational set-up. The measures also aim to reduce adjusted costs through higher efficiency, by optimizing
and streamlining processes, and by exploiting synergies.
Restructuring expense is comprised of termination benefits, additional expenses covering the acceleration of deferred com-
pensation awards not yet amortized due to the discontinuation of employment and contract termination costs related to real
estate.
Net restructuring expense by division
in € m.
Corporate Bank
Investment Bank
Private Bank
Asset Management
Capital Release Unit
Corporate & Other
Total Net Restructuring Charges
Net restructuring by type
in € m.
Restructuring – Staff related
thereof:
Termination Benefits
Retention Acceleration
Social Security
Restructuring – Non Staff related
Total Net Restructuring Charges
2020
28
14
413
22
5
3
485
2020
479
441
36
1
6
485
2019
137
169
126
29
143
40
644
2019
641
476
156
9
2
644
2018
32
199
49
19
62
(1)
360
2018
367
248
113
6
(6)
360
Provisions for restructuring amounted to € 676 million, € 684 million and € 585 million as of December 31, 2020, Decem-
ber 31, 2019 and December 31, 2018, respectively. The majority of the current provisions for restructuring are expected to be
utilized in the next two years.
During 2020, 1,447 full-time equivalent staff was reduced through restructuring (2019: 2,564 and 2018: 3,217).
Organizational changes
Full-time equivalent staff
Corporate Bank
Investment Bank
Private Bank
Asset Management
Capital Release Unit
Infrastructure
Total full-time equivalent staff
FTE figures for 2019 and 2018 have been restated to include former Postbank employees which were not previously included in the disclosure.
2020
303
100
630
48
69
297
1,447
2019
138
626
731
136
514
419
2,564
2018
223
670
910
92
243
1,078
3,217
279
Deutsche Bank
Annual Report 2020
Notes to the consolidated income statement
11 – Earnings per share
11 – Earnings per share
Basic earnings per share amounts are computed by dividing net income (loss) attributable to Deutsche Bank shareholders by
the average number of common shares outstanding during the year. The average number of common shares outstanding is
defined as the average number of common shares issued, reduced by the average number of shares in treasury and by the
average number of shares that will be acquired under physically-settled forward purchase contracts, and increased by undis-
tributed vested shares awarded under deferred share plans.
Diluted earnings per share assumes the conversion into common shares of outstanding securities or other contracts to issue
common stock, such as share options, convertible debt, unvested deferred share awards and forward contracts. The afore-
mentioned instruments are only included in the calculation of diluted earnings per share if they are dilutive in the respective
reporting period.
Computation of basic and diluted earnings per share
in € m.
Net income (loss) attributable to Deutsche Bank shareholders and additional equity components
Coupons paid on additional equity components1
Net income (loss) attributable to Deutsche Bank shareholders –
numerator for basic earnings per share
Effect of dilutive securities
Net income (loss) attributable to Deutsche Bank shareholders after assumed
conversions – numerator for diluted earnings per share
Number of shares in million
Weighted-average shares outstanding – denominator for basic earnings per share
Effect of dilutive securities:
Forwards
Employee stock compensation options
Deferred shares
Other (including trading options)
Dilutive potential common shares
Adjusted weighted-average shares after assumed conversions –
denominator for diluted earnings per share
1 Since 2019 the tax impact is recognized in income (loss) directly.
Earnings per share
in € m.
Basic earnings per share
Diluted earnings per share
2020
495
(349)
146
0
2019
(5,390)
(330)
(5,719)
0
146
(5,719)
2018
267
(292)
(26)
0
(26)
2,108.2
2,110.0
2,102.2
0.0
0.0
62.0
0.0
0.0
0.0
0.0
0.0
0.0
0.0
0.0
0.0
0.0
0.0
0.0
2,170.1
2,110.0
2,102.2
2020
0.07
0.07
2019
(2.71)
(2.71)
2018
(0.01)
(0.01)
In accordance with IAS 33 the coupons paid on Additional Tier 1 Notes are not attributable to Deutsche Bank shareholders
and therefore need to be deducted in the calculation. This adjustment created a net loss situation for Earnings per Common
Share in 2018. Due to the net loss situation for 2019 and 2018 potentially dilutive shares are generally not considered for the
earnings per share calculation, because to do so would have been anti-dilutive and hence decreased the net loss per share.
Instruments outstanding and not included in the calculation of diluted earnings per share1
Number of shares in m.
Call options sold
Employee stock compensation options
Deferred shares
1 Not included in the calculation of diluted earnings per share, because to do so would have been anti-dilutive.
2020
0.0
0.0
0.0
2019
0.0
0.0
117.6
2018
0.0
0.0
108.8
280
Deutsche Bank
Annual Report 2020
Notes to the consolidated balance sheet
12 – Financial assets/liabilities at
fair value through profit or loss
Notes to the consolidated balance sheet
12 – Financial assets/liabilities at
fair value through profit or loss
in € m.
Financial assets classified as held for trading:
Trading assets:
Trading securities
Other trading assets1
Total trading assets
Positive market values from derivative financial instruments
Total financial assets classified as held for trading
Non-trading financial assets mandatory at fair value through profit or loss:
Securities purchased under resale agreements
Securities borrowed
Loans
Other financial assets mandatory at fair value through profit or loss
Total Non-trading financial assets mandatory at fair value through profit or loss
Financial assets designated at fair value through profit or loss:
Loans
Other financial assets designated at fair value through profit or loss
Total financial assets designated at fair value through profit or loss
Total financial assets at fair value through profit or loss
1 Includes traded loans of € 8.3 billion and € 12.3 billion at December 31, 2020 and 2019 respectively.
in € m.
Financial liabilities classified as held for trading:
Trading liabilities:
Trading securities
Other trading liabilities
Total trading liabilities
Negative market values from derivative financial instruments
Total financial liabilities classified as held for trading
Financial liabilities designated at fair value through profit or loss:
Securities sold under repurchase agreements
Loan commitments
Long-term debt
Other financial liabilities designated at fair value through profit or loss
Total financial liabilities designated at fair value through profit or loss
Investment contract liabilities
Total financial liabilities at fair value through profit or loss
Dec 31, 2020
Dec 31, 2019
97,756
10,173
107,929
343,455
451,383
46,057
17,009
2,192
10,864
76,121
437
0
437
527,941
97,986
12,889
110,875
332,931
443,805
53,366
17,918
3,174
12,443
86,901
7
0
7
530,713
Dec 31, 2020
Dec 31, 2019
43,882
434
44,316
327,775
372,090
41,636
2
3,374
1,570
46,582
526
419,199
36,692
373
37,065
316,506
353,571
42,723
1
4,761
2,847
50,332
544
404,448
Financial assets & liabilities designated at fair value through profit or loss
The Group has designated various lending relationships at fair value through profit or loss. Lending facilities consist of drawn
loan assets and undrawn irrevocable loan commitments. The maximum exposure to credit risk on a drawn loan is its fair value.
The Group’s maximum exposure to credit risk on drawn loans was € 437 million and € 7 million as of December 31, 2020, and
2019, respectively. Exposure to credit risk also exists for undrawn irrevocable loan commitments and is predominantly coun-
terparty credit risk.
The credit risk on the securities purchased under resale agreements and securities borrowed designated under the fair value
option is mitigated by the holding of collateral. The valuation of these instruments takes into account the credit enhancement
in the form of the collateral received. As such there is no material movement during the year or cumulatively due to movements
in counterparty credit risk on these instruments.
281
Deutsche Bank
Annual Report 2020
Notes to the consolidated balance sheet
13 – Financial instruments carried at fair value
Changes in fair value of financial assets attributable to movements in counterparty credit risk
in € m.
Notional value of financial assets exposed to credit risk
Annual change in the fair value reflected in the Statement of Income
Cumulative change in the fair value
Notional of credit derivatives used to mitigate credit risk
Annual change in the fair value reflected in the Statement of Income
Cumulative change in the fair value
Dec 31, 2020
439
(8)
(8)
166
8
8
Dec 31, 2019
0
0
0
0
0
0
Changes in fair value of financial liabilities attributable to movements in the Group’s credit risk1
in € m.
Presented in Other comprehensive Income
Cumulative change in the fair value
Presented in Statement of income
0
Annual change in the fair value reflected in the Statement of Income
Cumulative change in the fair value
0
1 The fair value of a financial liability incorporates the credit risk of that financial liability. Changes in the fair value of financial liabilities issued by consolidated structured entities
0
0
Dec 31, 2019
Dec 31, 2020
(12)
(34)
have been excluded as this is not related to the Group’s credit risk but to that of the legally isolated structured entity, which is dependent on the collateral it holds.
Transfers of the cumulative gains or losses within equity during the period
in € m.
Cumulative gains or losses within equity during the period
Dec 31, 2020
0
Dec 31, 2019
0
Amounts realized on derecognition of liabilities designated at fair value through profit or loss
in € m.
Amount presented in other comprehensive income realized at derecognition
Dec 31, 2020
0
Dec 31, 2019
0
The excess of the contractual amount repayable at maturity over the carrying value of financial liabilities1
in € m.
Including undrawn loan commitments²
Excluding undrawn loan commitments
1 Assuming the liability is extinguished at the earliest contractual maturity that the Group can be required to repay. When the amount payable is not fixed, it is determined by
Dec 31, 2019
873
357
963
159
Dec 31, 2020
reference to conditions existing at the reporting date.
2 The contractual cash flows at maturity for undrawn loan commitments assume full drawdown of the facility.
13 – Financial instruments carried at fair value
Valuation Methods and Control
The Group has an established valuation control framework which governs internal control standards, methodologies, and
procedures over the valuation process.
Prices Quoted in Active Markets – The fair value of instruments that are quoted in active markets are determined using the
quoted prices where they represent prices at which regularly and recently occurring transactions take place.
Valuation Techniques – The Group uses valuation techniques to establish the fair value of instruments where prices, quoted
in active markets, are not available. Valuation techniques used for financial instruments include modelling techniques, the use
of indicative quotes for proxy instruments, quotes from recent and less regular transactions and broker quotes.
For some financial instruments a rate or other parameter, rather than a price, is quoted. Where this is the case then the market
rate or parameter is used as an input to a valuation model to determine fair value. For some instruments, modelling techniques
follow industry standard models, for example, discounted cash flow analysis and standard option pricing models. These mod-
els are dependent upon estimated future cash flows, discount factors and volatility levels. For more complex or unique instru-
ments, more sophisticated modelling techniques are required, and may rely upon assumptions or more complex parameters
such as correlations, prepayment speeds, default rates and loss severity.
Frequently, valuation models require multiple parameter inputs. Where possible, parameter inputs are based on observable
data or are derived from the prices of relevant instruments traded in active markets. Where observable data is not available
for parameter inputs, then other market information is considered. For example, indicative broker quotes and consensus pric-
ing information are used to support parameter inputs where they are available. Where no observable information is available
to support parameter inputs then they are based on other relevant sources of information such as prices for similar transac-
tions, historic data, economic fundamentals, and research information, with appropriate adjustment to reflect the terms of the
actual instrument being valued and current market conditions.
282
Deutsche Bank
Annual Report 2020
Notes to the consolidated balance sheet
13 – Financial instruments carried at fair value
Valuation Adjustments – Valuation adjustments are an integral part of the valuation process. In making appropriate valuation
adjustments, the Group follows methodologies that consider factors such as bid-offer spreads, counterparty/own credit and
funding risk. Bid-offer spread valuation adjustments are required to adjust mid-market valuations to the appropriate bid or offer
valuation. The bid or offer valuation is the best representation of the fair value for an instrument, and therefore its fair value.
The carrying value of a long position is adjusted from mid to bid, and the carrying value of a short position is adjusted from
mid to offer. Bid-offer valuation adjustments are determined from bid-offer prices observed in relevant trading activity and in
quotes from other broker-dealers or other knowledgeable counterparties. Where the quoted price for the instrument is already
a bid-offer price then no additional bid-offer valuation adjustment is necessary. Where the fair value of financial instruments is
derived from a modelling technique, then the parameter inputs into that model are normally at a mid-market level. Such instru-
ments are generally managed on a portfolio basis and, when specified criteria are met, valuation adjustments are taken to
reflect the cost of closing out the net exposure the Bank has to individual market or counterparty risks. These adjustments are
determined from bid-offer prices observed in relevant trading activity and quotes from other broker-dealers.
Where complex valuation models are used, or where less-liquid positions are being valued, then bid-offer levels for those
positions may not be available directly from the market, and therefore for the close-out cost of these positions, models and
parameters must be estimated. When these adjustments are designed, the Group closely examines the valuation risks asso-
ciated with the model as well as the positions themselves, and the resulting adjustments are closely monitored on an ongoing
basis.
Counterparty Credit Valuation Adjustments (CVAs) are required to cover expected credit losses to the extent that the valuation
technique does not already include an expected credit loss factor relating to the non-performance risk of the counterparty. The
CVA amount is applied to all relevant over-the-counter (OTC) derivatives, and is determined by assessing the potential credit
exposure to a given counterparty and taking into account any collateral held, the effect of any relevant netting arrangements,
expected loss given default and the probability of default, based on available market information, including Credit Default
Swap (CDS) spreads. Where counterparty CDS spreads are not available, relevant proxies are used.
The fair value of the Group’s financial liabilities at fair value through profit or loss (i.e., OTC derivative liabilities and issued
note liabilities designated at fair value through profit or loss) incorporates valuation adjustments to measure the change in the
Group’s own credit risk (i.e. Debt Valuation Adjustments (DVA) for Derivatives and Own Credit Adjustment (OCA) for struc-
tured notes). For derivative liabilities the Group considers its own creditworthiness by assessing all counterparties’ expected
future exposure to the Group, taking into account any collateral posted by the Group, the effect of relevant netting arrange-
ments, the probability of default of the Group, based on the Group’s market CDS level and the expected loss given default,
taking into account the seniority of derivative claims under resolution (statutory subordination). Issued note liabilities are dis-
counted utilizing the spread at which similar instruments would be issued or bought back at the measurement date as this
reflects the value from the perspective of a market participant who holds the identical item as an asset. This spread is further
parameterized into a market level of funding component and an idiosyncratic own credit component. Under IFRS 9 the change
in the own credit component is reported under Other Comprehensive Income (OCI).
When determining CVA and DVA, additional adjustments are made where appropriate to achieve fair value, due to the ex-
pected loss estimate of a particular arrangement, or where the credit risk being assessed differs in nature to that described by
the available CDS instrument.
Funding Valuation Adjustments (FVA) are required to incorporate the market implied funding costs into the fair value of deriv-
ative positions. The FVA reflects a discounting spread applied to uncollateralized and partially collateralized derivatives and
is determined by assessing the market-implied funding costs on both assets and liabilities.
Where there is uncertainty in the assumptions used within a modelling technique, an additional adjustment is taken to calibrate
the model price to the expected market price of the financial instrument. Typically, such transactions have bid-offer levels
which are less observable, and these adjustments aim to estimate the bid-offer by computing the liquidity-premium associated
with the transaction. Where a financial instrument is of sufficient complexity that the cost of closing it out would be higher than
the cost of closing out its component risks, then an additional adjustment is taken to reflect this.
Valuation Control – The Group has an independent specialized valuation control group within the Risk function which governs
and develops the valuation control framework and manages the valuation control processes. The mandate of this specialist
function includes the performance of the independent valuation control process for all businesses, the continued development
of valuation control methodologies and techniques, as well as devising and governing the formal valuation control policy
framework. Special attention of this independent valuation control group is directed to areas where management judgment
forms part of the valuation process.
Results of the valuation control process are collected and analyzed as part of a standard monthly reporting cycle. Variances
of differences outside of preset and approved tolerance levels are escalated both within the Finance function and with Senior
Business Management for review, resolution and, if required, adjustment.
283
Deutsche Bank
Annual Report 2020
Notes to the consolidated balance sheet
13 – Financial instruments carried at fair value
For instruments where fair value is determined from valuation models, the assumptions and techniques used within the models
are independently validated by an independent specialist model validation group that is part of the Group’s Risk Management
function.
Quotes for transactions and parameter inputs are obtained from a number of third party sources including exchanges, pricing
service providers, firm broker quotes and consensus pricing services. Price sources are examined and assessed to determine
the quality of fair value information they represent, with greater emphasis given to those possessing greater valuation certainty
and relevance. The results are compared against actual transactions in the market to ensure the model valuations are cali-
brated to market prices.
Price and parameter inputs to models, assumptions and valuation adjustments are verified against independent sources.
Where they cannot be verified to independent sources due to lack of observable information, the estimate of fair value is
subject to procedures to assess its reasonableness. Such procedures include performing revaluation using independently
generated models (including where existing models are independently recalibrated), assessing the valuations against appro-
priate proxy instruments and other benchmarks, and performing extrapolation techniques. Assessment is made as to whether
the valuation techniques produce fair value estimates that are reflective of market levels by calibrating the results of the
valuation models against market transactions where possible.
Fair Value Hierarchy
The financial instruments carried at fair value have been categorized under the three levels of the IFRS fair value hierarchy
as follows:
Level 1 – Instruments valued using quoted prices in active markets are instruments where the fair value can be determined
directly from prices which are quoted in active, liquid markets and where the instrument observed in the market is representa-
tive of that being priced in the Group’s inventory.
These include: government bonds, exchange-traded derivatives and equity securities traded on active, liquid exchanges.
Level 2 – Instruments valued with valuation techniques using observable market data are instruments where the fair value
can be determined by reference to similar instruments trading in active markets, or where a technique is used to derive the
valuation but where all inputs to that technique are observable.
These include: many OTC derivatives; many investment-grade listed credit bonds; some CDS; many collateralized debt obli-
gations (CDO); and many less-liquid equities.
Level 3 – Instruments valued using valuation techniques using market data which is not directly observable are instruments
where the fair value cannot be determined directly by reference to market-observable information, and some other pricing
technique must be employed. Instruments classified in this category have an element which is unobservable and which has a
significant impact on the fair value.
These include: more-complex OTC derivatives; distressed debt; highly-structured bonds; illiquid asset-backed securities
(ABS); illiquid CDO’s (cash and synthetic); some private equity placements; many commercial real estate (CRE) loans; illiquid
loans; and some municipal bonds.
284
Deutsche Bank
Annual Report 2020
Notes to the consolidated balance sheet
13 – Financial instruments carried at fair value
Carrying value of the financial instruments held at fair value1
in € m.
Financial assets held at fair value:
Trading assets
Trading securities
Other trading assets
Positive market values from derivative financial
instruments
Non-trading financial assets mandatory at fair
value through profit or loss
Financial assets designated at fair value
through profit or loss
Financial assets at fair value through other
comprehensive income
Other financial assets at fair value
Total financial assets held at fair value
Financial liabilities held at fair value:
Trading liabilities
Trading securities
Other trading liabilities
Negative market values from derivative finan-
cial instruments
Financial liabilities designated at fair value
through profit or loss
Investment contract liabilities
Other financial liabilities at fair value
Total financial liabilities held at fair value
Quoted
prices in
active market
(Level 1)
44,525
44,349
176
Valuation
technique
observable
parameters
(Level 2)
55,220
50,340
4,880
4,208
330,522
2,992
68,511
0
436
Dec 31, 2020
Valuation
technique
unobservable
parameters
(Level 3)
8,183
3,066
5,117
8,725
4,618
0
Quoted
prices in
active market
(Level 1)
44,595
44,427
168
Valuation
technique
observable
parameters
(Level 2)
56,713
50,128
6,584
2,682
322,082
3,806
77,818
0
0
Dec 31, 2019
Valuation
technique
unobservable
parameters
(Level 3)
9,567
3,430
6,137
8,167
5,278
7
28,057
93
79,875
36,699
36,674
25
25,741
9,2772
489,707
2,037
20
23,583
7,615
7,206
409
2
2
0
30,924
2
82,009
23,873
23,862
11
13,529
7,3662
477,507
1,050
363
24,431
13,152
12,828
324
41
2
38
4,430
315,145
8,200
2,841
307,013
6,652
0
0
799
45,622
526
3,5732
41,929
372,480
960
0
(294)3
8,867
0
0
527
27,241
48,378
544
4,6092
373,697
1,954
0
(34)3
8,612
1 Amounts in this table are generally presented on a gross basis, in line with the Group’s accounting policy regarding offsetting of financial instruments, as described in Note 1
“Significant Accounting Policies and Critical Accounting Estimates”.
2 Predominantly relates to derivatives qualifying for hedge accounting.
3 Relates to derivatives which are embedded in contracts where the host contract is held at amortized cost but for which the embedded derivative is separated. The separated
embedded derivatives may have a positive or a negative fair value but have been presented in this table to be consistent with the classification of the host contract. The sepa-
rated embedded derivatives are held at fair value on a recurring basis and have been split between the fair value hierarchy classifications.
During the third quarter of 2020, the Group implemented refinements to its liquidity testing procedures related to the definition
of an active market. The revised approach is expected to result in a more transparent and consistent fair value hierarchy
classification. The impact of these changes was the net movement of approximately € 2.0 billion of Trading Assets and € 9.0
billion Financial Assets at Fair Value through Other Comprehensive Income from Level 1 into Level 2.
During the fourth quarter of 2020, the Group refined its levelling methodology for Strategic Corporate Lending loans related to
the use of pricing of comparable positions. This refinement is expected to result in a more transparent and consistent fair value
hierarchy classification.. The impact of this change was a movement of approximately € 1.0 billion of financial assets held at
fair value through other comprehensive income into Level 3 from Level 2.
Valuation Techniques
The Group has an established valuation control framework which governs internal control standards, methodologies, valuation
techniques and procedures over the valuation process and fair value measurement. In 2020, the outbreak of the COVID-19
pandemic broadly impacted the financial markets, notably in March 2020 and April 2020, causing market dislocations and
increased market volatility. This resulted an increase in Group’s level 3 balances by € 4.0 billion mainly relating to interest rate
derivatives, which has since been materially reversed by the end of fourth quarter of 2020. Sensitivity related to the level 3
assets and liabilities increased due to increased dispersion in market data.
The market conditions necessitated additional focus and review in certain areas, including assessment of bid-offer spreads to
ensure they were representative of fair value. However, standard procedures and controls were followed, and we continued
to adhere to strict internal governance for fair value measurement changes and movements.
The following is an explanation of the valuation techniques used in establishing the fair value of the different types of financial
instruments that the Group trades.
Sovereign, Quasi-sovereign and Corporate Debt and Equity Securities – Where there are no recent transactions then fair
value may be determined from the last market price adjusted for all changes in risks and information since that date. Where a
close proxy instrument is quoted in an active market then fair value is determined by adjusting the proxy value for differences
in the risk profile of the instruments. Where close proxies are not available then fair value is estimated using more complex
285
Deutsche Bank
Annual Report 2020
Notes to the consolidated balance sheet
13 – Financial instruments carried at fair value
modelling techniques. These techniques include discounted cash flow models using current market rates for credit, interest,
liquidity and other risks. For equity securities modeling techniques may also include those based on earnings multiples.
Mortgage- and Other Asset-Backed Securities (MBS/ABS) include residential and commercial MBS and other ABS including
CDOs. ABS have specific characteristics as they have different underlying assets and the issuing entities have different capital
structures. The complexity increases further where the underlying assets are themselves ABS, as is the case with many of
the CDO instruments.
Where no reliable external pricing is available, ABS are valued, where applicable, using either relative value analysis which is
performed based on similar transactions observable in the market, or industry-standard valuation models making largest pos-
sible use of available observable inputs. The industry standard models calculate principal and interest payments for a given
deal based on assumptions that can be independently price tested. The inputs include prepayment speeds, loss assumptions
(timing and severity) and a discount rate (spread, yield or discount margin). These inputs/assumptions are derived from actual
transactions, external market research and market indices where appropriate.
Loans – For certain loans fair value may be determined from the market price on a recently occurring transaction adjusted for
all changes in risks and information since that transaction date. Where there are no recent market transactions then broker
quotes, consensus pricing, proxy instruments or discounted cash flow models are used to determine fair value. Discounted
cash flow models incorporate parameter inputs for credit risk, interest rate risk, foreign exchange risk, loss given default
estimates and amounts utilized given default, as appropriate. Credit risk, loss given default and utilization given default pa-
rameters are determined using information from the loan or other credit markets, where available and appropriate.
Leveraged loans can have transaction-specific characteristics which can limit the relevance of market-observed transactions.
Where similar transactions exist for which observable quotes are available from external pricing services then this information
is used with appropriate adjustments to reflect the transaction differences. When no similar transactions exist, a discounted
cash flow valuation technique is used with credit spreads derived from the appropriate leveraged loan index, incorporating the
industry classification, subordination of the loan, and any other relevant information on the loan and loan counterparty.
Over-The-Counter Derivative Financial Instruments – Market standard transactions in liquid trading markets, such as interest
rate swaps, foreign exchange forward and option contracts in G7 currencies, and equity swap and option contracts on listed
securities or indices are valued using market standard models and quoted parameter inputs. Parameter inputs are obtained
from pricing services, consensus pricing services and recently occurring transactions in active markets wherever possible.
More complex instruments are modeled using more sophisticated modeling techniques specific for the instrument and are
calibrated to available market prices. Where the model output value does not calibrate to a relevant market reference then
valuation adjustments are made to the model output value to adjust for any difference. In less active markets, data is obtained
from less frequent market transactions, broker quotes and through extrapolation and interpolation techniques. Where observ-
able prices or inputs are not available, management judgment is required to determine fair values by assessing other relevant
sources of information such as historical data, fundamental analysis of the economics of the transaction and proxy information
from similar transactions.
Financial Liabilities Designated at Fair Value through Profit or Loss under the Fair Value Option – The fair value of financial
liabilities designated at fair value through profit or loss under the fair value option incorporates all market risk factors including
a measure of the Group’s credit risk relevant for that financial liability. The financial liabilities include structured note issuances,
structured deposits, and other structured securities issued by consolidated vehicles, which may not be quoted in an active
market. The fair value of these financial liabilities is determined by discounting the contractual cash flows using the relevant
credit-adjusted yield curve. The market risk parameters are valued consistently to similar instruments held as assets, for
example, any derivatives embedded within the structured notes are valued using the same methodology discussed in the
“Over-The-Counter Derivative Financial Instruments” section above.
Where the financial liabilities designated at fair value through profit or loss under the fair value option are collateralized, such
as securities loaned and securities sold under repurchase agreements, the credit enhancement is factored into the fair valua-
tion of the liability.
Investment Contract Liabilities – Assets which are linked to the investment contract liabilities are owned by the Group. The
investment contract obliges the Group to use these assets to settle these liabilities. Therefore, the fair value of investment
contract liabilities is determined by the fair value of the underlying assets (i.e., amount payable on surrender of the policies).
286
Deutsche Bank
Annual Report 2020
Notes to the consolidated balance sheet
13 – Financial instruments carried at fair value
Analysis of Financial Instruments with Fair Value Derived from Valuation Tech-
niques Containing Significant Unobservable Parameters (Level 3)
Some of the financial assets and financial liabilities in Level 3 of the fair value hierarchy have identical or similar offsetting
exposures to the unobservable input. However, according to IFRS they are required to be presented gross.
Trading Securities – Certain illiquid emerging market corporate bonds and illiquid highly structured corporate bonds are in-
cluded in this level of the hierarchy. In addition, some of the holdings of notes issued by securitization entities, commercial
and residential MBS, collateralized debt obligation securities and other ABS are reported here. The decrease during the year
was mainly due to a sales, settlements, losses, deconsolidation and net transfers between Level 2 and Level 3 due to changes
in the observability of input parameters used to value these instruments, partially offset by purchases and issuances.
Positive and Negative Market Values from Derivative Instruments categorized in this level of the fair value hierarchy are valued
based on one or more significant unobservable parameters. The unobservable parameters may include certain correlations,
certain longer-term volatilities, certain prepayment rates, credit spreads and other transaction-specific parameters.
Level 3 derivatives includes certain options where the volatility is unobservable; certain basket options in which the correlations
between the referenced underlying assets are unobservable; longer-term interest rate option derivatives; multi-currency for-
eign exchange derivatives; and certain credit default swaps for which the credit spread is not observable.
The increase in assets during the year are driven by gains partially offset by settlements, deconsolidation and transfers be-
tween Level 2 and Level 3 due to changes in the observability of input parameters used to value these instruments. The
increase in liabilities during the year are driven by losses partially offset by settlement and transfers between Level 2 and
Level 3 due to changes in the observability of input parameters used to value these instruments.
Other Trading Instruments classified in Level 3 of the fair value hierarchy mainly consist of traded loans valued using valuation
models based on one or more significant unobservable parameters. Level 3 loans comprise illiquid leveraged loans and illiquid
residential and commercial mortgage loans. The decrease during the year refers to sales, settlements and losses partially
offset by purchases, issuances and transfers between Level 2 and Level 3 due to changes in the observability of input param-
eters used to value these instruments.
Non-trading financial assets mandatory at fair value through profit or loss classified in Level 3 of fair value hierarchy consist
of any non-trading financial asset that does not fall into the Hold to Collect nor Hold to Collect and Sell business models. This
includes predominately reverse repurchase agreements which are managed on a fair value basis. Additionally, any financial
asset that falls into the Hold to Collect or Hold to Collect and Sell business models for which the contractual cash flow char-
acteristics are not SPPI. The decrease during the year is driven by sales, settlements and losses partially offset by purchases,
issuances and transfers between Level 2 and Level 3 due to changes in the observability of input parameters used to value
these instruments.
Financial Assets/Liabilities designated at Fair Value through Profit or Loss – Certain corporate loans and structured liabilities
which were designated at fair value through profit or loss under the fair value option were categorized in this level of the fair
value hierarchy. The corporate loans are valued using valuation techniques which incorporate observable credit spreads,
recovery rates and unobservable utilization parameters. Revolving loan facilities are reported in the third level of the hierarchy
because the utilization in the event of the default parameter is significant and unobservable.
In addition, certain hybrid debt issuances designated at fair value through profit or loss containing embedded derivatives are
valued based on significant unobservable parameters. These unobservable parameters include single stock volatility correla-
tions. The decrease in liabilities during the year is driven by settlements and net transfers between Level 2 and Level 3 due
to changes in the observability of input parameters used to value these instruments partially offset by issuances and losses.
Financial assets at fair value through other comprehensive income include non-performing loan portfolios where there is no
trading intent and the market is very illiquid. The increase during the year is driven by purchases, issuances and transfers
between Level 2 and Level 3 due to changes in the observability of input parameters used to value these instruments partially
offset by settlements, sales and losses.
287
Deutsche Bank
Annual Report 2020
Notes to the consolidated balance sheet
13 – Financial instruments carried at fair value
Reconciliation of financial instruments classified in Level 3
Reconciliation of financial instruments classified in Level 3
Changes
in the
group of
consoli-
dated
companies
Balance,
beginning
of year
Total
gains/
losses1
Purchases
Sales
Issu-
ances2
Settle-
ments3
Transfers
into
Level 34
Transfers
out of
Level 34
Balance,
end of
year
Dec 31, 2020
3,430
(79)
(101)
2,134
(1,628)
11
(423)
333
(612)
3,066
8,167
6,137
(1)
0
1,422
(423)
0
1,188
0
(2,712)
0
1,855
(833)
(1,207)
1,541
710
(1,572)
(433)
8,725
5,117
5,278
7
1,050
363
0
0
0
0
(256)
389
(394)
347
(811)
852
(786)
4,618
(1)
0
0
6
(12)
0
0
0
(66)5
127
(50)
718
(182)
618
(177)
2,037
(9)
0
0
0
4
(147)
(191)
20
24,431
(79)
5676,7
3,839
(4,784)
2,937
(3,463)
3,906
(3,771) 23,583
2
6,652
38
1,954
(34)
8,612
0
0
0
0
0
0
(2)
2,108
(1)
55
26
2,1856,7
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
1
0
(0)
2
(365)
(9)
1,420
0
(1,615)
(28)
8,200
0
186
(763)
215
(687)
960
0
(16)
(187)
(83)
(294)
186
(1,151)
1,448
(2,413)
8,867
in € m.
Financial assets held at
fair value:
Trading securities
Positive market values
from derivative financial
instruments
Other trading assets
Non-trading financial as-
sets mandatory at fair
value through profit or
loss
Financial assets desig-
nated at fair value through
profit or loss
Financial assets at fair
value through other com-
prehensive income
Other financial assets at
fair value
Total financial assets held
at fair value
Financial liabilities held
at fair value:
Trading securities
Negative market values
from derivative financial
instruments
Other trading liabilities
Financial liabilities
designated at fair value
through profit or loss
Other financial liabilities
at fair value
Total financial liabilities
held at fair value
1 Total gains and losses predominantly relate to net gains (losses) on financial assets/liabilities at fair value through profit or loss reported in the consolidated statement of
income. The balance also includes net gains (losses) on financial assets at fair value through other comprehensive income reported in the consolidated statement of income
and unrealized net gains (losses) on financial assets at fair value through other comprehensive income and exchange rate changes reported in other comprehensive income,
net of tax. Further, certain instruments are hedged with instruments in level 1 or level 2 but the table above does not include the gains and losses on these hedging instru-
ments. Additionally, both observable and unobservable parameters may be used to determine the fair value of an instrument classified within level 3 of the fair value hierarchy;
the gains and losses presented below are attributable to movements in both the observable and unobservable parameters.
2 Issuances relate to the cash amount received on the issuance of a liability and the cash amount paid on the primary issuance of a loan to a borrower.
3 Settlements represent cash flows to settle the asset or liability. For debt and loan instruments this includes principal on maturity, principal amortizations and principal repay-
ments. For derivatives all cash flows are presented in settlements.
4 Transfers in and transfers out of Level 3 are related to changes in observability of input parameters. During the year they are recorded at their fair value at the beginning of
year. For instruments transferred into Level 3 the table shows the gains and losses and cash flows on the instruments as if they had been transferred at the beginning of the
year. Similarly for instruments transferred out of Level 3 the table does not show any gains or losses or cash flows on the instruments during the year since the table is pre-
sented as if they have been transferred out at the beginning of the year.
5 Total gains and losses on financial assets at fair value through other comprehensive income include a gain of € 11 million recognized in other comprehensive income, net of
tax.
6 This amount includes the effect of exchange rate changes. For total financial assets held at fair value this effect is a loss of € 495 million and for total financial liabilities held at
fair value this is a gain of € 66 million.
7 For assets positive balances represent gains, negative balances represent losses. For liabilities positive balances represent losses, negative balances represent gains.
288
Deutsche Bank
Annual Report 2020
Notes to the consolidated balance sheet
13 – Financial instruments carried at fair value
Changes
in the
group of
consoli-
dated
companies
Balance,
beginning
of year
Total
gains/
losses1
Purchases
Sales
Issu-
ances2
Settle-
ments3
Transfers
into
Level 34
Transfers
out of
Level 34
Balance,
end of
year
Dec 31, 2019
4,086
(0)
76
2,122
(2,242)
0
(408)
537
(742)
3,430
8,309
5,676
0
(75)
1,547
176
0
1,031
0
(2,493)
0
2,615
(1,420)
(1,186)
1,571
729
(1,840)
(337)
8,167
6,137
6,066
(12)
401
1,448
(473)
592
(1,822)
727
(1,649)
5,278
0
268
207
0
0
0
2
0
0
25
536
(35)
0
0
0
8
0
0
(16)
12
0
7
(19)
300
(2)
1,050
(6)
176
(14)
363
24,614
(86)
2,2046,7
5,136
(5,243)
3,215
(4,877)
4,052
(4,584) 24,431
0
6,289
15
0
0
0
2
1,337
(8)
2,021
(77)
290
(611)
0
304
7,714
(77)
1,9256,7
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
2
(1,175)
(4)
1,904
34
(1,702)
0
6,652
38
385
(489)
681
(856)
1,954
0
100
56
117
(34)
385
(1,568)
2,674
(2,441)
8,612
in € m.
Financial assets held at
fair value:
Trading securities
Positive market values
from derivative financial
instruments
Other trading assets
Non-trading financial as-
sets mandatory at fair
value through profit or
loss
Financial assets desig-
nated at fair value through
profit or loss
Financial assets at fair
value through other com-
prehensive income
Other financial assets at
fair value
Total financial assets held
at fair value
Financial liabilities held at
fair value:
Trading securities
Negative market values
from derivative financial
instruments
Other trading liabilities
Financial liabilities
designated at fair value
through profit or loss
Other financial liabilities
at fair value
Total financial liabilities
held at fair value
1 Total gains and losses predominantly relate to net gains (losses) on financial assets/liabilities at fair value through profit or loss reported in the consolidated statement of
income. The balance also includes net gains (losses) on financial assets at fair value through other comprehensive income reported in the consolidated statement of income
and unrealized net gains (losses) on financial assets at fair value through other comprehensive income and exchange rate changes reported in other comprehensive income,
net of tax. Further, certain instruments are hedged with instruments in level 1 or level 2 but the table above does not include the gains and losses on these hedging instru-
ments. Additionally, both observable and unobservable parameters may be used to determine the fair value of an instrument classified within level 3 of the fair value hierarchy;
the gains and losses presented below are attributable to movements in both the observable and unobservable parameters.
2 Issuances relate to the cash amount received on the issuance of a liability and the cash amount paid on the primary issuance of a loan to a borrower.
3 Settlements represent cash flows to settle the asset or liability. For debt and loan instruments this includes principal on maturity, principal amortizations and principal repay-
ments. For derivatives all cash flows are presented in settlements.
4 Transfers in and transfers out of Level 3 are related to changes in observability of input parameters. During the year they are recorded at their fair value at the beginning of
year. For instruments transferred into Level 3 the table shows the gains and losses and cash flows on the instruments as if they had been transferred at the beginning of the
year. Similarly for instruments transferred out of Level 3 the table does not show any gains or losses or cash flows on the instruments during the year since the table is pre-
sented as if they have been transferred out at the beginning of the year.
5 Total gains and losses on financial assets at fair value through other comprehensive income include a loss of € 3 million recognized in other comprehensive income, net of
tax.
6 This amount includes the effect of exchange rate changes. For total financial assets held at fair value this effect is a gain of € 157 million and for total financial liabilities held at
fair value this is a loss of € 25 million.
7 For assets positive balances represent gains, negative balances represent losses. For liabilities positive balances represent losses, negative balances represent gains.
Sensitivity Analysis of Unobservable Parameters
Where the value of financial instruments is dependent on unobservable parameter inputs, the precise level for these parame-
ters at the balance sheet date might be drawn from a range of reasonably possible alternatives. In preparing the financial
statements, appropriate levels for these unobservable input parameters are chosen so that they are consistent with prevailing
market evidence and in line with the Group’s approach to valuation control detailed above. Were the Group to have marked
the financial instruments concerned using parameter values drawn from the extremes of the ranges of reasonably possible
alternatives then as of December 31, 2020 it could have increased fair value by as much as € 1.8 billion or decreased fair
value by as much as € 1.4 billion. As of December 31, 2019 it could have increased fair value by as much as € 1.7 billion or
decreased fair value by as much as € 1.2 billion.
The changes in sensitive amounts from December 31, 2019 to December 31, 2020 were an increase in positive fair value
movement of € 156 million, and an increase in negative fair value movement of € 215 million. In the same period there has
been a € 848 million decrease in Group level 3 assets and € 256 million increase in Group level 3 liabilities. During 2020 the
outbreak of the COVID-19 pandemic broadly impacted the financial markets, notably in the first quarter of 2020, causing
289
Deutsche Bank
Annual Report 2020
Notes to the consolidated balance sheet
13 – Financial instruments carried at fair value
market dislocations and increased market volatility. Sensitivity related to the level 3 assets and liabilities has increased
throughout 2020 as this significantly increased dispersion in market data continues to impact the positive and negative fair
value movements upwards in spite of the level 3 reductions reported in the same period. This is a result of a number of
idiosyncratic factors, amongst which include the impact of reductions in certain level 3 exposures on items which are deemed
to be less sensitive to unobservable input parameters, whereas increases in other level 3 exposures have occurred on items
deemed to be more sensitive to unobservable input parameters
Our sensitivity calculation of unobservable parameters for Level 3 aligns to the approach used to assess valuation uncertainty
for Prudent Valuation purposes. Prudent Valuation is a capital requirement for assets held at fair value. It provides a mecha-
nism for quantifying and capitalizing valuation uncertainty in accordance with the European Commission Delegated Regulation
(EU) 2016/101, which supplements Article 34 of Regulation (EU) No. 2019/876 (CRR), requiring institutions to apply as a
deduction from CET 1 for the amount of any additional valuation adjustments on all assets measured at fair value calculated
in accordance with Article 105 (14). This utilizes exit price analysis performed for the relevant assets and liabilities in the
Prudent Valuation assessment. The downside sensitivity may be limited in some cases where the fair value is already demon-
strably prudent.
This disclosure is intended to illustrate the potential impact of the relative uncertainty in the fair value of financial instruments
for which valuation is dependent on unobservable input parameters. However, it is unlikely in practice that all unobservable
parameters would be simultaneously at the extremes of their ranges of reasonably possible alternatives. Hence, the estimates
disclosed above are likely to be greater than the true uncertainty in fair value at the balance sheet date. Furthermore, the
disclosure is neither predictive nor indicative of future movements in fair value.
For many of the financial instruments considered here, in particular derivatives, unobservable input parameters represent only
a subset of the parameters required to price the financial instrument, the remainder being observable. Hence for these instru-
ments the overall impact of moving the unobservable input parameters to the extremes of their ranges might be relatively
small compared with the total fair value of the financial instrument. For other instruments, fair value is determined based on
the price of the entire instrument, for example, by adjusting the fair value of a reasonable proxy instrument. In addition, all
financial instruments are already carried at fair values which are inclusive of valuation adjustments for the cost to close out
that instrument and hence already factor in uncertainty as it reflects itself in market pricing. Any negative impact of uncertainty
calculated within this disclosure, then, will be over and above that already included in the fair value contained in the financial
statements.
Breakdown of the sensitivity analysis by type of instrument1
in € m.
Securities:
Debt securities
Commercial mortgage-backed securities
Mortgage and other asset-backed securities
Corporate, sovereign and other debt securities
Equity securities
Derivatives:
Credit
Equity
Interest related
Foreign Exchange
Other
Loans:
Loans
Other
Total
Dec 31, 2020
Dec 31, 2019
Positive fair value
movement from
using reasonable
possible alternatives
Negative fair value
movement from
using reasonable
possible alternatives
Positive fair value
movement from
using reasonable
possible alternatives
Negative fair value
movement from
using reasonable
possible alternatives
287
9
20
259
83
283
257
306
37
93
483
0
1,829
163
22
12
129
95
185
238
266
32
82
306
0
1,367
2572
4
37
2162
612
189
168
312
44
116
525
0
1,673
1402
1
20
1192
532
123
128
303
39
101
264
0
1,151
1 Where the exposure to an unobservable parameter is offset across different instruments then only the net impact is disclosed in the table.
2 Reassessment of trades have resulted a reclassification in Positive and Negative fair value movement from using reasonable possible alternatives in ‘Corporate, sovereign
and other debt securities’ from ‘Equity securities’.
290
Deutsche Bank
Annual Report 2020
Notes to the consolidated balance sheet
13 – Financial instruments carried at fair value
Quantitative Information about the Sensitivity of Significant Unobservable Inputs
The behaviour of the unobservable parameters on Level 3 fair value measurement is not necessarily independent, and dy-
namic relationships often exist between the other unobservable parameters and the observable parameters. Such relation-
ships, where material to the fair value of a given instrument, are explicitly captured via correlation parameters, or are otherwise
controlled via pricing models or valuation techniques. Frequently, where a valuation technique utilizes more than one input,
the choice of a certain input will bound the range of possible values for other inputs. In addition, broader market factors (such
as interest rates, equity, credit or commodity indices or foreign exchange rates) can also have effects.
The range of values shown below represents the highest and lowest inputs used to value the significant exposures within
Level 3. The diversity of financial instruments that make up the disclosure is significant and therefore the ranges of certain
parameters can be large. For example, the range of credit spreads on mortgage backed securities represents performing,
more liquid positions with lower spreads then the less liquid, non-performing positions which will have higher credit spreads.
As Level 3 contains the less liquid fair value instruments, the wide ranges of parameters seen is to be expected, as there is a
high degree of pricing differentiation within each exposure type to capture the relevant market dynamics. There follows a brief
description of each of the principal parameter types, along with a commentary on significant interrelationships between them.
Credit Parameters are used to assess the creditworthiness of an exposure, by enabling the probability of default and resulting
losses of a default to be represented. The credit spread is the primary reflection of creditworthiness, and represents the
premium or yield return above the benchmark reference instrument (typically LIBOR, or relevant Treasury Instrument, de-
pending upon the asset being assessed), that a bond holder would require to allow for the credit quality difference between
that entity and the reference benchmark. Higher credit spreads will indicate lower credit quality, and lead to a lower value for
a given bond or other loan-asset that is to be repaid to the holder or lender by the borrower. Recovery Rates represent an
estimate of the amount a lender would receive in the case of a default of a loan, or a bond holder would receive in the case of
default of the bond. Higher recovery rates will give a higher valuation for a given bond position, if other parameters are held
constant. Constant Default Rate (CDR) and Constant Prepayment Rate (CPR) allow more complex loan and debt assets to
be assessed, as these parameters estimate the ongoing defaults arising on scheduled repayments and coupons, or whether
the borrower is making additional (usually voluntary) prepayments. These parameters are particularly relevant when forming
a fair value opinion for mortgage or other types of lending, where repayments are delivered by the borrower through time, or
where the borrower may pre-pay the loan (seen for example in some residential mortgages). Higher CDR will lead to lower
valuation of a given loan or mortgage as the lender will ultimately receive less cash.
Interest rates, credit spreads, inflation rates, foreign exchange rates and equity prices are referenced in some option instru-
ments, or other complex derivatives, where the payoff a holder of the derivative will receive is dependent upon the behaviour
of these underlying references through time. Volatility parameters describe key attributes of option behaviour by enabling the
variability of returns of the underlying instrument to be assessed. This volatility is a measure of probability, with higher volatil-
ities denoting higher probabilities of a particular outcome occurring. The underlying references (interest rates, credit spreads
etc.) have an effect on the valuation of options, by describing the size of the return that can be expected from the option.
Therefore the value of a given option is dependent upon the value of the underlying instrument, and the volatility of that
instrument, representing the size of the payoff, and the probability of that payoff occurring. Where volatilities are high, the
option holder will see a higher option value as there is greater probability of positive returns. A higher option value will also
occur where the payoff described by the option is significant.
Correlations are used to describe influential relationships between underlying references where a derivative or other instru-
ment has more than one underlying reference. Behind some of these relationships, for example commodity correlation and
interest rate-foreign exchange correlations, typically lie macroeconomic factors such as the impact of global demand on groups
of commodities, or the pricing parity effect of interest rates on foreign exchange rates. More specific relationships can exist
between credit references or equity stocks in the case of credit derivatives and equity basket derivatives, for example. Credit
correlations are used to estimate the relationship between the credit performance of a range of credit names, and stock
correlations are used to estimate the relationship between the returns of a range of equities. A derivative with a correlation
exposure will be either long- or short-correlation. A high correlation suggests a strong relationship between the underlying
references is in force, and this will lead to an increase in value of a long-correlation derivative. Negative correlations suggest
that the relationship between underlying references is opposing, i.e., an increase in price of one underlying reference will lead
to a reduction in the price of the other.
An EBITDA (‘earnings before interest, tax, depreciation and amortization’) multiple approach can be used in the valuation of
less liquid securities. Under this approach the enterprise value (‘EV’) of an entity can be estimated via identifying the ratio of
the EV to EBITDA of a comparable observable entity and applying this ratio to the EBITDA of the entity for which a valuation
is being estimated. Under this approach a liquidity adjustment is often applied due to the difference in liquidity between the
generally listed comparable used and the company under valuation. A higher EV/EBITDA multiple will result in a higher fair
value.
291
Deutsche Bank
Annual Report 2020
Notes to the consolidated balance sheet
13 – Financial instruments carried at fair value
Financial instruments classified in Level 3 and quantitative information about unobservable inputs
in € m.
(unless stated otherwise)
Financial instruments held at fair value –
Non-Derivative financial instruments held at
fair value:
Mortgage and other asset backed
securities held for trading:
Commercial mortgage-backed
securities
Mortgage- and other asset-backed
securities
Total mortgage- and other asset-backed
securities
Debt securities and other
debt obligations
Held for trading
Corporate, sovereign and
other debt securities
Non-trading financial assets mandatory
at fair value through profit or loss
Designated at fair value through profit or
loss
Financial assets at fair value through
other comprehensive income
Equity securities
Held for trading
Non-trading financial assets mandatory
at fair value through profit or loss
Designated at fair value through profit or
loss
Loans
Held for trading
Non-trading financial assets mandatory
at fair value through profit or loss
Designated at fair value through profit or
loss
Financial assets at fair value through
other comprehensive income
Loan commitments
4,625
2,813
2,813
1,652
0
160
727
70
657
0
7,888
5,101
910
0
1,877
0
Fair value
Assets
Liabilities
Valuation technique(s)¹
Significant unobservable
input(s) (Level 3)
Dec 31, 2020
Range
28
155
0
Price based
Discounted cash flow
Price
Credit spread (bps)
0 %
133
114 %
1,270
0
Price based
Discounted cash flow
Price
Credit spread (bps)
Recovery rate
Constant default rate
Constant prepayment rate
0 %
109
10 %
1 %
1 %
106 %
1,295
90 %
2 %
25 %
183
0
769
2
Price based
Discounted cash flow
Price
Credit spread (bps)
0 %
21
200 %
544
768
0
Market approach
Price per net asset value
Enterprise value/EBITDA
(multiple)
Weighted average cost ca-
pital
Discounted cash flow
Price based
Price based
Discounted cash flow
Price
Price
Credit spread (bps)
42 %
100 %
5
23
8 %
20 %
0 %
0 %
51
108 %
373 %
2,233
0
0
0
0
1
Discounted cash flow
Loan pricing model
Recovery rate
20 %
85 %
Credit spread (bps)
Recovery rate
Utilization
IRR
Repo rate (bps)
6
25 %
0 %
7 %
0
2,444
100 %
100 %
16 %
75
Other financial instruments
1,4322
1983 Discounted cash flow
Total non-derivative financial
instruments held at fair value
14,854
968
1 Valuation technique(s) and subsequently the significant unobservable input(s) relate to the respective total position.
2 Other financial assets include € 16 million of other trading assets and € 1.4 billion of other non-trading financial assets mandatory at fair value.
3 Other financial liabilities include € 192 million of securities sold under repurchase agreements designated at fair value and € 6 million of other financial liabilities designated at
fair value.
292
Deutsche Bank
Annual Report 2020
Notes to the consolidated balance sheet
13 – Financial instruments carried at fair value
in € m.
(unless stated otherwise)
Financial instruments held at fair value:
Market values from derivative
financial instruments:
Fair value
Assets
Liabilities
Valuation technique(s)
Significant unobservable
input(s) (Level 3)
Dec 31, 2020
Range
Interest rate derivatives
4,708
4,025
Discounted cash flow
Option pricing model
Credit derivatives
575
585
Discounted cash flow
Equity derivatives
800
1,916
Option pricing model
Correlation pricing
model
FX derivatives
Other derivatives
1,749
1,427
Option pricing model
898
(54)1 Discounted cash flow
Option pricing model
Swap rate (bps)
Inflation swap rate
Constant default rate
Constant prepayment rate
Inflation volatility
Interest rate volatility
IR - IR correlation
Hybrid correlation
Credit spread (bps)
Recovery rate
Credit correlation
Stock volatility
Index volatility
Index - index correlation
Stock - stock correlation
Stock Forwards
Index Forwards
Volatility
Quoted Vol
Credit spread (bps)
Index volatility
Commodity correlation
(77)
1 %
0 %
2 %
0 %
0 %
(25) %
(70) %
787
3 %
10 %
30 %
8 %
19 %
97 %
100 %
1,759
77 %
0
0 %
31 %
4 %
17 %
1
41 %
0 %
0 %
(16) %
0 %
–
0 %
16 %
63 %
85 %
75 %
1
67 %
5 %
4 %
42 %
0 %
–
113 %
52 %
Total market values from derivative
financial instruments
8,729
7,899
1 Includes derivatives which are embedded in contracts where the host contract is held at amortized cost but for which the embedded derivative is separated.
293
Deutsche Bank
Annual Report 2020
Notes to the consolidated balance sheet
13 – Financial instruments carried at fair value
in € m.
(unless stated otherwise)
Financial instruments held at fair value –
Non-Derivative financial instruments
held at fair value:
Mortgage and other asset backed
securities held for trading:
Commercial mortgage-backed
securities
Mortgage- and other asset-backed
securities
Total mortgage- and other asset-backed
securities
Debt securities and other debt
obligations
Held for trading
Corporate, sovereign and other
debt securities
Non-trading financial assets mandatory
at fair value through profit or loss
Designated at fair value through profit or
loss
Financial assets at fair value through
other comprehensive income
Equity securities
Held for trading
Non-trading financial assets mandatory
at fair value through profit or loss
Loans
Held for trading
Non-trading financial assets mandatory
at fair value through profit or loss
Designated at fair value through profit or
loss
Financial assets at fair value through
other comprehensive income
Loan commitments
Fair value
Assets
Liabilities
Valuation technique(s)¹
Significant unobservable
input(s) (Level 3)
Dec 31, 2019
Range
33
225
0
0
Price based
Discounted cash flow
Price
Credit spread (bps)
Price based
Discounted cash flow
Price
Credit spread (bps)
Recovery rate
Constant default rate
Constant prepayment rate
0 % 3623 %
1,899
102
0 %
54
25 %
1 %
3 %
101 %
2,460
75 %
4 %
24 %
258
0
5,0844
3,090
1,679
2
Price based
Discounted cash flow
Price
Credit spread (bps)
0 %
15
203 %
460
3,090
1,9384
0
1,676
56
760
82
6784
8,302
6,110
1,193
6
993
0
0
Market approach
0
Discounted cash flow
Price based
Discounted cash flow
38
38
Price per net asset value
Enterprise value/EBITDA
(multiple)
Weighted average cost ca-
pital
Price
Credit spread (bps)
0 %
101 %
5
17
0 %
0 %
11
20 %
341 %
1,209
0
Recovery rate
35 %
90 %
1
Discounted cash flow
Loan pricing model
Credit spread (bps)
Recovery rate
Utilization
IRR
Repo rate (bps)
8
25 %
0 %
7 %
5
979
95 %
84 %
46 %
271
Other financial instruments
1,5042,4
2783 Discounted cash flow
Total non-derivative financial
instruments held at fair value
15,908
1,996
1 Valuation technique(s) and subsequently the significant unobservable input(s) relate to the respective total position.
2 Other financial assets include € 28 million of other trading assets and € 1.5 billion other financial assets mandatory at fair value.
3 Other financial liabilities include € 186 million of securities sold under repurchase agreements designated at fair value and € 92 million of other financial liabilities designated at
fair value.
4 Reassessment of trades have resulted a restatement in ‘Assets in Debt securities and other debt obligations from Equity securities and other financial instruments.
294
Deutsche Bank
Annual Report 2020
Notes to the consolidated balance sheet
13 – Financial instruments carried at fair value
in € m.
(unless stated otherwise)
Financial instruments held at fair value:
Market values from derivative
financial instruments:
Fair value
Assets
Liabilities
Valuation technique(s)
Significant unobservable
input(s) (Level 3)
Dec 31, 2019
Range
Interest rate derivatives
4,941
3,387
Discounted cash flow
Option pricing model
Credit derivatives
618
822
Discounted cash flow
Equity derivatives
834
1,132
Option pricing model
Correlation pricing
model
FX derivatives
Other derivatives
1,320
1,158
Option pricing model
810
1171 Discounted cash flow
Option pricing model
Swap rate (bps)
Inflation swap rate
Inflation volatility
Interest rate volatility
IR - IR correlation
Hybrid correlation
Credit spread (bps)
Recovery rate
Credit correlation
Stock volatility
Index volatility
Index - index correlation
Stock - stock correlation
Volatility
Quoted Vol
Credit spread (bps)
Index volatility
Commodity correlation
(69)
0 %
0 %
0 %
(25) %
(70) %
668
3 %
5 %
33 %
99 %
100 %
18,812
75 %
0
0 %
33 %
4 %
4 %
1
18 %
(12) %
0 %
–
7 %
5 %
84 %
93 %
69 %
1
93 %
27 %
0 %
–
67 %
86 %
Total market values from derivative
financial instruments
8,524
6,616
1 Includes derivatives which are embedded in contracts where the host contract is held at amortized cost but for which the embedded derivative is separated.
Unrealized Gains or Losses on Level 3 Instruments held or in Issue at the Report-
ing Date
The unrealized gains or losses on Level 3 Instruments are not due solely to unobservable parameters. Many of the parameter
inputs to the valuation of instruments in this level of the hierarchy are observable and the gain or loss is partly due to move-
ments in these observable parameters over the period. Many of the positions in this level of the hierarchy are economically
hedged by instruments which are categorized in other levels of the fair value hierarchy. The offsetting gains and losses that
have been recorded on all such hedges are not included in the table below, which only shows the gains and losses related to
the Level 3 classified instruments themselves held at the reporting date in accordance with IFRS 13. The unrealized gains
and losses on Level 3 instruments are included in both net interest income and net gains on financial assets/liabilities at fair
value through profit or loss in the consolidated income statement.
in € m.
Financial assets held at fair value:
Trading securities
Positive market values from derivative financial instruments
Other trading assets
Non-trading financial assets mandatory at fair value through profit or loss
Financial assets designated at fair value through profit or loss
Financial assets at fair value through other comprehensive income
Other financial assets at fair value
Total financial assets held at fair value
Financial liabilities held at fair value:
Trading securities
Negative market values from derivative financial instruments
Other trading liabilities
Financial liabilities designated at fair value through profit or loss
Other financial liabilities at fair value
Total financial liabilities held at fair value
Total
Dec 31, 2020
Dec 31, 2019
38
2,589
(248)
(14)
0
20
4
2,389
(0)
(2,536)
0
53
(26)
(2,510)
(121)
60
1,906
35
387
2
0
6
2,397
(2)
(1,660)
6
(259)
(308)
(2,223)
174
295
Deutsche Bank
Annual Report 2020
Notes to the consolidated balance sheet
14 – Fair value of financial instruments not carried at fair value
Recognition of Trade Date Profit
If there are significant unobservable inputs used in a valuation technique, the financial instrument is recognized at the trans-
action price and any trade date profit is deferred. The table below presents the year-to-year movement of the trade date profits
deferred due to significant unobservable parameters for financial instruments classified at fair value through profit or loss. The
balance is predominantly related to derivative instruments.
in € m.
Balance, beginning of year
New trades during the period
Amortization
Matured trades
Subsequent move to observability
Exchange rate changes
Balance, end of year
2020
441
308
(140)
(130)
(22)
(4)
454
2019
531
170
(106)
(95)
(60)
1
441
14 – Fair value of financial instruments not carried at fair value
Financial instruments not carried at fair value are not managed on a fair value basis. For these instruments fair values are
calculated for disclosure purposes only and do not impact the Group balance sheet or income statement. Additionally, since
the instruments generally do not trade there is significant management judgment required to determine these fair values.
For the following financial instruments which are predominantly short-term the carrying value represents a reasonable estimate
of the fair value:
Assets
Cash and central bank balances
Interbank balances (w/o central banks)
Central bank funds sold and securities purchased under resale agree-
ments
Securities borrowed
Other financial assets
Liabilities
Deposits
Central bank funds purchased and securities sold under repurchase
agreements
Securities loaned
Other short-term borrowings
Other financial liabilities
For retail lending portfolios with a large number of homogenous loans (e.g. residential mortgages), the fair value is calculated
for each product segment by discounting the portfolio’s contractual cash flows using the Group’s new loan rates for lending to
issuers of similar credit quality. Key inputs for retail mortgages are the difference between historic and current product margins
and the estimated prepayment rates. Capitalized broker fees included in the carrying value are considered to also be fair
value.
The fair value of corporate lending portfolio is estimated by discounting the loan till its maturity with loan specific credit spreads
and funding costs for the Group.
For long-term debt and trust preferred securities, fair value is determined from quoted market prices, where available. Where
quoted market prices are not available, fair value is estimated using a valuation technique that discounts the remaining con-
tractual cash flows at a rate at which an instrument with similar characteristics is quoted in the market.
296
Deutsche Bank
Annual Report 2020
Notes to the consolidated balance sheet
14 – Fair value of financial instruments not carried at fair value
Estimated fair value of financial instruments not carried at fair value on the balance sheet1
in € m.
Financial assets:
Cash and central bank balances
Interbank balances (w/o central banks)
Central bank funds sold and securities
purchased under resale agreements
Securities borrowed
Loans
Other financial assets
Financial liabilities:
Deposits
Central bank funds purchased and securities
sold under repurchase agreements
Securities loaned
Other short-term borrowings
Other financial liabilities
Long-term debt
Trust preferred securities
Carrying value
Fair value
Quoted
prices in
active market
(Level 1)
Valuation
technique
observable
parameters
(Level 2)
Dec 31, 2020
Valuation
technique
unobservable
parameters
(Level 3)
166,208
9,130
166,208
9,132
166,208
866
0
8,266
0
0
8,533
0
426,995
94,069
8,519
0
434,442
94,393
0
0
0
7,714
7,694
0
13,253
86,049
825
0
421,189
629
568,031
568,172
66
568,105
0
2,325
1,697
3,553
96,602
149,163
1,321
2,328
1,697
3,556
96,602
150,691
1,069
0
0
0
1,902
0
0
2,328
1,697
3,540
94,700
144,130
1,069
0
0
15
0
6,560
0
Dec 31, 2019
Quoted
prices in
active market
(Level 1)
Valuation
technique
observable
parameters
(Level 2)
Valuation
technique
unobservable
parameters
(Level 3)
Fair value
Carrying value
137,592
9,636
137,592
9,636
137,592
116
in € m.
Financial assets:
Cash and central bank balances
Interbank balances (w/o central banks)
Central bank funds sold and securities
purchased under resale agreements
Securities borrowed
Loans
Other financial assets
Financial liabilities:
Deposits
Central bank funds purchased and securities
sold under repurchase agreements
Securities loaned
Other short-term borrowings
Other financial liabilities
Long-term debt
Trust preferred securities
1 Amounts generally presented on a gross basis, in line with the Group’s accounting policy regarding offsetting of financial instruments as described in Note 1 “Significant Ac-
3,114
259
5,219
85,771
125,344
1,7982
3,114
259
5,221
87,669
136,494
1,7982
3,115
259
5,218
87,669
136,473
2,013
0
0
0
1,898
0
0
13,801
428
436,997
94,423
13,801
428
429,841
94,157
13,801
428
11,376
78,463
0
0
0
15,960
0
9,520
0
0
2
0
11,150
0
0
0
425,620
0
572,476
572,596
572,208
120
0
0
0
counting Policies and Critical Accounting Estimates”.
2 Prior year information restated due to a refinement in the fair value calculation
For loans, the difference between fair value and carrying value is due to the effect of product margin movements since initial
recognition.
For long-term debt and trust preferred securities, the difference between fair value and carrying value is due to the effect of
changes in the rates at which the Group could issue debt with similar maturity and subordination at the balance sheet date
compared to when the instrument was issued.
297
Deutsche Bank
Annual Report 2020
Notes to the consolidated balance sheet
16 – Equity method investments
15 – Financial assets at fair value through other comprehensive
income
in € m.
Securities purchased under resale agreement
Debt securities:
German government
U.S. Treasury and U.S. government agencies
U.S. local (municipal) governments
Other foreign governments
Corporates
Other asset-backed securities
Mortgage-backed securities, including obligations of U.S. federal agencies
Other debt securities
Total debt securities
Loans
Total financial assets at fair value through other comprehensive income
16 – Equity method investments
Dec 31, 2020
1,543
Dec 31, 2019
1,415
10,245
9,221
251
26,308
2,272
31
636
692
49,656
4,635
55,834
6,243
7,703
0
21,020
3,423
36
457
332
39,214
4,874
45,503
Investments in associates and jointly controlled entities are accounted for using the equity method of accounting.
The Group holds interests in 60 (2019: 65) associates and 11 (2019: 13) jointly controlled entities. Two associates are con-
sidered to be material to the Group.
Significant investments as of December 31, 20201
Investment
Huarong Rongde Asset Management Company Lim-
ited
Harvest Fund Management Co., Ltd.
1 The Group has significant influence over these investees through its holding percentage and representation on the board seats.
Principal place of business
Shanghai, China
Nature of relationship
Beijing, China
Strategic Investment
Strategic Investment
Summarized financial information on Huarong Rongde Asset Management Company Limited1
in € m.
Total net revenues
Net income
Other comprehensive income
Total comprehensive income2
in € m.
Current assets
Non-Current assets
Total assets
Current liabilities
Non-Current liabilities
Total liabilities
Noncontrolling Interest
Net assets of the equity method investee
Ownership percentage
40.7 %
30.0 %
Dec 31, 2019
97
62
54
116
Dec 31, 2019
2,323
804
3,127
1,157
1,274
2,431
(3)
699
Dec 31, 2018
118
74
(55)
19
Dec 31, 2018
4,160
1,507
5,667
1,820
2,712
4,532
417
718
1 Due to the difference in reporting timelines for the Group and Huarong Rongde Asset Management Company Limited Equity method accounting was performed for December
2020 based on December 2019 PRC GAAP audited financials and for December 2019 based on December 2018 PRC GAAP audited financials.
2 The Group received dividends from Huarong Rongde Asset Management Company Limited of € 9 million during the reporting period 2020 (2019: € 7 million).
Reconciliation of total net assets of Huarong Rongde Asset Management Company Limited to the Group’s carrying amount1
in € m.
Net assets of the equity method investee
Group's ownership percentage on the investee's equity
Group's share of net assets
Goodwill
Intangible Assets
Other adjustments
Carrying amount2
1 Due to the difference in reporting timelines for the Group and Huarong Rongde Asset Management Company Limited Equity method accounting was performed for December
Dec 31, 2018
718
40.7 %
292
0
0
(7)
286
284
0
0
(9)
275
Dec 31, 2019
40.7 %
699
2020 based on December 2019 PRC GAAP audited financials and for December 2019 based on December 2018 PRC GAAP audited financials.
2 There is no impairment loss in 2019 and 2018.
298
Deutsche Bank
Annual Report 2020
Notes to the consolidated balance sheet
17 – Offsetting financial assets and financial liabilities
Summarized financial information on Harvest Fund Management Co., Ltd.
in € m.
Total net revenues
Net income
Other comprehensive income
Total comprehensive income3
in € m.
Current assets
Non-Current assets
Total assets
Current liabilities
Non-Current liabilities
Total liabilities
Noncontrolling Interest
Net assets of the equity method investee
Dec 31, 2020¹
823
226
(2)
224
Dec 31, 2020
1,072
731
1,803
643
262
905
23
875
Dec 31, 2019²
606
146
2
148
Dec 31, 2019
883
720
1,603
652
165
817
21
765
1 December 2020 numbers are based on 2020 unaudited financials.
2 December 2019 numbers are based on 2019 audited financials.
3 The Group received dividends from Harvest Fund Management Co., Ltd. of € 21 million during the reporting period 2020 (2019: € 21 million) and reported an extraordinary
dividend receivable of € 6 million since the dividend amount has been declared and reported as dividend payable following approval by shareholders of Harvest Fund Man-
agement Co., Ltd.
Reconciliation of total net assets of Harvest Fund Management Co., Ltd.to the Group’s carrying amount
in € m.
Net assets of the equity method investee
Group's ownership percentage on the investee's equity
Group's share of net assets
Goodwill
Intangible Assets
Other adjustments
Carrying amount3
1 December 2020 numbers are based on 2020 unaudited financials.
2 December 2019 numbers are based on 2019 audited financials.
3 There is no impairment loss in 2020 (€ 0 million in 2019).
Dec 31, 2020¹
875
30 %
262
16
14
(2)
290
Dec 31, 2019²
765
30 %
230
17
14
0
261
Aggregated financial information on the Group’s share in associates and joint ventures that are individually immaterial
in € m.
Carrying amount of all associates that are individually immaterial to the Group
Aggregated amount of the Group's share of profit (loss) from continuing operations
Aggregated amount of the Group's share of post-tax profit (loss) from discontinued operations
Aggregated amount of the Group's share of other comprehensive income
Aggregated amount of the Group's share of total comprehensive income
Dec 31, 2020
337
20
0
(10)
10
Dec 31, 2019
383
39
0
(1)
38
17 – Offsetting financial assets and financial liabilities
The Group is eligible to present certain financial assets and financial liabilities on a net basis on the balance sheet pursuant
to criteria described in Note 1 “Significant Accounting Policies and Critical Accounting Estimates: Offsetting Financial Instru-
ments”.
The following tables provide information on the impact of offsetting on the consolidated balance sheet, as well as the financial
impact of netting for instruments subject to an enforceable master netting arrangement or similar agreement as well as avail-
able cash and financial instrument collateral.
299
Deutsche Bank
Annual Report 2020
Notes to the consolidated balance sheet
17 – Offsetting financial assets and financial liabilities
Assets
in € m.
Central bank funds sold and securities purchased
under resale agreements (enforceable)
Central bank funds sold and securities purchased
under resale agreements (non-enforceable)
Securities borrowed (enforceable)
Securities borrowed (non-enforceable)
Financial assets at fair value through profit or loss (en-
forceable)
Of which: Positive market values from derivative fi-
nancial instruments (enforceable)
Financial assets at fair value through profit or loss
(non-enforceable)
Of which: Positive market values from derivative fi-
nancial instruments (non-enforceable)
Total financial assets at fair value through profit
or loss
Loans at amortized cost
Other assets
Of which: Positive market values from derivatives
qualifying for hedge accounting (enforceable)
Remaining assets subject to netting
Remaining assets not subject to netting
Total assets
Net
amounts
of financial
assets
presented
on the
balance
sheet
Gross
amounts
set off
on the
balance
sheet
Gross
amounts
of financial
assets
Amounts not set off on the balance sheet
Dec 31, 2020
Impact of
Master
Netting
Agreements
Cash
collateral
Financial
instrument
collateral¹
Net amount
8,234
(2,863)
5,371
3,161
0
0
0
0
0
3,161
0
0
0
0
0
0
0
(5,319)
53
0
0
0
(2,855)
0
0
307
0
0
463,354
(84,550) 378,804 (263,479)
(45,066)
(58,410)
11,849
336,933
(12,552) 324,380 (262,486)
(45,048)
(5,162)
11,684
149,137
0 149,137
0
(1,098)
(12,790) 135,249
19,074
0
19,074
0
(1,003)
(1,116)
16,955
612,491
426,995
120,574
(84,550) 527,941 (263,479)
0
(43,316)
0 426,995
(10,175) 110,399
(46,164)
(12,129)
(412)
(71,200) 147,098
(52,571) 362,294
66,581
(90)
3,329
1,543
249,848
1,422,846
3,303
(26)
0
1,543
0 249,848
(2,646)
0
0
(97,587) 1,325,259 (306,795)
(90)
0
(411)
0
(384)
156
1,543
(2,768) 246,697
(59,089) (134,803) 824,573
1 Excludes real estate and other non-financial instrument collateral.
Liabilities
Amounts not set off on the balance sheet
Dec 31, 2020
Net
amounts
of financial
liabilities
presented
on the
balance
sheet
Gross
amounts
set off
on the
balance
sheet
0 568,031
Impact of
Master
Netting
Agreements
Gross
amounts
of financial
liabilities
568,031
4,586
(2,263)
2,323
3
1,686
11
0
0
0
3
1,686
11
Cash
collateral
0
Financial
instrument
collateral
Net amount
0 568,031
0
(2,323)
0
0
0
(2)
(1,686)
(2)
0
1
0
9
0
0
0
0
0
478,541
(85,315) 393,226 (265,150)
(34,846)
(41,642)
51,588
325,203
(13,227) 311,976 (264,042)
(34,846)
(5,816)
7,273
25,972
0
25,972
0
(1,875)
(6,184)
17,914
15,798
0
15,798
0
(1,875)
(166)
13,757
504,513
124,218
(85,315) 419,199 (265,150)
(49,534)
(10,010) 114,208
(36,721)
(121)
(47,826)
(6)
69,502
64,547
2,803
157,602
1,360,650
(1,524)
1,279
0 157,602
(1,090)
0
(97,587) 1,263,063 (314,684)
(121)
(2)
(36,844)
(6)
62
(1) 157,599
(51,845) 859,689
in € m.
Deposits
Central bank funds purchased and securities sold
under repurchase agreements (enforceable)
Central bank funds purchased and securities sold
under repurchase agreements (non-enforceable)
Securities loaned (enforceable)
Securities loaned (non-enforceable)
Financial liabilities at fair value through profit or loss
(enforceable)
Of which: Negative market values from derivative fi-
nancial instruments (enforceable)
Financial liabilities at fair value through profit or loss
(non-enforceable)
Of which: Negative market values from derivative fi-
nancial instruments (non-enforceable)
Total financial liabilities at fair value through profit
or loss
Other liabilities
Of which: Negative market values from derivatives
qualifying for hedge accounting (enforceable)
Remaining liabilities not subject to netting
Total liabilities
Other assets include € 1.4 billion positive market values for derivative financial instruments which have been reclassified into
asset held for sale, associated with the Prime Finance platform being transferred to BNP Paribas, along with the corresponding
impact of master netting agreements and collateralization. Due to the same reason, other liabilities include € 1.9 billion nega-
tive market values for derivative financial instruments which have been reclassified into liabilities held for sale, along with the
corresponding impact of master netting agreements and collateralization. For further information please refer to Note 24 Non-
Current Assets and Disposal Groups Held for Sale” to the consolidated financial statements.
300
Deutsche Bank
Annual Report 2020
Notes to the consolidated balance sheet
17 – Offsetting financial assets and financial liabilities
Assets
Net
amounts
of financial
assets
presented
on the
balance
sheet
Gross
amounts
set off
on the
balance
sheet
Gross
amounts
of financial
assets
Amounts not set off on the balance sheet
Dec 31, 2019
Impact of
Master
Netting
Agreements
Cash
collateral
Financial
instrument
collateral¹
Net amount
14,174
(2,985)
11,189
2,612
424
4
0
0
0
2,612
424
4
0
0
0
0
0
(11,186)
3
0
0
0
(2,464)
(299)
(4)
148
124
0
476,371
(96,171) 380,200 (263,180)
(41,115)
(65,075)
10,830
337,117
(17,479) 319,638 (262,326)
(41,115)
(5,535)
10,661
150,513
0 150,513
0
(1,119)
(12,424) 136,971
13,293
0
13,293
0
(1,062)
(896)
11,335
626,884
429,841
116,259
(96,171) 530,713 (263,180)
0
(37,267)
0 429,841
(5,900) 110,359
(42,234)
(11,819)
(570)
(77,498) 147,801
(55,458) 362,563
72,384
(138)
(2,149)
3,004
0
1,415
0
211,117
1,402,730 (105,056) 1,297,674 (300,447)
2,780
(224)
0
1,415
0 211,117
(443)
0
(745)
94
(94)
(1,361)
54
(1,276) 209,096
(55,368) (149,685) 792,174
in € m.
Central bank funds sold and securities purchased
under resale agreements (enforceable)
Central bank funds sold and securities purchased
under resale agreements (non-enforceable)
Securities borrowed (enforceable)
Securities borrowed (non-enforceable)
Financial assets at fair value through profit or loss
(enforceable)
Of which: Positive market values from derivative fi-
nancial instruments (enforceable)
Financial assets at fair value through profit or loss
(non-enforceable)
Of which: Positive market values from derivative fi-
nancial instruments (non-enforceable)
Total financial assets at fair value through profit
or loss
Loans at amortized cost
Other assets
Of which: Positive market values from derivatives
qualifying for hedge accounting (enforceable)
Remaining assets subject to netting
Remaining assets not subject to netting
Total assets
1 Excludes real estate and other non-financial instrument collateral.
Liabilities
Amounts not set off on the balance sheet
Dec 31, 2019
Net
amounts
of financial
liabilities
presented
on the
balance
sheet
Gross
amounts
set off
on the
balance
sheet
0 572,208
Impact of
Master
Netting
Agreements
Gross
amounts
of financial
liabilities
572,208
5,452
(2,985)
2,467
648
191
68
0
0
0
648
191
68
Cash
collateral
0
Financial
instrument
collateral
Net amount
0 572,208
0
(2,467)
0
0
0
0
(400)
(191)
(61)
248
0
7
0
0
0
0
0
476,677
(96,316) 380,361 (264,392)
(29,755)
(42,121)
44,093
324,374
(18,125) 306,249 (263,358)
(29,755)
(6,108)
7,028
24,087
0
24,087
0
(1,535)
(7,982)
14,570
10,257
0
10,257
0
(1,286)
(401)
8,571
500,764
113,719
(96,316) 404,448 (264,392)
(45,985)
(5,754) 107,964
(31,290)
(418)
(50,103)
(15)
58,663
61,546
2,539
(1,118)
0
147,521
1,340,571 (105,056) 1,235,515 (310,376)
1,431
0 147,521
(1,109)
(269)
0
(31,708)
(15)
28
(4) 147,517
(53,240) 840,190
in € m.
Deposits
Central bank funds purchased and securities sold
under repurchase agreements (enforceable)
Central bank funds purchased and securities sold
under repurchase agreements (non-enforceable)
Securities loaned (enforceable)
Securities loaned (non-enforceable)
Financial liabilities at fair value through profit or loss
(enforceable)
Of which: Negative market values from derivative fi-
nancial instruments (enforceable)
Financial liabilities at fair value through profit or loss
(non-enforceable)
Of which: Negative market values from derivative fi-
nancial instruments (non-enforceable)
Total financial liabilities at fair value through profit
or loss
Other liabilities
Of which: Negative market values from derivatives
qualifying for hedge accounting (enforceable)
Remaining liabilities not subject to netting
Total liabilities
Other assets include € 1.8 billion positive market values for derivative financial instruments which have been reclassified into
asset held for sale, associated with the Prime Finance platform being transferred to BNP Paribas, along with the corresponding
impact of master netting agreements and collateralization. Due to the same reason, other liabilities include € 2.5 billion nega-
tive market values for derivative financial instruments which have been reclassified into liabilities held for sale, along with the
corresponding impact of master netting agreements and collateralization. For further information please refer to Note 24 “Non-
Current Assets and Disposal Groups Held for Sale” to the consolidated financial statements.
301
Deutsche Bank
Annual Report 2020
Notes to the consolidated balance sheet
18 – Loans
Effective December 30, 2019, the Group elected to convert its interest rate swaps (IRS) transacted with the Japan Securities
Clearing Corporation (JSCC) from the previous collateral model to a settlement model. The IRS are now legally settled on a
daily basis resulting in derecognition of the associated assets and liabilities. Previously, the Group applied the principles of
IAS 32 offsetting to present net the positive (negative) carrying amounts of the IRS and associated variation margin payables
(receivables). As a result, gross amounts of financial assets and financial liabilities and corresponding gross amounts set off
on the balance sheet decreased by € 5.0 billion and € 3.9 billion as of December 31, 2019, respectively, with no change to the
net amounts of financial assets and financial liabilities presented on the balance sheet.
The column ‘Gross amounts set off on the balance sheet’ discloses the amounts offset in accordance with all the criteria
described in Note 1 “Significant Accounting Policies and Critical Accounting Estimates: Offsetting Financial Instruments”.
The column ‘Impact of Master Netting Agreements’ discloses the amounts that are subject to master netting agreements but
were not offset because they did not meet the net settlement/simultaneous settlement criteria; or because the rights of set off
are conditional upon the default of the counterparty only. The amounts presented for other assets and other liabilities include
cash margin receivables and payables respectively.
The columns ‘Cash collateral’ and ‘Financial instrument collateral’ disclose the cash and financial instrument collateral
amounts received or pledged in relation to the total amounts of assets and liabilities, including those that were not offset.
Non-enforceable master netting agreements or similar agreements refer to contracts executed in jurisdictions where the rights
of set off may not be upheld under the local bankruptcy laws.
The cash collateral received against the positive market values of derivatives and the cash collateral pledged towards the
negative mark-to-market values of derivatives are booked within the ‘Other liabilities’ and ‘Other assets’ balances respectively.
The Cash and Financial instrument collateral amounts disclosed reflect their fair values. The rights of set off relating to the
cash and financial instrument collateral are conditional upon the default of the counterparty.
18 – Loans
The entire loan book presented includes loans classified at amortized cost, loans at fair value through other comprehensive
income and loans at fair value through profit and loss.
The below table gives an overview of our loan exposure 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 classi-
fication system.
302
Deutsche Bank
Annual Report 2020
Notes to the consolidated balance sheet
19 – Allowance for credit losses
Loans by industry classification
in € m.
Agriculture, forestry and fishing
Mining and quarrying
Manufacturing
Electricity, gas, steam and air conditioning supply
Water supply, sewerage, waste management and remediation activities
Construction
Wholesale and retail trade, repair of motor vehicles and motorcycles
Transport and storage
Accommodation and food service activities
Information and communication
Financial and insurance activities
Real estate activities
Professional, scientific and technical activities
Administrative and support service activities
Public administration and defense, compulsory social security
Education
Human health services and social work activities
Arts, entertainment and recreation
Other service activities
Activities of households as employers, undifferentiated goods- and services-producing activities of households for
own use
Activities of extraterritorial organizations and bodies
Gross loans
(Deferred expense)/unearned income
Loans less (deferred expense)/unearned income
Less: Allowance for loan losses
Total loans
Dec 31, 2020
637
3,145
28,040
3,765
681
4,708
22,023
6,382
2,514
6,240
90,220
37,946
7,946
9,568
7,413
205
3,530
951
6,165
Dec 31, 2019
676
3,027
30,199
4,577
843
4,110
22,568
5,610
2,633
6,575
98,434
45,153
7,430
7,063
8,012
327
3,631
867
5,766
205,331
196,732
1
447,410
394
447,016
4,823
442,193
3
454,235
340
453,895
4,018
449,876
19 – Allowance for credit losses
The allowance for credit losses consists of an allowance for loan losses and an allowance for off-balance sheet positions.
Development of allowance for credit losses for financial assets at amortized cost
Dec 31, 2020
Allowance for Credit Losses³
Stage 2
Stage 1
Stage 3 POCI
549
(44)
77
in €
Balance, beginning of year
Movements in financial assets including new business
Transfers due to changes in creditworthiness
Changes due to modifications that did not result in
derecognition
Changes in models
Financial assets that have been derecognized during the pe-
(781)
riod²
58
Recovery of written off amounts
(110)
Foreign exchange and other changes
4,946
Balance, end of reporting period
Provision for Credit Losses excluding country risk¹
1,686
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
(781)
58
(75)
3,614
1,397
Stage 3
3,015
1,348
49
0
0
31
139
72
0
0
(28)
648
184
0
0
(38)
544
33
492
309
(125)
Total
4,093
1,686
0
36
724
N/M
N/M
0
N/M
0
N/M
0
N/M
0
N/M
0
country risk.
2 This position includes charge offs of allowance for credit losses.
3 Allowance for credit losses does not include allowance for country risk amounting to € 5 million as of December 31, 2020.
4 The total amount of undiscounted expected credit losses at initial recognition on financial assets that are purchased or originated credit-impaired initially recognised during the
reporting period was € 50 million in 2020 and € 0 million in 2019.
303
Deutsche Bank
Annual Report 2020
Notes to the consolidated balance sheet
19 – Allowance for credit losses
Dec 31, 2019
Allowance for Credit Losses³
Stage 1
Stage 2
Stage 3 POCI
509
(57)
120
in €
Balance, beginning of year
Movements in financial assets including new business
Transfers due to changes in creditworthiness
Changes due to modifications that did not result in
derecognition
Changes in models
Financial assets that have been derecognized during the pe-
(898)
riod²
96
Recovery of written off amounts
0
Foreign exchange and other changes
4,093
Balance, end of reporting period
Provision for Credit Losses excluding country risk¹
636
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
(872)
96
8
3,015
536
Stage 3
3,247
550
(14)
0
0
(4)
492
(4)
0
0
(22)
549
62
(26)
0
18
36
40
501
102
(106)
Total
4,259
636
0
3
40
0
N/M
0
N/M
0
N/M
0
N/M
0
N/M
0
country risk.
2 This position includes charge offs of allowance for credit losses.
3 Allowance for credit losses does not include allowance for country risk amounting to € 3 million as of December 31, 2019.
Dec 31, 2018
Allowance for Credit Losses³
Stage 2
Stage 1
Stage 3 POCI
462
(132)
199
in €
Balance, beginning of year
Movements in financial assets including new business
Transfers due to changes in creditworthiness
Changes due to modifications that did not result in
derecognition
Changes in models
Financial assets that have been derecognized during the pe-
(995)
riod²
172
Recovery of written off amounts
(21)
Foreign exchange and other changes
4,259
Balance, end of reporting period
Provision for Credit Losses excluding country risk¹
507
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
(972)
172
30
3,247
379
Stage 3
3,638
440
(62)
(17)
0
(54)
501
78
(6)
0
(14)
509
66
0
0
17
3
(17)
494
215
(137)
Total
4,596
507
0
N/M
0
N/M
0
N/M
0
N/M
0
3
(17)
N/M
0
country risk.
2 This position includes charge offs of allowance for credit losses.
3 Allowance for credit losses does not include allowance for country risk amounting to € 6 million as of December 31, 2018.
Allowance for credit losses for financial assets at fair value through OCI1
Dec 31, 2020
Allowance for Credit Losses
in € m.
Fair Value through OCI
1 Allowance for credit losses against financial assets at fair value through OCI remained at very low levels (€ 35 million at December 31, 2019 and € 20 million as of Decem-
Stage 3 POCI
12
Stage 1
Stage 3
Stage 2
0
6
2
Total
20
ber 31, 2020). Due to immateriality, we do not provide any details on the year-over-year development.
Dec 31, 2019
Allowance for Credit Losses
in € m.
Fair Value through OCI
1 Allowance for credit losses against financial assets at fair value through OCI were almost unchanged at very low levels (€ 13 million at December 31, 2018 and € 35 million as
Total
35
Stage 3 POCI
10
16
Stage 2
Stage 3
Stage 1
0
9
of December 31, 2019). Due to immateriality, we do not provide any details on the year-over-year development.
Dec 31, 2018
Allowance for Credit Losses
in € m.
Fair Value through OCI
1 Allowance for credit losses against financial assets at fair value through OCI were almost unchanged at very low levels (€ 12 million at the beginning of year 2018 and
Stage 3 POCI
11
Stage 1
Stage 3
Stage 2
(0)
1
0
€ 13 million as of December 31, 2018, respectively). Due to immateriality, we do not provide any details on the year-over-year development.
Total
13
304
Deutsche Bank
Annual Report 2020
Notes to the consolidated balance sheet
20 – Transfer of financial assets, assets pledged and received as collateral
Development of allowance for credit losses for off-balance sheet positions
Stage 1
in € m.
Balance, beginning of year
Movements including new business
Transfers due to changes in creditworthiness
Changes in models
Foreign exchange and other changes
Balance, end of reporting period
Provision for Credit Losses excluding country risk1
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
166
41
(1)
0
(6)
200
40
128
13
0
0
3
144
13
48
21
0
0
4
74
22
0
0
0
0
0
0
0
Stage 3 POCI
Stage 2
Stage 3
Dec 31, 2020
Allowance for Credit Losses2
Total
342
75
0
0
1
419
75
creditworthiness and changes in models.
2 Allowance for credit losses does not include allowance for country risk amounting to € 4 million as of December 31, 2020.
Stage 1
in € m.
Balance, beginning of year
Movements including new business
Transfers due to changes in creditworthiness
Changes in models
Foreign exchange and other changes
Balance, end of reporting period
Provision for Credit Losses excluding country risk1
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 creditworthi-
84
88
3
0
(9)
166
90
132
(13)
9
0
(1)
128
(4)
73
(5)
(12)
0
(7)
48
(17)
0
0
0
0
0
0
0
Stage 3 POCI
Stage 2
Stage 3
Dec 31, 2019
Allowance for Credit Losses2
Total
289
70
0
0
(17)
342
70
ness and changes in models.
2 Allowance for credit losses does not include allowance for country risk amounting to € 4 million as of December 31, 2019.
Stage 1
in € m.
Balance, beginning of year
Movements including new business
Transfers due to changes in creditworthiness
Changes in models
Foreign exchange and other changes
Balance, end of reporting period
Provision for Credit Losses excluding country risk1
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 creditworthi-
119
(13)
(2)
0
(20)
84
(15)
117
(0)
2
0
14
132
1
36
31
(0)
0
6
73
31
0
0
0
0
0
0
0
Stage 3 POCI
Stage 2
Stage 3
Dec 31, 2018
Allowance for Credit Losses2
Total
272
18
0
0
(0)
289
18
ness and changes in models.
2 Allowance for credit losses does not include allowance for country risk amounting to € 5 million as of December 31, 2018.
20 – Transfer of financial assets, assets pledged and received
as collateral
The Group enters into transactions in which it transfers financial assets held on the balance sheet and as a result may either
be eligible to derecognize the transferred asset in its entirety or must continue to recognize the transferred asset to the extent
of any continuing involvement, depending on certain criteria. These criteria are discussed in Note 1 “Significant Accounting
Policies and Critical Accounting Estimates”.
Where financial assets are not eligible to be derecognized, the transfers are viewed as secured financing transactions, with
any consideration received resulting in a corresponding liability. The Group is not entitled to use these financial assets for any
other purposes. The most common transactions of this nature entered into by the Group are repurchase agreements, securi-
ties lending agreements and total return swaps, in which the Group retains substantially all of the associated credit, equity
price, interest rate and foreign exchange risks and rewards associated with the assets as well as the associated income
streams.
305
Deutsche Bank
Annual Report 2020
Notes to the consolidated balance sheet
20 – Transfer of financial assets, assets pledged and received as collateral
Information on asset types and associated transactions that did not qualify for derecognition
in € m.
Carrying amount of transferred assets
Trading securities not derecognized due to the following transactions:
Repurchase agreements
Securities lending agreements
Total return swaps
Other
Total trading securities
Other trading assets
Non-trading financial assets mandatory at fair value through profit or loss
Financial assets at fair value through other comprehensive income
Loans at amortized cost1
Others
Total
Carrying amount of associated liabilities
Dec 31, 2020
Dec 31, 2019
40,654
8,951
1,319
5,028
55,953
21
666
5,951
210
72
62,872
53,348
31,329
13,001
1,615
2,341
48,285
90
439
2,537
310
236
51,897
37,790
¹ Loans where the associated liability is recourse only to the transferred assets had NIL carrying value and fair value as at December 31, 2020 and December 31, 2019. The
associated liabilities had the same carrying value and fair value which resulted in a net position of 0.
Carrying value of assets transferred in which the Group still accounts for the asset to the extent of its continuing involvement
in € m.
Carrying amount of the original assets transferred
Trading securities
Financial assets designated at fair value through profit or loss
Non-trading financial assets mandatory at fair value through profit or loss
Carrying amount of the assets continued to be recognized
Trading securities
Financial assets designated at fair value through profit or loss
Non-trading financial assets mandatory at fair value through profit or loss
Carrying amount of associated liabilities
Dec 31, 2020
Dec 31, 2019
1,039
0
673
81
0
17
139
1,101
0
698
109
0
23
185
The Group could retain some exposure to the future performance of a transferred asset either through new or existing con-
tractual rights and obligations and still be eligible to derecognize the asset. This ongoing involvement will be recognized as a
new instrument which may be different from the original financial asset that was transferred. Typical transactions include
retaining senior notes of non-consolidated securitizations to which originated loans have been transferred; financing arrange-
ments with structured entities to which the Group has sold a portfolio of assets; or sales of assets with credit-contingent swaps.
The Group’s exposure to such transactions is not considered to be significant as any substantial retention of risks associated
with the transferred asset will commonly result in an initial failure to derecognize. Transactions not considered to result in an
ongoing involvement include normal warranties on fraudulent activities that could invalidate a transfer in the event of legal
action, qualifying pass-through arrangements and standard trustee or administrative fees that are not linked to performance.
The impact on the Group’s Balance Sheet of on-going involvement associated with transferred assets derecognized in full
in € m.
Loans at amortized cost
Securitization notes
Other
Total loans at amortized cost
Financial assets held at fair value through profit or loss
Securitization notes
Non-standard Interest Rate, cross-currency or inflation-linked swap
Total financial assets held at fair value through profit or loss
Financial assets at fair value through other comprehensive income:
Securitization notes
Other
Total financial assets at fair value through other comprehensive income
Total financial assets representing on-going involvement
Financial liabilities held at fair value through profit or loss
Non-standard Interest Rate, cross-currency or inflation-linked swap
Total financial liabilities representing on-going involvement
Carrying
value
Fair value
Dec 31,2020
Maximum
Exposure
to Loss¹
Carrying
value
Fair value
Dec 31,2019
Maximum
Exposure
to Loss¹
254
7
261
271
7
279
271
7
279
325
10
336
334
10
344
28
0
28
624
0
624
913
28
0
28
645
0
645
951
28
0
28
645
0
645
951
36
0
36
457
0
457
828
36
0
36
465
0
465
845
11
11
11
11
0
0
11
11
11
11
334
10
344
36
0
36
465
0
465
845
0
0
1 The maximum exposure to loss is defined as the carrying value plus the notional value of any undrawn loan commitments not recognized as liabilities.
306
Deutsche Bank
Annual Report 2020
Notes to the consolidated balance sheet
20 – Transfer of financial assets, assets pledged and received as collateral
The impact on the Group’s Statement of Income of on-going involvement associated with transferred assets derecognized in full
in € m.
Securitization notes
Non-standard Interest Rate, cross-currency or
inflation-linked swap
Net gains/(losses) recognized from on-going
involvement in derecognized assets
Year-to-
date P&L
Cumulative
P&L
Dec 31,2020
Gain/(loss)
on disposal
Year-to-
date P&L
Cumulative
P&L
22
49
99
15
27
Dec 31,2019
Gain/(loss)
on disposal
100
(1)
(1)
0
(0)
(0)
0
21
48
99
15
27
100
The Group pledges assets primarily as collateral against secured funding and for repurchase agreements, securities borrowing
agreements as well as other borrowing arrangements and for margining purposes on OTC derivative liabilities. Pledges are
generally conducted under terms that are usual and customary for standard securitized borrowing contracts and other trans-
actions described.
Carrying value of the Group’s assets pledged as collateral for liabilities or contingent liabilities1
in € m.
Financial assets at fair value through profit or loss
Financial assets at fair value through other comprehensive income
Loans
Other
Total
1 Excludes assets pledged as collateral from transactions that do not result in liabilities or contingent liabilities.
Total assets pledged to creditors available for sale or repledge1
in € m.
Financial assets at fair value through profit or loss
Financial assets at fair value through other comprehensive income
Loans
Other
Total
1 Includes assets pledged as collateral from transactions that do not result in liabilities or contingent liabilities.
Dec 31, 2020
47,553
7,858
77,433
1,257
134,101
Dec 31, 2019
36,686
2,943
70,323
1,617
111,570
Dec 31, 2020
44,210
4,911
2,232
72
51,426
Dec 31, 2019
34,503
1,303
132
236
36,174
The Group receives collateral primarily in reverse repurchase agreements, securities lending agreements, derivatives trans-
actions, customer margin loans and other transactions. These transactions are generally conducted under terms that are usual
and customary for standard secured lending activities and the other transactions described. The Group, as the secured party,
has the right to sell or re-pledge such collateral, subject to the Group returning equivalent securities upon completion of the
transaction. This right is used primarily to cover short sales, securities loaned and securities sold under repurchase agree-
ments.
Fair Value of collateral received
in € m.
Securities and other financial assets accepted as collateral
Of which:
Collateral sold or repledged
Dec 31, 2020
237,157
Dec 31, 2019
251,757
199,346
200,378
307
Deutsche Bank
Annual Report 2020
Notes to the consolidated balance sheet
21 – Property and equipment
21 – Property and equipment
in € m.
Cost of acquisition:
Balance as of January 1,
2019
Changes in the group of
consolidated companies
Additions
Transfers
Reclassifications (to)/from
“held for sale”
Disposals
Exchange rate changes
Balance as of December
31, 2019
Changes in the group of
consolidated companies
Additions
Transfers
Reclassifications (to)/from
“held for sale”
Disposals
Exchange rate changes
Balance as of December
31, 2020
Accumulated depreciation
and impairment:
Balance as of January 1,
2019
Changes in the group of
consolidated companies
Depreciation
Impairment losses
Reversals of impairment
losses
Transfers
Reclassifications (to)/from
“held for sale”
Disposals
Exchange rate changes
Balance as of December
31, 2019
Changes in the group of
consolidated companies
Depreciation
Impairment losses
Reversals of impairment
losses
Transfers
Reclassifications (to)/from
“held for sale”
Disposals
Exchange rate changes
Balance as of December
31, 2020
Carrying amount:
Balance as of December
31, 2019
Balance as of December
31, 2020
Owner occupied
properties
Furniture and
equipment
Leasehold
improvements
Construction-in-
progress
Property and
equipment
owned (IAS 16)
Right-of-use for
leased assets
(IFRS 16)
Total
778
2,602
2,860
142
6,382
3,185
9,567
0
8
(56)
(0)
75
1
(165)
111
15
(11)
190
19
0
49
116
0
82
19
(0)
(165)
0
(165)
160
(147)
(0)
0
1
327
(72)
(11)
347
39
413
32
0
115
19
740
(40)
(11)
462
58
656
2,380
2,961
155
6,153
3,533
9,686
0
2
8
(73)
2
(4)
(1)
128
173
(65)
223
(50)
(0)
47
43
0
96
(58)
(0)
335
(97)
(1)
0
(5)
(1)
512
127
(139)
321
(117)
(1)
1,806
(388)
(0)
41
(64)
(3)
2,317
(261)
(139)
362
(181)
587
2,343
2,897
387
6,214
4,844
11,058
328
1,862
1,770
0
3,960
5
18
20
0
(31)
(0)
16
0
(49)
199
2
0
(4)
(4)
180
15
0
217
5
0
(16)
0
66
16
325
1,841
1,927
0
16
5
3
2
(25)
1
(3)
(1)
171
2
0
145
(53)
206
(42)
(0)
187
8
0
2
0
89
(45)
317
1,856
1,989
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
1
615
85
0
41
0
79
0
3,960
(43)
1,049
112
0
(10)
(5)
341
32
(44)
434
27
0
(51)
(5)
262
32
4,093
663
4,756
(1)
373
16
3
149
(78)
296
(90)
0
648
77
10
5
0
11
(24)
(1)
1,021
93
12
153
(78)
307
(114)
4,163
1,347
5,510
331
540
1,034
155
2,060
2,870
4,930
270
487
908
387
2,051
3,497
5,549
Depreciation expenses, impairment losses and reversal of impairment losses on property and equipment are recorded within
general and administrative expenses for the income statement.
The carrying value of items of property and equipment on which there is a restriction on sale was € 23 million and € 24 million
as of December 31, 2020 and December 31, 2019, respectively.
308
Deutsche Bank
Annual Report 2020
Notes to the consolidated balance sheet
22 – Leases
Commitments for the acquisition of property and equipment were € 27 million at year-end 2020 and € 46 million at year-end
2019.
The Group leases many assets including land and buildings, vehicles and IT equipment for which it records right-of-use assets.
During 2020, additions to right-of-use assets amounted to € 1.8 billion and largely reflected new real estate leases. Deprecia-
tion charges of € 648 million recognized in 2020 mainly resulted from planned consumption of right-of-use assets for property
leases over their contractual terms. The carrying amount of right-of-use assets of € 3.5 billion included in Total Property and
equipment as of December 31, 2020 predominantly represented leased properties of € 3.5 billion and vehicle leases of
€ 12 million. For more information on the Group´s leased properties and related disclosures required under IFRS 16, please
refer to Note 22 “Leases”.
22 – Leases
The Group’s disclosures are as a lessee under lease arrangements covering property and equipment. The Group has applied
judgement in presenting related information pursuant to IFRS 16 in a manner that it considers to be most relevant to an
understanding of its financial performance and position.
The Group leases many assets including land and buildings, vehicles and IT equipment. The Group is a lessee for the majority
of its offices and branches under long-term rental agreements. Most of the lease contracts are made under usual terms and
conditions, which means they include options to extend the lease by a defined amount of time, price adjustment clauses and
escalation clauses in line with general office rental market conditions. However, the lease agreements do not include any
clauses that impose any restriction on the Group’s ability to pay dividends, engage in debt financing transactions or enter into
further lease agreements.
As of December 31, 2020 (December 31, 2019), the Group recorded right-of-use assets on its balance sheet with a carrying
amount of € 3.5 billion (€ 2.9 billion), which are included in Property and equipment. The right-of-use assets predominantly
represented leased properties of € 3.5 billion (€ 2.8 billion) and vehicle leases of € 12 million (€ 19 million). For more infor-
mation on the year-to-date development of right-of-use assets, please refer to Note 21 “Property and Equipment”.
Corresponding to the recognition of the right-of-use assets, as of December 31, 2020 (December 31, 2019), the Group rec-
orded lease liabilities on its balance sheet with a carrying amount of € 4.0 billion (€ 3.3 billion), which are included in Other
liabilities. As of December 31, 2020, the lease liabilities included the discounted value of future lease payments of € 348 million
for the Group headquarters in Frankfurt am Main that was sold and leased back on December 1, 2011. The Group entered
into a 181 months leaseback arrangement for the entire facility in connection with the transaction, which also includes the
option to extend the lease for an additional 5 year period up to 2031.
During 2020 and 2019, interest expenses recorded from the compounding of the lease liabilities amounted to € 79 million and
€ 80 million, respectively. The contractual maturities for the undiscounted cash flows from these liabilities are shown in Note 31
“Maturity Analysis of the earliest contractual undiscounted cash flows of Financial Liabilities”.
Expenses recognized in 2020 (2019) relating to short-term leases and leases of low-value assets, for which the Group decided
to apply the recognition exemption under IFRS 16 (and thus not to record right-of-use assets and corresponding lease liabilities
on the balance sheet), amounted to € 7 million (€ 44 million) and € 2 million (€ 1 million), respectively.
Income recorded in 2020 (2019) from the subletting of right-of-use assets totaled € 24 million (€ 21 million).
The total cash outflow for leases for 2020 (2019) was € 729 million (€ 738 million) and represented mainly expenditures made
for real estate rentals over € 708 million (€ 724 million). Of the total cash outflow amount, payments of € 653 million (€ 659
million) were made for the principal portion of lease liabilities, payments of € 77 million (€ 79 million) were made for the interest
portion.
Total future cash outflows to which the Group as a lessee is potentially exposed, that are not reflected in the measurement of
the lease liabilities, mainly include potential payment exposures arising from extension options (2020: € 4.7 billion) and future
payments for leases not yet commenced, but to which the Group is committed (2020: € 1.2 billion). Their expected maturities
are shown in the table below.
309
Deutsche Bank
Annual Report 2020
Notes to the consolidated balance sheet
23 – Goodwill and other intangible assets
Future cash outflows to which the Group is potentially exposed that are not reflected in the measurement of lease liabilities
in € m.
Future cash outflows not reflected in lease liabilities:
Not later than one year
Later than one year and not later than five years
Later than five years
Future cash outflows not reflected in lease liabilities
Dec 31, 2020
Dec 31, 2019
50
791
5,097
5,938
17
816
4,797
5,629
23 – Goodwill and other intangible assets
Goodwill
Changes in Goodwill
The changes in the carrying amount of goodwill, as well as gross amounts and accumulated impairment losses of goodwill,
for the years ended December 31, 2020, and December 31, 2019, are shown below by cash-generating units (“CGU”).
The Group’s business operations are organized under the following divisional structure: the Core Bank, which includes the
Corporate Bank (“CB”), Investment Bank (“IB”), Private Bank (“PB”) and Asset Management (“AM”) corporate divisions and
the Capital Release Unit (“CRU”). The CB, IB and the AM corporate divisions as well as the CRU each are considered cash-
generating units (CGUs). The PB corporate division which was previously comprised of two separate CGUs – Wealth Man-
agement (“WM”) and Private Bank excluding Wealth Management (“PB excl. WM”) – has been considered as one single CGU
since the fourth quarter 2020.
Please also refer to Note 4 “Business Segments and Related Information” for more information regarding changes in the
presentation of segment disclosures.
Goodwill allocated to cash-generating units
in € m.
Balance as of January 1, 2019
Goodwill acquired during the year
Purchase accounting adjustments
Transfers
Reclassification from (to) “held for sale”
Goodwill related to dispositions without being classified as
“held for sale”
Impairment losses1
Exchange rate changes/other
Balance as of December 31, 2019
Gross amount of goodwill
Accumulated impairment losses
Balance as of January 1, 2020
Goodwill acquired during the year
Purchase accounting adjustments
Transfers
Reclassification from (to) “held for sale”
Goodwill related to dispositions without being classified as
“held for sale”
Impairment losses1
Exchange rate changes/other
Balance as of December 31, 2020
Gross amount of goodwill
Accumulated impairment losses
Investment
Bank
0
0
0
0
0
0
0
0
0
3,915
(3,915)
0
0
0
0
0
0
0
0
0
3,608
(3,608)
Corporate
Bank
489
0
0
0
0
0
(491)
2
0
603
(603)
0
0
0
0
0
0
0
0
0
569
(569)
Asset
Manage-
ment
2,843
0
0
0
0
0
0
38
2,881
3,371
(490)
2,881
0
0
0
0
0
0
(142)
2,739
3,197
(458)
Private Bank
543
0
0
0
0
0
(545)
2
0
3,717
(3,717)
0
0
0
0
0
0
0
0
0
3,698
(3,698)
Others
1
0
0
0
0
(1)
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
Total
3,876
0
0
0
0
(1)
(1,035)
42
2,881
11,607
(8,726)
2,881
0
0
0
0
0
0
(142)
2,739
11,073
(8,334)
1 Impairment losses of goodwill are recorded as impairment of goodwill and other intangible assets in the income statement.
In addition to the primary CGUs, the IB segment had included goodwill resulting from the acquisition of a nonintegrated in-
vestment which is not allocated to the respective CGU. Such goodwill is summarized as “Others” in the table above.
Changes in goodwill in 2020 solely related to foreign exchange rate movements of AM goodwill held in non-Group currencies.
Changes in goodwill in 2019 were mainly driven by the transformational measures relating to the Group’s businesses and its
reorganization. Triggered by the impact of a lowered outlook on business plans driven both by adjustments to macro-economic
310
Deutsche Bank
Annual Report 2020
Notes to the consolidated balance sheet
23 – Goodwill and other intangible assets
factors as well as by the impact of strategic decisions in preparation of the above mentioned transformation announcement,
in the second quarter 2019 the Group reviewed the recoverable amounts of its CGUs in the then existing structure. This review
resulted in a short-fall of the recoverable amounts against the then existing respective CGUs carrying amounts for WM within
the former Private & Commercial Bank (“PCB”) corporate division and GTB & CF within the former Corporate & Investment
Bank (“CIB”) corporate division.
With a recoverable amount of approximately € 1.9 billion for WM, goodwill in former CGU WM (€ 545 million) was impaired
and had to be fully written-off, mainly as a result of worsening macro-economic assumptions, including interest rate curves,
as well as industry-specific market growth corrections for the WM business globally. For former CGU GTB & CF, the recover-
able amount of approximately € 10.2 billion led to the full impairment of allocated goodwill (€ 491 million). This was mainly
driven by adverse industry trends in Corporate Finance as well as by adjustments to macro-economic assumptions, including
interest rate curves. The total impairment charges of € 1.0 billion were recorded in Impairment of goodwill and other intangible
assets of the respective Private Bank (here: WM CGU; € 545 million) and Corporate Bank (€ 491 million) segment results of
the second quarter of 2019.
Goodwill Impairment Test
For the purposes of impairment testing, goodwill acquired in a business combination is allocated to CGUs. On the basis as
described in Note 1 “Significant Accounting Policies and Critical Accounting Estimates”, the Group’s primary CGUs are as
outlined above. “Other” goodwill is tested individually for impairment on the level of each of the nonintegrated investments.
Goodwill is tested for impairment annually in the fourth quarter by comparing the recoverable amount of each goodwill-carrying
CGU with its carrying amount. In addition, in accordance with IAS 36, the Group tests goodwill whenever a triggering event is
identified. The recoverable amount is the higher of a CGU’s fair value less costs of disposal and its value in use.
Following the aforementioned write-off of goodwill in the former GTB & CF CGUs in the second quarter 2019 and the de-
-recognition of ring-fenced goodwill included in the disposal of a nonintegrated subsidiary recorded in the third quarter 2019,
the AM CGU was the only goodwill carrying CGU to be tested for annual impairment in both 2019 and 2020. The annual
goodwill impairment tests conducted in these periods did not result in an impairment loss on the Group’s primary goodwill-
carrying CGU as the recoverable amount of the AM CGU was higher than the respective carrying amounts.
A review of the Group’s strategy or certain political or global risks for the banking industry, uncertainties regarding the imple-
mentation of already adopted regulation and the introduction of legislation that is already under discussion could result in an
impairment of goodwill in the future.
Carrying Amount
The carrying amount of a primary CGU is derived using a capital allocation model based on the Shareholders’ Equity Allocation
Framework of the Group (please refer to Note 4, “Business Segments and Related Information” for more details). The alloca-
tion uses the Group’s total equity at the date of valuation, including Additional Tier 1 Notes (“AT1 Notes”), which constitute
unsecured and subordinated notes of Deutsche Bank and which are classified as Additional equity components in accordance
with IFRS. Total equity is adjusted for specific effects related to nonintegrated investments, which are tested separately for
impairment as outlined above, and for an add-on adjustment for goodwill attributable to noncontrolling interests.
Recoverable Amount
The Group determines the recoverable amounts of its primary CGUs on the basis of the higher of value in use and fair value
less costs of disposal (Level 3 of the fair value hierarchy). It employs a discounted cash flow (DCF) model, which reflects the
specifics of the banking business and its regulatory environment. The model calculates the present value of the estimated
future earnings that are distributable to shareholders after fulfilling the respective regulatory capital requirements. The recov-
erable amounts also include the fair value of the AT1 Notes, allocated to the primary CGUs consistent to their treatment in the
carrying amount.
The DCF model uses earnings projections and respective capitalization assumptions based on five-year financial plans as
well as longer term expectations on the impact of regulatory developments, which are discounted to their present value.
Estimating future earnings and capital requirements involves judgment and the consideration of past and current performances
as well as expected developments in the respective markets, and in the overall macroeconomic and regulatory environments.
Earnings projections beyond the initial five-year period are, where applicable, adjusted to derive a sustainable level. In case
of a going concern, the cash flow to equity is assumed to increase by or converge towards a constant long-term growth rate
of up to 3.1 % (2019: up to 2.8 %). This is based on projected revenue forecasts of the CGU as well as expectations for the
development of gross domestic product and inflation, and is captured in the terminal value.
311
Deutsche Bank
Annual Report 2020
Notes to the consolidated balance sheet
23 – Goodwill and other intangible assets
Key Assumptions and Sensitivities
Key Assumptions: The DCF value of a CGU is sensitive to the earnings projections, to the discount rate (cost of equity) applied
and, to a much lesser extent, to the long-term growth rate. The discount rates applied have been determined based on the
capital asset pricing model and comprise a risk-free interest rate, a market risk premium and a factor covering the systematic
market risk (beta factor). The values for the risk-free interest rate, the market risk premium and the beta factors are determined
using external sources of information. CGU-specific beta factors are determined based on a respective group of peer compa-
nies. Variations in all of these components might impact the discount rates. For the AM CGU, the discount rates (after tax)
applied for 2020 and 2019 were 9.8 % and 9.6 %, respectively.
Management determined the values for the key assumptions in the following table based on a combination of internal and
external analysis. Estimates for efficiency and the cost reduction program are based on progress made to date and scheduled
future projects and initiatives.
Primary goodwill-
carrying cash-
generating unit
Description of key assumptions
Uncertainty associated with key assumptions and potential
events/circumstances that could have a negative effect
Asset Management
— Deliver strong investment product performance
— Expand product suite in growth areas (e.g. alternatives,
multi assets, passive, ESG investment schemes) while
consolidating non-core strategies
— Consistent net flows leveraging market share leadership in
Germany and the rest of Europe, while expanding cover-
age in Asia Pacific and focused growth in the Americas
— Diversification of intermediary coverage towards high
growth channels and deployment of digital solutions to
serve new channels
— Challenging market environment and volatility unfavoura-
ble to our investment strategies
— Unfavourable margin development and adverse competi-
tion levels in key markets and products beyond expected
levels
— Business/execution risks, e.g., underachievement of net
flow targets from market uncertainty, loss of high quality
client facing employees, unfavourable investment perfor-
mance, lower than expected efficiency gains
— Uncertainty around regulation and its potential implica-
— Further efficiency through improved core operating pro-
tions not yet anticipated
cesses, platform optimization and product rationalization
— Anticipation of further headwinds in the asset management
industry as a result of the changing regulatory environment
Sensitivities: In order to test the resilience of the recoverable amount, key assumptions used in the DCF model (for example,
the discount rate and the earnings projections) are sensitized. Management believes that reasonable possible changes in key
assumptions could cause an impairment loss in AM. Currently, in AM the recoverable amount exceeds the carrying amount
by 12 % / € 0.7 billion.
Change in certain key assumptions to cause the recoverable amount to equal the carrying amount
Change in Key Assumptions
Discount rate (post tax) increase
from
to
Change in projected future earnings in each period by
Long term growth rate
from
to
AM
9.8 %
10.6 %
(9.5) %
3.1 %
1.6 %
312
Deutsche Bank
Annual Report 2020
Notes to the consolidated balance sheet
23 – Goodwill and other intangible assets
Other Intangible Assets
Changes of other intangible assets by asset classes for the years ended December 31, 2020 and December 31, 2019
Purchased intangible assets
Internally
generated
intangible
assets
Total other
intangible
assets
Retail
investment
management
agreements
Unamortized
Total
unamortized
purchased
intangible
assets
Other
Amortized
Amortized
Customer-
related
intangible
assets
Contract-
based
intangible
assets
Software
and
other
Total
amortized
purchased
intangible
assets
Software
1,010
441
1,451
1,384
70
603
2,057
7,814
11,322
0
0
0
0
0
20
1,030
0
0
0
0
0
0
0
0
0
0
1
0
0
0
0
0
21
9
0
0
0
(1)
11
0
0
0
0
0
0
442
1,472
1,403
70
0
0
0
0
0
0
0
0
0
0
5
0
0
0
0
34
0
40
0
28
0
625
138
0
5
43
0
40
0
27
11
2,098
143
0
5
997
1,040
0
1,295
(21)
(29)
47
0
1,335
(22)
(2)
79
7,512
11,082
911
0
390
(37)
60
(2)
(37)
60
(55)
(9)
21
(136)
Exchange rate changes
(85)
(1)
(86)
(53)
945
441
1,386
1,356
70
778
2,204
7,910
11,499
255
439
694
1,358
70
494
1,922
0
0
0
0
0
0
0
5
0
0
0
0
0
0
1
0
0
0
0
0
0
0
1
5
13
0
0
0
2
0
0
11
0
0
0
0
0
0
0
0
260
440
700
1,384
70
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
8
0
0
0
0
0
0
38
0
40
0
6
0
29
1
528
37
0
3
3,442
1,205
0
1,291
(15)
931
0
(38)
20
51
0
40
0
8
0
29
12
1,982
4,254
45
0
3
994
0
385
(33)
(33)
(8)
0
0
0
0
106
(2)
106
(54)
50
2
(22)
(88)
Exchange rate changes
(22)
(1)
(23)
(52)
Balance as of
December 31, 2020
Carrying amount:
239
439
678
1,340
70
633
2,043
4,793
7,513
As of December 31, 2019
As of December 31, 2020
770
706
2
2
772
708
20
16
0
0
96
145
116
161
3,259
3,117
4,147
3,986
1 € 1.3 billion were included in general and administrative expenses.
2 € 939 million were comprised of impairments of purchased (€ 6 million) and self-developed software (€ 931 million), both recorded in general and administrative expenses,
and € 2 million referring to the impairment of an amortizing customer-related intangible asset which is included under impairment of goodwill and other intangible assets.
3 € 1.0 billion were included in general and administrative expenses.
4 € 51 million were mainly comprised of impairments of self-developed software recorded in general and administrative expenses.
5 € 2 million were comprised of reversal of impairments of self-developed software recorded in general and administrative expenses.
313
in € m.
Cost of acquisition/
manufacture:
Balance as of
January 1, 2019
Additions
Changes in the group of
consolidated companies
Disposals
Reclassifications from
(to) “held for sale”
Transfers
Exchange rate changes
Balance as of
December 31, 2019
Additions
Changes in the group of
consolidated companies
Disposals
Reclassifications from
(to) “held for sale”
Transfers
Balance as of
December 31, 2020
Accumulated amortization
and impairment:
Balance as of
January 1, 2019
Amortization for the year
Changes in the group of
consolidated companies
Disposals
Reclassifications from
(to) “held for sale”
Impairment losses
Reversals of impairment
losses
Transfers
Exchange rate changes
Balance as of
December 31, 2019
Amortization for the year
Changes in the group of
consolidated companies
Disposals
Reclassifications from
(to) “held for sale”
Impairment losses
Reversals of impairment
losses
Transfers
1,054
0
394
(46)
81
(277)
6,057
1,2561
0
1,330
(15)
9392
0
(8)
37
6,935
1,0403
0
388
(41)
514
25
84
(165)
0
0
0
0
0
0
0
0
0
0
0
0
0
0
Deutsche Bank
Annual Report 2020
Notes to the consolidated balance sheet
23 – Goodwill and other intangible assets
Amortizing Intangible Assets
In 2020, amortizing other intangible assets decreased by € 161 million. This reduction was driven by amortization expenses
of € 1.0 billion, mostly for the scheduled consumption of capitalized software (€ 1.0 billion) and the impairment of current
platform software as well as software under construction (€ 50 million). More information in regards to the related impact from
the transformation strategy is included in Note 45 “Impact of Deutsche Bank’s transformation”. Additions to internally generated
intangible assets of € 1.1 billion resulting from the capitalization of expenses incurred in conjunction with the Group’s devel-
opment of own-used software compensated for the decrease in net book value. A stronger Euro exchange rate against major
currencies accounted for negative exchange rate changes of € 112 million.
In 2019, amortizing other intangible assets decreased by a net € 1.1 billion. This was mainly driven by amortization expenses
of € 1.3 billion, mostly for the scheduled consumption of capitalized software (€ 1.2 billion) and the impairment of current
platform software as well as software under construction (€ 937 million). Offsetting were additions to internally generated
intangible assets of € 1.0 billion resulting from the capitalization of expenses incurred in conjunction with the Group’s devel-
opment of own-used software. Furthermore, the weakening of the Euro against major currencies accounted for positive ex-
change rate changes of € 26 million.
In 2018, amortizing other intangible assets increased by a net € 171 million. This was in particular driven by additions to
internally generated intangible assets of € 1.2 billion resulting from the capitalization of expenses incurred in conjunction with
the Group’s development of own-used software. Offsetting were amortization expenses of € 1.1 billion, mostly for the sched-
uled consumption of capitalized software (€ 1.1 billion). The reassessment of current platform software as well as software
under construction led to the impairment of self-developed software (€ 42 million). Furthermore, the weakening of the Euro
against major currencies accounted for positive exchange rate changes of € 46 million increasing the net book value of amor-
tizing intangible assets.
Other intangible assets with finite useful lives are generally amortized over their useful lives based on the straight-line method.
Useful lives of other amortized intangible assets by asset class
Internally generated intangible assets:
Software
Purchased intangible assets:
Customer-related intangible assets
Other
Unamortized Intangible Assets
Useful lives
in years
up to 10
up to 20
up to 80
Within this asset class, the Group recognizes certain contract-based and marketing-related intangible assets, which are
deemed to have an indefinite useful life.
In particular, the asset class comprises the below detailed investment management agreements related to retail mutual funds
and certain trademarks. Due to the specific nature of these intangible assets, market prices are ordinarily not observable and,
therefore, the Group values such assets based on the income approach, using a post-tax DCF-methodology.
Retail investment management agreements: These assets, amounting to € 706 million, relate to the Group’s U.S. retail mutual
fund business and are allocated to the AM CGU. Retail investment management agreements are contracts that give AM the
exclusive right to manage a variety of mutual funds for a specified period. Since these contracts are easily renewable, the cost
of renewal is minimal, and they have a long history of renewal, these agreements are not expected to have a foreseeable limit
on the contract period. Therefore, the rights to manage the associated assets under management are expected to generate
cash flows for an indefinite period of time. This intangible asset was recorded at fair value based upon a valuation provided
by a third party at the date of acquisition of Zurich Scudder Investments, Inc. in 2002.
The recoverable amount was calculated as fair value less costs of disposal using the multi-period excess earnings method
and the fair value measurement was categorized as Level 3 in the fair value hierarchy and is essentially flat compared to the
carrying amount. The key assumptions in determining the fair value less costs of disposal include the asset mix, the flows
forecast, the effective fee rate and discount rate as well as the terminal value growth rate. The discount rates (cost of equity)
applied in the calculation were 10.3 % in 2020 and 9.8 % in 2019. The terminal value growth rate applied for 2020 is 4.1 %
(for 2019 4.1 %). The reviews of the valuations for the years 2020 and 2019 neither resulted in any impairment nor a reversal
of prior impairments.
314
Deutsche Bank
Annual Report 2020
Notes to the consolidated balance sheet
24 – Non-current assets and disposal groups held for sale
24 – Non-current assets and disposal groups held for sale
Within the balance sheet, non-current assets and disposal groups held for sale are included in other assets and other liabilities.
in € m.
Financial assets at fair value through profit or loss
Property and equipment
Other assets
Total assets classified as held for sale
Financial liabilities at fair value through profit or loss
Other liabilities
Total liabilities classified as held for sale
Dec 31, 2020
6,086
11
0
6,097
2,000
7,850
9,850
Dec 31, 2019
4,951
15
10
4,976
2,671
6,978
9,650
As of December 31, 2020 and December 31, 2019, no unrealized gains (losses) relating to non-current assets classified as
held for sale were recognized directly in accumulated other comprehensive income (loss) (net of tax).
Sale of Postbank Systems AG to Tata Consultancy Services
On November 9, 2020, Deutsche Bank and Tata Consultancy Services (TCS) announced that they had reached an agreement
concerning the sale of Postbank Systems AG, including its around 1,500 employees, to TCS. Following the fulfillment of all
closing conditions achieved in the fourth quarter 2020, including the receipt of required regulatory and governmental approvals,
TCS, through its subsidiary Tata Consultancy Services Netherlands B.V., acquired 100 % of the shares of Postbank Systems.
Accordingly, Postbank Systems was deconsolidated at year-end 2020.
The sale represents an important step forward for Deutsche Bank’s announced strategic transformation and is consistent with
previously-communicated financial plans, resulting in the acceleration of expected transformation charges. Following the an-
nouncement and prior to its deconsolidation, Postbank Systems was classified as a disposal group held-for-sale. Along with
the reclassification of the assets and liabilities in the disposal group to the other assets and other liabilities, the Group recog-
nized a negative pre-tax impact of € (120) million which was recorded in the fourth quarter 2020 within other revenues (€ (104)
million) and non-interest expenses (€ (16) million).
Transfer of Global Prime Finance and Electronic Equities platform to BNP Paribas S.A.
As part of the Group’s strategic transformation and restructuring plans announced on July 7, 2019, the Management Board of
Deutsche Bank had also announced the exit of the Equities Sales & Trading business. In this context, Deutsche Bank had
entered into an agreement with BNP Paribas S.A. (“BNP Paribas”) to provide continuity of service to its prime finance and
electronic equities clients, with a view to transferring technology and staff to BNP Paribas and to continue to operate the
platform until clients are migrated to BNP Paribas, with revenues transferred to BNP Paribas and certain costs to be refunded
to Deutsche Bank.
On November 14, 2019, BNP Paribas and Deutsche Bank announced that the agreement to refer clients and to transfer
technology and key staff from the respective businesses to BNP Paribas had received the necessary approvals and was
therefore considered unconditional. The revenue transfer and cost reimbursement arrangement commenced on December 1,
2019. Accordingly, in the fourth quarter 2019, the assets (€ 5.0 billion) and liabilities (€ 9.6 billion) forming the transaction
perimeter were classified as assets and liabilities held for sale of the Capital Release Unit (CRU). The assets and liabilities
included in the disposal group are predominantly financial instruments which will either be novated to BNP Paribas, or the
balances will be closed out between Deutsche Bank and the counterparties and simultaneously the clients would enter into
the equivalent transactions with BNP Paribas. The measurement of the financial instruments is not impacted by their held for
sale classification.
As of December 31, 2020, the disposal group held-for-sale continues to comprise of assets and liabilities in the aforementioned
composition, amounting to € 6.1 billion and € 9.9 billion, respectively. It is expected that the transaction will unwind by end of
2021 with client transactions, IT hardware and software and employees transferred over the period.
315
Deutsche Bank
Annual Report 2020
Notes to the consolidated balance sheet
26 – Deposits
Disposals in 2019
Division
Capital Release Unit
Disposal
On June 9, 2019 and as planned, Deutsche
Bank completed the sale of its Private & Com-
mercial Bank (“PCB”) business in Portugal to
ABANCA Corporación Bancaria S.A.
(“ABANCA”). The unit was previously classified
as a disposal group held for sale in the first
quarter 2018. Upon closing, the Group trans-
ferred assets under management of approxi-
mately € 3 billion, deposits of € 1 billion, and
loans of € 3 billion as well as approximately
330 FTE to ABANCA.
Financial impact1
None.
Date of the disposal
Second quarter 2019.
1
Impairment losses and reversals of impairment losses are included in Other income.
25 – Other assets and other liabilities
in € m.
Brokerage and securities related receivables
Cash/margin receivables
Receivables from prime brokerage
Pending securities transactions past settlement date
Receivables from unsettled regular way trades
Total brokerage and securities related receivables
Debt Securities held to collect
Accrued interest receivable
Assets held for sale
Other
Total other assets
in € m.
Brokerage and securities related payables
Cash/margin payables
Payables from prime brokerage
Pending securities transactions past settlement date
Payables from unsettled regular way trades
Total brokerage and securities related payables
Accrued interest payable
Liabilities held for sale
Lease liabilities
Other
Total other liabilities
Dec 31, 2020
Dec 31, 2019
58,714
41
2,752
13,057
74,564
12,587
1,656
6,097
15,495
110,399
49,147
15
1,687
12,552
63,401
24,292
2,614
4,976
15,075
110,358
Dec 31, 2020
Dec 31, 2019
66,259
271
1,612
11,668
79,810
1,740
9,850
3,974
18,834
114,208
59,291
6
1,588
10,402
71,287
2,420
9,650
3,281
21,327
107,964
For further details on the assets and liabilities held for sale, please refer to Note 24 “Non-Current Assets and Disposal Groups
Held for Sale”.
26 – Deposits
in € m.
Noninterest-bearing demand deposits
Interest-bearing deposits
Demand deposits
Time deposits
Savings deposits
Total interest-bearing deposits
Total deposits
Dec 31, 2020
220,646
Dec 31, 2019
228,731
154,790
106,551
86,044
347,385
568,031
135,276
121,120
87,081
343,477
572,208
316
Deutsche Bank
Annual Report 2020
Notes to the consolidated balance sheet
27 – Provisions
27 – Provisions
Movements by Class of Provisions
in € m.
Balance as of January 1, 2019
Changes in the group of consolidated companies
New provisions
Amounts used
Unused amounts reversed
Effects from exchange rate fluctuations/Unwind of discount
Transfers
Balance as of December 31, 2019
Changes in the group of consolidated companies
New provisions
Amounts used
Unused amounts reversed
Effects from exchange rate fluctuations/Unwind of discount
Transfers
Balance as of December 31, 2020
Operational
Risk
215
(0)
43
22
116
(0)
(0)
119
(0)
20
11
39
0
(0)
89
Civil
Litigation
Regulatory
Enforcement
Re-
structuring
684
0
533
591
128
8
39
544
0
107
182
106
(9)
0
355
499
0
74
34
3
9
(1)
543
(0)
183
165
27
(41)
(1)
492
585
(0)
603
395
125
(10)
27
684
(0)
553
641
105
4
181
676
Other
433
(2)
593
546
87
2
(9)
384
(3)
505
401
84
(15)
8
396
Total1
2,416
(2)
1,846
1,590
459
8
56
2,276
(4)
1,368
1,400
361
(60)
189
2,007
1 For the remaining portion of provisions as disclosed on the consolidated balance sheet, please see Note 19 “Allowance for Credit Losses”, in which allowances for credit
related off-balance sheet positions are disclosed.
Classes of Provisions
Operational Risk provisions arise out of operational risk and exclude civil litigation and regulatory enforcement provisions,
which are presented as separate classes of provisions. Operational risk is the risk of loss resulting from inadequate or failed
internal processes, people and systems, or from external events. The definition used for the purposes of determining opera-
tional provisions differs from the risk management definition, as it excludes risk of loss resulting from civil litigation and regu-
latory enforcement matters. For risk management purposes, operational risk includes legal risk, as payments to customers,
counterparties and regulatory bodies in civil litigations or regulatory enforcement matters constitute loss events for operational
shortcomings, but excludes business and reputational risk.
Civil Litigation provisions arise out of current or potential claims or proceedings alleging non-compliance with contractual or
other legal or regulatory responsibilities, which have resulted or may result in demands from customers, counterparties or
other parties in civil litigations.
Regulatory Enforcement provisions arise out of current or potential claims or proceedings alleging non-compliance with legal
or regulatory responsibilities, which have resulted or may result in an assessment of fines or penalties by governmental regu-
latory agencies, self-regulatory organizations or other enforcement authorities.
Restructuring provisions arise out of restructuring activities. The Group aims to enhance its long-term competitiveness through
major reductions in costs, duplication and complexity in the years ahead. For details see Note 10 “Restructuring”.
Other provisions include several specific items arising from a variety of different circumstances, including the provision for the
reimbursement of loan processing fees, deferred sales commissions, provisions for bank levies and mortgage repurchase
demands.
Provisions and Contingent Liabilities
The Group recognizes a provision for potential loss only when there is a present obligation arising from a past event that is
probable to result in an economic outflow that can be reliably estimated. Where a reliable estimate cannot be made for such
an obligation, no provision is recognized and the obligation is deemed a contingent liability. Contingent liabilities also include
possible obligations for which the possibility of future economic outflow is more than remote but less than probable. Where a
provision has been taken for a particular claim, no contingent liability is recorded; for matters or sets of matters consisting of
more than one claim, however, provisions may be recorded for some claims, and contingent liabilities (or neither a provision
nor a contingent liability) may be recorded for others.
The Group operates in a legal and regulatory environment that exposes it to significant litigation risks. As a result, the Group
is involved in litigation, arbitration and regulatory proceedings and investigations in Germany and in a number of jurisdictions
outside Germany, including the United States. In recent years, regulation and supervision in a number of areas have increased,
and regulators, governmental bodies and others have sought to subject financial services providers to increasing oversight
317
Deutsche Bank
Annual Report 2020
Notes to the consolidated balance sheet
27 – Provisions
and scrutiny, which in turn has led to additional regulatory investigations and enforcement actions which are often followed by
civil litigation.
In determining for which of the claims the possibility of a loss is probable, or less than probable but more than remote, and
then estimating the possible loss for those claims, the Group takes into consideration a number of factors, including but not
limited to the nature of the claim and its underlying facts, the procedural posture and litigation history of each case, rulings by
the courts or tribunals, the Group’s experience and the experience of others in similar cases (to the extent this is known to the
Group), prior settlement discussions, settlements by others in similar cases (to the extent this is known to the Group), available
indemnities and the opinions and views of legal counsel and other experts.
The provisions the Group has recognized for civil litigation and regulatory enforcement matters as of December 31, 2020 and
December 31, 2019 are set forth in the table above. For some matters for which the Group believes an outflow of funds is
probable, no provisions were recognized as the Group could not reliably estimate the amount of the potential outflow.
For the matters for which a reliable estimate can be made, the Group currently estimates that, as of December 31, 2020, the
aggregate future loss of which the possibility is more than remote but less than probable is approximately € 2.1 billion for civil
litigation matters (December 31, 2019: € 1.8 billion) and € 0.2 billion for regulatory enforcement matters (December 31, 2019:
€ 0.2 billion). These figures include matters where the Group’s potential liability is joint and several and where the Group
expects any such liability to be paid by a third party. For other significant civil litigation and regulatory enforcement matters,
the Group believes the possibility of an outflow of funds is more than remote but less than probable but the amount is not
reliably estimable, and accordingly such matters are not included in the contingent liability estimates. For still other significant
civil litigation and regulatory enforcement matters, the Group believes the possibility of an outflow of funds is remote and
therefore has neither recognized a provision nor included them in the contingent liability estimates.
This estimated possible loss, as well as any provisions taken, is based upon currently available information and is subject to
significant judgment and a variety of assumptions, variables and known and unknown uncertainties. These uncertainties may
include inaccuracies in or incompleteness of the information available to the Group, particularly at the preliminary stages of
matters, and assumptions by the Group as to future rulings of courts or other tribunals or the likely actions or positions taken
by regulators or adversaries may prove incorrect. Moreover, estimates of possible loss for these matters are often not ame-
nable to the use of statistical or other quantitative analytical tools frequently used in making judgments and estimates, and are
subject to even greater degrees of uncertainty than in many other areas where the Group must exercise judgment and make
estimates. The estimated possible loss, as well as any provisions taken, can be and often are substantially less than the
amount initially requested by regulators or adversaries or the maximum potential loss that could be incurred were the matters
to result in a final adjudication adverse to the Group. Moreover, in several regions in which the Group operates, an adversary
often is not required to set forth the amount it is seeking, and where it is, the amount may not be subject to the same require-
ments that generally apply to pleading factual allegations or legal claims.
The matters for which the Group determines that the possibility of a future loss is more than remote will change from time to
time, as will the matters as to which a reliable estimate can be made and the estimated possible loss for such matters. Actual
results may prove to be significantly higher or lower than the estimate of possible loss in those matters where such an estimate
was made. In addition, loss may be incurred in matters with respect to which the Group believed the likelihood of loss was
remote. In particular, the estimated aggregate possible loss does not represent the Group’s potential maximum loss exposure
for those matters.
The Group may settle litigation or regulatory proceedings or investigations prior to a final judgment or determination of liability.
It may do so to avoid the cost, management efforts or negative business, regulatory or reputational consequences of contin-
uing to contest liability, even when the Group believes it has valid defenses to liability. It may also do so when the potential
consequences of failing to prevail would be disproportionate to the costs of settlement. Furthermore, the Group may, for similar
reasons, reimburse counterparties for their losses even in situations where it does not believe that it is legally compelled to do
so.
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27 – Provisions
Current Individual Proceedings
Set forth below are descriptions of civil litigation and regulatory enforcement matters or groups of matters for which the Group
has taken material provisions, or for which there are material contingent liabilities that are more than remote, or for which there
is the possibility of material business or reputational risk; similar matters are grouped together and some matters consist of a
number of proceedings or claims. The disclosed matters include matters for which the possibility of a loss is more than remote
but for which the Group cannot reliably estimate the possible loss. Sets of matters are presented in English-language alpha-
betical order based on the titles the Group has used for them.
Cum-ex Investigations and Litigations. Deutsche Bank has received inquiries from law enforcement authorities, including re-
quests for information and documents, in relation to cum-ex transactions of clients. “Cum-ex” refers to trading activities in
German shares around dividend record dates (trade date before and settlement date after dividend record date) for the pur-
pose of obtaining German tax credits or refunds in relation to withholding tax levied on dividend payments including, in partic-
ular, transaction structures that have resulted in more than one market participant claiming such credit or refund with respect
to the same dividend payment. Deutsche Bank is cooperating with the law enforcement authorities in these matters.
The Public Prosecutor in Cologne (Staatsanwaltschaft Köln, “CPP”) has been conducting a criminal investigation since Au-
gust 2017 concerning two former employees of Deutsche Bank in relation to cum-ex transactions of certain former clients of
the Bank. Deutsche Bank is a potential secondary participant pursuant to Section 30 of the German Law on Administrative
Offences in this proceeding. This proceeding could result in a disgorgement of profits and fines. Deutsche Bank is cooperating
with the CPP. At the end of May and beginning of June 2019, the CPP initiated criminal investigations against further current
and former employees of Deutsche Bank and five former Management Board members. In July 2020, in the course of inspect-
ing the CPP’s investigation file, Deutsche Bank learned that the CPP had further extended its investigation in June 2019 to
include further current and former DB personnel, including one former Management Board member and one current Manage-
ment Board member. Very limited information on the individuals was recorded in the file. The investigation is still at an early
stage and the scope of the investigation may be further broadened.
Deutsche Bank acted as participant in and filed withholding tax refund claims through the electronic refund procedure (el-
ektronisches Datenträgerverfahren) on behalf of, inter alia, two former custody clients in connection with their cum-ex trans-
actions. In February 2018, Deutsche Bank received from the German Federal Tax Office (Bundeszentralamt für Steuern,
“FTO”) a demand of approximately € 49 million for tax refunds paid to a former custody client. Deutsche Bank expects to
receive a formal notice for the same amount. On December 20, 2019, Deutsche Bank received a liability notice from the FTO
requesting payment of € 2.1 million by January 20, 2020 in connection with tax refund claims Deutsche Bank had submitted
on behalf of another former custody client. On January 20, 2020, Deutsche Bank made the requested payment and filed an
objection against the liability notice. Deutsche Bank filed the reasoning for the objection on June 19, 2020. On December 3,
2020, Deutsche Bank received another hearing letter from the FTO in relation to the € 2.1 million liability notice.
By letter dated February 26, 2018, The Bank of New York Mellon SA/NV (“BNY”) informed Deutsche Bank of its intention to
seek indemnification for potential cum-ex related tax liabilities incurred by BHF Asset Servicing GmbH (“BAS”) and/or Frank-
furter Service Kapitalanlage-GmbH (“Service KAG”, now named BNY Mellon Service Kapitalanlage-Gesellschaft mbH).
Deutsche Bank had acquired BAS and Service KAG as part of the acquisition of Sal. Oppenheim in 2010 and sold them to
BNY in the same year. BNY estimates the potential tax liability to amount to up to € 120 million (excluding interest of 6 per
cent p.a.). In November and December 2020 counsel to BNY informed Deutsche Bank that BNY and / or Service KAG (among
others) have received notices from tax authorities in the estimated amount with respect to cum-ex related trades by certain
investment funds in 2009 and 2010. BNY has filed objections against the notices.
On February 6, 2019, the Regional Court (Landgericht) Frankfurt am Main served Deutsche Bank with a claim by M.M.War-
burg & CO Gruppe GmbH and M.M.Warburg & CO (AG & Co.) KGaA (together “Warburg”) in connection with cum-ex trans-
actions of Warburg with a custody client of Deutsche Bank during 2007 to 2011. Warburg claims from Deutsche Bank indem-
nification against German taxes in relation to transactions conducted in the years 2007 to 2011. Further, Warburg claims
compensation of unspecified damages relating to these transactions. Based on the tax assessment notices received for 2007
to 2011, Warburg is claiming a total of € 250 million (of which € 166 million is in relation to taxes and € 84 million is in relation
to interest). On March 20, 2020, Warburg extended its claim against Deutsche Bank to indemnify Warburg in relation to the €
176 million (of which € 166 million is in relation to taxes and € 10 million is in relation to interest) confiscation order issued by
the Regional Court Bonn in the criminal cum-ex trial on March 18, 2020 regarding the same transactions. On September 23,
2020 the Frankfurt Regional Court fully dismissed Warburg’s claim against Deutsche Bank on the grounds that Warburg as
the tax debtor (Steuerschuldner) is primarily liable and cannot request payment from Deutsche Bank. The court further held
that any claims are time-barred. On October 29, 2020, Warburg appealed the decision with the Higher Regional Court (Ober-
landesgericht) Frankfurt am Main. Deutsche Bank has until April 12, 2021 to respond to Warburg’s appellate brief.
On January 25, 2021, the Regional Court (Landgericht) Hamburg served Deutsche Bank with a claim by Warburg Invest
Kapitalanlagegesellschaft mbH (“Warburg Invest”) in relation to transactions of two investment funds in 2009 and 2010, re-
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27 – Provisions
spectively. Warburg Invest was fund manager for both funds. Warburg Invest claims, from Deutsche Bank together with sev-
eral other parties as joint and several debtors (Gesamtschuldner), indemnification against German taxes in relation to cum-ex
transactions conducted by the two funds. Further, Warburg Invest claims compensation of unspecified damages relating to
these transactions. In November 2020, Warburg Invest received a tax liability notice from tax authorities for one of the funds
in the amount of € 61 million. Based on publicly available information Deutsche Bank estimates the tax amount for the second
fund to be approximately € 49 million. Warburg Invest filed its claim against several parties including Deutsche Bank inter alia
based on an allegation of intentional damage contrary to public policy (Section 826 German Civil Code) and the accusation
that Deutsche Bank participated in a business model that was contrary to public policy (sittenwidriges Geschäftsmodell).
The Group has not disclosed whether it has established a provision or contingent liability with respect to these matters because
it has concluded that such disclosure can be expected to prejudice seriously their outcome.
Danske Bank Estonia Investigations. Deutsche Bank has received requests for information from regulatory and law enforce-
ment agencies concerning the Bank’s former correspondent banking relationship with Danske Bank, including the Bank’s
historical processing of correspondent banking transactions on behalf of customers of Danske Bank’s Estonia branch prior to
cessation of the correspondent banking relationship with that branch in 2015. Deutsche Bank is providing information to and
otherwise cooperating with the investigating agencies. The Bank has also completed an internal investigation into these mat-
ters, including of whether any violations of law, regulation or Bank policy occurred and the effectiveness of the related internal
control environment. Additionally, on September 24 and 25, 2019, based on a search warrant issued by the Local Court
(Amtsgericht) in Frankfurt, the Frankfurt public prosecutor’s office conducted investigations into Deutsche Bank. The investi-
gations were in connection with suspicious activity reports relating to potential money laundering at Danske Bank. On October
13, 2020, the FPP closed its criminal investigation because the FPP did not find sufficient evidence to substantiate the money
laundering suspicion. However, the Bank agreed to pay an administrative fine of € 13.5 million to the FPP for failing to submit
SARs in Germany in a timely fashion, which Deutsche Bank paid in the fourth quarter of 2020.
On July 7, 2020, the New York State Department of Financial Services (DFS) issued a Consent Order, finding that Deutsche
Bank violated New York State banking laws in connection with its relationships with three former Deutsche Bank clients,
Danske Bank’s Estonia branch, Jeffrey Epstein and FBME Bank, and imposing a U.S.$ 150 million civil penalty in connection
with these three former relationships, which Deutsche Bank paid in the third quarter of 2020.
The remaining investigations relating to Danske Bank’s Estonia branch are ongoing.
On July 15, 2020, Deutsche Bank was named as a defendant in a securities class action filed in the U.S. District Court for the
District of New Jersey, alleging that the Bank made material misrepresentations regarding the effectiveness of its anti-money
laundering (AML) controls and related remediation. The complaint cites allegations regarding control deficiencies raised in the
DFS Consent Order related to the Bank’s relationships with Danske Bank’s Estonia branch, Jeffrey Epstein and FBME Bank.
On September 30, 2020, the plaintiff filed an amended complaint that included additional allegations regarding the effective-
ness of the Bank’s AML controls. On December 28, 2020, the court appointed lead plaintiff and lead counsel. Lead plaintiff is
anticipated to file a second amended complaint by March 1, 2021. The Bank’s motion to dismiss is due by April 15, 2021, with
briefing on the motion to conclude by July 1, 2021.
The Group has not established a provision or contingent liability with respect to the remaining Danske Bank Estonia investi-
gations and civil action.
FX Investigations and Litigations. Deutsche Bank has received requests for information from certain regulatory and law en-
forcement agencies globally who investigated trading in, and various other aspects of, the foreign exchange market. Deutsche
Bank cooperated with these investigations. Relatedly, Deutsche Bank has conducted its own internal global review of foreign
exchange trading and other aspects of its foreign exchange business.
On October 19, 2016, the U.S. Commodity Futures Trading Commission (CFTC), Division of Enforcement, issued a letter
(“CFTC Letter”) notifying Deutsche Bank that the CFTC Division of Enforcement “is not taking any further action at this time
and has closed the investigation of Deutsche Bank” regarding foreign exchange. As is customary, the CFTC Letter states that
the CFTC Division of Enforcement “maintains the discretion to decide to reopen the investigation at any time in the future.”
The CFTC Letter has no binding impact on other regulatory and law enforcement agency investigations regarding Deutsche
Bank’s foreign exchange trading and practices.
On December 7, 2016, it was announced that Deutsche Bank reached an agreement with CADE, the Brazilian antitrust en-
forcement agency, to settle an investigation into conduct by a former Brazil-based Deutsche Bank trader. As part of that
settlement, Deutsche Bank paid a fine of BRL 51 million and agreed to continue to comply with the CADE’s administrative
process until it is concluded. This resolves CADE’s administrative process as it relates to Deutsche Bank, subject to Deutsche
Bank’s continued compliance with the settlement terms.
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On February 13, 2017, the U.S. Department of Justice (DOJ), Criminal Division, Fraud Section, issued a letter (“DOJ Letter”)
notifying Deutsche Bank that the DOJ has closed its criminal inquiry “concerning possible violations of federal criminal law in
connection with the foreign exchange markets.” As is customary, the DOJ Letter states that the DOJ may reopen its inquiry if
it obtains additional information or evidence regarding the inquiry. The DOJ Letter has no binding impact on other regulatory
and law enforcement agency investigations regarding Deutsche Bank’s foreign exchange trading and practices.
On April 20, 2017, it was announced that Deutsche Bank AG, DB USA Corporation and Deutsche Bank AG New York Branch
reached an agreement with the Board of Governors of the Federal Reserve System to settle an investigation into Deutsche
Bank’s foreign exchange trading and practices. Under the terms of the settlement, Deutsche Bank entered into a cease-and-
desist order, and agreed to pay a civil monetary penalty of U.S.$ 137 million. In addition, the Federal Reserve ordered
Deutsche Bank to “continue to implement additional improvements in its oversight, internal controls, compliance, risk man-
agement and audit programs” for its foreign exchange business and other similar products, and to periodically report to the
Federal Reserve on its progress.
On June 20, 2018, it was announced that Deutsche Bank AG and Deutsche Bank AG New York Branch reached an agreement
with the New York State Department of Financial Services (DFS) to settle an investigation into Deutsche Bank’s foreign ex-
change trading and sales practices. Under the terms of the settlement, Deutsche Bank entered into a consent order, and
agreed to pay a civil monetary penalty of U.S.$ 205 million. In addition, the DFS ordered Deutsche Bank to continue to imple-
ment improvements in its oversight, internal controls, compliance, risk management and audit programs for its foreign ex-
change business, and to periodically report to the DFS on its progress.
Investigations conducted by certain other regulatory agencies are ongoing, and Deutsche Bank has cooperated with these
investigations.
On February 25, 2020, plaintiffs in the “Indirect Purchasers” action pending in the U.S. District Court for the Southern District
of New York (Contant, et al. v. Bank of America Corp., et al.) informed the court of a global settlement with all eleven defend-
ants remaining in that action, including Deutsche Bank, collectively for U.S.$ 10 million. Each individual defendant’s contribu-
tion, including Deutsche Bank’s, remains confidential. The court approved the settlement and dismissed with prejudice all
claims alleged against Deutsche Bank in that action on November 19, 2020. Filed on November 7, 2018, Allianz, et al. v. Bank
of America Corporation, et al., was brought on an individual basis by a group of asset managers who opted out of the settle-
ment in a consolidated action (In re Foreign Exchange Benchmark Rates Antitrust Litigation). Defendants’ motion to dismiss
was granted and denied in part on May 28, 2020. Plaintiffs filed a third amended complaint on July 28, 2020. Discovery is
ongoing.
Deutsche Bank also has been named as a defendant in two Canadian class proceedings brought in the provinces of Ontario
and Quebec. Filed on September 10, 2015, these class actions assert factual allegations similar to those made in the consol-
idated action in the United States and seek damages pursuant to the Canadian Competition Act as well as other causes of
action. Plaintiffs’ motion for class certification in the Ontario action was granted on April 14, 2020. Discovery is ongoing.
Deutsche Bank has also been named as a defendant in an amended and consolidated class action filed in Israel. This action
asserts factual allegations similar to those made in the consolidated action in the United States and seeks damages pursuant
to Israeli antitrust law as well as other causes of action. This action is in preliminary stages.
On November 10, 2020, Deutsche Bank was named in an action issued (but not served upon Deutsche Bank) in the UK High
Court of Justice (Commercial Court) brought by The ECU Group PLC. The claim has not been particularized and is in prelim-
inary stage.
On November 11, 2020, Deutsche Bank was named in an action issued in the UK High Court of Justice (Commercial Court)
brought by many of the same plaintiffs who brought Allianz, et al. v. Bank of America Corporation, et al. referred to above. The
claim has not been particularized, but it is believed to be based upon factual allegations similar to those made in Allianz, et al.
v. Bank of America Corporation, et al. This action is in preliminary stages.
The Group has not disclosed whether it has established a provision or contingent liability with respect to these matters because
it has concluded that such disclosure can be expected to prejudice seriously their outcome.
Interbank and Dealer Offered Rates Matters. Regulatory and Law Enforcement Matters. Deutsche Bank has responded to
requests for information from, and cooperated with, various regulatory and law enforcement agencies, in connection with
industry-wide investigations concerning the setting of the London Interbank Offered Rate (LIBOR), Euro Interbank Offered
Rate (EURIBOR), Tokyo Interbank Offered Rate (TIBOR) and other interbank and/or dealer offered rates.
As previously reported, Deutsche Bank paid € 725 million to the European Commission pursuant to a settlement agreement
dated December 4, 2013 in relation to anticompetitive conduct in the trading of interest rate derivatives.
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Also as previously reported, on April 23, 2015, Deutsche Bank entered into separate settlements with the DOJ, the CFTC, the
UK Financial Conduct Authority (FCA), and the New York State Department of Financial Services (DFS) to resolve investiga-
tions into misconduct concerning the setting of LIBOR, EURIBOR, and TIBOR. Under the terms of these agreements,
Deutsche Bank paid penalties of U.S.$ 2.175 billion to the DOJ, CFTC and DFS and GBP 226.8 million to the FCA. As part of
the resolution with the DOJ, DB Group Services (UK) Limited (an indirectly-held, wholly-owned subsidiary of Deutsche Bank)
pled guilty to one count of wire fraud in the U.S. District Court for the District of Connecticut and Deutsche Bank entered into
a Deferred Prosecution Agreement with a three year term pursuant to which it agreed (among other things) to the filing of an
Information in the U.S. District Court for the District of Connecticut charging Deutsche Bank with one count of wire fraud and
one count of price fixing in violation of the Sherman Act. On April 23, 2018, the Deferred Prosecution Agreement expired, and
the U.S. District Court for the District of Connecticut subsequently dismissed the criminal Information against Deutsche Bank.
Also, as previously reported, on March 20, 2017, Deutsche Bank paid CHF 5.4 million to the Swiss Competition Commission
(WEKO) pursuant to a settlement agreement in relation to Yen LIBOR.
On October 25, 2017, Deutsche Bank entered into a settlement with a working group of U.S. state attorneys general resolving
their interbank offered rate investigation. Among other conditions, Deutsche Bank made a settlement payment of
U.S.$ 220 million.
Other investigations of Deutsche Bank concerning the setting of various interbank and/or dealer offered rates remain ongoing.
The Group has not disclosed whether it has established a provision or contingent liability with respect to the remaining inves-
tigations because it has concluded that such disclosure can be expected to prejudice seriously their outcome.
Overview of Civil Litigations. Deutsche Bank is party to 37 U.S. civil actions concerning alleged manipulation relating to the
setting of various interbank and/or dealer offered rates which are described in the following paragraphs, as well as actions
pending in each of the UK, Israel, Argentina and Spain. Most of the civil actions, including putative class actions, are pending
in the U.S. District Court for the Southern District of New York (SDNY), against Deutsche Bank and numerous other defend-
ants. All but three of the U.S. civil actions were filed on behalf of parties who allege losses as a result of manipulation relating
to the setting of U.S. dollar LIBOR. The three U.S. civil actions pending against Deutsche Bank that do not relate to U.S. dollar
LIBOR were also filed in the SDNY, and include one consolidated action concerning Pound Sterling (GBP) LIBOR, one action
concerning Swiss franc (CHF) LIBOR, and one action concerning two Singapore Dollar (SGD) benchmark rates, the Singapore
Interbank Offered Rate (SIBOR) and the Swap Offer Rate (SOR).
Claims for damages for all 37 of the U.S. civil actions discussed have been asserted under various legal theories, including
violations of the U.S. Commodity Exchange Act, federal and state antitrust laws, the U.S. Racketeer Influenced and Corrupt
Organizations Act, and other federal and state laws. The Group has not disclosed whether it has established a provision or
contingent liability with respect to these matters because it has concluded that such disclosure can be expected to prejudice
seriously their outcome.
U.S. dollar LIBOR. With two exceptions, all of the U.S. civil actions concerning U.S. dollar LIBOR are being coordinated as
part of a multidistrict litigation (the “U.S. dollar LIBOR MDL”) in the SDNY. In light of the large number of individual cases
pending against Deutsche Bank and their similarity, the civil actions included in the U.S. dollar LIBOR MDL are now subsumed
under the following general description of the litigation pertaining to all such actions, without disclosure of individual actions
except when the circumstances or the resolution of an individual case is material to Deutsche Bank.
Following a series of decisions in the U.S. dollar LIBOR MDL between March 2013 and March 2019 narrowing their claims,
plaintiffs are currently asserting antitrust claims, claims under the U.S. Commodity Exchange Act and U.S. Securities Ex-
change Act and state law fraud, contract, unjust enrichment and other tort claims. The court has also issued decisions dis-
missing certain plaintiffs’ claims for lack of personal jurisdiction and on statute of limitations grounds.
On December 20, 2016, the district court issued a ruling dismissing certain antitrust claims while allowing others to proceed.
Multiple plaintiffs have filed appeals of the district court’s December 20, 2016 ruling to the U.S. Court of Appeals for the Second
Circuit, and those appeals are proceeding in parallel with the ongoing proceedings in the district court. Briefing of the appeals
is complete, and oral argument was heard on May 24, 2019.
On July 13, 2017, Deutsche Bank executed a settlement agreement in the amount of U.S.$ 80 million with plaintiffs to resolve
a putative class action pending as part of the U.S. dollar LIBOR MDL asserting claims based on alleged transactions in
Eurodollar futures and options traded on the Chicago Mercantile Exchange (Metzler Investment GmbH v. Credit Suisse Group
AG). The court granted the settlement final approval on September 17, 2020, and dismissed all claims against Deutsche Bank.
Accordingly, the action is not included in the total number of actions above. The settlement amount, which Deutsche Bank
has paid, is no longer reflected in Deutsche Bank’s litigation provisions.
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On July 29, 2020, Deutsche Bank executed a settlement agreement with plaintiffs in the amount of U.S.$ 425,000 to resolve
a putative class action pending as part of the U.S. dollar LIBOR MDL asserting claims on behalf of lending institutions head-
quartered in the United States that originated, purchased outright, or purchased a participation interest in loans tied to U.S.
dollar LIBOR (The Berkshire Bank v. Bank of America). The court granted the settlement preliminary approval on October 30,
2020. On February 8, 2021, the plaintiffs moved the court for final approval of the settlement. The settlement amount, which
Deutsche Bank has paid, is no longer reflected in Deutsche Bank’s litigation provisions.
On March 24, 2020, Deutsche Bank and the plaintiff in a non-class action pending as part of the U.S. dollar LIBOR MDL (Salix
Capital US Inc. v. Banc of America Securities LLC) stipulated to the dismissal of the plaintiff’s claims against Deutsche Bank.
The court dismissed the plaintiff’s claims on March 25, 2020. On August 17, 2020, Deutsche Bank and the plaintiffs in two
non-class actions pending as part of the U.S. dollar LIBOR MDL (Prudential Investment Portfolios v. Bank of America Corp.;
Prudential Investment Portfolios v. Barclays Bank plc.) stipulated to the dismissal of the plaintiffs’ claims against Deutsche
Bank. The court dismissed the plaintiffs’ claims on August 18, 2020. On November 9, 2020, Deutsche Bank and the plaintiff
in a non-class action pending as part of the U.S. dollar LIBOR MDL (Federal National Mortgage Association v. Barclays Bank
plc.) stipulated to the dismissal of the plaintiff’s claims against Deutsche Bank, and the court dismissed the claims. On February
3, 2021, Deutsche Bank and the plaintiffs in a non-class action pending as part of the U.S. dollar LIBOR MDL (Darby Financial
Products v. Barclays Bank plc.) stipulated to the dismissal of the plaintiffs’ claims against Deutsche Bank, and the court dis-
missed the claims.
In January and March 2019, plaintiffs filed three putative class action complaints in the SDNY against several financial insti-
tutions, alleging that the defendants, members of the panel of banks that provided U.S. dollar LIBOR submissions, the organ-
ization that administers LIBOR, and their affiliates, conspired to suppress U.S. dollar LIBOR submissions from February 1,
2014 through the present. These actions were subsequently consolidated under In re ICE LIBOR Antitrust Litigation, and on
July 1, 2019, the plaintiffs filed a consolidated amended complaint. On March 26, 2020, the court granted the defendants’
motion to dismiss the action, dismissing all claims against Deutsche Bank. Plaintiffs have appealed that decision to the U.S.
Court of Appeals for the Second Circuit. Briefing of the appeal is complete. On December 28, 2020, DYJ Holdings, LLC filed
a motion to intervene in the appeal as named plaintiff and proposed class representative, as one of the original named plaintiffs
has withdrawn and dismissed its claims and the other two named plaintiffs have expressed a desire to withdraw from the case.
On January 7, 2021, defendants filed a motion to dismiss the appeal for lack of subject matter jurisdiction. Briefing of both
motions is complete. This action is not part of the U.S. dollar LIBOR MDL.
In August 2020, plaintiffs filed a non-class action in the U.S. District Court for the Northern District of California against several
financial institutions, alleging that U.S. dollar LIBOR has been suppressed through the present. On November 10, 2020,
plaintiffs moved the court for a preliminary and permanent injunction; briefing of that motion is complete. On November 11,
2020, certain defendants moved to transfer the action to the SDNY; briefing of that motion is complete. This action is not part
of the U.S. dollar LIBOR MDL.
There is a further UK civil action regarding U.S. dollar LIBOR brought by the U.S. Federal Deposit Insurance Corporation, in
which a claim for damages has been asserted pursuant to Article 101 of The Treaty on the Functioning of the European Union,
Section 2 of Chapter 1 of the UK Competition Act 1998 and U.S. state laws. Deutsche Bank is defending this action.
A further class action regarding LIBOR, EURIBOR and TIBOR was filed in Israel in 2018 seeking damages for losses incurred
by Israeli individuals and entities. Deutsche Bank contested service and jurisdiction, and the class action claim against
Deutsche Bank was dismissed by the Israeli court on November 30, 2020.
A further class action regarding LIBOR has been filed in Argentina seeking damages for losses allegedly suffered by holders
of Argentine bonds with interest rates based on LIBOR. Deutsche Bank is defending this action.
SIBOR and SOR. A putative class action alleging manipulation of the Singapore Interbank Offered Rate (SIBOR) and Swap
Offer Rate (SOR) remains pending. On July 26, 2019, the SDNY granted the defendants’ motion to dismiss the action, dis-
missing all claims against Deutsche Bank, and denied plaintiff’s motion for leave to file a fourth amended complaint. Plaintiff
appealed that decision to the U.S. Court of Appeals for the Second Circuit. Briefing of the appeal is complete, and oral argu-
ment was heard on September 11, 2020.
GBP LIBOR. A putative class action alleging manipulation of the Pound Sterling (GBP) LIBOR remains pending. On Decem-
ber 21, 2018, the SDNY partially granted defendants’ motions to dismiss the action, dismissing all claims against Deutsche
Bank. On August 16, 2019, the court denied plaintiffs’ motion for partial reconsideration of the court’s December 21, 2018
decision. Plaintiffs have filed a notice of appeal; the U.S. Court of Appeals for the Second Circuit has ordered that the appeal
be held in abeyance pending that court’s decision in the appeal of the SIBOR and SOR class action.
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CHF LIBOR. A putative class action alleging manipulation of the Swiss Franc (CHF) LIBOR remains pending. On Septem-
ber 16, 2019, the SDNY granted defendants’ motion to dismiss the action, dismissing all claims against Deutsche Bank. Plain-
tiffs have filed a notice of appeal; the U.S. Court of Appeals for the Second Circuit has ordered that the appeal be held in
abeyance pending that court’s decision in the appeal of the SIBOR and SOR class action.
Spanish EURIBOR Claims. 53 claims in Spain have been filed against Deutsche Bank by claimants with mortgage loans held
by banks and other financial institutions for damages resulting from alleged collusive behaviour by Deutsche Bank following
the European Commission’s Decision. Of the 53 claims, court proceedings with respect to 22 claims have commenced. The
total value of current claims is approximately € 790,000, with the potential for more claims. The first trial was due to take place
on February 1, 2021, but it has been postponed with a new trial date to be advised.
Investigations Into Referral Hiring Practices and Certain Business Relationships and Precious Metals. On August 22, 2019,
Deutsche Bank reached a settlement with the U.S. Securities and Exchange Commission (SEC) to resolve its investigation
into the Bank’s hiring practices related to candidates referred by clients, potential clients and government officials. The Bank
agreed to pay U.S.$ 16 million as part of the settlement. The U.S. Department of Justice (DOJ) closed its investigation of the
Bank regarding its hiring practices. Deutsche Bank has also reached settlements with the DOJ and the SEC, respectively,
regarding their investigations of the Bank’s compliance with the U.S. Foreign Corrupt Practices Act (FCPA) and other laws
with respect to the Bank’s engagement of finders and consultants. On January 8, 2021, Deutsche Bank entered into a deferred
prosecution agreement (DPA) with the DOJ concerning its historical engagements of finders and consultants and, as part of
its obligations in the DPA, agreed to pay approximately U.S.$ 80 million in connection with this conduct. The DPA with DOJ
also involved a resolution involving spoofing in precious metals. As part of its obligations in the DPA relating to precious
metals, Deutsche Bank agreed to pay approximately U.S.$ 8 million, of which approximately U.S.$ 6 million would be credited
by virtue of Deutsche Bank’s 2018 resolution with the CFTC. On the same day, Deutsche Bank also reached a settlement
with the SEC to resolve its investigation into conduct regarding the Bank’s compliance with the FCPA with respect to the
Bank’s engagement of finders and consultants. The Bank agreed to pay approximately U.S.$ 43 million in this SEC settlement.
Jeffrey Epstein Investigations. Deutsche Bank has received requests for information from regulatory and law enforcement
agencies concerning the Bank’s former client relationship with Jeffrey Epstein (individually, and through related parties and
entities). In December 2018, Deutsche Bank began the process to terminate its relationship with Epstein, which began in
August 2013. Deutsche Bank has provided information to and otherwise cooperated with the investigating agencies. The Bank
has also completed an internal investigation into the Epstein relationship.
On July 7, 2020, the New York State Department of Financial Services (DFS) issued a Consent Order, finding that Deutsche
Bank violated New York State banking laws in connection with its relationships with three former Deutsche Bank clients,
Danske Bank’s Estonia branch, Jeffrey Epstein and FBME Bank, and imposing a U.S.$ 150 million civil penalty in connection
with these three former relationships, which Deutsche Bank paid in the third quarter of 2020. As noted above, the Bank is also
named as a defendant in a securities class action pending in the U.S. District Court for the District of New Jersey that includes
allegations relating to the Bank’s relationship with Jeffrey Epstein and other entities.
The Group has not established a provision or contingent liability with respect to the Jeffrey Epstein investigations and civil
action. The remaining investigations relating to Jeffrey Epstein are ongoing.
Mortgage-Related and Asset-Backed Securities Matters and Investigation. Regulatory and Governmental Matters.
Deutsche Bank, along with certain affiliates (collectively referred in these paragraphs to as “Deutsche Bank”), received sub-
poenas and requests for information from certain regulators and government entities, including members of the Residential
Mortgage-Backed Securities Working Group of the U.S. Financial Fraud Enforcement Task Force, concerning its activities
regarding the origination, purchase, securitization, sale, valuation and/or trading of mortgage loans, residential mortgage-
backed securities (RMBS), commercial mortgage-backed securities (CMBS), collateralized debt obligations (CDOs), other
asset-backed securities and credit derivatives. Deutsche Bank fully cooperated in response to those subpoenas and requests
for information.
On December 23, 2016, Deutsche Bank announced that it reached a settlement-in-principle with the DOJ to resolve potential
claims related to its RMBS business conducted from 2005 to 2007. The settlement became final and was announced by the
DOJ on January 17, 2017. Under the settlement, Deutsche Bank paid a civil monetary penalty of U.S.$ 3.1 billion and provided
U.S.$ 4.1 billion in consumer relief. The DOJ appointed an independent monitor to oversee and validate the provision of
consumer relief.
In September 2016, Deutsche Bank received administrative subpoenas from the Maryland Attorney General seeking infor-
mation concerning Deutsche Bank’s RMBS and CDO businesses from 2002 to 2009. On June 1, 2017, Deutsche Bank and
the Maryland Attorney General reached a settlement to resolve the matter for U.S.$ 15 million in cash and U.S.$ 80 million in
consumer relief (to be allocated from the overall U.S.$ 4.1 billion consumer relief obligation agreed to as part of Deutsche
Bank’s settlement with the DOJ).
324
Deutsche Bank
Annual Report 2020
Notes to the consolidated balance sheet
27 – Provisions
On July 8, 2020, the DOJ-appointed monitor released his final report, validating that Deutsche Bank has fulfilled its U.S.$ 4.1
billion consumer relief obligations in its entirety, inclusive of the U.S.$ 80 million commitment to the State of Maryland.
The Group has recorded provisions with respect to some of the outstanding regulatory investigations but not others. The
Group has not disclosed the amount of these provisions because it has concluded that such disclosure can be expected to
prejudice seriously the resolution of these matters.
Issuer and Underwriter Civil Litigation. Deutsche Bank has been named as defendant in numerous civil litigations brought by
private parties in connection with its various roles, including issuer or underwriter, in offerings of RMBS and other asset-backed
securities. These cases, described below, allege that the offering documents contained material misrepresentations and omis-
sions, including with regard to the underwriting standards pursuant to which the underlying mortgage loans were issued, or
assert that various representations or warranties relating to the loans were breached at the time of origination. The Group has
recorded provisions with respect to several of these civil cases, but has not recorded provisions with respect to all of these
matters. The Group has not disclosed the amount of these provisions because it has concluded that such disclosure can be
expected to prejudice seriously the resolution of these matters.
Deutsche Bank is a defendant in a class action relating to its role as one of the underwriters of six RMBS offerings issued by
Novastar Mortgage Corporation. No specific damages are alleged in the complaint. The lawsuit was brought by plaintiffs
representing a class of investors who purchased certificates in those offerings. The parties reached a settlement to resolve
the matter for a total of U.S.$ 165 million, a portion of which was paid by the Bank. On August 30, 2017, FHFA/Freddie Mac
filed an objection to the settlement and shortly thereafter appealed the district court’s denial of their request to stay settlement
approval proceedings, which appeal was resolved against FHFA/Freddie Mac. The court approved the settlement on March 7,
2019 over FHFA/Freddie Mac’s objections. FHFA filed its appeal on June 28, 2019, which is pending.
Deutsche Bank is a defendant in an action related to RMBS offerings brought by the U.S. Federal Deposit Insurance Corpo-
ration (FDIC) as receiver for Citizens National Bank and Strategic Capital Bank (alleging an unspecified amount in damages
against all defendants). In this action, the appellate court reinstated claims previously dismissed on statute of limitations
grounds and petitions for rehearing and certiorari to the U.S. Supreme Court were denied. On July 31, 2017, the FDIC filed a
second amended complaint, which defendants moved to dismiss on September 14, 2017. On October 18, 2019, defendants’
motion to dismiss was denied. Discovery is ongoing.
In June 2014, HSBC, as trustee, brought an action in New York state court against Deutsche Bank to revive a prior action,
alleging that Deutsche Bank failed to repurchase mortgage loans in the ACE Securities Corp. 2006-SL2 RMBS offering. The
revival action was stayed during the pendency of an appeal of the dismissal of a separate action wherein HSBC, as trustee,
brought an action against Deutsche Bank alleging breaches of representations and warranties made by Deutsche Bank con-
cerning the mortgage loans in the same offering. On March 29, 2016, the court dismissed the revival action, and on April 29,
2016, plaintiff filed a notice of appeal. On July 8, 2019, plaintiff filed its opening appellate brief. On November 19, 2019, the
appellate court affirmed the dismissal. On December 19, 2019, plaintiff filed a motion to appeal to the New York Court of
Appeals in the appeals court, which was denied on February 13, 2020. On March 16, 2020, plaintiff petitioned the New York
Court of Appeals for leave to appeal, which was granted on September 1, 2020. Plaintiff’s opening brief was filed on November
2, 2020.
Deutsche Bank is a defendant in cases concerning two RMBS trusts that were brought initially by RMBS investors and sub-
sequently by HSBC, as trustee, in New York state court. The cases allege breaches of loan-level representations and warran-
ties in the ACE Securities Corp. 2006-FM1 and ACE Securities Corp. 2007-ASAP1 RMBS offerings, respectively. Both cases
were dismissed on statute of limitations grounds by the trial court on March 28, 2018. Plaintiff appealed the dismissals. On
April 25, 2019, the First Department affirmed the dismissals on claims for breach of representations and warranties and for
breach of the implied covenant of good faith and fair dealing, but reversed the denial of the motions for leave to file amended
complaints alleging failure to notify the trustee of alleged representations and warranty breaches. HSBC filed amended com-
plaints on April 30, 2019, and Deutsche Bank filed its answers on June 3, 2019. Discovery is ongoing. On October 25, 2019,
plaintiffs filed two complaints seeking to revive, under Section 205(a) of the New York Civil Practice Law and Rules, the breach
of representations and warranties claims as to which dismissal was affirmed in the case concerning ACE 2006-FM1. On
December 16, 2019, Deutsche Bank moved to dismiss these actions.
In the actions against Deutsche Bank solely as an underwriter of other issuers’ RMBS offerings, Deutsche Bank has contrac-
tual rights to indemnification from the issuers, but those indemnity rights may in whole or in part prove effectively unenforceable
where the issuers are now or may in the future be in bankruptcy or otherwise defunct.
Trustee Civil Litigation. Deutsche Bank is a defendant in four separate civil lawsuits brought by investors concerning its role
as trustee of certain RMBS trusts. The actions generally allege claims for breach of contract, breach of fiduciary duty, breach
of the duty to avoid conflicts of interest, negligence and/or violations of the U.S. Trust Indenture Act of 1939, based on the
trustees’ alleged failure to perform adequately certain obligations and/or duties as trustee for the trusts.
325
Deutsche Bank
Annual Report 2020
Notes to the consolidated balance sheet
27 – Provisions
The four lawsuits include actions by (a) the National Credit Union Administration Board (“NCUA”), as an investor in 37 trusts,
which allegedly suffered total realized collateral losses of U.S.$ 8.5 billion; (b) certain CDOs (collectively, “Phoenix Light”) that
hold RMBS certificates issued by 43 RMBS trusts, and seeking “hundreds of millions of dollars in damages”; (c) Commerzbank
AG, as an investor in 50 RMBS trusts, seeking recovery for alleged “hundreds of millions of dollars in losses”; and (d) IKB
International, S.A. in Liquidation and IKB Deutsche Industriebank AG (collectively, “IKB”), as an investor in 30 RMBS trusts,
seeking more than U.S.$ 268 million of damages. In the NCUA case, NCUA notified the court on August 31, 2018 that it was
dismissing claims relating to 60 out of the 97 trusts originally at issue; on October 15, 2019, NCUA’s motion for leave to amend
its complaint was granted, and Deutsche Bank’s motion to dismiss the amended complaint was granted in part and denied in
part, dismissing NCUA’s tort claims but preserving its breach-of-contract claims. In the Phoenix Light case and Commerzbank
case, on December 7, 2018 the parties filed motions for summary judgment, which have been fully briefed as of March 9,
2019. On January 27, 2021, the court in the IKB case granted in part and denied in part Deutsche Bank’s motion to dismiss,
dismissing certain of IKB’s claims but allowing most of its breach of contract and tort claims to go forward. Discovery is ongoing.
The Group has established contingent liabilities with respect to certain of these matters but the Group has not disclosed the
amounts because it has concluded that such disclosure can be expected to prejudice seriously the outcome of these matters.
Postbank Voluntary Public Takeover Offer. On September 12, 2010, Deutsche Bank announced the decision to make a
voluntary takeover offer for the acquisition of all shares in Deutsche Postbank AG (Postbank). On October 7, 2010, the Bank
published its official takeover offer and offered Postbank shareholders a consideration of € 25 for each Postbank share. This
offer was accepted for a total of approximately 48.2 million Postbank shares.
In November 2010, a former shareholder of Postbank, Effecten-Spiegel AG, which had accepted the takeover offer, brought
a claim against Deutsche Bank alleging that the offer price was too low and was not determined in accordance with the
applicable German laws. The plaintiff alleges that Deutsche Bank had been obliged to make a mandatory takeover offer for
all shares in Postbank, at the latest, in 2009 as the voting rights of Deutsche Post AG in Postbank had to be attributed to
Deutsche Bank pursuant to Section 30 of the German Takeover Act. Based thereon, the plaintiff alleges that the consideration
offered by Deutsche Bank for the shares in Postbank in the 2010 voluntary takeover offer needed to be raised to € 57.25 per
share.
The Regional Court Cologne (Landgericht) dismissed the claim in 2011 and the Cologne appellate court dismissed the appeal
in 2012. The Federal Court set this judgment aside and referred the case back to the Higher Regional Court Cologne to take
evidence on certain allegations of the plaintiff.
Starting in 2014, additional former shareholders of Postbank, who accepted the 2010 tender offer, brought similar claims as
Effecten-Spiegel AG against Deutsche Bank which are pending with the Regional Court Cologne and the Higher Regional
Court of Cologne, respectively. On October 20, 2017, the Regional Court Cologne handed down a decision granting the claims
in a total of 14 cases which were combined in one proceeding. The Regional Court Cologne took the view that Deutsche Bank
was obliged to make a mandatory takeover offer already in 2008 so that the appropriate consideration to be offered in the
takeover offer should have been € 57.25 per Postbank share (instead of € 25). The additional consideration per share owed
to shareholders which have accepted the takeover offer would thus amount to € 32.25. Deutsche Bank appealed this decision
and the appeal was assigned to the 13th Senate of the Higher Regional Court of Cologne, which also heard the appeal of
Effecten-Spiegel AG.
In 2019 and 2020 the Higher Regional Court Cologne called a number of witnesses in both cases. The individuals heard
included current and former board members of Deutsche Bank, Deutsche Post AG and Postbank as well as other persons
involved in the Postbank transaction. In addition, the Higher Regional Court Cologne issued orders for the production of
relevant transaction documents entered into between Deutsche Bank and Deutsche Post AG in 2008 and 2009. Deutsche
Bank had therefore deposited the originals of these documents with the court in 2019.
On December 16, 2020, the Higher Regional Court Cologne handed down a decision and fully dismissed the claims of Ef-
fecten-Spiegel AG. Further, in a second decision handed down on December 16, 2020, the Higher Regional Court Cologne
allowed the appeal of Deutsche Bank against the decision of the Regional Court Cologne dated October, 20, 2017 and dis-
missed all related claims of the relevant plaintiffs. The Higher Regional Court Cologne has granted leave to appeal to the
German Federal Court (Bundesgerichtshof) as regards both decisions and all relevant plaintiffs have lodged their respective
appeals with the Federal Court end of January and beginning of February 2021, respectively.
Deutsche Bank has been served with a large number of additional lawsuits filed against Deutsche Bank shortly before the end
of 2017, almost all of which are now pending with the Regional Court Cologne. Some of the new plaintiffs allege that the
consideration offered by Deutsche Bank AG for the shares in Postbank in the 2010 voluntary takeover should be raised to
€ 64.25 per share.
The claims for payment against Deutsche Bank in relation to these matters total almost € 700 million (excluding interest).
326
Deutsche Bank
Annual Report 2020
Notes to the consolidated balance sheet
27 – Provisions
The Group has established a contingent liability with respect to these matters but the Group has not disclosed the amount of
this contingent liability because it has concluded that such disclosure can be expected to prejudice seriously the outcome of
these matters.
Further Proceedings Relating to the Postbank Takeover. In September 2015, former shareholders of Postbank filed in the
Regional Court Cologne shareholder actions against Postbank to set aside the squeeze-out resolution taken in the sharehold-
ers meeting of Postbank in August 2015 (actions for voidance). Among other things, the plaintiffs alleged that Deutsche Bank
was subject to a suspension of voting rights with respect to its shares in Postbank based on the allegation that Deutsche Bank
failed to make a mandatory takeover offer. The squeeze out is final and the proceeding itself has no reversal effect, but may
result in damage payments. The claimants refer to legal arguments similar to those asserted in the Effecten-Spiegel proceed-
ing described above. In a decision on October 20, 2017, the Regional Court Cologne declared the squeeze-out resolution to
be void. The court, however, did not rely on a suspension of voting rights due to an alleged failure of Deutsche Bank to make
a mandatory takeover offer, but argued that Postbank violated information rights of Postbank shareholders in Postbank's
shareholders meeting in August 2015. Postbank has appealed this decision. On May 15, 2020 DB Privat- und Firmenkunden-
bank AG (legal successor of Postbank due to a merger in 2018) was merged into Deutsche Bank AG. On July 3, 2020
Deutsche Bank AG withdrew the appeal as regards the actions for voidance because efforts and costs to pursue this appeal
became disproportionate to the minor remaining economic importance of the case considering that the 2015 squeeze-out
cannot be reversed. As a consequence, the first instance judgement which found that Postbank violated the information rights
of its shareholders in the shareholders’ meeting has now become final.
The legal question of whether Deutsche Bank had been obliged to make a mandatory takeover offer for all Postbank shares
prior to its 2010 voluntary takeover may also impact two pending appraisal proceedings (Spruchverfahren). These proceedings
were initiated by former Postbank shareholders with the aim to increase the cash compensation offered in connection with the
squeeze-out of Postbank shareholders in 2015 and the cash compensation offered and annual compensation paid in connec-
tion with the execution of a domination and profit and loss transfer agreement (Beherrschungs- und Gewinnabführungsvertrag)
between DB Finanz-Holding AG (now DB Beteiligungs-Holding GmbH) and Postbank in 2012.
The applicants in the appraisal proceedings claim that a potential obligation of Deutsche Bank to make a mandatory takeover
offer for Postbank at an offer price of € 57.25 should be decisive when determining the adequate cash compensation in the
appraisal proceedings. The Regional Court Cologne had originally followed this legal view of the applicants in two resolutions.
In a decision dated June 2019, the Regional Court Cologne expressly gave up this legal view in the appraisal proceedings in
connection with execution of a domination and profit and loss transfer agreement. According to this decision, the question
whether Deutsche Bank was obliged to make a mandatory offer for all Postbank shares prior to its voluntary takeover offer
in 2010 shall not be relevant for determining the appropriate cash compensation. It is likely that the Regional Court Cologne
will take the same legal position in the appraisal proceedings in connection with the squeeze-out. On October 1, 2020, the
Regional Court Cologne handed down a decision in the appraisal proceeding concerning the domination and profit and loss
transfer agreement (dated December 5, 2012) according to which the annual compensation pursuant to Section 304 of the
German Stock Corporation Act (jährliche Ausgleichszahlung) shall be increased by € 0.12 to € 1.78 per Postbank share and
the settlement amount pursuant to Section 305 of the German Stock Corporation Act (Abfindungsbetrag) shall be increased
by € 4.56 to € 29.74 per Postbank share. The increase of the settlement amount is of relevance for approximately 492.000
former Postbank shares whereas the increase of the annual compensation is of relevance for approximately 7 million former
Postbank shares. Deutsche Bank as well as the applicants have lodged an appeal against this decision.
The Group has not disclosed whether it has established a provision or contingent liability with respect to this matter because
it has concluded that such disclosure can be expected to prejudice seriously its outcome.
Russia/UK Equities Trading Investigation. Deutsche Bank has investigated the circumstances around equity trades entered
into by certain clients with Deutsche Bank in Moscow and London that offset one another. The total volume of transactions
reviewed is significant. Deutsche Bank's internal investigation of potential violations of law, regulation and policy and into the
related internal control environment has concluded, and Deutsche Bank has assessed the findings identified during the inves-
tigation; to date it has identified certain violations of Deutsche Bank’s policies and deficiencies in Deutsche Bank's control
environment. Deutsche Bank has advised regulators and law enforcement authorities in several jurisdictions (including Ger-
many, Russia, the UK and the United States) of this investigation. Deutsche Bank has taken disciplinary measures with regards
to certain individuals in this matter.
On January 30 and 31, 2017, the DFS and the FCA announced settlements with the Bank related to their investigations into
this matter. The settlements conclude the DFS and the FCA’s investigations into the Bank’s AML control function in its invest-
ment banking division, including in relation to the equity trading described above. Under the terms of the settlement agreement
the DFS issued a Consent Order pursuant to which Deutsche Bank agreed to pay a civil monetary penalty of U.S.$ 425 million
and to engage an independent monitor for a term of up to two years. Under the terms of the settlement agreement with the
FCA, Deutsche Bank agreed to pay a civil monetary penalty of approximately GBP 163 million. On May 30, 2017, the Federal
Reserve announced its settlement with the Bank resolving this matter as well as additional AML issues identified by the Federal
Reserve. Deutsche Bank paid a penalty of U.S.$ 41 million. Deutsche Bank also agreed to retain independent third parties to
327
Deutsche Bank
Annual Report 2020
Notes to the consolidated balance sheet
27 – Provisions
assess its Bank Secrecy Act/AML program and review certain foreign correspondent banking activity of its subsidiary Deutsche
Bank Trust Company Americas. The Bank is also required to submit written remediation plans and programs.
Deutsche Bank continues to cooperate with regulators and law enforcement authorities, including the DOJ which has its own
ongoing investigation into these securities trades. The Group has recorded a provision with respect to the remaining investi-
gation. The Group has not disclosed the amount of this provision because it has concluded that such disclosure can be
expected to prejudice seriously the outcome of this matter.
Sovereign, Supranational and Agency Bonds (SSA) Investigations and Litigations. Deutsche Bank has received inquiries
from certain regulatory and law enforcement authorities, including requests for information and documents, pertaining to SSA
bond trading. Deutsche Bank is cooperating with these investigations.
On December 20, 2018, the European Commission sent a Statement of Objections to Deutsche Bank regarding a potential
breach of EU antitrust rules in relation to secondary market trading of SSA bonds denominated in U.S. dollars. The sending
of a Statement of Objections is a step in the European Commission’s investigation and does not prejudge the outcome of the
investigation. Deutsche Bank has proactively cooperated with the European Commission in this matter and as a result has
been granted immunity. In accordance with the European Commission’s guidelines, Deutsche Bank does not expect a financial
penalty.
Deutsche Bank is a defendant in several putative class action complaints filed in the U.S. District Court for the Southern District
of New York by alleged direct and indirect market participants claiming violations of antitrust law and common law related to
alleged manipulation of the secondary trading market for SSA bonds. Deutsche Bank has reached an agreement to settle the
actions by direct market participants for the amount of U.S.$ 48.5 million and has recorded a provision in the same amount.
The settlement is subject to court approval. The action filed on behalf of alleged indirect market participants was voluntarily
dismissed by the plaintiffs.
Deutsche Bank is also a defendant in putative class actions filed on November 7, 2017 and December 5, 2017 in the Ontario
Superior Court of Justice and Federal Court of Canada, respectively, claiming violations of antitrust law and the common law
relating to alleged manipulation of secondary trading of SSA bonds. The complaints rely on allegations similar to those in the
U.S. class actions involving SSA bond trading, and seek compensatory and punitive damages. The cases are in their early
stages.
Deutsche Bank was named as a defendant in a consolidated putative class action filed in the U.S. District Court for the
Southern District of New York alleging violations of U.S. antitrust law and a claim for unjust enrichment relating to Mexican
government bond trading. In October 2019, the court granted defendants’ motion to dismiss plaintiffs’ consolidated amended
complaint without prejudice. In December 2019, plaintiffs filed a Second Amended Complaint, which the court dismissed with-
out prejudice on November 30, 2020. On January 22, 2021, Deutsche Bank was notified that the Mexican competition author-
ity, COFECE, reached a resolution that imposes fines against DB Mexico and two of its former traders, as well as six other
financial institutions and nine other traders, for engaging in alleged monopolistic practices in the Mexican government bond
secondary market, which may be appealed. The fine against DB Mexico was approximately U.S.$ 427,000.
Deutsche Bank was also named as a defendant in several putative class action complaints filed in the U.S. District Court for
the Southern District of New York alleging violations of antitrust law and common law related to alleged manipulation of the
secondary trading market for U.S. Agency bonds; on September 3, 2019, the court denied a motion to dismiss the complaint.
Deutsche Bank has reached an agreement to settle the class actions for the amount of U.S.$ 15 million, which amount was
already fully reflected in existing litigation reserves and no additional provision was taken for this settlement amount. The court
granted preliminary approval over the settlement on October 29, 2019, supported by an opinion issued November 8, 2019.
The court held a final fairness hearing on June 9, 2020. On June 18, 2020, the court entered final judgement approving the
class action settlement with Deutsche Bank and separately as to the class action settlements with the other defendants which
will result in a total of U.S.$ 386.5 million paid to the settlement class. A separate action was filed in the U.S. District Court for
the Middle District of Louisiana on September 23, 2019, which was dismissed with prejudice as to Deutsche Bank by stipula-
tion of the parties on October 30, 2019.
Other than as noted above, the Group has not disclosed whether it has established provisions or contingent liabilities with
respect to the matters referred to above because it has concluded that such disclosure can be expected to prejudice seriously
their outcome.
US Treasury Securities Investigations. Deutsche Bank has received inquiries from certain regulatory and law enforcement
authorities, including requests for information and documents, pertaining to U.S. Treasuries auctions, trading, and related
market activity. Deutsche Bank is cooperating with these investigations.
Deutsche Bank‘s subsidiary Deutsche Bank Securities Inc. (DBSI) was a defendant in several putative class actions alleging
violations of U.S. antitrust law, the U.S. Commodity Exchange Act and common law related to the alleged manipulation of the
328
Deutsche Bank
Annual Report 2020
Notes to the consolidated balance sheet
28 – Credit related commitments and contingent liabilities
U.S. Treasury securities market. These cases have been consolidated in the Southern District of New York. On November 16,
2017, plaintiffs filed a consolidated amended complaint, which did not name DBSI as a defendant. On December 11, 2017,
the court dismissed DBSI from the class action without prejudice.
On June 18, 2020, the CFTC entered an order pursuant to settlement with DBSI for alleged spoofing by two Tokyo-based
traders between January and December 2013. Without admitting or denying the findings or conclusions therein, Deutsche
Bank consented to the entry of the order, including a civil monetary fine of U.S.$ 1.25 million.
US Treasury Spoofing Litigation. Following the Bank’s settlement with the CFTC five separate putative class actions were
filed in the Northern District of Illinois against Deutsche Bank AG and DBSI. The cases allege that Deutsche Bank and other
unnamed entities participated in a scheme from January to December 2013 to spoof the market for Treasuries futures and
options contracts and Eurodollars futures and options contracts. Plaintiffs filed a consolidated complaint on November 13,
2020. Deutsche Bank AG and DBSI filed a motion to dismiss on January 15, 2021; briefing on the motion to dismiss is set to
conclude by April 16, 2021.
The Group has not disclosed whether it has established a provision or contingent liability with respect to these matters because
it has concluded that such disclosure can be expected to prejudice seriously their outcome.
28 – Credit related commitments and contingent liabilities
Irrevocable lending commitments and lending related contingent liabilities
In the normal course of business the Group regularly enters into irrevocable lending commitments, including fronting commit-
ments as well as contingent liabilities consisting of financial and performance guarantees, standby letters of credit and indem-
nity agreements on behalf of its customers. Under these contracts the Group is required to perform under an obligation agree-
ment or to make payments to the beneficiary based on third party’s failure to meet its obligations. For these instruments it is
not known to the Group in detail if, when and to what extent claims will be made. In the event that the Group has to pay out
cash in respect of its fronting commitments, the Group would immediately seek reimbursement from the other syndicate lend-
ers. The Group considers all the above instruments in monitoring the credit exposure and may require collateral to mitigate
inherent credit risk. If the credit risk monitoring provides sufficient perception about a loss from an expected claim, a provision
is established and recorded on the balance sheet.
The following table shows the Group’s revocable lending commitments, irrevocable lending commitments and lending related
contingent liabilities without considering collateral or provisions. It shows the maximum potential utilization of the Group in
case all these liabilities entered into must be fulfilled. The table therefore does not show the expected future cash flows from
these liabilities as many of them will expire without being drawn and arising claims will be honoured by the customers or can
be recovered from proceeds of arranged collateral.
At the end of the first quarter 2020, we observed that many clients drew down their lending commitments due to liquidity
concerns as impact of the COVID-19 pandemic, which led to a significant decrease of up to € 12.8 billion in irrevocable lending
commitments. Throughout the year the situation has stabilized and irrevocable lending commitments returned to similar levels
in December 2020 compared to December 2019.
Irrevocable lending commitments and lending related contingent liabilities
in € m.
Irrevocable lending commitments
Revocable lending commitments
Contingent liabilities
Total
Dec 31, 2020
165,643
50,233
47,978
263,854
Dec 31, 2019
167,788
43,652
49,232
260,672
329
Deutsche Bank
Annual Report 2020
Notes to the consolidated balance sheet
29 – Other short-term borrowings
Other commitments and other contingent liabilities
The following table shows the Group’s other irrevocable commitments and other contingent liabilities without considering
collateral or provisions. It shows the maximum potential utilization of the Group in case all these liabilities entered into must
be fulfilled. The table therefore does not show the expected future cash flows from these liabilities as many of them will expire
without being drawn and arising claims will be honoured by the customers or can be recovered from proceeds of arranged
collateral.
Other commitments and other contingent liabilities
in € m.
Other commitments
Other contingent liabilities
Total
Government Assistance
Dec 31, 2020
144
73
217
Dec 31, 2019
143
78
220
In the course of its business, the Group regularly applies for and receives government support by means of Export Credit
Agency (“ECA”) guarantees covering transfer and default risks for the financing of exports and investments into Emerging
Markets and to a lesser extent, developed markets for Structured Trade & Export Finance and short- and medium-term Trade
Finance business. Almost all export-oriented states have established such ECAs to support their domestic exporters. The
ECAs act in the name and on behalf of the government of their respective country and are either constituted directly as
governmental departments or organized as private companies vested with the official mandate of the government to act on its
behalf. Terms and conditions of such ECA guarantees are broadly similar due to the fact that most of the ECAs act within the
scope of the Organization for Economic Cooperation and Development (“OECD”) consensus rules. The OECD consensus
rules, an intergovernmental agreement of the OECD member states, define benchmarks intended to ensure that a fair com-
petition between different exporting nations will take place.
In some countries dedicated funding programs with governmental support are offered for ECA-covered financings. The Group
makes use of such programs to assist its clients in the financing of exported goods and services. In certain financings, the
Group also receives government guarantees from national and international governmental institutions as collateral to support
financings in the interest of the respective governments. The majority of such ECA guarantees received by the Group were
issued either by the Euler-Hermes Kreditversicherungs-AG acting on behalf of the Federal Republic of Germany, by the Ko-
rean Export Credit Agencies (Korea Trade Insurance Corporation and The Export-Import Bank of Korea) acting on behalf of
the Republic of Korea or by Chinese Export Credit Agency (China Export & Insurance Corporation (Sinosure)) acting on behalf
of the People’s Republic of China.
In light of the COVID-19 pandemic, the government created additional support via state backed loans. Further information can
be found in section “Legislative and non-legislative moratoria and public guarantee schemes in light of COVID-19 pandemic”.
Irrevocable payment commitments with regard to levies
Irrevocable payment commitments related to bank levy according to Bank Recovery and Resolution Directive (BRRD), the
Single Resolution Fund (SRF) and the German deposit protection amounted to € 915.6 million as of December 31, 2020, and
to € 767.3 million as of December 31, 2019.
29 – Other short-term borrowings
in € m.
Other short-term borrowings:
Commercial paper
Other
Total other short-term borrowings
Dec 31, 2020
Dec 31, 2019
1,748
1,804
3,553
1,585
3,633
5,218
330
Deutsche Bank
Annual Report 2020
Notes to the consolidated balance sheet
31 – Maturity analysis of the earliest contractual undiscounted cash flows of financial liabilities
30 – Long-term debt and trust preferred securities
Long-Term Debt by Earliest Contractual Maturity
in € m.
Senior debt:
Bonds and notes:
Fixed rate
Floating rate
Other
Subordinated debt:
Bonds and notes:
Fixed rate
Floating rate
Other
Total long-term debt
Due in
2021
Due in
2022
Due in
2023
Due in
2024
Due in
2025
Due after
2025
Total
Dec 31,
2020
Total
Dec 31,
2019
18,447
7,017
34,120
9,575
2,887
1,274
11,234
1,584
5,739
8,518
3,526
911
6,435
3,903
1,507
13,288
6,978
4,552
67,496
25,895
48,103
77,243
23,944
28,019
18
0
24
59,626
0
0
15
13,751
30
1,100
103
19,789
14
123
82
13,174
2,601
80
0
14,526
3,386
0
93
28,297
6,049
1,303
316
149,163
5,517
1,417
333
136,473
The Group did not have any defaults of principal, interest or other breaches with respect to its liabilities in 2020 and 2019.
Trust Preferred Securities1
in € m.
Fixed rate
Floating rate
Total trust preferred securities
1 Perpetual instruments, redeemable at specific future dates at the Group’s option.
Dec 31, 2020
269
1,052
1,321
Dec 31, 2019
976
1,037
2,013
31 – Maturity analysis of the earliest contractual undiscounted
cash flows of financial liabilities
Dec 31, 2020
Due within
3 months
Due between
3 and 12
months
Due between
1 and 5 years
Due after
5 years
0
10,230
0
0
0
0
On demand
327,775
16,204
0
23,692
0
0
64,784
0
0
13,815
0
220,646
154,863
44,289
0
105,566
0
in € m.
Noninterest bearing deposits
Interest bearing deposits
Trading liabilities¹
Negative market values from derivative financial
instruments¹
Financial liabilities designated at fair value
through profit or loss
Investment contract liabilities²
Negative market values from derivative financial
instruments qualifying for hedge accounting³
Central bank funds purchased
Securities sold under repurchase agreements
Securities loaned
Other short-term borrowings
Long-term debt
Trust preferred securities
Lease liabilities
Other financial liabilities
Off-balance sheet loan commitments
Financial guarantees
Total⁴
1 Trading liabilities and derivatives not qualifying for hedge accounting balances are recorded at fair value. The Group believes that this best represents the cash flow that would
have to be paid if these positions had to be closed out. Trading liabilities and derivatives not qualifying for hedge accounting balances are shown within “on demand” which
Group’s management believes most accurately reflects the short-term nature of trading activities. The contractual maturity of the instruments may however extend over signifi-
cantly longer periods.
0
0
1,815
1,697
1,385
1
0
49
86,618
164,843
20,337
1,048,009
354
0
17
1
919
14,430
0
128
2,565
0
0
140,182
66
0
0
0
1,530
48,164
1,345
522
225
0
0
120,611
319
0
504
0
0
68,130
0
1,804
501
0
0
87,200
541
0
1
0
0
31,637
0
2,064
16
0
0
46,584
2,127
0
3,451
526
2,095
0
0
2 These are investment contracts where the policy terms and conditions result in their redemption value equaling fair value.
3 Derivatives designated for hedge accounting are recorded at fair value and are shown in the time bucket at which the hedged relationship is expected to terminate.
4 The balances in the table do not agree to the numbers in the Group’s balance sheet as the cash flows included in the table are undiscounted. This analysis represents the
worst case scenario for the Group if the Group was required to repay all liabilities earlier than expected. The Group believes that the likelihood of such an event occurring is
remote.
331
Deutsche Bank
Annual Report 2020
Notes to the consolidated balance sheet
31 – Maturity analysis of the earliest contractual undiscounted cash flows of financial liabilities
Dec 31, 2019
Due within
3 months
Due between
3 and 12
months
Due between
1 and 5 years
Due after
5 years
0
10,468
0
0
0
0
On demand
316,506
29,680
0
11,705
0
0
68,955
0
0
16,258
0
0
113,449
0
228,731
135,330
37,065
in € m.
Noninterest bearing deposits
Interest bearing deposits
Trading liabilities¹
Negative market values from derivative financial
instruments¹
Financial liabilities designated at fair value
through profit or loss
Investment contract liabilities²
Negative market values from derivative financial
instruments qualifying for hedge accounting³
Central bank funds purchased
Securities sold under repurchase agreements
Securities loaned
Other short-term borrowings
Long-term debt
Trust preferred securities
Lease liabilities
Other financial liabilities
Off-balance sheet loan commitments
Financial guarantees
Total⁴
1 Trading liabilities and derivatives not qualifying for hedge accounting balances are recorded at fair value. The Group believes that this best represents the cash flow that would
have to be paid if these positions had to be closed out. Trading liabilities and derivatives not qualifying for hedge accounting balances are shown within “on demand” which
Group’s management believes most accurately reflects the short-term nature of trading activities. The contractual maturity of the instruments may however extend over signifi-
cantly longer periods.
0
218
1,494
258
1,893
2
0
53
78,555
167,281
21,645
1,000,736
288
0
1,130
0
2,435
17,670
12
144
2,624
0
0
167,431
245
0
238
0
1,368
24,046
2,073
533
293
0
0
116,280
555
0
50
0
0
73,086
0
1,922
607
0
0
94,294
343
0
7
0
0
36,177
0
957
8
0
0
52,901
17,986
544
1,815
0
4,941
0
0
2 These are investment contracts where the policy terms and conditions result in their redemption value equaling fair value.
3 Derivatives designated for hedge accounting are recorded at fair value and are shown in the time bucket at which the hedged relationship is expected to terminate.
4 The balances in the table do not agree to the numbers in the Group’s balance sheet as the cash flows included in the table are undiscounted. This analysis represents the
worst case scenario for the Group if the Group was required to repay all liabilities earlier than expected. The Group believes that the likelihood of such an event occurring is
remote.
332
Deutsche Bank
Annual Report 2020
Additional notes
32 – Common shares
Additional notes
32 – Common shares
Common Shares
Deutsche Bank’s share capital consists of common shares issued in registered form without par value. Under German law,
each share represents an equal stake in the subscribed capital. Therefore, each share has a nominal value of € 2.56, derived
by dividing the total amount of share capital by the number of shares.
Number of shares
Common shares, January 1, 2019
Shares issued under share-based compensation plans
Capital increase
Shares purchased for treasury
Shares sold or distributed from treasury
Common shares, December 31, 2019
Shares issued under share-based compensation plans
Capital increase
Shares purchased for treasury
Shares sold or distributed from treasury
Common shares, December 31, 2020
Issued and
fully paid
0
0
Treasury shares
Outstanding
(1,344,144) 2,065,428,987
2,066,773,131
0
0
0
0
0 (193,666,155) (193,666,155)
0 194,338,942 194,338,942
(671,357) 2,066,101,774
0
0
0
0
(35,058,705)
(35,058,705)
34,383,896
34,383,896
(1,346,166) 2,065,426,965
2,066,773,131
0
0
0
0
2,066,773,131
There are no issued ordinary shares that have not been fully paid.
Shares purchased for treasury mainly consist of shares purchased with the intention of being resold in the short-term as well
as held by the Group for a period of time. In addition, the Group has bought back shares for equity compensation purposes.
All such transactions were recorded in shareholders’ equity and no revenues and expenses were recorded in connection with
these activities. Treasury stock held as of year-end will mainly be used for future share-based compensation.
Authorized Capital
The Management Board is authorized to increase the share capital by issuing new shares for cash consideration. As of De-
cember 31, 2020, Deutsche Bank AG had authorized but unissued capital of € 2,560,000 which may be issued in whole or in
part until April 30, 2022. Further details are governed by Section 4 of the Articles of Association.
Authorized capital
€ 512,000,000
Consideration
Cash
€ 2,048,000,000
Cash
Pre-emptive rights
May be excluded pursuant to Section 186 (3) sentence 4 of the Stock Corporation
Act and may be excluded in so far as it is necessary to grant pre-emptive rights to
the holders of option rights, convertible bonds and convertible participatory rights
May be excluded insofar as it is necessary to grant pre-emptive rights to the holders
of option rights, convertible bonds and convertible participatory rights.
Expiration date
April 30, 2022
April 30, 2022
Conditional Capital
The Management Board is authorized to issue once or more than once, participatory notes that are linked with conversion
rights or option rights and/or convertible bonds and/or bonds with warrants. The participatory notes, convertible bonds or
bonds with warrants may also be issued by affiliated companies of Deutsche Bank AG. For this purpose share capital was
increased conditionally upon exercise of these conversion and/or exchange rights or upon mandatory conversion.
Conditional
capital
€ 512,000,000 May be used if holders of conversion or option rights that are linked with participatory notes or convertible bonds or bonds
Purpose of conditional capital
Expiration date
April 30, 2022
with warrants make use of their conversion or option rights or holders with conversion obligations of convertible
participatory notes or convertible bonds fulfill their obligation to convert.
€ 51,200,000 May be used to fulfill options that are awarded on or before the expiration date and will only be used to the extent that
holders of issued options make use of their right to receive shares and shares are not delivered out of treasury shares
April 30, 2022
333
Deutsche Bank
Annual Report 2020
Additional notes
33 – Employee benefits
Dividends
The following table presents the amount of dividends proposed or declared for the years ended December 31, 2020, 2019
and 2018, respectively.
Cash dividends declared (in € )
Cash dividends declared per common share (in €)
2020
(proposed)
0
0.00
No dividends have been declared since the balance sheet date.
33 – Employee benefits
Share-Based Compensation Plans
2019
2018
0 227,000,000
0.11
0.00
The Group made grants of share-based compensation under the DB Equity Plan. This plan represents a contingent right to
receive Deutsche Bank common shares after a specified period of time. The award recipient is not entitled to receive dividends
during the vesting period of the award.
The share awards granted under the terms and conditions of the DB Equity Plan may be forfeited fully or partly if the recipient
voluntarily terminates employment before the end of the relevant vesting period (or release period for Upfront Awards). Vesting
usually continues after termination of employment in cases such as redundancy or retirement.
In countries where legal or other restrictions hinder the delivery of shares, a cash plan variant of the DB Equity Plan was used
for granting awards, and for employees of certain legal entities, deferred equity is replaced with restricted shares due to local
regulatory requirements.
Please note that this table does not cover awards granted to the Management Board, and from 2018 this table does not cover
AIFMD/UCITS MRTs, or DWS Share-Based Compensation Payments, please refer to separate DWS section that covers
grants to this population.
The following table sets forth the basic terms of these share plans:
Grant year(s)
2019-2020
Deutsche Bank Equity Plan
Annual Award
Annual Award
Annual Award
Retention/New Hire
2017 -2018
Annual Award – Upfront
Annual Award
Retention/New Hire
Key Retention Plan (KRP)4
Vesting schedule
1/4: 12 months1
1/4: 24 months1
1/4: 36 months1
1/4: 48 months1
1/3: 12 months1
1/3: 24 months1
1/3: 36 months1
1/5: 12 months1
1/5: 24 months1
1/5: 36 months1
1/5: 48 months1
1/5: 60 months1
Individual specification
Vesting immediately at grant3
1/4: 12 months1
1/4: 24 months1
1/4: 36 months1
1/4: 48 months1
Or cliff vesting after 54 months1
Individual specification
1/2: 50 months3
1/2: 62 months3
Cliff vesting after 43 months
Cliff-vesting after 4 years3
Eligibility
Select employees as
annual performance-based
compensation
(CB/IB/CRU)2
Select employees as
annual performance-based
compensation (non-CB/IB/CRU)2
Select employees as
annual performance-based
compensation (Senior Management)
Select employees to attract and
retain the best talent
Regulated employees
Select employees as
annual performance-based
compensation
Members of Senior Leadership Cadre
Select employees to attract and retain
the best talent
Material Risk Takers (MRTs)
Non-Material Risk Takers (non-MRTs)
Select employees as annual retention
334
2016
1 For InstVV-regulated employees (and Senior Management) a further retention period of twelve months applies (six months for awards granted from 2017 -2018).
Key Position Award (KPA)5
Deutsche Bank
Annual Report 2020
Additional notes
33 – Employee benefits
2 For grant year 2019 divisions were called CIB, for grant year 2020 CIB is split into CB/IB/CRU.
3 Share delivery takes place after a further retention period of twelve months.
4 Equity-based awards granted under this plan in January 2017 were subject to an additional share price condition and were forfeited as a result of this condition not being met.
5 A predefined proportion of the individual’s KPA was subject to an additional share price condition and was forfeited as a result of this condition not being met.
Furthermore, the Group offers a broad-based employee share ownership plan entitled Global Share Purchase Plan (“GSPP”).
The GSPP offers employees in specific countries the opportunity to purchase Deutsche Bank shares in monthly installments
over one year. At the end of the purchase cycle, the bank matches the acquired stock in a ratio of one to one up to a maximum
of ten free shares, provided that the employee remains at Deutsche Bank Group for another year. In total, about 11,045 staff
from 18 countries enrolled in the twelfth cycle that began in November 2020.
The Group has other local share-based compensation plans, none of which, individually or in the aggregate, are material to
the consolidated financial statements.
The following table sets out the movements in share award units, including grants under the cash plan variant of the DB Equity
Plan.
Share units (in thousands)
Balance outstanding as of January 01
Granted
Released
Forfeited
Other movements
Balance outstanding as of December 31
1 Share Units outstanding at the beginning of year 2019 restated
2020
168,332
44,768
(32,454)
(62,398)
(441)
117,806
2019
143,9231
64,217
(28,475)
(11,157)
(177)
168,332
The DB Equity Plan includes awards with share price hurdles under both the Key Position Award and the Key Retention Plan.
The share price hurdle condition for both plans was measured during 2020 and was not met. As a result approximately 56
million share units were forfeited. In accordance with IFRS 2 the forfeiture due to a market performance condition did not result
in a reversal to the recorded expense.
The following table sets out key information regarding awards granted, released and remaining in the year.
Weighted
average fair
value per award
granted in year
Weighted
average share
price at release
in year
2020
Weighted
average
remaining
contractual life in
years
DB Equity Plan
€ 7.20
7.79
2
Weighted
average fair
value per award
granted in the
year
€ 6.34
Weighted
average share
price at release
in year
7.6
2019
Weighted
average
remaining
contractual life in
years
2
Share-based payment transactions resulting in a cash payment give rise to a liability, which amounted to approximately
€ 8 million and € 6 million for the years ended December 31, 2020 and 2019, respectively.
The grant volume of outstanding share awards was approximately € 0.9 billion and € 1.4 billion as of December 31, 2020 and
2019, respectively. Thereof, approximately € 0.7 billion and € 1.2 billion had been recognized as compensation expense in
the reporting year or prior to that. Hence, compensation expense for deferred share-based compensation not yet recognized
amounted to approximately € 0.2 billion and € 0.3 billion as of December 31, 2020 and 2019, respectively.
DWS Share-Based Compensation Plans
The DWS Group made grants of share-based compensation under the DWS Equity Plan. This plan represents a contingent
right to receive a cash payment by referencing to the value of DWS shares during a specified time period.
In September 2018 one-off IPO related awards under the DWS Stock Appreciation Rights (SAR) Plan were granted to all
DWS employees. A limited number of DWS senior managers were granted a one-off IPO-related Performance Share Unit
(PSU) under the DWS Equity Plan instead. For members of the Executive Board, one-off IPO-related awards under the DWS
Equity Plan were granted in January 2019.
The DWS SAR Plan represents a contingent right to receive a cash payment equal to any appreciation (or gain) in the value
of a set number of notional DWS shares over a fixed period of time. This award does not provide any entitlement to receive
DWS shares, voting rights or associated dividends.
The DWS Equity Plan is a phantom share plan representing a contingent right to receive a cash payment by referencing to
the value of DWS shares during a specified period of time.
335
Deutsche Bank
Annual Report 2020
Additional notes
33 – Employee benefits
The award recipient for any share-based compensation plan is not entitled to receive dividends during the vesting period of
the award.
The share awards granted under the terms and conditions of any share-based compensation plan are forfeited fully or partly
if the recipient voluntarily terminates employment before the end of the relevant vesting period (or the end of the retention
period for Upfront Awards). Vesting usually continues after termination of employment in cases such as redundancy or retire-
ment.
The following table sets forth the basic terms of the DWS share-based plans:
Grant year(s)
2019 / 2020
DWS Equity Plan
Award Type
Annual Awards
Annual Awards (Senior Management)
Vesting schedule
1/3: 12 months2
1/3: 24 months2
1/3: 36 months2
1/5: 12 months2
1/5: 24 months2
1/5: 36 months2
1/5: 48 months2
1/5: 60 months2
Annual Award - Upfront
Retention/New Hire
Vesting immediately at grant2
Individual specification
Eligibility
Select employees as annual perfor-
mance-based
compensation
Members of the Executive Board
Regulated employees
Select employees to attract and retain
the best talent
Members of the Executive Board
Performance Share Unit (PSU) Award
(one-off IPO related award granted 1
January 2019)1
Retention/New Hire
1/3: March 20222
1/3: March 20232
1/3: March 20242
2018
DWS Equity Plan
2018
DWS SAR Plan
Individual specification
Select employees to attract and retain
Performance Share Unit (PSU) Award
(one-off IPO related award)1
1/3: March 20222
1/3: March 20232
1/3: March 20242
the best talent
Select Senior Managers
SAR Award (one-off IPO related award) For non-MRTs:
all DWS employees3
June 1, 20214
For MRTs:
March 1, 20232
1 The award and the number of units is subject to the achievement of pre-defined targets (Average Net flows (NNA)2019-2020 and FY 2020 Adjusted CIR (Cost Income Ratio).
2 Depending on their individual regulatory status, a 6 months retention period (AIFMD/UCITS MRTs) or a 12-months retention period (InstVV MRTs) applies after vesting.
3 Unless the employee received PSU Award.
4 In 2020 two Early Exercise windows were offered to non-MRTs leading to accelerated vesting and exercise upon acceptance. For outstanding awards a 4-year exercise period applies following vesting / retention period.
The following table sets out the movements in share award units.
Share units (in thousands)
Outstanding at beginning of year
Granted
Issued or Exercised
Forfeited
Expired
Other Movements
Outstanding at end of year
Of which, exercisable
1 DWS SAR Plan share Units outstanding at the end of year 2019 restated.
DWS Equity Plan
2020
2019
Number of
Awards
2,040
805
(368)
(54)
0
(6)
2,418
0
Number of
Awards
1,248
1,003
(186)
(42)
0
16
2,040
0
Number of
Awards
2,0871
0
(766)
(52)
0
(14)
1,254
0
2020
Weighted-
average
exercise price
€ 24.65
-
€ 24.65
€ 24.65
-
€ 24.65
€ 24.65
-
DWS SAR Plan
2019
Weighted-
average
exercise price
€ 24.65
-
-
€ 24.65
-
€ 24.65
€ 24.65
-
Number of
Awards
2,192
0
0
(110)
0
4
2,0871
0
The following table sets out key information regarding awards granted, released and remaining in the year.
Weighted
average fair
value per award
granted in year
Weighted
average share
price at release/
exercise in year
2020
Weighted
average
remaining
contractual life in
years
DWS Equity Plan
DWS SAR Plan
€ 29.07
n/a
€ 34.88
€ 31.95
2
5
Weighted
average fair
value per award
granted in the
year
€ 20.98
n/a
Weighted
average share
price at release/
exercise in year
€ 26.33
n/a
2019
Weighted
average
remaining
contractual life in
years
3
6
The fair value of outstanding share-based awards was approximately € 85 million and € 64 million as of December 31, 2020
and 2019, respectively. Of the awards, approximately € 61 million and € 35 million has been recognised in the income state-
ment up to the period ending 2020 and 2019 respectively, of which € 21 million and € 12 million relate to fully vested awards.
336
Deutsche Bank
Annual Report 2020
Additional notes
33 – Employee benefits
Total unrecognised expense related to share-based plans was approximately € 25 million and € 29 million as of December 31,
2020 and 2019 respectively, dependent on future share price development.
The PSU Award has performance conditions which will determine the number of units which can ultimately vest under the
award. These performance conditions are linked to the DWS Group strategy, specifically with regards to the target for net
inflows and the adjusted cost income ratio. Based on the outcome of the performance conditions, it was confirmed that 100 %
of the units originally granted remain subject to continued vesting.
During the year, eligible employees were invited to exercise their SAR Awards as part of two distinct Early Exercise Offers in
2020. SAR Awards which were not exercised continue to be subject to the terms and conditions of the DWS SAR Plan Rules,
including forfeiture provisions.
The fair value of the SAR Equity Plan awards is measured using the Black-Scholes formula. The liabilities incurred are re-
measured at the end of each reporting period until settlement. The principal inputs being the market value on reporting date,
discounted for any dividends foregone over the holding periods of the award, and adjustment for expected and actual levels
of vesting which includes estimating the number of eligible employees leaving the Group and number of employees eligible
for early retirement. The inputs used in the measurement of the fair values at grant date and measurement date of the SAR
Equity Plan awards were as follows.
Units (in thousands)
Fair value
Share price
Exercise price
Expected volatility (weighted-average)
Expected life (weighted-average) in years
Expected dividends (% of income)
Measurement
date
Dec 31, 2020
1,254
€ 10.68
€ 34.80
€ 24.65
33%
5
65%
Measurement
date
Dec 31, 2019
2,087
€ 8.19
€ 31.70
€ 24.65
34%
6
65%
Given the limited years of DWS share price volatility and the absence of implied volatility actively traded in the market, the
expected volatility of the DWS share price has been based on an evaluation of the historical volatility for a comparable peer
group over the preceding 5-year period. The expected dividend level is linked to the latest DWS Group communication.
Post-employment Benefit Plans
Nature of Plans
The Group sponsors a number of post-employment benefit plans on behalf of its employees, both defined contribution plans
and defined benefit plans. The Group’s plans are accounted for based on the nature and substance of the plan. Generally, for
defined benefit plans the value of a participant’s accrued benefit is based on each employee’s remuneration and length of
service; contributions to defined contribution plans are typically based on a percentage of each employee’s remuneration. The
rest of this note focuses predominantly on the Group’s defined benefit plans.
The Group’s defined benefit plans are primarily described on a geographical basis, reflecting differences in the nature and
risks of benefits, as well as in the respective regulatory environments. In particular, the requirements set by local regulators
can vary significantly and determine the design and financing of the benefit plans to a certain extent. Key information is also
shown based on participant status, which provides a broad indication of the maturity of the Group’s obligations.
in € m.
Defined benefit obligation related to
Active plan participants
Participants in deferred status
Participants in payment status
Total defined benefit obligation
Fair value of plan assets
Funding ratio (in %)
Germany
UK
U.S.
Other
Total
Dec 31, 2020
4,950
2,639
5,943
13,532
12,658
94 %
706
2,876
1,335
4,917
5,705
116 %
236
561
530
1,327
1,107
83 %1
648
111
272
1,031
987
96 %
6,540
6,187
8,080
20,807
20,457
98 %
1 US Total defined benefit obligation is inclusive of the unfunded US Medicare Plan (€ 168 million) in addition to defined benefit pension plans. The US defined benefit pension
funding ratio excluding Medicare is 96 %.
337
Deutsche Bank
Annual Report 2020
Additional notes
33 – Employee benefits
in € m.
Defined benefit obligation related to
Active plan participants
Participants in deferred status
Participants in payment status
Total defined benefit obligation
Fair value of plan assets
Funding ratio (in %)
Germany
UK
U.S.
Other
Total
Dec 31, 2019
5,031
2,483
5,756
13,270
11,915
90 %
680
2,569
1,438
4,687
5,615
120 %
282
593
543
1,418
1,143
81 %1
650
119
274
1,043
982
94 %
6,643
5,764
8,011
20,418
19,655
96 %
1 US Total defined benefit obligation is inclusive of the unfunded US Medicare Plan (€ 181 million) in addition to defined benefit pension plans. The US defined benefit pension
funding ratio excluding Medicare is 92 %.
The majority of the Group’s defined benefit plan obligations relate to Germany, the United Kingdom and the United States.
Within the other countries, the largest obligation relates to Switzerland. In Germany and some continental European countries,
post-employment benefits are usually agreed on a collective basis with respective employee workers councils, unions or their
equivalent. The Group’s main pension plans are governed by boards of trustees, fiduciaries or their equivalent.
Post-employment benefits can form an important part of an employee’s total remuneration. The Group’s approach is that their
design shall be attractive to employees in the respective market, but sustainable for the Group to provide over the longer term.
At the same time, the Group tries to limit its risks related to provision of such benefits. Consequently the Group has moved to
offer defined contribution plans in many locations over recent years.
In the past the Group typically offered pension plans based on final pay prior to retirement. These types of benefits still form
a significant part of the pension obligations for participants in deferred and payment status. Currently, in Germany and the
United States, the main defined benefit pension plans for active staff are cash account type plans where the Group credits an
annual amount to individual accounts based on an employee’s current compensation. Dependent on the plan rules, the ac-
counts increase either at a fixed interest rate or participate in market movements of certain underlying investments to limit the
investment risk for the Group. Sometimes, in particular in Germany, there is a guaranteed benefit amount within the plan rules,
e.g. payment of at least the amounts contributed. Upon retirement, beneficiaries may usually opt for a lump sum, a fixed
number of annual instalments or for conversion of the accumulated account balance into a life annuity. This conversion is
often based on market conditions and mortality assumptions at retirement.
The Group also sponsors retirement and termination indemnity plans in several countries, as well as some post-employment
medical plans for a number of current and retired employees, mainly in the United States. The post-employment medical plans
typically pay fixed percentages of medical expenses of eligible retirees after a set deductible has been met. In the United
States, once a retiree is eligible for Medicare, the Group contributes to a Health Reimbursement Account and the retiree is no
longer eligible for the Group’s medical program. The Group’s total defined benefit obligation for post-employment medical
plans was € 202 million and € 220 million at December 31, 2020 and December 31, 2019, respectively. In combination with
the benefit structure, these plans represent limited risk for the Group, given the nature and size of the post-retirement medical
plan liabilities of € 202 million versus the size of the Group’s balance sheet at year end 2020.
The following amounts of expected benefit payments from the Group’s defined benefit plans include benefits attributable to
employees’ past and estimated future service, and include both amounts paid from the Group’s external pension trusts and
paid directly by the Group in respect of unfunded plans.
in € m.
Actual benefit payments 2020
Benefits expected to be paid 2021
Benefits expected to be paid 2022
Benefits expected to be paid 2023
Benefits expected to be paid 2024
Benefits expected to be paid 2025
Benefits expected to be paid 2026 – 2030
Weighted average duration of defined benefit
obligation (in years)
Multi-employer Plans
Germany
456
505
503
521
536
551
2,949
UK
160
134
98
110
118
131
762
U.S.
96
70
71
74
74
75
376
Other
80
59
56
55
59
57
281
Total
792
768
728
760
787
814
4,368
14
20
11
12
15
In Germany, the Group is a member of the BVV Versicherungsverein des Bankgewerbes a.G. (BVV) together with other
financial institutions. The BVV offers retirement benefits to eligible employees in Germany as a complement to post-employ-
ment benefit promises of the Group. Both employers and employees contribute on a regular basis to the BVV. The BVV
provides annuities of a fixed amount to individuals on retirement and increases these fixed amounts if surplus assets arise
within the plan. According to legislation in Germany, the employer is ultimately liable for providing the benefits to its employees.
An increase in benefits may also arise due to additional obligations to retirees for the effects of inflation. BVV is a multi-
employer defined benefit plan. However, in line with industry practice, the Group accounts for it as a defined contribution plan
338
Deutsche Bank
Annual Report 2020
Additional notes
33 – Employee benefits
since insufficient information is available to identify assets and liabilities relating to the Group’s current and former employees,
primarily because the BVV does not fully allocate plan assets to beneficiaries nor to member companies.
Governance and Risk
The Group maintains a Pensions Committee to oversee its pension and related risks on a global basis. This Committee meets
quarterly and reports directly to the Senior Executive Compensation Committee.
Within this context, the Group develops and maintains guidelines for governance and risk management, including funding,
asset allocation and actuarial assumption setting. In this regard, risk management means the management and control of
risks for the Group related to market developments (e.g., interest rate, credit spread, price inflation), asset investment, regu-
latory or legislative requirements, as well as monitoring demographic changes (e.g., longevity). Especially during and after
acquisitions or changes in the external environment (e.g., legislation, taxation), topics such as the general plan design or
potential plan amendments are considered. Any plan changes follow a process requiring approval by Group Human Re-
sources. To the extent that pension plans are funded, the assets held mitigate some of the liability risks, but introduce invest-
ment risk.
In the Group’s key pension countries, the Group’s largest post-employment benefit plan risk exposures relate to potential
changes in credit spreads, interest rates, price inflation and longevity, although these have been partially mitigated through
the investment strategy adopted.
Overall, the Group seeks to minimize the impact of pensions on the Group’s financial position from market movements, subject
to balancing the trade-offs involved in financing post-employment benefits, regulatory capital and constraints from local funding
or accounting requirements. The Group measures its pension risk exposures on a regular basis using specific metrics devel-
oped by the Group for this purpose.
Funding
The Group maintains various external pension trusts to fund the majority of its defined benefit plan obligations. The Group’s
funding principle is to maintain funding of the defined benefit obligation by plan assets within a range of 90 % to 100 % of the
obligation, subject to meeting any local statutory requirements. The Group has also determined that certain plans should
remain unfunded, although their funding approach is subject to periodic review, e.g. when local regulations or practices
change. Obligations for the Group’s unfunded plans are accrued on the balance sheet.
For most of the externally funded defined benefit plans there are local minimum funding requirements. The Group can decide
on any additional plan contributions, with reference to the Group’s funding principle. There are some locations, e.g. the United
Kingdom, where the trustees and the Bank jointly agree contribution levels. In most countries the Group expects to receive an
economic benefit from any plan surpluses of plan assets compared to defined benefit obligations, typically by way of reduced
future contributions. Given the relatively high funding level and the investment strategy adopted in the Group’s key funded
defined benefit plans, any minimum funding requirements that may apply are not expected to place the Group under any
material adverse cash strain in the short term. With reference to the Group’s funding principle, the Group considers not re-
claiming benefits paid from the Group’s assets as an equivalent to making cash contributions into the external pension trusts
during the year.
For post-retirement medical plans, the Group accrues for obligations over the period of employment and pays the benefits
from Group assets when the benefits become due.
Actuarial Methodology and Assumptions
December 31 is the measurement date for all plans. All plans are valued by independent qualified actuaries using the projected
unit credit method. A Group policy provides guidance to ensure consistency globally on setting actuarial assumptions which
are finally determined by the Group’s Pensions Committee. Senior management of the Group is regularly informed of move-
ments and changes in key actuarial assumptions.
339
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Annual Report 2020
Additional notes
33 – Employee benefits
The key actuarial assumptions applied in determining the defined benefit obligations at December 31 are presented below in
the form of weighted averages.
Discount rate (in %)
Rate of price inflation (in %)
Rate of nominal increase in
future compensation levels (in %)
Rate of nominal increase for
pensions in payment (in %)
Germany
0.60 %
1.29 %
UK
1.26 %
3.22 %
U.S.1
2.31 %
2.10 %
Other
1.51 %
1.54 %
Germany
0.93 %
1.40 %
UK
1.91 %
3.29 %
Dec 31, 2020
Dec 31, 2019
U.S.1
3.16 %
2.20 %
Other
1.92 %
1.70 %
1.79 %
3.72 %
2.20 %
2.57 %
1.90 %
3.79 %
2.30 %
2.71 %
1.19 %
3.08 %
2.10 %
0.86 %
1.30 %
3.19 %
2.20 %
0.91 %
Assumed life expectancy
at age 65
For a male aged 65
at measurement date
For a female aged 65
at measurement date
For a male aged 45
at measurement date
For a female aged 45
at measurement date
Mortality tables applied
21.2
23.5
21.8
22.0
21.1
23.4
22.0
21.9
23.5
25.0
23.2
24.2
23.4
24.9
23.4
24.1
22.5
24.5
23.2
23.3
22.5
24.4
23.5
23.3
24.6
26.4
24.5
25.6
24.5
26.2
24.9
25.5
Modified
Richttafeln
Heubeck
SAPS (S3)
Very Light
with CMI
2019
2018G
projections
PRI-2012
with
MP-2020
projection
Country
specific
Modified
Richttafeln
Heubeck
tables
2018G
SAPS (S3)
Light with
CMI 2018
projections
PRI-2012
with
MP-2019
projection
Country
specific
tables
1 Cash balance interest crediting rate in line with the 30-year US government bond yield.
For the Group’s most significant pension plans in the key countries, the discount rate used at each measurement date is set
based on a high quality corporate bond yield curve, which is derived using a bond universe sourced from reputable third-party
index data providers and rating agencies, and reflects the timing, amount and currency of the future expected benefit payments
for the respective plan. A review of the Eurozone discount rate derivation was instigated in March 2020 following unprece-
dented market turmoil, which resulted in several refinements to the methodology being implemented in 2020, initially in Q1
and more fundamentally in Q4 with the introduction of an internally produced DB Proprietary curve, which was employed as
the basis for discounting the defined benefit obligation from December 31, 2020. Compared to the curve deployed at Decem-
ber 31, 2019, the DB Proprietary curve results in a defined benefit obligation that is €[20]m higher, with the impact recognised
through Other Comprehensive Income. The defined benefit obligation was € [435] million lower as at December 31, 2020
compared to curve utilised as at June 30, 2020. Due to the change in discount rate methodology and other effects, the Group’s
net pension liability for the German pension plans was reduced by € 481 million from € 1,355 million as of December 31, 2019
to € 874 million as of December 31, 2020.
The price inflation assumptions in the Eurozone and the United Kingdom are set with reference to market measures of inflation
based on inflation swap rates in those markets at each measurement date. For other countries, the price inflation assumptions
are typically based on long term forecasts by Consensus Economics Inc.
The assumptions for the increases in future compensation levels and for increases to pensions in payment are developed
separately for each plan, where relevant. Each is set based on the price inflation assumption and reflecting the Group’s reward
structure or policies in each market, as well as relevant local statutory and plan-specific requirements.
Among other assumptions, mortality assumptions can be significant in measuring the Group’s obligations under its defined
benefit plans. These assumptions have been set in accordance with current best estimate in the respective countries. Future
potential improvements in longevity have been considered and included where appropriate. Due to the long term nature of
mortality assumptions and lack of clarity over the longer term impacts of the pandemic on health outcomes, there has been
no specific allowance for the impact of COVID-19 in any region, other than for recent experience captured as part of the annual
valuation process.
In the financial year ended December 31, 2020, the Group recognized a € 48 million of past service credit in connection with
the inclusion of a lump-sum payment option to one of the German retirement benefit arrangements primarily in the Private
Bank division. This reduction in defined benefit plan obligations was reported as part of Compensation and benefits in the
Consolidated Statement of Income.
340
Deutsche Bank
Annual Report 2020
Additional notes
33 – Employee benefits
Reconciliation in Movement of Liabilities and Assets – Impact on Financial Statements
in € m.
Change in the present value of the defined benefit obligation:
Balance, beginning of year
Defined benefit cost recognized in Profit & Loss
Current service cost
Interest cost
Past service cost and gain or loss arising from settlements
Defined benefit cost recognized in Other Comprehensive Income
Actuarial gain or loss arising from changes in financial
assumptions
Actuarial gain or loss arising from changes in demographic as-
sumptions
Actuarial gain or loss arising from experience
Cash flow and other changes
Contributions by plan participants
Benefits paid
Payments in respect to settlements
Acquisitions/Divestitures
Exchange rate changes
Other
Balance, end of year
thereof:
Unfunded
Funded
Change in fair value of plan assets:
Balance, beginning of year
Defined benefit cost recognized in Profit & Loss
Interest income
Germany
UK
U.S.
Other
2020
Total
13,270
4,687
1,418
1,043
20,418
200
122
(22)1
536
110
(73)
4
(456)
0
(158)2
0
(1)
13,532
0
13,532
28
85
11
600
(11)
(68)
0
(160)
0
0
(255)
0
4,917
15
4,902
12
43
0
75
(9)
3
0
(96)
0
0
(119)
0
1,327
195
1,132
42
18
0
282
268
(11)
39
1,250
2
(14)
15
(80)
0
0
(36)
2
1,031
92
(152)
19
(792)
0
(158)
(410)
1
20,807
105
926
315
20,492
11,915
5,615
1,143
982
19,655
111
101
Defined benefit cost recognized in Other Comprehensive Income
Return from plan assets less interest income
777
456
Cash flow and other changes
Contributions by plan participants
Contributions by the employer
Benefits paid3
Payments in respect to settlements
Acquisitions/Divestitures
Exchange rate changes
Other
Plan administration costs
Balance, end of year
Funded status, end of year
Change in irrecoverable surplus (asset ceiling)
Balance, beginning of year
Interest cost
Changes in irrecoverable surplus
Exchange rate changes
Balance, end of year
4
444
(456)
0
(137)2
0
0
0
12,658
(874)
0
0
0
0
0
0
0
(159)
0
0
(303)
0
(5)
5,705
788
0
0
0
0
0
34
60
0
56
(84)
0
0
(99)
0
(3)
1,107
(220)
0
0
0
0
0
17
263
42
1,335
15
28
(65)
0
0
(31)
0
(1)
987
(44)
(40)
0
2
0
(38)
19
528
(764)
0
(137)
(433)
0
(9)
20,457
(350)
(40)
0
2
0
(38)
Net asset (liability) recognized
(874)
788
(220)
(82)
(388)
1 Contains a past service credit of € 48 million due to the introduction of a capital option for a specific plan sponsored by former Postbank.
2 Postbank Systems AG.
3 For funded plans only.
4 Thereof € 877 million recognized in Other assets and € 1,265 million in Other liabilities.
341
Deutsche Bank
Annual Report 2020
Additional notes
33 – Employee benefits
in € m.
Change in the present value of the defined benefit obligation:
Balance, beginning of year
Defined benefit cost recognized in Profit & Loss
Current service cost
Interest cost
Past service cost and gain or loss arising from settlements
Defined benefit cost recognized in Other Comprehensive In-
come
Actuarial gain or loss arising from changes in financial
assumptions
Actuarial gain or loss arising from changes in demographic
assumptions
Actuarial gain or loss arising from experience
Cash flow and other changes
Contributions by plan participants
Benefits paid2
Payments in respect to settlements
Acquisitions/Divestitures
Exchange rate changes
Other
Balance, end of year
thereof:
Unfunded
Funded
Change in fair value of plan assets:
Balance, beginning of year
Defined benefit cost recognized in Profit & Loss
Interest income
Defined benefit cost recognized in Other Comprehensive In-
come
Germany
UK
U.S.
Other
2019
Total
11,953
3,868
1,337
962
18,120
192
201
19
26
106
3
14
56
0
44
26
(12)
276
389
10
1,179
582
112
67
1,940
1251
43
4
(446)
0
0
0
0
13,270
0
13,270
(105)
113
0
(154)
0
0
248
0
4,687
16
4,671
(11)
(8)
0
(109)
0
0
27
0
1,418
210
1,208
(1)
(5)
17
(73)
(11)
0
24
5
1,043
121
922
8
143
21
(782)
(11)
0
299
5
20,418
347
20,071
10,877
4,884
1,074
892
17,727
185
134
44
23
386
Return from plan assets less interest income
137
448
80
54
719
Cash flow and other changes
Contributions by plan participants
Contributions by the employer
Benefits paid1
Payments in respect to settlements
Acquisitions/Divestitures
Exchange rate changes
Other
Plan administration costs
Balance, end of year
Funded status, end of year
Change in irrecoverable surplus (asset ceiling)
Balance, beginning of year
Interest cost
Changes in irrecoverable surplus
Exchange rate changes
Balance, end of year
4
1,158
(446)
0
0
0
0
0
11,915
(1,355)
0
0
0
0
0
0
0
(153)
0
0
304
0
(2)
5,615
928
0
0
0
0
0
0
22
(96)
0
0
22
0
(3)
1,143
(275)
0
0
0
0
0
18
25
(56)
0
0
27
0
(1)
982
(61)
(25)
0
(14)
(1)
(40)
22
1,205
(751)
0
0
353
0
(6)
19,655
(763)
(25)
0
(14)
(1)
(40)
Net asset (liability) recognized
(1,355)
928
(275)
(101)
(803)3
1 Resulting predominantly from updated mortality assumptions (modified Heubeck 2018G instead of Heubeck 2018G).
2 For funded plans only.
3 Thereof € 1,011 million recognized in Other assets and € 1,814 million in Other liabilities.
There are no reimbursement rights for the Group.
Investment Strategy
The Group’s investment objective is to protect the Group from adverse impacts of its defined benefit pension plans on key
financial metrics. In the past, the primary focus has been on protecting the plans’ IFRS funded status in the case of adverse
market scenarios. While there has been a shift in the investment strategy in selected markets to balance competing key
financial metrics the Group reverted to the IFRS driven investment strategy in 2019. Investment managers manage pension
assets in line with investment mandates or guidelines as agreed with the pension plans’ trustees and investment committees.
342
Deutsche Bank
Annual Report 2020
Additional notes
33 – Employee benefits
For key defined benefit plans for which the Bank aims to protect the IFRS funded status, the Group applies a liability driven
investment (LDI) approach. Risks from mismatches between fluctuations in the present value of the defined benefit obligations
and plan assets due to capital market movements are minimized, subject to balancing relevant trade-offs. This is achieved by
allocating plan assets closely to the market risk factor exposures of the pension liability to interest rates, credit spreads and
inflation. Thereby, plan assets broadly reflect the underlying risk profile and currency of the pension obligations.
Where the desired hedging level for market risks cannot be achieved with physical instruments (i.e., corporate and government
bonds), derivatives are employed. Derivative overlays mainly include interest rate, inflation swaps and credit default swaps.
Other instruments are also used, such as interest rate futures and options. In practice, a completely hedged approach is
impractical, for instance because of insufficient market depth for ultra-long-term corporate bonds, as well as liquidity and cost
considerations. Therefore, plan assets contain further asset categories to create long-term return enhancement and diversifi-
cation benefits such as equity, real estate, high yield bonds or emerging markets bonds.
In 2020, the group entered into two buy-in transactions with a third party insurer to de-risk €1.2 billion of exposure to the UK
defined benefit pension schemes funded from existing assets, with no additional employer contribution required. The recog-
nition of the insurance policies as qualifying plan assets in Q1 and Q4 negatively impacted Other Comprehensive Income in
the Group’s financial statement by approximately €115 million and €60 million, respectively.
Plan asset allocation to key asset classes
The following table shows the asset allocation of the Group’s funded defined benefit plans to key asset classes, i.e. exposures
include physical securities in discretely managed portfolios and underlying asset allocations of any commingled funds used to
invest plan assets.
Asset amounts in the following table include both “quoted” (i.e., Level 1 assets in accordance with IFRS 13 – amounts invested
in markets where the fair value can be determined directly from prices which are quoted in active, liquid markets) and “other”
(i.e., Level 2 and 3 assets in accordance with IFRS 13) assets.
in € m.
Cash and cash equivalents
Equity instruments1
Investment-grade bonds2
Government
Non-government bonds
Non-investment-grade bonds
Government
Non-government bonds
Securitized and other Debt In-
vestments
Insurance
Alternatives
Real estate
Commodities
Private equity
Other4
Derivatives (Market Value)
Interest rate
Credit
Inflation
Foreign exchange
Other
Total fair value of plan assets
Germany
290
899
UK
504
609
U.S.
67
126
Other
57
57
Total
918
1,691
Germany
340
875
Dec 31, 2020
UK
292
643
U.S.
57
116
Dec 31, 2019
Other
64
53
Total
753
1,687
2,829
6,144
1,0483
2,0343
422
387
167
258
4,466
8,823
2,508
5,921
1,633
2,847
432
425
202
216
4,775
9,409
99
236
2
107
1
37
18
28
120
408
125
259
7
124
1
17
16
17
1
122
73
0
196
1
157
67
1
1
1,2483
0
13
1,262
0
0
0
15
149
417
226
15
443
24
72
1,406
37
0
0
0
0
0
0
0
79
0
23
271
559
24
95
1,677
361
0
63
1,579
42
0
0
0
0
0
0
0
67
0
25
284
470
0
88
1,863
78
115
0
20
1
12,658
(18)
(107)
(109)
3
225
5,705
(3)
15
0
0
(18)
1,107
0
1
11
4
0
(263)
57
110
24
26
(98)
6
27
4
208
987 20,457 11,915
35
1
(126)
4
(44)
5,615
10
19
0
0
(1)
1,143
7
1
11
3
0
(211)
131
(89)
13
(41)
982 19,655
1 Allocation of equity exposure is broadly in line with the typical index in the respective market, e.g. the equity portfolio’s benchmark of the UK retirement benefit plans is the
MSCI All Countries World Index.
2 Investment-grade means BBB and above. Average credit rating exposure for the Group’s main plans is around A.
3 The movement from 2019 to 2020 is the result of the de-risking activity for the UK pension plans to reduce impact from the defined benefit plan exposure for the Group.
4 Amongst others this position contains commingled funds which could not be segregated into the other asset categories.
The following table sets out the Group’s funded defined benefit plan assets only invested in “quoted” assets, i.e. Level 1 assets
in accordance with IFRS 13.
343
Deutsche Bank
Annual Report 2020
Additional notes
33 – Employee benefits
Dec 31, 2020
in € m.
Cash and cash equivalents
Equity instruments1
Investment-grade bonds2
Government
Non-government bonds
Non-investment-grade bonds
Government
Non-government bonds
Securitized and other Debt In-
vestments
Insurance
Alternatives
Real estate
Commodities
Private equity
Other
Derivatives (Market Value)
Interest rate
Credit
Inflation
Foreign exchange
Other
Total fair value of quoted
plan assets
Germany
226
760
1,107
0
UK
504
609
9893
0
U.S.
63
126
417
0
Other
26
45
Total
819
1,540
Germany
339
758
UK
292
643
U.S.
54
116
Dec 31, 2019
Other
30
42
Total
715
1,559
56
0
2,569
0
1,115
0
1,618
0
426
0
36
0
3,195
0
0
0
0
0
0
0
0
0
0
0
0
0
1
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
5
0
0
0
0
0
0
0
5
0
0
0
0
0
0
0
1
(107)
0
4
0
(15)
0
0
0
0
0
0
11
0
0
(14)
(107)
11
4
1
0
0
0
0
0
0
0
0
0
0
0
0
4
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
3
0
0
0
0
0
0
0
3
0
0
0
0
0
0
0
34
1
(125)
4
0
(19)
0
0
0
0
8
0
10
0
0
23
1
(115)
4
4
2,094
2,000
591
143
4,828
2,216
2,467
577
129
5,389
1 Allocation of equity exposure is broadly in line with the typical index in the respective market, e.g. the equity portfolio’s benchmark of the UK retirement benefit plans is the
MSCI All Countries World Index.
2 Investment-grade means BBB and above. Average credit rating exposure for the Group’s main plans is around A.
3 The movement from 2019 to 2020 is the result of the de-risking activity for the UK pension plans to reduce impact from the defined benefit plan exposure for the Group.
The following tables show the asset allocation of the “quoted” and “other” defined benefit plan assets by key geography in
which they are invested.
in € m.
Cash and cash equivalents
Equity instruments
Government bonds
(investment-grade and above)
Government bonds
(non-investment-grade)
Non-government bonds
(investment-grade and above)
Non-government bonds
(non-investment-grade)
Securitized and other Debt In-
vestments
Subtotal
Share (in %)
Other asset categories
Fair value of plan assets
Germany
(7)
209
United
Kingdom
396
70
United
States
170
703
Other
Eurozone
Other
developed
countries
Emerging
markets
308
270
20
336
31
103
Dec 31, 2020
Total
918
1,691
1,018
979
470
1,150
292
557
4,466
2
0
0
7
11
100
120
639
1,601
2,685
3,2651
554
79
8,823
1
52
46
292
8
8
407
1
1,863
11%
99
3,197
19%
82
4,156
25%
12
5,304
32%
0
1,221
7%
2
880
5%
196
16,621
100%
3,8362
20,457
1 Majority of this amount relates to bonds of French, Dutch and Italian corporates.
2 The movement from 2019 to 2020 is the result of the de-risking activity for the UK pension plans to reduce impact from the defined benefit plan exposure for the Group.
344
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Additional notes
33 – Employee benefits
in € m.
Cash and cash equivalents
Equity instruments
Government bonds
(investment-grade and above)
Government bonds
(non-investment-grade)
Non-government bonds
(investment-grade and above)
Non-government bonds
(non-investment-grade)
Securitized and other Debt In-
vestments
Subtotal
Share (in %)
Other asset categories
Fair value of plan assets
Germany
5
186
United
Kingdom
224
101
United
States
122
703
Other
Eurozone
342
285
Other
developed
countries
27
291
Emerging
markets
33
121
Dec 31, 2019
Total
753
1,687
868
1,477
550
1,003
329
548
4,775
0
6
1
7
13
122
149
738
2,110
2,662
3,2011
4
45
24
297
1
1,802
10%
98
4,061
23%
104
4,166
24%
14
5,149
30%
612
41
6
1,319
8%
86
9,409
6
417
3
919
5%
226
17,416
100%
2,239
19,655
1 Majority of this amount relates to bonds of French, Dutch and Italian corporate bonds.
Plan assets include derivative transactions with Group entities with a positive market value of around € 210 million at Decem-
ber 31, 2020 and a negative market value of around € 252 million December 31, 2019, respectively. There is neither a material
amount of securities issued by the Group nor other claims on Group assets included in the fair value of plan assets. The plan
assets do not include any real estate which is used by the Group.
In addition, the Group estimates and allows for uncertain income tax positions which may have an impact on the Group’s plan
assets. Significant judgment is required in making these estimates and the Group’s final net liabilities may ultimately be ma-
terially different.
We are currently involved in a legal dispute with the German tax authorities in relation to the tax treatment of certain income
received with respect to our pension plan assets. The proceeding is pending in front of the German supreme fiscal court
(Bundesfinanzhof). A court hearing is scheduled for March 15, 2021. Should the court ultimately rule in favor of the German
tax authorities, the outcome could have a material effect on our comprehensive income and financial condition.
Key Risk Sensitivities
The Group’s defined benefit obligations are sensitive to changes in capital market conditions and actuarial assumptions. Sen-
sitivities to capital market movements and key assumption changes are presented in the following table. Each market risk
factor or assumption is changed in isolation. Sensitivities of the defined benefit obligations are approximated using geometric
extrapolation methods based on plan durations for the respective assumption. Duration is a risk measure that indicates the
broad sensitivity of the obligations to a change in an underlying assumption and provides a reasonable approximation for small
to moderate changes in those assumptions.
For example, the interest rate duration is derived from the change in the defined benefit obligation to a change in the interest
rate based on information provided by the local actuaries of the respective plans. The resulting duration is used to estimate
the remeasurement liability loss or gain from changes in the interest rate. For other assumptions, a similar approach is used
to derive the respective sensitivity results.
For defined benefit pension plans, changes in capital market conditions will impact the plan obligations via actuarial assump-
tions – mainly interest rate and price inflation rate – as well as the plan assets. Where the Group applies a LDI approach, the
Bank’s overall exposure to changes is reduced. Consequently, to aid understanding of the Group’s risk exposures related to
key capital market movements, the net impact of the change in the defined benefit obligations and plan assets due to a change
of the related market risk factor or underlying actuarial assumption is shown; for sensitivities to changes in actuarial assump-
tions that do not impact the plan assets, only the impact on the defined benefit obligations is shown.
Asset-related sensitivities are derived for the Group’s major plans by using risk sensitivity factors determined by the Group’s
Market Risk Management function. These sensitivities are calculated based on information provided by the plans’ investment
managers and extrapolated linearly to reflect the approximate change of the plan assets’ market value in case of a change in
the underlying risk factor.
The sensitivities illustrate plausible variations over time in capital market movements and key actuarial assumptions. The
Group is not in a position to provide a view on the likelihood of these capital market or assumption changes. While these
sensitivities illustrate the overall impact on the funded status of the changes shown, the significance of the impact and the
range of reasonable possible alternative assumptions may differ between the different plans that comprise the aggregated
results. Even though plan assets and plan obligations are sensitive to similar risk factors, actual changes in plan assets and
345
Deutsche Bank
Annual Report 2020
Additional notes
33 – Employee benefits
obligations may not fully offset each other due to imperfect correlations between market risk factors and actuarial assumptions.
Caution should be used when extrapolating these sensitivities due to non-linear effects that changes in capital market condi-
tions and key actuarial assumptions may have on the overall funded status. Any management actions that may be taken to
mitigate the inherent risks in the post-employment defined benefit plans are not reflected in these sensitivities.
in € m.
Interest rate (–50 bp):
(Increase) in DBO
Expected increase in plan assets1
Expected net impact on funded status (de-) in-
crease
Interest rate (+50 bp):
Decrease in DBO
Expected (decrease) in plan assets1
Expected net impact on funded status (de-) in-
crease
Credit spread (–50 bp):
(Increase) in DBO
Expected increase in plan assets1
Expected net impact on funded status (de-) in-
crease
Credit spread (+50 bp):
Decrease in DBO
Expected (decrease) in plan assets1
Expected net impact on funded status (de-) in-
crease
Rate of price inflation (–50 bp):2
Decrease in DBO
Expected (decrease) in plan assets1
Expected net impact on funded status (de-) in-
crease
Rate of price inflation (+50 bp):2
(Increase) in DBO
Expected increase in plan assets1
Expected net impact on funded status (de-) in-
crease
Rate of real increase in future compensation
levels (–50 bp):
Germany
UK
U.S.
Other
Germany
UK
U.S.
Other
Dec 31, 2020
Dec 31, 2019
(970)
895
(520)
400
(45)
35
(60)
25
(970)
875
(500)
530
(45)
30
(60)
25
(75)
(120)
(10)
(35)
(95)
30
(15)
(35)
900
(895)
470
(400)
40
(35)
55
(25)
905
(875)
450
(530)
30
(30)
55
(25)
5
70
5
30
30
(80)
0
30
(970)
760
(520)
120
(75)
15
(65)
10
(970)
620
(500)
145
(80)
15
(65)
10
(210)
(400)
(60)
(55)
(350)
(355)
(65)
(55)
900
(760)
470
(120)
70
(15)
60
(10)
905
(620)
450
(145)
75
(15)
60
(10)
140
350
55
50
285
305
60
50
320
(235)
390
(255)
0
0
20
(10)
335
(185)
360
(305)
0
0
20
(10)
85
135
0
10
150
55
0
10
(330)
235
(425)
255
0
0
(20)
10
(345)
185
(385)
305
0
0
(20)
10
(95)
(170)
0
(10)
(160)
(80)
0
(10)
Decrease in DBO, net impact on funded status
60
10
0
15
60
15
0
10
Rate of real increase in future compensation
levels (+50 bp):
(Increase) in DBO, net impact on funded status
(60)
(10)
0
(15)
(60)
(15)
0
(15)
Longevity improvements by 10 %:3
(Increase) in DBO, net impact on funded status
(160)
1 Expected changes in the fair value of plan assets contain the simulated impact from the biggest plans in Germany, the UK, the U.S., Channel Islands, Switzerland and Bel-
(145)
(320)
(325)
(30)
(15)
(30)
(15)
gium which cover over 99 % of the total fair value of plan assets. The fair value of plan assets for other plans is assumed to be unchanged for this presentation.
2 Incorporates sensitivity to changes in pension benefits to the extent linked to the price inflation assumption.
3 Estimated to be equivalent to an increase of around 1 year in overall life expectancy.
346
Deutsche Bank
Annual Report 2020
Additional notes
33 – Employee benefits
Expected cash flows
The following table shows expected cash flows for post-employment benefits in 2021, including contributions to the Group’s
external pension trusts in respect of funded plans, direct payment to beneficiaries in respect of unfunded plans, as well as
contributions to defined contribution plans.
in € m.
Expected contributions to
Defined benefit plan assets
BVV
Other defined contribution plans
Expected benefit payments for unfunded defined benefit plans
Expected total cash flow related to post-employment benefits
Expense of employee benefits
2021
Total
285
60
245
25
615
The following table presents a breakdown of specific expenses according to the requirements of IAS 19 and IFRS 2.
in € m.
Expenses for defined benefit plans:
Service cost1
Net interest cost (income)
Total expenses defined benefit plans
Expenses for defined contribution plans:
BVV
Other defined contribution plans
Total expenses for defined contribution plans
Total expenses for post-employment benefit plans
Employer contributions to state-mandated pension plans
Pensions related payments social security in Germany
Contributions to pension fund for Postbank´s postal civil servants
Further pension related state-mandated benefit plans
Total employer contributions to state-mandated benefit plans
Expenses for share-based payments:
Expenses for share-based payments, equity settled2
Expenses for share-based payments, cash settled2
2020
2019
2018
246
5
251
60
243
303
554
233
79
245
557
272
2
274
63
244
307
581
231
85
249
565
259
4
263
62
246
308
571
236
88
246
570
318
49
329
184
549
39
516
92
560
1
481
137
Expenses for cash retention plans2
Expenses for severance payments3
1 Severance related items under Service Costs were reclassified to Expenses for Severance payments. Therefore previous periods were adjusted as well.
2 Including expenses for new hire awards and the acceleration of expenses not yet amortized due to the discontinuation of employment including those amounts which are
recognized as part of the Group’s restructuring expenses.
3 Excluding the acceleration of expenses for deferred compensation awards not yet amortized. Severance related items under Service Costs were reclassified to Expense for
Severance payments. Prior year numbers have been restated.
347
Deutsche Bank
Annual Report 2020
Additional notes
34 – Income taxes
34 – Income taxes
in € m.
Current tax expense (benefit):
Tax expense (benefit) for current year
Adjustments for prior years
Total current tax expense (benefit)
Deferred tax expense (benefit):
Origination and reversal of temporary differences, unused tax losses and tax credits
Effect of changes in tax law and/or tax rate
Adjustments for prior years
Total deferred tax expense (benefit)
Total income tax expense (benefit)
2020
2019
2018
739
(46)
693
(218)
(11)
(67)
(296)
397
757
5
762
(71)
(9)
1,948
1,868
2,630
733
(20)
713
316
(6)
(34)
276
989
Total deferred tax benefit includes expenses from previously unrecognized tax losses (tax credits/deductible temporary differ-
ences) and the reversal of previous write-downs of deferred tax assets and expenses arising from write-downs of deferred tax
assets, which decreased the deferred tax benefit by € 96 million in 2020, and increased the deferred tax expense by
€ 2,785 million in 2019, and by € 253 million in 2018.
Difference between applying German statutory (domestic) income tax rate and actual income tax expense/(benefit)
in € m.
Expected tax expense (benefit) at domestic income tax rate of 31.3% (31.3% for 2019 and 31.3%
for 2018)
Foreign rate differential
Tax-exempt gains on securities and other income
Loss (income) on equity method investments
Nondeductible expenses
Impairments of goodwill
Changes in recognition and measurement of deferred tax assets1
Effect of changes in tax law and/or tax rate
Effect related to share-based payments
Other1
Actual income tax expense (benefit)
2020
2019
319
(38)
(181)
(18)
293
0
96
(11)
(29)
(34)
397
(825)
170
(191)
(19)
326
269
2,785
(9)
54
70
2,630
2018
416
8
(209)
(19)
340
0
253
(6)
133
73
989
1 Current and deferred tax expense/(benefit) relating to prior years are mainly reflected in the line items “Changes in recognition and measurement of deferred tax assets” and
“Other”.
The Group is under continuous examinations by tax authorities in various jurisdictions. “Other” in the preceding table includes
the effects of these examinations by the tax authorities.
The domestic income tax rate, including corporate tax, solidarity surcharge, and trade tax, used for calculating deferred tax
assets and liabilities was 31.3 % for 2020, 2019 and 2018.
Income taxes charged or credited to equity (other comprehensive income/additional paid in capital)
in € m.
Actuarial gains/losses related to defined benefit plans
Net fair value gains (losses) attributable to credit risk related to financial
liabilities designated as at fair value through profit or loss
Financial assets available for sale:
Unrealized net gains/losses arising during the period
Net gains/losses reclassified to profit or loss
Financial assets mandatory at fair value through other comprehensive income:
Unrealized net gains/losses arising during the period
Realized net gains/losses arising during the period (reclassified to profit or loss)
Derivatives hedging variability of cash flows:
Unrealized net gains/losses arising during the period
Net gains/losses reclassified to profit or loss
Other equity movement:
Unrealized net gains/losses arising during the period
Net gains/losses reclassified to profit or loss
Income taxes (charged) credited to other comprehensive income
Other income taxes (charged) credited to equity
2020
76
6
0
0
(204)
84
4
(1)
(19)
14
(40)
11
2019
402
1
0
0
(42)
71
1
1
162
0
596
(11)
2018
18
(8)
0
0
48
86
1
0
91
2
238
1
348
Deutsche Bank
Annual Report 2020
Additional notes
34 – Income taxes
Major components of the Group’s gross deferred tax assets and liabilities
in € m.
Deferred tax assets:
Unused tax losses
Unused tax credits
Deductible temporary differences:
Trading activities, including derivatives
Employee benefits, including equity settled share based payments
Accrued interest expense
Loans and borrowings, including allowance for loans
Leases
Intangible Assets
Fair value OCI (IFRS 9)
Other assets
Other provisions
Other liabilities
Total deferred tax assets pre offsetting
Deferred tax liabilities:
Taxable temporary differences:
Trading activities, including derivatives
Employee benefits, including equity settled share based payments
Loans and borrowings, including allowance for loans
Leases
Intangible Assets
Fair value OCI (IFRS 9)
Other assets
Other provisions
Other liabilities
Total deferred tax liabilities pre offsetting
Deferred tax assets and liabilities, after offsetting
in € m.
Presented as deferred tax assets
Presented as deferred tax liabilities
Net deferred tax assets
Dec 31, 2020
Dec 31, 2019
1,476
0
2,994
2,457
1,122
1,069
806
214
1
560
122
4
10,825
2,752
183
501
712
560
144
350
79
47
5,328
1,307
1
4,321
2,507
1,148
878
614
236
21
879
126
6
12,044
3,937
265
785
537
554
51
347
87
40
6,603
Dec 31, 2020
6,058
561
5,497
Dec 31, 2019
5,986
545
5,441
The change in the balance of deferred tax assets and deferred tax liabilities might not equal the deferred tax expense/(benefit).
In general, this is due to (1) deferred taxes that are booked directly to equity, (2) the effects of exchange rate changes on tax
assets and liabilities denominated in currencies other than euro, (3) the acquisition and disposal of entities as part of ordinary
activities and (4) the reclassification of deferred tax assets and liabilities which are presented on the face of the balance sheet
as components of other assets and liabilities.
Items for which no deferred tax assets were recognized
in € m.
Deductible temporary differences
Not expiring
Expiring in subsequent period
Expiring after subsequent period
Unused tax losses
Expiring after subsequent period
Unused tax credits
Dec 31, 2020¹
(2,204)
(9,982)
(138)
(4,702)
(14,822)
(56)
(58)
Dec 31, 2019¹
(3,046)
(9,629)
(192)
(4,214)
(14,035)
(95)
(96)
1 Amounts in the table refer to deductible temporary differences, unused tax losses and tax credits for federal income tax purposes.
Deferred tax assets were not recognized on these items because it is not probable that future taxable profit will be available
against which the unused tax losses, unused tax credits and deductible temporary differences can be utilized.
As of December 31, 2020 and December 31, 2019, the Group recognized deferred tax assets of € 5.1 billion and € 3.2 billion,
respectively, that exceeded deferred tax liabilities in entities which have suffered a loss in either the current or preceding
period. This is based on management’s assessment that it is probable that the respective entities will have taxable profits
against which the unused tax losses, unused tax credits and deductible temporary differences can be utilized. Generally, in
determining the amounts of deferred tax assets to be recognized, management uses historical profitability information and, if
relevant, forecasted operating results, based upon approved business plans, including a review of the eligible carry-forward
periods, tax planning opportunities and other relevant considerations.
As of December 31, 2020 and December 31, 2019, the Group had temporary differences associated with the Group’s parent
company’s investments in subsidiaries, branches and associates and interests in joint ventures of € 24 million and € 20 million
respectively, in respect of which no deferred tax liabilities were recognized.
349
Deutsche Bank
Annual Report 2020
Additional notes
35 – Derivatives
35 – Derivatives
Derivative financial instruments and hedging activities
Derivative contracts used by the Group include swaps, futures, forwards, options and other similar types of contracts. In the
normal course of business, the Group enters into a variety of derivative transactions for sales, market-making and risk man-
agement purposes. The Group’s objectives in using derivative instruments are to meet customers’ risk management needs
and to manage the Group’s exposure to risks.
In accordance with the Group’s accounting policy relating to derivatives and hedge accounting as described in Note 1 “Signif-
icant Accounting Policies and Critical Accounting Estimates”, all derivatives are carried at fair value in the balance sheet
regardless of whether they are held for trading or non-trading purposes.
Derivatives held for sales and market-making purposes
Sales and market-making
The majority of the Group’s derivatives transactions relate to sales and market-making activities. Sales activities include the
structuring and marketing of derivative products to customers to enable them to take, transfer, modify or reduce current or
expected risks. Market-making involves quoting bid and offer prices to other market participants, enabling revenue to be
generated based on spreads and volume.
Risk management
The Group uses derivatives in order to reduce its exposure to market risks as part of its asset and liability management. This
is achieved by entering into derivatives that hedge specific portfolios of fixed rate financial instruments and forecast transac-
tions as well as strategic hedging against overall balance sheet exposures. The Group actively manages interest rate risk
through, among other things, the use of derivative contracts. Utilization of derivative financial instruments is modified from
time to time within prescribed limits in response to changing market conditions, as well as to changes in the characteristics
and mix of the related assets and liabilities.
Derivatives qualifying for hedge accounting
The Group applies hedge accounting if derivatives meet the specific criteria described in Note 1 “Significant Accounting Poli-
cies and Critical Accounting Estimates”.
In fair value hedge relationship, the Group uses primarily interest rate swaps and options, in order to protect itself against
movements in the fair value of fixed-rate financial instruments due to movements in market interest rates. In a cash flow hedge
relationship, the Group uses interest rate swaps in order to protect itself against exposure to variability in interest rates. The
Group enters into foreign exchange forwards and swaps for hedges of translation adjustments resulting from translating the
financial statements of net investments in foreign operations into the reporting currency of the parent at period end spot rates.
Interest rate risk
The Group uses interest rate swaps and options to manage its exposure to interest rate risk by modifying the re-pricing
characteristics of existing and/or forecasted assets and liabilities, including funding and investment activities. The interest rate
swaps and options are designated in either a fair value hedge or a cash flow hedge. For fair value hedges, the Group uses
interest rate swaps and options contracts to manage the fair value movements of fixed rate financial instruments due to
changes in benchmark interest. For cash flow hedges, we use interest rate swaps to manage the exposure to cash flow
variability of our variable rate instruments as a result of changes in benchmark interest rates.
The Group manages its interest rate risk exposure on a portfolio basis with frequent changes in the portfolio due to the origi-
nation of new loans and bonds, repayments of existing loans and bonds, issuance of new funding liabilities and repayment of
existing funding liabilities. Accordingly, a dynamic hedging accounting approach is adopted for the portfolio, in which individual
hedge relationships are designated and de-designated on a more frequent basis (e.g. on a monthly basis).
The Group assesses and measures hedge effectiveness of a hedging relationship based on the change in the fair value or
cash flows of the derivative hedging instrument relative to the change in the fair value or cash flows of the hedged item
attributable to the hedged risk. Potential sources of ineffectiveness can be attributed to differences between hedging instru-
ments and hedged items:
350
Deutsche Bank
Annual Report 2020
Additional notes
35 – Derivatives
– Mismatches in the terms of hedged items and hedging instruments, for example the frequency and timing of when interest
rates are reset, frequency of payment and callable features.
– Difference in the discounting rate applied to the hedged item and the hedging instrument, taking into consideration differ-
ences in the reset frequency of the hedged item and hedging instrument.
– Derivatives used as hedging instrument with a non-zero fair value at inception date of the hedging relationship, resulting in
mismatch in terms with the hedged item.
Foreign exchange risk
The Group manages its foreign currency risk (including U.S. dollar and British pound) from investments in foreign operation
through net investment hedges using a combination of foreign exchange forwards and swaps as hedging instruments.
As the investments in foreign operations are only hedged to the extent of the notional amount of the hedging derivative instru-
ment the Group generally does not expect to incur significant ineffectiveness on hedges of net investments in foreign opera-
tions. Potential sources of ineffectiveness are limited to situations where derivatives with a non-zero fair value at inception
date of the hedging relationship are used as hedging instrument, or where the spot foreign currency risk has been designated
as hedged risk, resulting in mismatch in terms with the hedged item.
Description of significant assumptions and judgements on the application of in-
terest rate benchmark reform accounting
The main judgement to make regarding the application of IASB Phase 1 benchmark reform surrounded the development of
Euribor. The Group expects that Euribor will continue to exist in its current form as a benchmark rate for the foreseeable future.
For these reasons, the Group does not consider its hedge accounting, with Euribor as the hedged risk, to be directly affected
by interest rate benchmark reform at December 31, 2020.
Hedge Accounting and Interest Rate Benchmarks
The table below shows the Group’s hedge accounting relationships impacted by the IASB Benchmark Reform amendments,
the significant interest rate benchmarks the Group is exposed to which are subject to expected future reform, and the nominal
amounts of the derivative hedging instruments as at December 31, 2020. The derivative hedging instruments provide a close
approximation to the extent of the risk exposure the Group manages through hedge accounting relationships.
in € m.
Fair value hedge
CHF LIBOR
GBP LIBOR
JPY LIBOR
USD LIBOR
Fair value hedge accounting
Derivatives held as fair value hedges
in € m.
Derivatives held as fair
value hedges
in € m.
Result of fair value hedges
Dec 31, 2020
Notional
493
2,073
1,383
20,877
2019
Fair Value
changes used
for hedge
effectiveness
Dec 31, 2020
2020
Dec 31, 2019
Assets
Liabilities
Fair Value
changes used
for hedge
effectiveness
Nominal
amount
Assets
Liabilities
Nominal
amount
7,015
2,835
143,047
757
5,385
878
118,125
811
2020
Hedge
ineffectiveness
14
2019
Hedge
ineffectiveness
(343)
351
Deutsche Bank
Annual Report 2020
Additional notes
35 – Derivatives
Financial instruments designated as fair value hedges
Carrying amount of Financial
instruments designated as fair
value hedges
Accumulated amount of
fair value hedge
adjustments - Total
Dec 31, 2020
2020
Accumulated amount of
fair value hedge
adjustments - Terminated
hedge relationships
Fair Value
changes
used
for hedge
effectiveness
in € m.
Financial assets at fair value through
other comprehensive income
Bonds at amortized cost
Long-term debt
Deposits
Loans at amortized cost
Assets
Liabilities
Assets
Liabilities
Assets
Liabilities
25,568
831
0
0
16,354
0
0
57,883
54,730
0
100
22
0
0
303
0
0
4,196
265
0
2
4
0
0
0
0
0
629
21
0
12
63
(1,132)
(4)
318
Carrying amount of Financial
instruments designated as fair
value hedges
Accumulated amount of
fair value hedge
adjustments - Total
Dec 31, 2019
2019
Accumulated amount of
fair value hedge
adjustments - Terminated
hedge relationships
Fair Value
changes
used
for hedge
effectiveness
in € m.
Financial assets at fair value through
other comprehensive income
Loans at amortized cost
Long-term debt
Deposits
Assets
Liabilities
Assets
Liabilities
Assets
Liabilities
11,496
3,185
0
0
0
0
80,078
0
327
82
0
0
0
0
3,822
0
58
(1)
0
0
0
0
417
0
481
100
(1,734)
0
Cash flow hedge accounting
Derivatives held as cash flow hedges
in € m.
Derivatives held as
cash flow hedges
Dec 31, 2020
2020
Fair Value
changes used
for hedge
effectiveness
Nominal
amount
Dec 31, 2019
2019
Fair Value
changes used
for hedge
effectiveness
Nominal
amount
Assets
Liabilities
Assets
Liabilities
79
0
6,171
(14)
25
0
2,714
(2)
Cash flow hedge balances
in € m.
Reported in Equity1
thereof relates to terminated programs
Gains (losses) posted to equity for the year ended
Gains (losses) removed from equity for the year ended
thereof relates to terminated programs
Dec 31, 2020
Dec 31, 2019
11
0
(14)
4
0
(7)
(12)
21
0
(2)
(2)
0
0
0
Dec 31, 2018
25
0
(3)
0
0
0
0
Changes of hedged item's value used for hedge effectiveness
Ineffectiveness recorded within P&L
1 Reported in equity refers to accumulated other comprehensive income as presented in the Consolidated Balance Sheet.
In accordance with IAS 39.96 the gains and losses posted to equity in a cash flow hedge relationship is the lesser of cumulative
gain or loss on the hedging instrument from the inception of the hedge and the cumulative change in fair value of the expected
future cash flows on the hedged item from inception of the hedge. As a result, changes of the hedged item’s value used for
hedge effectiveness are not fully recorded in equity if it exceeds the hedging instrument’s fair value changes used for hedge
effectiveness. Consequently, hedge ineffectiveness recorded within P&L does not always reconcile to the difference between
the changes of the hedged item’s value used for hedge effectiveness and the hedging instrument’s fair value changes used
for hedge effectiveness.
As of December 31, 2020 the longest term cash flow hedge matures in 2025.
The financial instruments designated as cash flow hedges are recognized as Loans at amortized cost in the Group’s Consolidated
Balance Sheet.
352
Deutsche Bank
Annual Report 2020
Additional notes
35 – Derivatives
Net investment hedge accounting
Derivatives held as net investment hedges
in € m.
Derivatives held as net
investment hedges
Dec 31, 2020
2020
Fair Value
changes used
for hedge
effectiveness
Nominal
amount
Dec 31, 2019
2019
Fair Value
changes used
for hedge
effectiveness
Nominal
amount
Assets
Liabilities
Assets
Liabilities
1,617
408
40,277
1,933
556
957
43,546
(413)
2020
2019
in € m.
Result of net investment hedges
1 Reported in equity refers to accumulated other comprehensive income as presented in the Consolidated Balance Sheet.
Fair value
changes
recognised in
Equity1
(1,415)
Hedge
ineffectiveness
Fair value
changes
recognised in
Equity1
(186)
795
Hedge
ineffectiveness
(386)
Profile of derivatives held as net investment hedges
in € m.
As of December 31, 2020
Nominal amount Foreign exchange forwards
Nominal amount Foreign exchange swaps
Total
As of December 31, 2019
Nominal amount Foreign exchange forwards
Nominal amount Foreign exchange swaps
Total
Within 1 year
1–3 years
3–5 years
Over 5 years
40,217
0
40,217
32,702
3,337
36,039
60
0
60
78
3,820
3,898
0
0
0
0
579
579
0
0
0
0
3,030
3,030
The Group uses a combination of a rolling foreign exchange forward strategy and a static foreign currency swap hedging
strategy. Over the past 2 financial years, the average foreign currency rate for the Group’s foreign currency Euro/USD swap
portfolio was 0.85.
353
Deutsche Bank
Annual Report 2020
Additional notes
36 – Related party transactions
36 – Related party transactions
Parties are considered to be related if one party has the ability to directly or indirectly control the other party or exercise
significant influence over the other party in making financial or operational decisions. The Group’s related parties include:
– key management personnel including close family members and entities which are controlled, significantly influenced by,
or for which significant voting power is held by key management personnel or their close family members,
– subsidiaries, joint ventures and associates and their respective subsidiaries, and
– post-employment benefit plans for the benefit of Deutsche Bank employees.
Transactions with Key Management Personnel
Key management personnel are those persons having authority and responsibility for planning, directing and controlling the
activities of Deutsche Bank, directly or indirectly. The Group considers the members of the Management Board and of the
Supervisory Board of the parent company to constitute key management personnel for purposes of IAS 24.
Compensation expense of key management personnel
in € m.
Short-term employee benefits
Post-employment benefits
Other long-term benefits
Termination benefits
Share-based payment
Total
2020
2019
30
7
2
0
8
47
32
6
6
34
21
99
2018
41
10
2
32
2
87
The above table does not contain compensation that employee representatives and former board members on the Supervisory
Board have received. The aggregated compensation paid to such members for their services as employees of Deutsche Bank
or status as former employees (retirement, pension and deferred compensation) amounted to € 1 million as of Decem-
ber 31, 2020, € 1 million as of December 31, 2019 and € 1 million as of December 31, 2018.
Among the Group’s transactions with key management personnel as of December 31, 2020 were loans and commitments of
€ 8 million and deposits of € 21 million. As of December 31, 2019, the Group’s transactions with key management personnel
were loans and commitments of € 10 million and deposits of € 38 million.
In addition, the Group provides banking services, such as payment and account services as well as investment advice, to key
management personnel.
Transactions with Subsidiaries, Joint Ventures and Associates
Transactions between Deutsche Bank AG and its subsidiaries meet the definition of related party transactions. If these trans-
actions are eliminated on consolidation, they are not disclosed as related party transactions. Transactions between the Group
and its associated companies and joint ventures and their respective subsidiaries also qualify as related party transactions.
Transactions for subsidiaries, joint ventures and associates are presented combined in below table as these are not material
individually.
Loans
in € m.
Loans outstanding, beginning of year
Net movement in loans during the period
Changes in the group of consolidated companies
Exchange rate changes/other
Loans outstanding, end of year1
Other credit risk related transactions:
0
Allowance for loan losses
0
Provision for loan losses
Guarantees and commitments
7
1 Loans past due were € 0 million as of December 31, 2020 and € 0 million as of December 31, 2019. For the total loans the Group held collateral of € 5 million and € 5 million
2020
228
(19)
0
5
214
2019
228
(3)
0
4
228
0
0
42
as of December 31, 2020 and December 31, 2019, respectively.
354
Deutsche Bank
Annual Report 2020
Additional notes
37 – Information on subsidiaries
Deposits
in € m.
Deposits outstanding, beginning of year
Net movement in deposits during the period
Changes in the group of consolidated companies
Exchange rate changes/other
Deposits outstanding, end of year
Other Transactions
2020
58
(8)
0
(0)
49
2019
68
(11)
0
1
58
Trading assets and positive market values from derivative financial transactions with associated companies amounted to
€ 1 million as of December 31, 2020 and € 1 million as of December 31, 2019. Trading liabilities and negative market values
from derivative financial transactions with associated companies amounted to € 0 million as of December 31, 2020 and
€ 0 million as of December 31, 2019.
Other assets related to transactions with associated companies amounted to € 55 million as of December 31, 2020, and € 1
million as of December 31, 2019. Other liabilities related to transactions with associated companies were € 2 million as of
December 31, 2020, and € 0 million as of December 31, 2019.
Transactions with Pension Plans
Under IFRS, post-employment benefit plans are considered related parties. The Group has business relationships with a
number of its pension plans pursuant to which it provides financial services to these plans, including investment management
services. The Group’s pension funds may hold or trade Deutsche Bank shares or securities.
Transactions with related party pension plans
in € m.
Equity shares issued by the Group held in plan assets
Other assets
Fees paid from plan assets to asset managers of the Group
Market value of derivatives with a counterparty of the Group
Notional amount of derivatives with a counterparty of the Group
1 Prior year figures have been restated due to the consideration of defined contribution plans.
37 – Information on subsidiaries
Composition of the Group
2020
1
24
24
306
14,623
2019¹
1
10
24
(184)
9,083
Deutsche Bank AG is the direct or indirect holding company for the Group’s subsidiaries.
The Group consists of 628 (2019: 666 ) consolidated entities, thereof 242 (2019: 249) consolidated structured entities. 420
(2019: 459) of the entities controlled by the Group are directly or indirectly held by the Group at 100 % of the ownership
interests (share of capital). Third parties also hold ownership interests in 208 (2019: 207) of the consolidated entities (non-
controlling interests). As of December 31, 2020 and 2019, one subsidiary has material non-controlling interests. Non-control-
ling interests for all other subsidiaries are neither individually nor cumulatively material to the Group.
Subsidiaries with material non-controlling interests
DWS Group GmbH & Co. KGaA
Proportion of ownership interests and voting rights held by non-controlling interests
Place of business
Dec 31, 2020
Dec 31, 2019
20.51 %
Global
20.51 %
Global
355
Deutsche Bank
Annual Report 2020
Additional notes
37 – Information on subsidiaries
in € m
Net income attributable to non-controlling interests
Accumulated non-controlling interests of the subsidiary
Dividends paid to non-controlling interests
Summarised financial information:
Total assets
Total liabilities
Total net revenues
Net income (loss)
Total comprehensive income (loss), net of tax
Dec 31, 2020
117
1,412
69
10,448
3,685
2,237
558
259
Dec 31, 2019
105
1,420
56
10,952
4,100
2,389
512
583
Significant restrictions to access or use the Group’s assets
Statutory, contractual or regulatory requirements as well as protective rights of noncontrolling interests might restrict the ability
of the Group to access and transfer assets freely to or from other entities within the Group and to settle liabilities of the Group.
Since the Group did not have any material noncontrolling interests at the balance sheet date, any protective rights associated
with these did not give rise to significant restrictions.
The following restrictions impact the Group’s ability to use assets:
– The Group has pledged assets to collateralize its obligations under repurchase agreements, securities financing transac-
tions, collateralized loan obligations and for margining purposes for OTC derivative liabilities.
– The assets of consolidated structured entities are held for the benefit of the parties that have bought the notes issued by
these entities.
– Regulatory and central bank requirements or local corporate laws may restrict the Group’s ability to transfer assets to or
from other entities within the Group in certain jurisdictions.
Restricted assets
in € m.
Interest-earning deposits with banks
Financial assets at fair value through profit or loss
Financial assets at fair value through other comprehensive income
Loans at amortized cost
Other
Total
Total
assets
152,143
527,941
55,834
426,995
162,346
1,325,259
Dec 31, 2020
Restricted
assets
153
52,494
8,110
78,144
3,316
142,217
Total
assets
104,327
530,713
45,503
429,841
187,290
1,297,674
Dec 31, 2019
Restricted
assets
159
43,190
2,943
71,369
3,017
120,678
The table above excludes assets that are not encumbered at an individual entity level but which may be subject to restrictions
in terms of their transferability within the Group. Such restrictions may be based on local connected lending requirements or
similar regulatory restrictions. In this situation, it is not feasible to identify individual balance sheet items that cannot be trans-
ferred. This is also the case for regulatory minimum liquidity requirements. The Group identifies the volume of liquidity reserves
in excess of local stress liquidity outflows. The aggregate amount of such liquidity reserves that are considered restricted for
this purpose is € 43.5 billion as of December 31, 2020 (as of December 31, 2019: € 31.2 billion).
356
Deutsche Bank
Annual Report 2020
Additional notes
38 – Structured entities
38 – Structured entities
Nature, purpose and extent of the Group’s interests in structured entities
The Group engages in various business activities with structured entities which are designed to achieve a specific business
purpose. A structured entity is one that has been set up so that any voting rights or similar rights are not the dominant factor
in deciding who controls the entity. An example is when voting rights relate only to administrative tasks and the relevant
activities are directed by contractual arrangements.
A structured entity often has some or all of the following features or attributes:
– Restricted activities;
– A narrow and well defined objective;
– Insufficient equity to permit the structured entity to finance its activities without subordinated financial support;
– Financing in the form of multiple contractually linked instruments to investors that create concentrations of credit or other
risks (tranches).
The principal uses of structured entities are to provide clients with access to specific portfolios of assets and to provide market
liquidity for clients through securitizing financial assets. Structured entities may be established as corporations, trusts or part-
nerships. Structured entities generally finance the purchase of assets by issuing debt and equity securities that are collateral-
ized by and/or indexed to the assets held by the structured entities. The debt and equity securities issued by structured entities
may include tranches with varying levels of subordination.
Structured entities are consolidated when the substance of the relationship between the Group and the structured entities
indicate that the structured entities are controlled by the Group, as discussed in Note 1 “Significant Accounting Policies and
Critical Accounting Estimates”.
Consolidated structured entities
The Group has contractual arrangements which may require it to provide financial support to the following types of consoli-
dated structured entities.
Securitization vehicles
The Group uses securitization vehicles for funding purchase of diversified pool of assets. The Group provides financial support
to these entities in the form of liquidity facility. As of December 31, 2020, and December 31, 2019, there were no outstanding
loan commitments to these entities.
Funds
The Group may provide funding and liquidity facility or guarantees to funds consolidated by the group. As of Decem-
ber 31, 2020 and December 31, 2019, the notional value of the liquidity facilities and guarantees provided by the Group to
such funds was € 1.0 billion and € 1.8 billion, respectively.
Deutsche Bank did not provide non-contractual support during the year to consolidated structured entities.
Unconsolidated structured entities
These are entities which are not consolidated because the Group does not control them through voting rights, contract, funding
agreements, or other means. The extent of the Group’s interests to unconsolidated structured entities will vary depending on
the type of structured entities.
Below is a description of the Group’s involvements in unconsolidated structured entities by type.
Repackaging and investment entities
Repackaging and investment entities are established to meet clients’ investment needs through the combination of securities
and derivatives. These entities are not consolidated by the Group because the Group does not have power to influence the
returns obtained from the entities. These entities are usually set up to provide a certain investment return pre-agreed with the
investor, and the Group is not able to change the investment strategy or return during the life of the transaction.
357
Deutsche Bank
Annual Report 2020
Additional notes
38 – Structured entities
Third party funding entities
The Group provides funding to structured entities that hold a variety of assets. These entities may take the form of funding
entities, trusts and private investment companies. The funding is collateralized by the asset in the structured entities. The
group’s involvement involves predominantly both lending and loan commitments.
The vehicles used in these transactions are controlled by the borrowers where the borrowers have the ability to decide whether
to post additional margin or collateral in respect of the financing. In such cases, where borrowers can decide to continue or
terminate the financing, the borrowers will consolidate the vehicle.
Securitization Vehicles
The Group establishes securitization vehicles which purchase diversified pools of assets, including fixed income securities,
corporate loans, and asset-backed securities (predominantly commercial and residential mortgage-backed securities and
credit card receivables). The vehicles fund these purchases by issuing multiple tranches of debt and equity securities, the
repayment of which is linked to the performance of the assets in the vehicles.
The Group may transfer assets to these securitization vehicles and provides financial support to these entities in the form of
liquidity facilities.
The Group also invests and provides liquidity facilities to third party sponsored securitization vehicles.
The securitization vehicles that are not consolidated into the Group are those where the Group does not hold the power or
ability to unilaterally remove the servicer or special servicer who has been delegated power over the activities of the entity.
Funds
The Group establishes structured entities to accommodate client requirements to hold investments in specific assets. The
Group also invests in funds that are sponsored by third parties. A group entity may act as fund manager, custodian or some
other capacity and provide funding and liquidity facilities to both group sponsored and third party funds. The funding provided
is collateralized by the underlying assets held by the fund.
The Group does not consolidate funds when Deutsche Bank is deemed agent or when another third party investor has the
ability to direct the activities of the fund.
Other
These are Deutsche Bank sponsored or third party structured entities that do not fall into any criteria above. These entities
are not consolidated by the Group when the Group does not hold power over the decision making of these entities.
Income derived from involvement with structured entities
The Group earns management fees and, occasionally, performance-based fees for its investment management service in
relation to funds. Interest income is recognized on the funding provided to structured entities. Any trading revenue as a result
of derivatives with structured entities and from the movements in the value of notes held in these entities is recognized in ‘Net
gains/losses on financial assets/liabilities held at fair value through profit and loss’.
Interests in unconsolidated structured entities
The Group’s interests in unconsolidated structured entities refer to contractual and non-contractual involvement that exposes
the Group to variability of returns from the performance of the structured entities. Examples of interests in unconsolidated
structured entities include debt or equity investments, liquidity facilities, guarantees and certain derivative instruments in which
the Group is absorbing variability of returns from the structured entities.
Interests in unconsolidated structured entities exclude instruments which introduce variability of returns into the structured
entities. For example, when the Group purchases credit protection from an unconsolidated structured entity whose purpose
and design is to pass through credit risk to investors, the Group is providing the variability of returns to the entity rather than
absorbing variability. The purchased credit protection is therefore not considered as an interest for the purpose of the table
below.
Maximum exposure to unconsolidated structured entities
The maximum exposure to loss is determined by considering the nature of the interest in the unconsolidated structured entity.
The maximum exposure for loans and trading instruments is reflected by their carrying amounts in the consolidated balance
sheet. The maximum exposure for derivatives and off balance sheet commitments such as guarantees, liquidity facilities and
loan commitments under IFRS 12, as interpreted by the Group, is reflected by the notional amounts. Such amounts or their
development do not reflect the economic risks faced by the Group because they do not take into account the effects of collat-
eral or hedges nor the probability of such losses being incurred. At December 31, 2020, the notional related to the positive
and negative replacement values of derivatives and off balance sheet commitments were € 78 billion, € 238 billion and
358
Deutsche Bank
Annual Report 2020
Additional notes
38 – Structured entities
€ 16 billion respectively. At December 31, 2019, the notional related to the positive and negative replacement values of deriv-
atives and off balance sheet commitments were € 136 billion, € 506 billion and € 16 billion respectively.
Size of structured entities
The Group provides a different measure for size of structured entities depending on their type. The following measures have
been considered as appropriate indicators for evaluating the size of structured entities:
– Funds – Net asset value or assets under management where the Group holds fund units and notional of derivatives when
the Group’s interest comprises of derivatives.
– Securitizations – notional of notes in issue (excluding interest only and excess notes where applicable) when the Group
derives its interests through notes its holds and notional of derivatives when the Group’s interests is in the form of deriva-
tives.
– Third party funding entities –Total assets in entities
– Repackaging and investment entities – Fair value of notes in issue
For Third party funding entities, size information is not publicly available, therefore the Group has disclosed the greater of the
collateral the Group has received/pledged or the notional of the exposure the Group has to the entity.
Based on the above definitions, the total size of structured entities is € 1,878 billion, of which the majority of € 1,088 billion is
from Funds. In 2019, it was € 2,091 billion and € 1,617 billion respectively.
The following table shows, by type of structured entity, the carrying amounts of the Group’s interests recognized in the con-
solidated statement of financial position as well as the maximum exposure to loss resulting from these interests.The carrying
amounts presented below do not reflect the true variability of returns faced by the Group because they do not take into account
the effects of collateral or hedges.
Carrying amounts and size relating to Deutsche Bank’s interests
in € m.
Assets
Cash and central bank balances
Interbank balances (w/o central banks)
Central bank funds sold and securities
purchased under resale agreements
Securities Borrowed
Total financial assets at fair value
through profit or loss
Trading assets
Positive market values
(derivative financial instruments)
Non-trading financial assets mandatory at fair value
through profit or loss
Financial assets designated at fair
value through profit or loss
Financial assets at fair value through other comprehensive in-
come
Loans at amortized cost
Other assets
Total assets
Liabilities
Total financial liabilities at fair value
through profit or loss
Negative market values
(derivative financial instruments)
Other short-term borrowings
Other liabilities
Total liabilities
Off-balance sheet exposure
Total
Repacka-
ging and
Investment
Entities
Third Party
Funding
Entities
Securiti-
zations
Dec 31, 2020
Funds
Total
0
1
0
0
0
0
126
0
0
0
0
0
0
12
1,901
0
340
181
6,368
4,134
4,428
2,408
50,316
4,304
0
13
2,027
0
61,452
11,027
158
154
31
3,635
3,977
0
2,080
1,990
42,377
46,448
0
0
0
0
0
0
165
51
557
333
46,867
400
54,096
457
27,638
3,065
35,587
270
10,270
20,499
83,267
1,060
84,939
24,015
173,508
92
58
10
11,191
11,351
92
0
0
92
0
466
58
0
0
58
5,889
59,927
10
0
0
10
8,279
43,856
11,191
0
1,815
13,006
1,944
72,205
11,351
0
1,815
13,166
16,112
176,453
359
Deutsche Bank
Annual Report 2020
Additional notes
38 – Structured entities
in € m.
Assets
Cash and central bank balances
Interbank balances (w/o central banks)
Central bank funds sold and securities
purchased under resale agreements
Securities Borrowed
Total financial assets at fair value
through profit or loss
Trading assets
Positive market values
(derivative financial instruments)
Non-trading financial assets mandatory at fair value
through profit or loss
Financial assets designated at fair
value through profit or loss
Financial assets at fair value through other comprehensive in-
come
Loans at amortized cost
Other assets
Total assets
Liabilities
Total financial liabilities at fair value
through profit or loss
Negative market values
(derivative financial instruments)
Other short-term borrowings
Other liabilities
Total liabilities
Off-balance sheet exposure
Total
Repacka-
ging and
Investment
Entities
Third Party
Funding
Entities
Securiti-
zations
Dec 31, 2019
Funds
Total
0
1
0
0
0
6
603
0
0
0
8
0
0
35
2,613
3
262
199
6,035
4,033
6,257
4,371
54,853
5,361
0
42
3,224
3
67,408
13,964
63
176
32
2,777
3,049
0
1,820
1,854
46,715
50,389
0
6
0
0
6
0
151
0
414
221
44,284
332
51,481
491
36,183
3,894
46,834
106
9,842
17,863
85,316
818
90,460
22,089
184,044
44
27
5
8,865
8,941
44
0
0
44
1
371
27
0
0
27
4,793
56,247
5
0
0
5
9,358
56,187
8,865
0
2,257
11,122
2,245
76,439
8,941
0
2,257
11,197
16,396
189,243
Trading assets –Total trading assets as of December 31, 2020 and December 31, 2019 of € 11.0 billion and € 14.0 billion are
comprised primarily of € 2.4 billion and € 4.4 billion in Securitizations and € 4.3 billion and € 5.4 billion in Funds structured
entities respectively. The Group’s interests in securitizations are collateralized by the assets contained in these entities. Where
the Group holds fund units these are typically in regards to market making in funds or otherwise serve as hedges for notes
issued to clients. Moreover the credit risk arising from loans made to Third party funding structured entities is mitigated by the
collateral received.
Non-trading financial assets mandatory at fair value through profit or loss – Reverse repurchase agreements to Funds com-
prise the majority of the interests in this category and are collateralized by the underlying securities.
Loans – Loans as of December 31, 2020 and December 31, 2019 consist of € 84.9 billion and € 90.5 billion investment in
securitization tranches and financing to Third party funding entities. The Group’s financing to Third party funding entities is
collateralized by the assets in those structured entities.
Other assets – Other assets as of December 31, 2020 and December 31, 2019 of € 24.0 billion and € 22.1 billion, respectively,
consist primarily of prime brokerage receivables and cash margin balances.
Pending Receivables – Pending Receivable balances are not included in this disclosure note due to the fact that these balances
arise from typical customer supplier relationships out of e.g. brokerage type activities and their inherent volatility would not
provide users of the financial statements with effective information about Deutsche Bank’s exposures to structured entities.
Financial support
Deutsche Bank did not provide non-contractual support during the year to unconsolidated structured entities.
360
Deutsche Bank
Annual Report 2020
Additional notes
39 – Current and non-current assets and liabilities
Sponsored unconsolidated structured entities where the Group has no interest as
of December 31, 2020 and December 31, 2019.
As a sponsor, the Group is involved in the legal set up and marketing of the entity and supports the entity in different ways,
namely:
– transferring assets to the entities
– providing seed capital to the entities
– providing operational support to ensure the entity’s continued operation
– providing guarantees of performance to the structured entities.
The Group is also deemed a sponsor for a structured entity if market participants would reasonably associate the entity with
the Group. Additionally, the use of the Deutsche Bank name for the structured entity indicates that the Group has acted as a
sponsor.
The gross revenues from sponsored entities where the Group did not hold an interest as of December 31, 2020 and Decem-
ber 31, 2019 were € (134) million and € 145 million respectively. Instances where the Group does not hold an interest in an
unconsolidated sponsored structured entity include cases where any seed capital or funding to the structured entity has al-
ready been repaid in full to the Group during the year. This amount does not take into account the impacts of hedges and is
recognized in Net gains/losses on financial assets/liabilities at fair value through profit and loss. The aggregated carrying
amounts of assets transferred to sponsored unconsolidated structured entities in 2020 were € 1.4 billion for securitization and
€ 1.2 billion for repackaging and investment entities. In 2019, they were € 0.3 billion for securitization and € 2.2 billion for
repackaging and investment entities.
39 – Current and non-current assets and liabilities
Asset and liability line items by amounts recovered or settled within or after one
year
Asset items as of December 31, 2020
in € m.
Cash and central bank balances
Interbank balances (w/o central banks)
Central bank funds sold and securities purchased under resale agreements
Securities borrowed
Financial assets at fair value through profit or loss
Financial assets at fair value through other comprehensive income
Equity method investments
Loans at amortized cost
Property and equipment
Goodwill and other intangible assets
Other assets
Assets for current tax
Total assets before deferred tax assets
Deferred tax assets
Total assets
Amounts recovered or settled
Total
within one year
after one year
166,208
9,120
4,728
0
515,614
14,393
0
111,892
0
0
94,685
300
916,939
0
11
3,805
0
12,327
41,441
901
315,103
5,549
6,725
15,714
686
402,262
Dec 31, 2020
166,208
9,130
8,533
0
527,941
55,834
901
426,995
5,549
6,725
110,399
986
1,319,201
6,058
1,325,259
361
Deutsche Bank
Annual Report 2020
Additional notes
40 – Events after the reporting period
Liability items as of December 31, 2020
in € m.
Deposits
Central bank funds purchased and securities sold under repurchase agreements
Securities loaned
Financial liabilities at fair value through profit or loss
Other short-term borrowings
Other liabilities
Provisions
Liabilities for current tax
Long-term debt
Trust preferred securities
Total liabilities before deferred tax liabilities
Deferred tax liabilities
Total liabilities
Asset items as of December 31, 2019
in € m.
Cash and central bank balances
Interbank balances (w/o central banks)
Central bank funds sold and securities purchased under resale agreements
Securities borrowed
Financial assets at fair value through profit or loss
Financial assets at fair value through other comprehensive income
Equity method investments
Loans at amortized cost
Property and equipment
Goodwill and other intangible assets
Other assets
Assets for current tax
Total assets before deferred tax assets
Deferred tax assets
Total assets
Liability items as of December 31, 2019
in € m.
Deposits
Central bank funds purchased and securities sold under repurchase agreements
Securities loaned
Financial liabilities at fair value through profit or loss
Other short-term borrowings
Other liabilities
Provisions
Liabilities for current tax
Long-term debt
Trust preferred securities
Total liabilities before deferred tax liabilities
Deferred tax liabilities
Total liabilities
Amounts recovered or settled
Total
within one year
after one year
544,669
1,830
1,698
416,042
3,553
112,617
2,430
328
59,626
1,321
1,144,113
23,362
495
0
3,157
0
1,592
0
246
89,537
0
118,389
Dec 31, 2020
568,031
2,325
1,698
419,199
3,553
114,208
2,430
574
149,163
1,321
1,262,502
561
1,263,063
Amounts recovered or settled
Total
within one year
after one year
137,370
9,613
9,591
428
517,138
12,183
0
115,669
0
0
82,355
405
884,752
222
22
4,210
0
13,576
33,320
929
314,172
4,930
7,029
28,004
521
406,936
Dec 31, 2019
137,592
9,636
13,801
428
530,713
45,503
929
429,841
4,930
7,029
110,359
926
1,291,688
5,986
1,297,674
Amounts recovered or settled
Total
within one year
after one year
546,077
3,057
259
399,943
5,218
105,978
2,622
502
38,088
2,013
1,103,756
26,131
58
0
4,505
0
1,986
0
149
98,384
0
131,214
Dec 31, 2019
572,208
3,115
259
404,448
5,218
107,964
2,622
651
136,473
2,013
1,234,970
545
1,235,515
40 – Events after the reporting period
After the reporting date no material events occurred which had a significant impact on our results of operations, financial
position and net assets.
362
Deutsche Bank
Annual Report 2020
Additional notes
41 – Regulatory capital Information
41 – Regulatory capital Information
General definitions
The calculation of our own funds incorporates the capital requirements following the “Regulation (EU) No 575/2013 on pru-
dential requirements for credit institutions and investment firms” (Capital Requirements Regulation or “CRR”) and the “Di-
rective 2013/36/EU on access to the activity of credit institutions and the prudential supervision of credit institutions and in-
vestment firms” (Capital Requirements Directive or “CRD”) which have been further amended with subsequent Regulations
and Directives. The CRD has been implemented into German law. The information in this section as well as in the section
“Development of risk-weighted Assets” is based on the regulatory principles of consolidation.
This section refers to the capital adequacy of the group of entities consolidated for banking regulatory purposes pursuant to
the CRR and the German Banking Act (“Kreditwesengesetz” or “KWG”). Therein not included are insurance companies or
companies outside the finance sector.
The total own funds pursuant to the effective regulations as of year-end 2020 comprises Tier 1 and Tier 2 (T2) capital. Tier 1
capital is subdivided into Common Equity Tier 1 (CET 1) capital and Additional Tier 1 (AT1) capital.
Common Equity Tier 1 (CET 1) capital consists primarily of common share capital (reduced by own holdings) including related
share premium accounts, retained earnings (including losses for the financial year, if any) and accumulated other comprehen-
sive income, subject to regulatory adjustments (i.e. prudential filters and deductions), as well as minority interests qualifying
for inclusion in consolidated CET1 capital. Prudential filters for CET 1 capital, according to Articles 32 to 35 CRR, include (i)
securitization gains on sale, (ii) cash flow hedges and changes in the value of own liabilities, and (iii) additional value adjust-
ments. CET 1 capital deductions for instance includes (i) intangible assets, (ii) deferred tax assets that rely on future profita-
bility, (iii) negative amounts resulting from the calculation of expected loss amounts, (iv) net defined benefit pension fund
assets, (v) reciprocal cross holdings in the capital of financial sector entities and, (vi) significant and non-significant invest-
ments in the capital (CET 1, AT1, T2) of financial sector entities above certain thresholds. All items not deducted (i.e., amounts
below the threshold) are subject to risk-weighting.
Additional Tier 1 (AT1) capital consists of AT1 capital instruments and related share premium accounts as well as noncontrol-
ling interests qualifying for inclusion in consolidated AT1 capital and during the transitional period grandfathered instruments.
To qualify as AT1 capital under CRR/CRD, instruments must have principal loss absorption through a conversion to common
shares or a write-down mechanism allocating losses at a trigger point and must also meet further requirements (perpetual
with no incentive to redeem; institution must have full dividend/coupon discretion at all times, etc.).
Tier 2 (T2) capital comprises eligible capital instruments, the related share premium accounts and subordinated long-term
debt, certain loan loss provisions and noncontrolling interests that qualify for inclusion in consolidated T2 capital. To qualify
as T2 capital, capital instruments or subordinated debt must have an original maturity of at least five years. Moreover, eligible
capital instruments may inter alia not contain an incentive to redeem, a right of investors to accelerate repayment, or a credit
sensitive dividend feature
We present in this report certain figures based on the CRR definition of own fund instruments applicable for Additional Tier 1
(AT1) capital and Tier 2 (T2) capital and figures based thereon, including Tier 1, Total Capital and Leverage Ratio) on a “fully
loaded” basis. We calculate such “fully loaded” figures excluding the transitional arrangements for own fund instruments as
provided in the currently applicable CRR/CRD. For CET 1 instruments there are no transitional provisions.
Transitional arrangements are applicable for AT1 and T2 instruments. Capital instruments issued on or prior to December 31,
2011, that no longer qualify as AT1 or T2 capital under the fully loaded CRR/CRD as currently applicable are subject to
grandfathering rules during the transitional period and are being phased out from 2013 to 2022 with their recognition capped
at 20 % in 2020 and 10 % in 2021 (in relation to the portfolio eligible for grandfathering which was still in issue on December 31,
2012). The current CRR as applicable since June 27, 2019 provides further grandfathering rules for AT1 and T2 instruments
issued prior to June 27, 2019. Thereunder, AT1 and T2 instruments issued through special purpose entities are grandfathered
until December 31, 2021, and AT1 and T2 instruments that do not meet certain new requirements that apply since June 27,
2019 continue to qualify until June 26, 2025. Instruments issued under UK law which do not fulfill all CRR requirements after
the UK has left the European Union are also excluded from our fully loaded definition. Our CET 1 and RWA figures show no
difference between CRR/CRD as currently applicable and fully loaded CRR/CRD based on our definition of “fully loaded”.
For the comparative numbers as per year-end 2019 we still applied our earlier concept of fully loaded, defined as excluding
the transitional arrangements for own funds instruments introduced by the CRR/CRD applicable until June 26, 2019, but
reflecting the transitional arrangements introduced by the amendments to the CRR/CRD applicable from June 27, 2019 and
further amendments thereafter.
363
Deutsche Bank
Annual Report 2020
Additional notes
41 – Regulatory capital Information
We believe that these “fully loaded” calculations provide useful information to investors as they reflect our progress against
the regulatory capital standards and as many of our competitors have been describing calculations on a “fully loaded” basis.
As our competitors’ assumptions and estimates regarding “fully loaded” calculations may vary, however, our “fully loaded”
measures may not be comparable with similarly labelled measures used by our competitors.
Capital instruments
Our Management Board received approval from the 2019 Annual General Meeting to buy back up to 206.7 million shares
before the end of April 2024. Thereof 103.3 million shares can be purchased by using derivatives, this includes 41.3 million
derivatives with a maturity exceeding 18 months. During the period from the 2019 Annual General Meeting until the 2020
Annual General Meeting (May 20, 2020), 33.8 million shares were purchased. The shares purchased were used for equity
compensation purposes in the same period or are to be used in the upcoming period so that the number of shares held in
Treasury from buybacks was 10.5 million as of the 2020 Annual General Meeting.
The 2020 Annual General Meeting granted our Management Board the approval to buy back up to 206.7 million shares before
the end of April 2025. Thereof 103.3 million shares can be purchased by using derivatives, this includes 41.3 million derivatives
with a maturity exceeding 18 months. These authorizations substitute the authorizations of the previous year. During the period
from the 2020 Annual General Meeting until December 31, 2020, there were not any shares purchased. The shares in inven-
tory are to be used in this period or the upcoming period for equity compensation purposes; the number of shares held in
Treasury from buybacks was 1.3 million as of December 31, 2020.
Since the 2017 Annual General Meeting, and as of December 31, 2020, authorized capital available to the Management Board
is € 2,560 million (1,000 million shares). As of December 31, 2020, the conditional capital against cash stands at € 512 million
(200 million shares). Additional conditional capital for equity compensation amounts to € 51.2 million (20 million shares).
Further, the 2018 Annual General Meeting authorized the issuance of participatory notes and other Hybrid Debt Securities
that fulfill the regulatory requirements to qualify as Additional Tier 1 capital with an equivalent value of € 8.0 billion.
Our legacy Hybrid Tier 1 capital instruments (substantially all noncumulative trust preferred securities) are not recognized
under fully loaded CRR/CRD rules as Additional Tier 1 capital, mainly because they have no write-down or equity conversion
feature. During the transitional phase-out period the maximum recognizable amount of Additional Tier 1 instruments from
Basel 2.5 compliant issuances as of December 31, 2012 will be reduced at the beginning of each financial year by 10 % or
€ 1.3 billion, through 2022. For December 31, 2020, this resulted in eligible Additional Tier 1 instruments of € 6.8 billion (i.e.
€ 5.7 billion newly issued AT1 Notes plus € 1.1 billion of legacy Hybrid Tier 1 instruments recognizable during the transition
period). Additional Tier 1 instruments recognized under fully loaded CRR/CRD rules amounted to € 5.7 billion as of December
31, 2020. In 2020, the bank issued AT1 notes amounting to U.S.$ 1.3 billion or an equivalent amount of € 1.2 billion. Further-
more, the bank redeemed legacy Hybrid Tier 1 instruments with a notional of U.S.$ 0.8 billion and an eligible equivalent
amount of € 0.7 billion.
The total of our Tier 2 capital instruments as of December 31, 2020 recognized during the transition period under CRR/CRD
was € 6.9 billion (nominal value of € 7.7 billion). Tier 2 instruments recognized under fully loaded CRR/CRD rules amounted
to € 6.6 billion (nominal value of € 7.4 billion). In 2020, the bank issued Tier 2 capital instruments with a nominal value of U.S.$
0.5 billion (equivalent amount of € 0.4 billion) and € 1.3 billion.
Minimum capital requirements and additional capital buffers
Failure to meet minimum capital requirements can result in supervisory measures such as restrictions of profit distributions or
limitations on certain businesses such as lending. We complied with the regulatory capital adequacy requirements in 2020.
364
Deutsche Bank
Annual Report 2020
Additional notes
41 – Regulatory capital Information
Details on regulatory capital
Own Funds Template (incl. RWA and capital ratios)
in € m.
Common Equity Tier 1 (CET 1) capital: instruments and reserves
Capital instruments, related share premium accounts and other reserves
Retained earnings
Accumulated other comprehensive income (loss), net of tax
Independently reviewed interim profits net of any foreseeable charge or dividend1
Other
Common Equity Tier 1 (CET 1) capital before regulatory adjustments
Common Equity Tier 1 (CET 1) capital: regulatory adjustments
Additional value adjustments (negative amount)
Other prudential filters (other than additional value adjustments)
CRR/CRD
Dec 31, 2020
CRR/CRD
Dec 31, 2019
45,890
9,784
(1,118)
84
805
55,444
(1,430)
(112)
45,780
14,814
537
(5,390)
837
56,579
(1,738)
(150)
Goodwill and other intangible assets (net of related tax liabilities) (negative amount)
(4,635)
(6,515)
Deferred tax assets that rely on future profitability excluding those arising from
temporary differences (net of related tax liabilities where the conditions in Art. 38 (3)
CRR are met) (negative amount)
Negative amounts resulting from the calculation of expected loss amounts
Defined benefit pension fund assets (net of related tax liabilities) (negative amount)
Direct, indirect and synthetic holdings by an institution of own CET 1 instruments (negative
amount)
Direct, indirect and synthetic holdings by the institution of the CET 1 instruments of financial
sector entities where the institution has a significant investment in those entities (amount above
the 10 % / 15 % thresholds and net of eligible short positions) (negative amount)
Deferred tax assets arising from temporary differences (net of related tax liabilities where the
conditions in Art. 38 (3) CRR are met) (amount above the 10 % / 15 % thresholds) (negative
amount)
Other regulatory adjustments2
Total regulatory adjustments to Common Equity Tier 1 (CET 1) capital
Common Equity Tier 1 (CET 1) capital
Additional Tier 1 (AT1) capital: instruments
Capital instruments and the related share premium accounts
Amount of qualifying items referred to in Art. 484 (4) CRR and the related share
premium accounts subject to phase out from AT1
Additional Tier 1 (AT1) capital before regulatory adjustments
Additional Tier 1 (AT1) capital: regulatory adjustments
Direct, indirect and synthetic holdings by an institution of own AT1 instruments
(negative amount)
Residual amounts deducted from AT1 capital with regard to deduction from CET 1 capital dur-
ing the transitional period pursuant to Art. 472 CRR
Other regulatory adjustments
Total regulatory adjustments to Additional Tier 1 (AT1) capital
Additional Tier 1 (AT1) capital
Tier 1 capital (T1 = CET 1 + AT1)
Tier 2 (T2) capital
Total capital (TC = T1 + T2)
Total risk-weighted assets
Capital ratios
Common Equity Tier 1 capital ratio (as a percentage of risk-weighted assets)
Tier 1 capital ratio (as a percentage of risk-weighted assets)
Total capital ratio (as a percentage of risk-weighted assets)
(1,353)
(99)
(772)
0
(1,126)
(259)
(892)
(15)
0
0
(92)
(2,252)
(10,745)
44,700
(319)
(1,417)
(12,430)
44,148
5,828
4,676
1,100
6,928
1,813
6,489
(80)
N/M
0
(80)
6,848
51,548
6,944
58,492
328,951
13.6
15.7
17.8
(91)
N/M
0
(91)
6,397
50,546
5,957
56,503
324,015
13.6
15.6
17.4
N/M – Not meaningful
1 Full year profit is recognized as per ECB Decision (EU) 2015/656 in accordance with the Article 26(2) of Regulation (EU) No 575/2013 (ECB/2015/4).
2 Includes € 0.4 billion capital deduction effective from April 2019 and € 0.3 billion effective from October 2016 based on regular ECB review, € 0.9 billion capital deduction
based on ECB guidance on irrevocable payment commitments related to the Single Resolution Fund and the Deposit Guarantee Scheme effective from January 2018 on-
365
Deutsche Bank
Annual Report 2020
Additional notes
41 – Regulatory capital Information
wards and € 0.7 billion capital deduction effective from December 2020 based on ECB’s supervisory recommendation for a prudential provisioning of non-performing expo-
sures. Effective June 30, 2020, we make use of the IFRS 9 transitional provision as per Article 473a of the CRR resulting in CET 1 increase of € 0.1 billion as of December 31,
2020.
3 For the understanding of the term “fully-loaded” please refer to our definition as provided in section “Own Funds”.
Reconciliation of shareholders’ equity to Own Funds
in € m.
Total shareholders’ equity per accounting balance sheet
Deconsolidation/Consolidation of entities3
Of which:
Additional paid-in capital
Retained earnings
Accumulated other comprehensive income (loss), net of tax
Total shareholders' equity per regulatory balance sheet
Minority Interests (amount allowed in consolidated CET 1)
Accrual for dividend and AT1 coupons1
Reversal of deconsolidation/consolidation of the position Accumulated other comprehensive income (loss),
net of tax, during transitional period
Common Equity Tier 1 (CET 1) capital before regulatory adjustments
Additional value adjustments
Other prudential filters (other than additional value adjustments)
Regulatory adjustments relating to unrealized gains and losses pursuant to Art. 467 and 468 CRR
Goodwill and other intangible assets (net of related tax liabilities) (negative amount)
Deferred tax assets that rely on future profitability
Defined benefit pension fund assets (net of related tax liabilities) (negative amount)
Direct, indirect and synthetic holdings by the institution of the CET 1 instruments of financial sector entities
where the institution has a significant investment in those entities
Other regulatory adjustments2
Common Equity Tier 1 capital
Dec 31, 2020
54,786
265
0
265
0
55,050
805
(411)
0
55,444
(1,430)
(112)
0
(4,635)
(1,445)
(772)
0
(2,351)
44,700
CRR/CRD
Dec 31, 2019
55,857
(116)
(12)
(220)
116
55,741
837
0
0
56,579
(1,738)
(150)
0
(6,515)
(1,445)
(892)
0
(1,692)
44,148
1 Full year profit is recognized as per ECB Decision (EU) 2015/656 in accordance with the Article 26(2) of Regulation (EU) No 575/2013 (ECB/2015/4).
2 Includes € 0.4 billion capital deduction effective from April 2019 and € 0.3 billion effective from October 2016 based on regular ECB review, € 0.9 billion capital deduction
based on ECB guidance on irrevocable payment commitments related to the Single Resolution Fund and the Deposit Guarantee Scheme effective from January 2018 on-
wards, € 0.1 billion negative amounts resulting from the calculation of expected loss amounts and € 0.7 billion capital deduction effective from December 2020 based on
ECB’s supervisory recommendation for a prudential provisioning of non-performing exposures. Effective June 30, 2020, we make use of the IFRS 9 transitional provision as
per Article 473a of the CRR resulting in CET 1 increase of € 0.1 billion as of December 31, 2020.
3 Includes € 0.4 billion increase due to regulatory changes from cost to at-equity treatment of subsidiaries and participations that are only consolidated under IFRS.
Capital management
Our Treasury function manages solvency, capital adequacy, leverage and bail-in capacity ratios at Group level and locally in
each region, as applicable. Treasury implements our capital strategy, which itself is developed by the Group Risk Committee
and approved by the Management Board. Treasury, directly or through the Group Asset and Liability Committee, manages,
among other things, issuance and repurchase of shares and capital instruments, hedging of capital ratios against foreign
exchange swings, setting capacities for key financial resources, design of shareholders’ equity allocation, and regional capital
planning. We are fully committed to maintaining our sound capitalization both from an economic and regulatory perspective.
We continuously monitor and adjust our overall capital demand and supply in an effort to achieve an appropriate balance of
the economic and regulatory considerations at all times and from all perspectives. These perspectives include book equity
based on IFRS accounting standards, regulatory and economic capital as well as specific capital requirements from rating
agencies.
Treasury manages the issuance and repurchase of capital instruments, namely Common Equity Tier 1, Additional Tier 1 and
Tier 2 capital instruments as well as TLAC/MREL eligible debt instruments. Treasury constantly monitors the market for liability
management trades. Such trades represent a countercyclical opportunity to create Common Equity Tier 1 capital by buying
back our issuances below par.
Treasury manages the sensitivity of our capital ratios against swings in currencies. For this purpose, Treasury determines
which currencies are to be hedged, develops suitable hedging strategies in close cooperation with Risk Management and
finally executes these hedges. The capital invested into our foreign subsidiaries and branches in our core currencies Euro,
US Dollar, Chinese Renminbi and Pound Sterling is not hedged in order to balance respective effects from movements in
capital deduction items and risk weighted assets. The capital invested in non-core currencies is either partly hedged taking
capital demand into account or fully hedged.
366
Deutsche Bank
Annual Report 2020
Additional notes
42 – Supplementary information to the consolidated financial statements according to Sections 297
(1a) / 315a HGB and the return on assets according to article 26a of the German Banking Act
Resource limit setting
Usage of key financial resources is influenced through the following governance processes and incentives.
Target resource capacities are reviewed in our annual strategic plan in line with our CET 1 and Leverage Ratio ambitions. As
a part of our quarterly process, the Group Asset and Liability Committee approves divisional resource limits for total capital
demand (defined as the sum of Risk Weighted Assets (RWA) and certain RWA equivalents of Capital Deduction Items) and
leverage exposure that are based on the strategic plan but adjusted for market conditions and the short-term outlook. Limits
are enforced through a close monitoring process and an excess charging mechanism.
Overall regulatory capital requirements are principally driven by either our CET 1 ratio (solvency) or leverage ratio (leverage)
requirements, whichever is the more binding constraint. For the internal capital allocation, the combined contribution of each
segment to the Group’s Common Equity Tier 1 ratio, the Group’s Leverage ratio and the Group’s Capital Loss under Stress
are weighted to reflect their relative importance and level of constraint to the Group. Contributions to the Common Equity
Tier 1 ratio and the Leverage ratio are measured through RWA and Leverage Ratio Exposure (LRE). The Group’s Capital
Loss under Stress is a measure of the Group’s overall economic risk exposure under a defined stress scenario. Goodwill and
other intangible assets are directly allocated to the respective segments, supporting the calculation of the allocated tangible
shareholders equity and the respective rate of return.
Most of our subsidiaries and a number of our branches are subject to legal and regulatory capital requirements. In developing,
implementing and testing our capital and liquidity, we fully take such legal and regulatory requirements into account. Any
material capital requests of our branches and subsidiaries across the globe are presented to and approved by the Group
Investment Committee prior to execution.
Further, Treasury is represented on the Investment Committee of the largest Deutsche Bank pension fund which sets the
investment guidelines for this fund. This representation is intended to ensure that pension assets are aligned with pension
liabilities, thus protecting our capital base.
42 – Supplementary information to the consolidated financial
statements according to Sections 297 (1a) / 315a HGB and the
return on assets according to article 26a of the German Banking
Act
Staff costs
in € m.
Staff costs:
Wages and salaries
Social security costs
thereof: those relating to pensions
Total
1 The comparative number has been restated for the impact of state-mandated pension plan contributions
Staff
2020
2019
8,526
1,945
1,111
10,471
9,184
1,958
1,1461
11,142
The average number of effective staff employed in 2020 was 86,756 (2019: 90,584) of whom 38,193 (2019: 39,756) were
women. Part-time staff is included in these figures proportionately. An average of 46,948 (2019: 49,290) staff members worked
outside Germany.
367
Deutsche Bank
Annual Report 2020
Additional notes
42 – Supplementary information to the consolidated financial statements according to Sections 297
(1a) / 315a HGB and the return on assets according to article 26a of the German Banking Act
Management Board and Supervisory Board remuneration
In accordance with the requirements of the GAS 17, the members of the Management Board collectively received in the 2020
financial year compensation totaling € 40,119,062 (2019: € 34,835,009). Of that, € 22,473,664 (2019: € 20,950,000) was for
fixed compensation, € 0 (2019: € 1,750,000) for functional allowances, € 920,833 (2019: € 0) for fixed allowances, € 1,353,072
(2019: € 2,275,594) for fringe benefits and € 15,371,493 (2019: € 9,859,415) for performance-related components.
Former members of the Management Board of Deutsche Bank AG or their surviving dependents received € 31,929,318 and
€ 18,093,988 for the years ended December 31, 2020 and 2019, respectively.
Provisions for pension obligations to former members of the Management Board and their surviving dependents amounted to
€ 223,844,881 and € 206,400,923 at December 31, 2020 and 2019, respectively.
The compensation principles for Supervisory Board members are set forth in our Articles of Association. The compensation
provisions, which were newly conceived in 2013, were last amended by resolution of the Annual General Meeting on May 18
2017 and became effective on October 5, 2017. The members of the Supervisory Board receive fixed annual compensation.
The annual base compensation amounts to € 100,000 for each Supervisory Board member. The Supervisory Board Chairman
receives twice that amount and the Deputy Chairperson one and a half times that amount. Members and chairs of the com-
mittees of the Supervisory Board are paid additional fixed annual compensation. 75 % of the compensation determined is
disbursed to each Supervisory Board member after submitting invoices within the first three month of the following year. The
other 25 % is converted by the company at the same time into company shares (notional shares) according to the provisions
of the Articles of Association. The share value of this number of shares is paid to the respective Supervisory Board member
in February of the year following his departure from the Supervisory Board or the expiration of his term of office according to
the provisions of the Articles of Association, provided that the member does not leave the Supervisory Board due to important
cause which would have justified dismissal. In case of a change in Supervisory Board membership during the year, compen-
sation for the financial year will be paid on a pro rata basis, rounded up/down to full months. For the year of departure, the
entire compensation is paid in cash; a forfeiture regulation applies to 25 % of the compensation for that financial year. The
members of the Supervisory Board received for the financial year 2020 a total remuneration of € 6,007,083 (2019:
€ 6,112,499), of which € 4,632,813 will be paid out in spring 2021 (2020: € 4,692,708) according to the provisions of the
Articles of Association.
Loans and advances granted and contingent liabilities assumed for members of the Management Board amounted to €
6,516,181 and € 8,106,465 and for members of the Supervisory Board amounted to € 1,546,839 and € 1,620,722 for the years
ended December 31, 2020 and 2019, respectively. Members of the Supervisory Board repaid € 268,802 loans in 2020.
Return on assets
Article 26a of the German Banking Act defines the return on assets as net profit divided by average total assets. According to
this definition the return on assets was 0.04% and (0.38) % for the years ended December 31, 2020 and 2019, respectively.
Information on the parent company
Deutsche Bank Aktiengesellschaft is the parent company of Deutsche Bank Group. It is incorporated in Frankfurt am Main
and is registered in the Commercial Register of the District Court Frankfurt am Main under registration number HRB 30000.
Corporate governance
Deutsche Bank AG has approved the Declaration of Conformity in accordance with section 161 of the German
Corporation Act (AktG). The declaration is published on Deutsche Bank’s website (www.db.com/ir/en/documents.htm).
368
Deutsche Bank
Annual Report 2020
Additional notes
43 – Country by country reporting
Principal accountant fees and services
Breakdown of fees charged by Ernst & Young GmbH Wirtschaftsprüfungsgesellschaft („EY“)
Fee category in € m.
Audit fees
thereof to EY
Audit-related fees
thereof to EY
Tax-related fees
thereof to EY
All other fees
thereof to EY
Total fees
Breakdown of fees charged by KPMG AG
Fee category in € m.
Audit fees
thereof to KPMG AG
Audit-related fees
thereof to KPMG AG
Tax-related fees
thereof to KPMG AG
All other fees
thereof to KPMG AG
Total fees
2020
53
40
5
4
0
0
0
0
58
2020
0
0
0
0
0
0
0
0
0
2019
0
0
0
0
0
0
0
0
0
2019
60
35
13
7
4
1
0
0
77
The Audit fees include fees for professional services for the audit of Deutsche Bank AG’s annual financial statements and
consolidated financial statements and do not include the 2020 audit fees for DWS and its subsidiaries that are not audited by
EY. The Audit-related fees include fees for other assurance services required by law or regulations, in particular for financial
service specific attestation, for quarterly reviews, for spin-off audits and for merger audits, as well as fees for voluntary assur-
ance services, like voluntary audits for internal management purposes and the issuance of comfort letters. Tax-related fees
include fees for services relating to the preparation and review of tax returns and related compliance assistance and advice,
tax consultation and advice relating to Group tax planning strategies and initiatives and assistance with assessing compliance
with tax regulations.
43 – Country by country reporting
§ 26a KWG requires annual disclosure of certain information by country. The disclosed information is derived from the IFRS
Group accounts of Deutsche Bank. It is however not reconcilable to other financial information in this report because of specific
requirements published by Bundesbank on December 16, 2014 which include the requirement to present the country infor-
mation prior to elimination of cross-border intra group transactions. In line with these Bundesbank requirements, intra group
transactions within the same country are eliminated. These eliminations are identical to the eliminations applied for internal
management reporting on countries.
The geographical location of subsidiaries and branches considers the country of incorporation or residence as well as the
relevant tax jurisdiction. For the names, nature of activity and geographical location of subsidiaries and branches, please refer
to Note 44 “Shareholdings”. In addition, Deutsche Bank AG and its subsidiaries have German and foreign branches, for ex-
ample in London, New York and Singapore. The net revenues are composed of net interest revenues and non-interest reve-
nues.
369
Deutsche Bank
Annual Report 2020
Additional notes
43 – Country by country reporting
in € m.
(unless stated otherwise)
Australia
Austria
Belgium
Brazil
Canada
Cayman Islands
China
Czech Republic
France
Germany
Great Britain
Greece
Hong Kong
Hungary
India
Indonesia
Ireland
Israel
Italy
Japan
Jersey
Luxembourg
Malaysia
Mauritius
Mexico
Netherlands
Pakistan
Philippines
Poland
Portugal
Qatar
Romania
Russian Fed.
Saudi Arabia
Singapore
South Africa
South Korea
Spain
Sri Lanka
Sweden
Switzerland
Taiwan
Thailand
Turkey
UAE
Ukraine
USA
Vietnam
Net revenues
(Turnover)
Employees
(full-time
equivalent)
177
8
165
39
5
2
136
11
61
9,555
3,323
(0)
702
19
670
150
27
0
895
275
1
907
109
20
9
217
16
28
73
12
0
0
45
16
838
9
107
497
16
1
265
75
40
27
11
4
4,908
17
309
74
499
129
13
0
538
44
192
37,315
7,728
9
966
51
12,944
204
408
7
3,460
432
14
510
198
0
19
560
66
1,392
377
45
3
746
1,512
47
1,861
44
206
2,261
58
27
603
135
116
106
191
34
8,136
72
Profit (loss)
before income
tax
(25)
(8)
19
(7)
1
0
44
2
13
459
(593)
0
89
2
446
86
1
2
(120)
(18)
(6)
408
73
19
(13)
44
9
7
8
(1)
2
1
18
(26)
133
(3)
31
(32)
5
(1)
22
35
7
11
7
0
320
5
Dec 31, 2020
Income tax
(expense)/
benefit
9
(0)
(5)
3
(1)
0
(11)
(0)
1
(125)
65
(0)
22
(1)
(186)
(30)
0
(1)
12
10
(0)
(83)
(18)
(1)
(1)
(9)
(3)
(3)
(4)
(0)
(0)
(0)
(7)
(6)
(17)
(1)
(11)
9
(1)
0
(3)
(6)
(1)
(3)
(0)
0
(39)
(1)
370
Deutsche Bank
Annual Report 2020
Additional notes
44 – Shareholdings
44 – Shareholdings
372 Subsidiaries
379 Consolidated structured entities
383 Companies accounted for at equity
385 Other companies, where the holding exceeds 20 %
389 Holdings in large corporations, where the holding exceeds 5 % of the
voting rights
The following pages show the Shareholdings of Deutsche Bank Group pursuant to Section 313 (2) of the German
Commercial Code (“HGB”) as well as to the Guidelines on disclosure requirements under Part Eight of Regulation
(EU) No 575/2013 (Template EU LI3).
Footnotes:
Entity fully consolidated under the regulatory scope.
Entity neither consolidated nor deducted under the regulatory scope.
Entity under the regulatory scope deducted from own funds according to Articles 36 and 48 CRR.
Controlled.
Status as shareholder with unlimited liability pursuant to Section 313 (2) Number 6 HGB.
General Partnership.
Only specified assets and related liabilities (silos) of this entity were consolidated.
Not controlled.
Joint venture.
1
2
3
4
5
6
7
8
9
10 Accounted for at equity due to significant influence.
11 Classified as Structured Entity not to be accounted for at equity under IFRS.
12 Own funds of € 60.2m / Result of € 1.0m (Business Year 2019).
13 Preliminary Own funds of € 7,631.7m / Result of € (0.7)m (Business Year 2020).
14 Classified as Structured Entity not to be consolidated under IFRS.
15 Preliminary Own funds of € 9,970.2m / Result of € 322.3m (Business Year 2020).
16 Not consolidated or accounted for at equity as classified as non-trading financial assets mandatory at fair
value through profit or loss.
17 Own funds of € 0.4m / Result of € 13.7m (Business Year 2019).
18 Own funds of € 17.2m / Result of € 0.8m (Business Year 2019).
19 Entity proportionally consolidated under the regulatory scope.
371
Deutsche Bank
Annual Report 2020
Additional notes
44 – Shareholdings
Subsidiaries
Serial
No.
1
2
Name of company
Deutsche Bank Aktiengesellschaft
ABFS I Incorporated
Domicile of
company
Foot-
note
Frankfurt am Main
Lutherville-Timo-
nium
Nature of activity
Credit Institution
1 Financial Institution
Share
of
Capital
in %
100.0
3
4
5
6
7
8
9
10
11
12
13
14
15
16
17
18
19
20
21
22
23
24
25
26
27
28
29
30
31
32
33
34
35
36
37
38
39
40
41
42
43
44
45
46
47
48
49
50
51
52
53
54
55
56
57
ABS MB Ltd.
Lutherville-Timo-
1 Financial Institution
100.0
nium
Alex. Brown Financial Services Incorporated
Lutherville-Timo-
1 Financial Institution
100.0
Alex. Brown Investments Incorporated
Alfred Herrhausen Gesellschaft mbH
Ambidexter GmbH i.L.
Argent Incorporated
Baincor Nominees Pty Limited
Bainpro Nominees Pty Ltd
Baldur Mortgages Limited
Bankers Trust Investments Limited (in members' voluntary liquida-
tion)
Bayan Delinquent Loan Recovery 1 (SPV-AMC), Inc.
Betriebs-Center für Banken AG
BHW - Gesellschaft für Wohnungswirtschaft mbH
BHW Bausparkasse Aktiengesellschaft
BHW Holding GmbH
Biomass Holdings S.à r.l.
Blue Cork, Inc.
BNA Nominees Pty Limited
Borfield Sociedad Anonima
Breaking Wave DB Limited
BT Globenet Nominees Limited
BTD Nominees Pty Limited
Cape Acquisition Corp.
CapeSuccess Inc.
CapeSuccess LLC
Cardales UK Limited (in members' voluntary liquidation)
Cardea Real Estate S.r.l.
Career Blazers LLC
Career Blazers Management Company, Inc.
Career Blazers Personnel Services, Inc.
Caribbean Resort Holdings, Inc.
Cathay Advisory (Beijing) Co., Ltd.
Cathay Asset Management Company Limited
Cathay Capital Company (No 2) Limited
Cedar (Luxembourg) S.à r.l.
China Recovery Fund, LLC
Cinda - DB NPL Securitization Trust 2003-1
Consumo Srl in Liquidazione
Cyrus J. Lawrence Capital Holdings, Inc.
D B Investments (GB) Limited
D&M Turnaround Partners Godo Kaisha
D.B. International Delaware, Inc.
DB (Barbados) SRL
DB (Malaysia) Nominee (Asing) Sdn. Bhd.
DB (Malaysia) Nominee (Tempatan) Sendirian Berhad
DB (Pacific) Limited, New York
DB Abalone LLC
DB Alex. Brown Holdings Incorporated
DB Alps Corporation
DB Aotearoa Investments Limited
DB Asset Finance II S.à r.l.
DB Beteiligungs-Holding GmbH
DB Boracay LLC
DB Capital Investments Sàrl
DB Capital Markets (Deutschland) GmbH
nium
Lutherville-Timo-
nium
Berlin
Frankfurt
Lutherville-Timo-
nium
Sydney
Sydney
London
London
Makati City
Frankfurt
Hameln
Hameln
Hameln
Luxembourg
Wilmington
Sydney
Montevideo
London
London
Sydney
Wilmington
Wilmington
Wilmington
London
Milan
Wilmington
Albany
Albany
New York
Beijing
Ebène
Ebène
Luxembourg
Wilmington
Wilmington
Milan
Wilmington
London
Tokyo
Wilmington
Christ Church
Kuala Lumpur
Kuala Lumpur
New York
Wilmington
Wilmington
Wilmington
George Town
Luxembourg
Frankfurt
Wilmington
Luxembourg
Frankfurt
1 Financial Institution
100.0
2 Other Enterprise
1 Payment Institution
1 Financial Institution
2 Other Enterprise
1 Ancillary Services Undertaking
1 Financial Institution
2 Other Enterprise
1 Financial Institution
1 Ancillary Services Undertaking
1 Financial Institution
1 Credit Institution
1 Financial Holding Company
1 Financial Institution
1 Ancillary Services Undertaking
1 Ancillary Services Undertaking
2 Other Enterprise
1 Ancillary Services Undertaking
2 Other Enterprise
2 Other Enterprise
3 Financial Institution
3 Ancillary Services Undertaking
3 Financial Institution
2 Other Enterprise
1 Ancillary Services Undertaking
3 Financial Institution
2 Other Enterprise
3 Financial Institution
1, 4 Financial Institution
2 Other Enterprise
1 Financial Institution
1 Financial Institution
2 Other Enterprise
1 Financial Institution
1, 4 Financial Institution
1 Financial Institution
1 Financial Institution
1 Financial Holding Company
1 Financial Institution
1 Ancillary Services Undertaking
1 Ancillary Services Undertaking
2 Other Enterprise
2 Other Enterprise
1 Financial Institution
1 Financial Institution
1 Financial Institution
1 Financial Institution
1 Ancillary Services Undertaking
2 Other Enterprise
1 Financial Institution
1 Financial Institution
2 Other Enterprise
1 Financial Holding Company
100.0
100.0
100.0
100.0
100.0
100.0
100.0
100.0
100.0
100.0
100.0
100.0
100.0
100.0
100.0
100.0
100.0
100.0
100.0
100.0
100.0
82.6
100.0
100.0
100.0
100.0
100.0
0.0
100.0
100.0
67.6
100.0
85.0
10.0
100.0
100.0
100.0
100.0
100.0
100.0
100.0
100.0
100.0
100.0
100.0
100.0
100.0
100.0
100.0
100.0
100.0
100.0
372
Deutsche Bank
Annual Report 2020
Additional notes
44 – Shareholdings
Serial
No.
58
59
60
61
62
63
64
65
66
67
68
69
70
71
72
73
74
75
76
77
78
79
80
81
82
83
84
85
86
87
88
89
90
91
92
93
94
95
96
97
98
99
100
101
102
103
104
105
106
107
108
109
110
111
112
113
114
115
116
117
118
119
120
121
122
123
124
125
Name of company
DB Capital Partners, Inc.
DB Cartera de Inmuebles 1, S.A.U.
DB Chestnut Holdings Limited
DB Commodity Services LLC
DB Corporate Advisory (Malaysia) Sdn. Bhd.
DB Delaware Holdings (Europe) Limited
DB Direkt GmbH
DB Elara LLC
DB Energy Trading LLC
DB Enfield Infrastructure Holdings Limited (in liquidation)
DB Equipment Leasing, Inc.
DB Equity Limited
DB Finance (Delaware), LLC
DB Global Technology SRL
DB Global Technology, Inc.
DB Group Services (UK) Limited
DB Holdings (New York), Inc.
DB HR Solutions GmbH
DB Immobilienfonds 5 Wieland KG
DB Impact Investment Fund I, L.P.
DB Industrial Holdings Beteiligungs GmbH & Co. KG
DB Industrial Holdings GmbH
DB Intermezzo LLC
DB International (Asia) Limited
DB International Investments Limited
DB International Trust (Singapore) Limited
DB Investment Managers, Inc.
DB Investment Partners, Inc.
DB Investment Resources (US) Corporation
DB Investment Resources Holdings Corp.
DB Investment Services GmbH
DB Io LP
DB IROC Leasing Corp.
DB London (Investor Services) Nominees Limited
DB Management Support GmbH
DB Nominees (Hong Kong) Limited
DB Nominees (Singapore) Pte Ltd
DB Omega BTV S.C.S.
DB Omega Holdings LLC
DB Omega Ltd.
DB Omega S.C.S.
DB Operaciones y Servicios Interactivos Agrupación de Interés
Económico
DB Overseas Finance Delaware, Inc.
DB Overseas Holdings Limited
DB Print GmbH
DB Private Clients Corp.
DB Private Wealth Mortgage Ltd.
DB Re S.A.
DB Service Centre Limited
DB Service Uruguay S.A.
DB Services Americas, Inc.
DB Servizi Amministrativi S.r.l.
DB Strategic Advisors, Inc.
DB Structured Derivative Products, LLC
DB Structured Products, Inc.
DB Trustee Services Limited
DB Trustees (Hong Kong) Limited
DB U.S. Financial Markets Holding Corporation
DB UK Bank Limited
DB UK Holdings Limited
DB UK PCAM Holdings Limited
DB USA Core Corporation
DB USA Corporation
DB Valoren S.à r.l.
DB Value S.à r.l.
DB VersicherungsManager GmbH
DB Vita S.A.
DBAH Capital, LLC
Domicile of
company
Wilmington
Pozuelo de Alarcón
George Town
Wilmington
Kuala Lumpur
George Town
Frankfurt
Wilmington
Wilmington
St. Helier
New York
London
Wilmington
Bucharest
Wilmington
London
New York
Eschborn
Frankfurt
Edinburgh
Luetzen
Luetzen
Wilmington
Singapore
London
Singapore
Wilmington
Wilmington
Wilmington
Wilmington
Frankfurt
Wilmington
New York
London
Frankfurt
Hong Kong
Singapore
Luxembourg
Wilmington
George Town
Luxembourg
Madrid
Foot-
note
Nature of activity
1 Financial Institution
1 Ancillary Services Undertaking
1 Ancillary Services Undertaking
1 Ancillary Services Undertaking
1 Financial Institution
1 Financial Institution
1 Ancillary Services Undertaking
1 Financial Institution
1 Ancillary Services Undertaking
1 Financial Institution
1 Financial Institution
1 Financial Institution
1 Financial Institution
1 Ancillary Services Undertaking
1 Ancillary Services Undertaking
1 Ancillary Services Undertaking
1 Financial Institution
1 Ancillary Services Undertaking
2 Other Enterprise
1, 5 Financial Institution
1, 5 Financial Institution
1 Financial Institution
1 Financial Institution
1 Credit Institution
1 Financial Institution
2 Other Enterprise
1 Financial Institution
1 Financial Institution
1 Financial Institution
1 Financial Institution
1 Ancillary Services Undertaking
1, 5 Financial Institution
1 Financial Institution
1 Financial Institution
3 Ancillary Services Undertaking
3 Ancillary Services Undertaking
2 Other Enterprise
1, 5 Financial Institution
1 Financial Institution
1 Financial Institution
1, 5 Financial Institution
Wilmington
London
Frankfurt
Wilmington
New York
Luxembourg
Dublin
Montevideo
Wilmington
Milan
Makati City
Wilmington
Wilmington
London
Hong Kong
Wilmington
London
London
London
West Trenton
Wilmington
Luxembourg
Luxembourg
Frankfurt
Luxembourg
Wilmington
1 Ancillary Services Undertaking
1 Financial Institution
1 Financial Institution
1 Ancillary Services Undertaking
1 Financial Institution
1 Financial Institution
3 Reinsurance Undertaking
1 Ancillary Services Undertaking
1 Financial Institution
1 Ancillary Services Undertaking
1 Ancillary Services Undertaking
1 Ancillary Services Undertaking
1 Ancillary Services Undertaking
1 Financial Institution
2 Other Enterprise
2 Other Enterprise
1 Financial Holding Company
1 Credit Institution
1 Financial Institution
1 Financial Institution
1 Ancillary Services Undertaking
1 Financial Institution
1 Financial Holding Company
1 Financial Institution
2 Other Enterprise
3 Insurance Undertaking
1 Financial Institution
Share
of
Capital
in %
100.0
100.0
100.0
100.0
100.0
100.0
100.0
100.0
100.0
100.0
100.0
100.0
100.0
100.0
100.0
100.0
100.0
100.0
93.6
100.0
100.0
100.0
100.0
100.0
100.0
100.0
100.0
100.0
100.0
100.0
100.0
100.0
100.0
100.0
100.0
100.0
100.0
100.0
100.0
100.0
100.0
99.9
100.0
100.0
100.0
100.0
100.0
100.0
100.0
100.0
100.0
100.0
100.0
100.0
100.0
100.0
100.0
100.0
100.0
100.0
100.0
100.0
100.0
100.0
100.0
100.0
75.0
100.0
373
Deutsche Bank
Annual Report 2020
Additional notes
44 – Shareholdings
Serial
No.
126
127
128
129
130
131
132
133
Name of company
DBCIBZ1
DBCIBZ2
DBFIC, Inc.
DBNZ Overseas Investments (No.1) Limited
DBOI Global Services (UK) Limited
DBOI Global Services Private Limited
DBR Investments Co. Limited
DBRE Global Real Estate Management IA, Ltd. (in voluntary liqui-
dation)
DBRE Global Real Estate Management IB, Ltd.
DBRMS4
DBRMSGP1
DBUK PCAM Limited
DBUKH No. 2 Limited (in members' voluntary liquidation)
DBUSBZ1, LLC
DBUSBZ2, S.à r.l.
DBX Advisors LLC
DBX Strategic Advisors LLC
DEBEKO Immobilien GmbH & Co Grundbesitz OHG
DEE Deutsche Erneuerbare Energien GmbH
Delowrezham de México S. de R.L. de C.V.
DEUKONA Versicherungs-Vermittlungs-GmbH
Deutsche (Aotearoa) Capital Holdings New Zealand
Deutsche (Aotearoa) Foreign Investments New Zealand
Deutsche (New Munster) Holdings New Zealand Limited
Deutsche Access Investments Limited
Deutsche Aeolia Power Production Société Anonyme
Deutsche Alt-A Securities, Inc.
Deutsche Alternative Asset Management (UK) Limited
Deutsche Asia Pacific Holdings Pte Ltd
Deutsche Asset Management (India) Private Limited
Deutsche Australia Limited
Deutsche Bank (Cayman) Limited
Deutsche Bank (China) Co., Ltd.
Deutsche Bank (Malaysia) Berhad
Deutsche Bank (Suisse) SA
Deutsche Bank (Uruguay) Sociedad Anónima Institución Finan-
ciera Externa
DEUTSCHE BANK A.S.
Deutsche Bank Americas Holding Corp.
Deutsche Bank Europe GmbH
Deutsche Bank Financial Company
Deutsche Bank Holdings, Inc.
Deutsche Bank Insurance Agency Incorporated
Deutsche Bank International Limited
Deutsche Bank Investments (Guernsey) Limited
Deutsche Bank Luxembourg S.A.
Deutsche Bank Mutui S.p.A.
Deutsche Bank México, S.A., Institución de Banca Múltiple
Deutsche Bank National Trust Company
Deutsche Bank Nominees (Jersey) Limited
Deutsche Bank Polska Spólka Akcyjna
Deutsche Bank Representative Office Nigeria Limited
Deutsche Bank S.A. - Banco Alemão
Deutsche Bank Securities Inc.
Deutsche Bank Securities Limited
Deutsche Bank Services (Jersey) Limited
Deutsche Bank Società per Azioni
Deutsche Bank Trust Company Americas
Deutsche Bank Trust Company Delaware
Deutsche Bank Trust Company, National Association
Deutsche Bank Trust Corporation
Deutsche Bank, Sociedad Anónima Española
Deutsche Capital Finance (2000) Limited
Deutsche Capital Hong Kong Limited
Deutsche Capital Markets Australia Limited
Deutsche Capital Partners China Limited
Deutsche Cayman Ltd.
134
135
136
137
138
139
140
141
142
143
144
145
146
147
148
149
150
151
152
153
154
155
156
157
158
159
160
161
162
163
164
165
166
167
168
169
170
171
172
173
174
175
176
177
178
179
180
181
182
183
184
185
186
187
188
189
190
191
Domicile of
company
George Town
George Town
Wilmington
George Town
London
Mumbai
George Town
George Town
George Town
George Town
George Town
London
London
Wilmington
Luxembourg
Wilmington
Wilmington
Eschborn
Frankfurt
Mexico City
Frankfurt
Auckland
Auckland
Auckland
Sydney
Athens
Wilmington
London
Singapore
Mumbai
Sydney
George Town
Beijing
Kuala Lumpur
Geneva
Montevideo
Foot-
note
Nature of activity
1 Financial Institution
1 Financial Institution
1 Financial Institution
1 Financial Institution
1 Ancillary Services Undertaking
1 Ancillary Services Undertaking
1 Financial Institution
1 Asset Management Company
1 Asset Management Company
1, 5, 6 Financial Institution
1, 5, 6 Financial Institution
1 Financial Holding Company
1, 4 Financial Institution
2 Other Enterprise
1 Financial Institution
1 Investment Firm
1 Investment Firm
1, 5 Ancillary Services Undertaking
1 Financial Institution
1 Financial Institution
1 Ancillary Services Undertaking
1 Financial Institution
1 Financial Institution
1 Financial Institution
1 Ancillary Services Undertaking
2 Other Enterprise
3 Financial Institution
1 Asset Management Company
1 Financial Holding Company
1 Ancillary Services Undertaking
1 Financial Institution
2 Other Enterprise
1 Credit Institution
1 Credit Institution
1 Credit Institution
1 Credit Institution
Istanbul
Wilmington
Frankfurt
George Town
Wilmington
Lutherville-Timo-
1 Credit Institution
1 Financial Holding Company
1 Credit Institution
1 Financial Institution
1 Financial Institution
2 Other Enterprise
nium
St. Helier
St. Peter Port
Luxembourg
Milan
Mexico City
Los Angeles
St. Helier
Warsaw
Lagos
Sao Paulo
Wilmington
Toronto
St. Helier
Milan
New York
Wilmington
New York
New York
Madrid
George Town
Hong Kong
Sydney
George Town
George Town
1 Credit Institution
2 Other Enterprise
1 Credit Institution
1 Financial Institution
1 Credit Institution
1 Financial Institution
2 Other Enterprise
1 Credit Institution
3 Ancillary Services Undertaking
1 Credit Institution
1 Investment Firm
1 Investment Firm
1 Ancillary Services Undertaking
1 Credit Institution
1 Credit Institution
1 Credit Institution
1 Financial Institution
1 Financial Holding Company
1 Credit Institution
1 Financial Institution
1 Financial Institution
1 Investment Firm
1 Financial Institution
2 Other Enterprise
Share
of
Capital
in %
100.0
100.0
100.0
100.0
100.0
100.0
100.0
100.0
100.0
100.0
100.0
100.0
0.0
100.0
100.0
100.0
100.0
100.0
100.0
100.0
100.0
100.0
100.0
100.0
100.0
95.6
100.0
100.0
100.0
100.0
100.0
100.0
100.0
100.0
100.0
100.0
100.0
100.0
100.0
100.0
100.0
100.0
100.0
100.0
100.0
100.0
100.0
100.0
100.0
100.0
100.0
100.0
100.0
100.0
100.0
99.9
100.0
100.0
100.0
100.0
99.8
100.0
100.0
100.0
100.0
100.0
374
Deutsche Bank
Annual Report 2020
Additional notes
44 – Shareholdings
Serial
No.
192
193
194
195
196
197
198
Name of company
Deutsche CIB Centre Private Limited
Deutsche Custody N.V.
Deutsche Domus New Zealand Limited
Deutsche Equities India Private Limited
Deutsche Finance No. 2 Limited
Deutsche Foras New Zealand Limited
Deutsche Gesellschaft für Immobilien-Leasing mit beschränkter
Domicile of
company
Mumbai
Amsterdam
Auckland
Mumbai
George Town
Auckland
Duesseldorf
Haftung
199
200
201
202
203
Deutsche Global Markets Limited
Deutsche Group Holdings (SA) Proprietary Limited
Deutsche Group Services Pty Limited
Deutsche Grundbesitz Beteiligungsgesellschaft mbH i.L.
Deutsche Grundbesitz-Anlagegesellschaft mit beschränkter Haf-
Tel Aviv
Johannesburg
Sydney
Eschborn
Frankfurt
tung
Foot-
note
Nature of activity
1 Ancillary Services Undertaking
3 Financial Institution
1 Financial Institution
1 Securities Trading Firm
1 Financial Institution
1 Financial Institution
3 Financial Institution
1 Ancillary Services Undertaking
1 Financial Institution
1 Ancillary Services Undertaking
3 Financial Institution
2 Other Enterprise
Share
of
Capital
in %
100.0
100.0
100.0
100.0
100.0
100.0
100.0
100.0
100.0
100.0
100.0
99.8
204
Deutsche Holdings (BTI) Limited (in members' voluntary liquida-
London
1 Financial Institution
100.0
tion)
Deutsche Holdings (Grand Duchy)
Deutsche Holdings (Luxembourg) S.à r.l.
Deutsche Holdings Limited
Deutsche Holdings No. 2 Limited
Deutsche Holdings No. 3 Limited
Deutsche Holdings No. 4 Limited
Deutsche Immobilien Leasing GmbH
Deutsche India Holdings Private Limited
Deutsche International Corporate Services (Ireland) Limited
Deutsche International Corporate Services Limited
Deutsche International Custodial Services Limited
Deutsche Investments (Netherlands) N.V.
Deutsche Investments India Private Limited
Deutsche Investor Services Private Limited
Deutsche Knowledge Services Pte. Ltd.
Deutsche Leasing New York Corp.
Deutsche Mandatos S.A.
Deutsche Master Funding Corporation
Deutsche Mexico Holdings S.à r.l.
Deutsche Morgan Grenfell Group Limited
Deutsche Mortgage & Asset Receiving Corporation
Deutsche Mortgage Securities, Inc.
Deutsche Nederland N.V.
Deutsche New Zealand Limited
Deutsche Nominees Limited
Deutsche Oppenheim Family Office AG
Deutsche Overseas Issuance New Zealand Limited
Deutsche Postbank Finance Center Objekt GmbH
Deutsche Private Asset Management Limited
Deutsche Securities (India) Private Limited
Deutsche Securities (Proprietary) Limited
Deutsche Securities (SA) (Proprietary) Limited
Deutsche Securities Asia Limited
Deutsche Securities Australia Limited
Deutsche Securities Inc.
Deutsche Securities Israel Ltd.
Deutsche Securities Korea Co.
Deutsche Securities Mauritius Limited
Deutsche Securities S.A.
Deutsche Securities Saudi Arabia (a closed joint stock company)
Deutsche Securities, S.A. de C.V., Casa de Bolsa
Deutsche Services Polska Sp. z o.o.
Deutsche StiftungsTrust GmbH
Deutsche Strategic Investment Holdings Yugen Kaisha
Deutsche Trustee Company Limited
Deutsche Trustee Services (India) Private Limited
Deutsche Trustees Malaysia Berhad
Deutsche Wealth Management S.G.I.I.C., S.A.
Deutsches Institut für Altersvorsorge GmbH
DI Deutsche Immobilien Treuhandgesellschaft mbH
DISCA Beteiligungsgesellschaft mbH
DNU Nominees Pty Limited
DTS Nominees Pty Limited
Luxembourg
Luxembourg
London
London
London
London
Duesseldorf
Mumbai
Dublin
St. Helier
St. Helier
Amsterdam
Mumbai
Mumbai
Singapore
New York
Buenos Aires
Wilmington
Luxembourg
London
Wilmington
Wilmington
Amsterdam
Auckland
London
Cologne
Auckland
Schuettringen
London
New Delhi
Johannesburg
Johannesburg
Hong Kong
Sydney
Tokyo
Tel Aviv
Seoul
Ebène
Buenos Aires
Riyadh
Mexico City
Warsaw
Frankfurt
Tokyo
London
Mumbai
Kuala Lumpur
Madrid
Frankfurt
Frankfurt
Duesseldorf
Sydney
Sydney
205
206
207
208
209
210
211
212
213
214
215
216
217
218
219
220
221
222
223
224
225
226
227
228
229
230
231
232
233
234
235
236
237
238
239
240
241
242
243
244
245
246
247
248
249
250
251
252
253
254
255
256
257
1 Financial Holding Company
1 Financial Holding Company
1 Financial Holding Company
1 Financial Institution
1 Financial Institution
1 Financial Institution
1 Financial Institution
1 Financial Holding Company
1 Financial Institution
2 Other Enterprise
2 Other Enterprise
1 Financial Institution
1 Financial Institution
2 Other Enterprise
1 Ancillary Services Undertaking
1 Ancillary Services Undertaking
1 Financial Institution
1 Financial Institution
1 Financial Holding Company
1 Financial Institution
1 Ancillary Services Undertaking
3 Financial Institution
1 Ancillary Services Undertaking
1 Financial Institution
1 Financial Institution
1 Credit Institution
1 Ancillary Services Undertaking
1 Ancillary Services Undertaking
2 Other Enterprise
1 Securities Trading Firm
1 Financial Institution
1 Financial Institution
1 Investment Firm
1 Investment Firm
1 Investment Firm
1 Financial Institution
1 Investment Firm
1 Securities Trading Firm
1 Securities Trading Firm
1 Investment Firm
1 Investment Firm
1 Ancillary Services Undertaking
2 Other Enterprise
1 Financial Institution
2 Other Enterprise
2 Other Enterprise
2 Other Enterprise
1 Asset Management Company
2 Other Enterprise
2 Other Enterprise
1 Financial Institution
1 Ancillary Services Undertaking
2 Other Enterprise
100.0
100.0
100.0
100.0
100.0
100.0
100.0
100.0
100.0
100.0
100.0
100.0
100.0
100.0
100.0
100.0
100.0
100.0
100.0
100.0
100.0
100.0
100.0
100.0
100.0
100.0
100.0
100.0
100.0
100.0
100.0
100.0
100.0
100.0
100.0
100.0
100.0
100.0
100.0
100.0
100.0
100.0
100.0
100.0
100.0
100.0
100.0
100.0
78.0
100.0
100.0
100.0
100.0
375
Deutsche Bank
Annual Report 2020
Additional notes
44 – Shareholdings
Serial
No.
258
259
260
261
262
263
264
265
266
267
268
269
270
271
272
273
274
275
276
277
278
279
280
281
282
283
284
285
286
287
288
289
290
291
Name of company
Durian (Luxembourg) S.à r.l.
DWS Alternatives France
DWS Alternatives Global Limited
DWS Alternatives GmbH
DWS Asset Management (Korea) Company Limited
DWS Beteiligungs GmbH
DWS CH AG
DWS Distributors, Inc.
DWS Far Eastern Investments Limited
DWS Group GmbH & Co. KGaA
DWS Group Services UK Limited
DWS Grundbesitz GmbH
DWS International GmbH
DWS Investment GmbH
DWS Investment Management Americas, Inc.
DWS Investment S.A.
DWS Investments Australia Limited
DWS Investments Hong Kong Limited
DWS Investments Japan Limited
DWS Investments Shanghai Limited
DWS Investments Singapore Limited
DWS Investments UK Limited
DWS Management GmbH
DWS Real Estate GmbH
DWS Service Company
DWS Trust Company
DWS USA Corporation
EC EUROPA IMMOBILIEN FONDS NR. 3 GmbH & CO. KG i.I.
Elizabethan Holdings Limited
Elizabethan Management Limited
European Value Added I (Alternate G.P.) LLP
Fiduciaria Sant' Andrea S.r.l.
Finanzberatungsgesellschaft mbH der Deutschen Bank
Franz Urbig- und Oscar Schlitter-Stiftung Gesellschaft mit be-
schränkter Haftung
Domicile of
company
Luxembourg
Paris
London
Frankfurt
Seoul
Frankfurt
Zurich
Wilmington
Taipei
Frankfurt
London
Frankfurt
Frankfurt
Frankfurt
Wilmington
Luxembourg
Sydney
Hong Kong
Tokyo
Shanghai
Singapore
London
Frankfurt
Frankfurt
Wilmington
Concord
Wilmington
Hamburg
George Town
George Town
London
Milan
Berlin
Frankfurt
Foot-
note
Nature of activity
2 Other Enterprise
2 Other Enterprise
1 Asset Management Company
1 Asset Management Company
1 Asset Management Company
1 Financial Institution
1 Investment Firm
1 Investment Firm
1 Securities Trading Firm
1, 5 Financial Holding Company
1 Ancillary Services Undertaking
1 Asset Management Company
1 Investment Firm
1 Asset Management Company
1 Financial Institution
1 Asset Management Company
1 Investment Firm
1 Investment Firm
1 Investment Firm
1 Investment Firm
1 Investment Firm
1 Asset Management Company
1 Financial Institution
1 Financial Institution
1 Ancillary Services Undertaking
1 Investment Firm
1 Financial Holding Company
2 Other Enterprise
3 Financial Institution
2 Other Enterprise
1 Financial Institution
2 Other Enterprise
3 Ancillary Services Undertaking
3 Ancillary Services Undertaking
292
Fünfte SAB Treuhand und Verwaltung GmbH & Co. Suhl "Rim-
Bad Homburg
2 Other Enterprise
293
294
295
296
297
298
299
300
bachzentrum" KG
G Finance Holding Corp.
G918 Corp.
German American Capital Corporation
Wilmington
Wilmington
Lutherville-Timo-
nium
1 Financial Institution
1 Financial Institution
1 Financial Institution
New York
Greenwood Properties Corp.
Grundstücksgesellschaft Frankfurt Bockenheimer Landstraße GbR Troisdorf
Troisdorf
Grundstücksgesellschaft Kerpen-Sindorf Vogelrutherfeld GbR
Troisdorf
Grundstücksgesellschaft Leipzig Petersstraße GbR
Troisdorf
Grundstücksgesellschaft Wiesbaden Luisenstraße/Kirchgasse
1, 4 Financial Institution
2, 5 Other Enterprise
2, 4 Other Enterprise
2, 4, 5 Other Enterprise
2, 5 Other Enterprise
GbR
301
Immobilienfonds Büro-Center Erfurt am Flughafen Bindersleben I
Troisdorf
2, 4 Other Enterprise
GbR
302
Immobilienfonds Büro-Center Erfurt am Flughafen Bindersleben II
Troisdorf
2, 4, 5 Other Enterprise
GbR
303
304
Immobilienfonds Mietwohnhäuser Quadrath-Ichendorf GbR
Immobilienfonds Wohn- und Geschäftshaus Köln-Blumenberg V
Troisdorf
Troisdorf
2, 4 Other Enterprise
2, 4 Other Enterprise
GbR
305
306
307
308
309
310
311
312
313
314
315
316
317
318
319
ISTRON Beteiligungs- und Verwaltungs-GmbH
IVAF I Manager, S.à r.l.
J R Nominees (Pty) Ltd
Joint Stock Company Deutsche Bank DBU
Jyogashima Godo Kaisha
KEBA Gesellschaft für interne Services mbH
Kidson Pte Ltd
Konsul Inkasso GmbH
LA Water Holdings Limited
LAWL Pte. Ltd.
Leasing Verwaltungsgesellschaft Waltersdorf mbH
Leonardo III Initial GP Limited
Maher Terminals Holdings (Toronto) Limited
MEF I Manager, S. à r.l.
MIT Holdings, Inc.
Cologne
Luxembourg
Johannesburg
Kiev
Tokyo
Frankfurt
Singapore
Essen
George Town
Singapore
Schoenefeld
London
Vancouver
Luxembourg
Baltimore
1 Financial Institution
1 Financial Institution
2 Other Enterprise
1 Credit Institution
1 Financial Institution
1 Ancillary Services Undertaking
1 Financial Institution
1 Ancillary Services Undertaking
1 Financial Institution
1 Financial Institution
1 Financial Institution
3 Financial Institution
1 Financial Institution
1 Financial Institution
1 Financial Institution
Share
of
Capital
in %
100.0
100.0
100.0
100.0
100.0
98.9
100.0
100.0
60.0
79.5
100.0
99.9
100.0
100.0
100.0
100.0
100.0
100.0
100.0
100.0
100.0
100.0
100.0
99.9
100.0
100.0
100.0
65.2
100.0
100.0
100.0
100.0
100.0
100.0
74.9
100.0
100.0
100.0
0.0
94.9
0.0
36.1
64.7
0.0
50.0
0.0
0.0
100.0
100.0
100.0
100.0
100.0
100.0
100.0
100.0
75.0
100.0
100.0
100.0
100.0
100.0
100.0
376
Deutsche Bank
Annual Report 2020
Additional notes
44 – Shareholdings
Name of company
MortgageIT Securities Corp.
MortgageIT, Inc.
norisbank GmbH
OOO "Deutsche Bank TechCentre"
OOO "Deutsche Bank"
OPB Verwaltungs- und Beteiligungs-GmbH
OPB Verwaltungs- und Treuhand GmbH
OPB-Nona GmbH
OPB-Oktava GmbH
OPB-Quarta GmbH
OPB-Septima GmbH
OPPENHEIM Capital Advisory GmbH
OPPENHEIM PRIVATE EQUITY Manager GmbH
OPPENHEIM PRIVATE EQUITY Verwaltungsgesellschaft mbH
OPS Nominees Pty Limited
OVV Beteiligungs GmbH
PADUS Grundstücks-Vermietungsgesellschaft mbH
Pan Australian Nominees Pty Ltd
PB Factoring GmbH
PB Firmenkunden AG
PB Spezial-Investmentaktiengesellschaft mit Teilgesellschaftsver-
mögen
Domicile of
company
Wilmington
New York
Bonn
Moscow
Moscow
Cologne
Cologne
Frankfurt
Cologne
Cologne
Cologne
Cologne
Cologne
Cologne
Sydney
Cologne
Duesseldorf
Sydney
Bonn
Bonn
Bonn
PCC Services GmbH der Deutschen Bank
Plantation Bay, Inc.
Postbank Akademie und Service GmbH
Postbank Beteiligungen GmbH
Postbank Direkt GmbH
Postbank Filialvertrieb AG
Postbank Finanzberatung AG
Postbank Immobilien GmbH
Postbank Immobilien und Baumanagement GmbH
Postbank Leasing GmbH
PT Deutsche Sekuritas Indonesia
R.B.M. Nominees Pty Ltd
REO Properties Corporation
RoPro U.S. Holding, Inc.
Route 28 Receivables, LLC
RREEF America L.L.C.
RREEF China REIT Management Limited
RREEF European Value Added I (G.P.) Limited
RREEF Fund Holding Co.
RREEF India Advisors Private Limited
RREEF Management L.L.C.
RTS Nominees Pty Limited
SAB Real Estate Verwaltungs GmbH
SAGITA Grundstücks-Vermietungsgesellschaft mbH
Sal. Oppenheim jr. & Cie. Beteiligungs GmbH
SAPIO Grundstücks-Vermietungsgesellschaft mbH
Sechste Salomon Beteiligungs- und Verwaltungsgesellschaft mbH
Essen
St. Thomas
Hameln
Bonn
Bonn
Bonn
Hameln
Hameln
Bonn
Bonn
Jakarta
Sydney
Wilmington
Wilmington
Wilmington
Wilmington
Hong Kong
London
George Town
Mumbai
Wilmington
Sydney
Hameln
Duesseldorf
Cologne
Duesseldorf
Cologne
i.L.
Service Company Four Limited
Sharps SP I LLC
Stelvio Immobiliare S.r.l.
Structured Finance Americas, LLC
Süddeutsche Vermögensverwaltung Gesellschaft mit beschränkter
Hong Kong
Wilmington
Bolzano
Wilmington
Frankfurt
Haftung
Foot-
note
Nature of activity
1 Ancillary Services Undertaking
1 Financial Institution
1 Credit Institution
1 Ancillary Services Undertaking
1 Credit Institution
3 Financial Institution
1 Financial Institution
1 Financial Institution
3 Financial Institution
3 Financial Institution
3 Financial Institution
1 Financial Institution
3 Financial Institution
3 Financial Institution
2 Other Enterprise
3 Financial Institution
1 Financial Institution
1 Ancillary Services Undertaking
1 Financial Institution
1 Ancillary Services Undertaking
1, 4 Ancillary Services Undertaking
1 Ancillary Services Undertaking
2 Other Enterprise
2 Other Enterprise
1 Financial Institution
1 Financial Institution
1 Financial Institution
2 Other Enterprise
2 Other Enterprise
1 Financial Institution
1 Financial Institution
1 Investment Firm
1 Ancillary Services Undertaking
1 Ancillary Services Undertaking
1 Financial Institution
1 Financial Institution
1 Financial Institution
2 Other Enterprise
1 Financial Institution
1 Financial Institution
2 Other Enterprise
2 Other Enterprise
2 Other Enterprise
3 Financial Institution
1 Financial Institution
1 Financial Institution
1 Financial Institution
1, 4 Financial Institution
2 Other Enterprise
1 Financial Institution
2 Other Enterprise
1 Investment Firm
1 Financial Institution
Tasfiye Halinde Deutsche Securities Menkul Degerler A.S.
TELO Beteiligungsgesellschaft mbH
Tempurrite Leasing Limited
Thai Asset Enforcement and Recovery Asset Management Com-
Istanbul
Schoenefeld
London
Bangkok
1 Securities Trading Firm
1 Financial Institution
1 Financial Institution
1 Financial Institution
pany Limited
Treuinvest Service GmbH
Triplereason Limited
Ullmann - Esch Grundstücksgesellschaft Kirchnerstraße GbR
Ullmann - Esch Grundstücksverwaltungsgesellschaft Disternich
Frankfurt
London
Troisdorf
Troisdorf
2 Other Enterprise
1 Financial Institution
2, 4 Other Enterprise
2, 4 Other Enterprise
Share
of
Capital
in %
100.0
100.0
100.0
100.0
100.0
100.0
100.0
100.0
100.0
100.0
100.0
100.0
100.0
100.0
100.0
100.0
100.0
100.0
100.0
100.0
2.4
100.0
100.0
100.0
100.0
100.0
100.0
100.0
100.0
100.0
100.0
99.0
100.0
100.0
100.0
100.0
100.0
100.0
100.0
100.0
100.0
100.0
100.0
100.0
100.0
100.0
100.0
0.0
100.0
100.0
100.0
100.0
100.0
100.0
100.0
100.0
100.0
100.0
100.0
0.0
0.0
GbR
Vesta Real Estate S.r.l.
VÖB-ZVD Processing GmbH
Wealthspur Investment Ltd.
Milan
Bonn
Labuan
1 Ancillary Services Undertaking
1 Payment Institution
3 Financial Institution
100.0
100.0
100.0
Serial
No.
320
321
322
323
324
325
326
327
328
329
330
331
332
333
334
335
336
337
338
339
340
341
342
343
344
345
346
347
348
349
350
351
352
353
354
355
356
357
358
359
360
361
362
363
364
365
366
367
368
369
370
371
372
373
374
375
376
377
378
379
380
381
382
383
377
Deutsche Bank
Annual Report 2020
Additional notes
44 – Shareholdings
Serial
No.
384
385
386
Name of company
WEPLA Beteiligungsgesellschaft mbH
Whale Holdings S.à r.l., en liquidation volontaire
World Trading (Delaware) Inc.
Domicile of
company
Frankfurt
Luxembourg
Wilmington
Foot-
note
Nature of activity
1 Financial Institution
1 Financial Institution
1 Financial Institution
Share
of
Capital
in %
100.0
100.0
100.0
378
Deutsche Bank
Annual Report 2020
Additional notes
44 – Shareholdings
Consolidated structured entities
Serial
No.
387
388
389
390
391
392
393
394
395
396
397
398
399
400
401
402
403
404
405
406
407
408
409
410
411
412
413
414
415
416
417
418
419
420
421
422
423
424
425
426
427
428
429
430
431
432
433
434
435
436
437
438
439
440
441
442
443
444
445
446
Name of company
Alguer Inversiones Designated Activity Company
Alixville Invest, S.L.
Altersvorsorge Fonds Hamburg Alter Wall Dr. Juncker KG
Amber Investments S.à r.l.
Asset Repackaging Trust Five B.V.
Atena SPV S.r.l.
Atlas Investment Company 1 S.à r.l.
Atlas Investment Company 2 S.à r.l.
Atlas Investment Company 3 S.à r.l.
Atlas Investment Company 4 S.à r.l.
Atlas Portfolio Select SPC
Atlas SICAV - FIS
Axia Insurance, Ltd.
Carpathian Investments Designated Activity Company
Cathay Capital (Labuan) Company Limited
Cathay Capital Company Limited
Cathay Strategic Investment Company Limited
Cathay Strategic Investment Company No. 2 Limited
Cayman Reference Fund Holdings Limited
Ceto S.à r.l.
Charitable Luxembourg Four S.à r.l.
Charitable Luxembourg Three S.à r.l.
Charitable Luxembourg Two S.à r.l.
City Leasing (Thameside) Limited
City Leasing Limited
CLASS Limited
Collins Capital Low Volatility Performance II Special Investments,
Ltd.
Domicile of
company
Dublin
Madrid
Frankfurt
Luxembourg
Amsterdam
Conegliano
Luxembourg
Luxembourg
Luxembourg
Luxembourg
George Town
Luxembourg
Hamilton
Dublin
Labuan
Ebène
Hong Kong
George Town
George Town
Luxembourg
Luxembourg
Luxembourg
Luxembourg
London
London
St. Helier
Road Town
Crofton Invest, S.L.
Danube Properties S.à r.l., en faillite
Dariconic Designated Activity Company
DB Asset Finance I S.à r.l.
DB Aster II, LLC
DB Aster III, LLC
DB Aster, Inc.
DB Aster, LLC
DB Covered Bond S.r.l.
DB Credit Investments S.à r.l.
DB Finance International GmbH
DB Global Markets Multi-Strategy Fund I Ltd.
DB Holding Fundo de Investimento Multimercado Investimento no
Madrid
Luxembourg
Dublin
Luxembourg
Wilmington
Wilmington
Wilmington
Wilmington
Conegliano
Luxembourg
Frankfurt
George Town
Sao Paulo
Exterior Crédito Privado
DB Immobilienfonds 1 Wieland KG
DB Immobilienfonds 2 KG i.L.
DB Immobilienfonds 4 KG i.L.
DB Impact Investment (GP) Limited
DB Litigation Fee LLC
DB Municipal Holdings LLC
db PBC
DB PWM
DB RC Holdings, LLC
DB SPEARs/LIFERs, Series DB-8015 Trust
DB SPEARs/LIFERs, Series DB-8017 Trust
DB SPEARs/LIFERs, Series DB-8018 Trust
DB SPEARs/LIFERs, Series DB-8019 Trust
DB SPEARs/LIFERs, Series DB-8020 Trust
DB SPEARs/LIFERs, Series DB-8028 Trust
DB SPEARs/LIFERs, Series DB-8029 Trust
DB SPEARs/LIFERs, Series DB-8030 Trust
DB SPEARs/LIFERs, Series DB-8031 Trust
DB SPEARs/LIFERs, Series DB-8033 Trust
DB SPEARs/LIFERs, Series DB-8036 Trust
Frankfurt
Frankfurt
Frankfurt
London
Wilmington
Wilmington
Luxembourg
Luxembourg
Wilmington
Wilmington
Wilmington
Wilmington
Wilmington
Wilmington
Wilmington
Wilmington
Wilmington
Wilmington
Wilmington
Wilmington
Foot-
note
Nature of activity
2 Ancillary Services Undertaking
2 Other Enterprise
2 Other Enterprise
1 Ancillary Services Undertaking
2, 7 Other Enterprise
1 Ancillary Services Undertaking
2 Financial Institution
2 Financial Institution
2 Financial Institution
2 Financial Institution
3 Financial Institution
2, 7 Other Enterprise
2, 7 Other Enterprise
1 Financial Institution
2 Other Enterprise
3 Financial Institution
2 Financial Institution
2 Financial Institution
2 Ancillary Services Undertaking
2 Financial Institution
2 Financial Institution
2 Financial Institution
2 Financial Institution
1 Financial Institution
1 Financial Institution
2, 7 Other Enterprise
2 Financial Institution
2 Other Enterprise
2 Other Enterprise
2 Ancillary Services Undertaking
1 Financial Institution
1 Ancillary Services Undertaking
1 Ancillary Services Undertaking
1 Financial Institution
1 Ancillary Services Undertaking
1 Financial Institution
1 Financial Institution
1 Financial Institution
2 Financial Institution
3 Financial Institution
2 Other Enterprise
1 Financial Institution
2 Other Enterprise
1 Financial Institution
1 Financial Institution
1 Ancillary Services Undertaking
2, 7 Other Enterprise
2, 7 Other Enterprise
1 Financial Institution
3 Ancillary Services Undertaking
3 Ancillary Services Undertaking
3 Ancillary Services Undertaking
3 Ancillary Services Undertaking
3 Ancillary Services Undertaking
3 Ancillary Services Undertaking
3 Ancillary Services Undertaking
3 Ancillary Services Undertaking
3 Ancillary Services Undertaking
3 Ancillary Services Undertaking
3 Ancillary Services Undertaking
Share
of
Capital
in %
100.0
60.0
0.0
100.0
9.5
100.0
100.0
25.0
95.0
100.0
100.0
100.0
100.0
90.0
100.0
100.0
0.0
100.0
74.0
0.2
100.0
100.0
100.0
100.0
20.3
15.9
17.8
18.8
19.5
18.3
19.4
17.2
19.4
16.8
18.2
379
Deutsche Bank
Annual Report 2020
Additional notes
44 – Shareholdings
Serial
No.
447
448
449
450
451
452
453
454
455
456
457
458
459
460
461
462
463
464
465
466
467
468
469
470
471
472
473
474
475
476
477
478
479
480
481
482
483
484
485
486
487
488
489
490
491
492
493
494
495
496
497
498
499
500
501
502
503
504
505
506
507
508
509
510
Name of company
DB SPEARs/LIFERs, Series DBE-8022 Trust
DB SPEARs/LIFERs, Series DBE-8032 Trust
DB SPEARs/LIFERs, Series DBE-8034 Trust
DB SPEARs/LIFERs, Series DBE-8052 Trust
DB SPEARs/LIFERs, Series DBE-8054 Trust
DB SPEARs/LIFERs, Series DBE-8055 Trust
DB SPEARs/LIFERs, Series DBE-8056 Trust
DB SPEARs/LIFERs, Series DBE-8057 Trust
DB SPEARs/LIFERs, Series DBE-8058 Trust
DB SPEARs/LIFERs, Series DBE-8059 Trust
DB SPEARs/LIFERs, Series DBE-8060 Trust
DB SPEARs/LIFERs, Series DBE-8061 Trust
DB SPEARs/LIFERs, Series DBE-8062 Trust
DB SPEARs/LIFERs, Series DBE-8063 Trust
DB SPEARs/LIFERs, Series DBE-8064 Trust
DB SPEARs/LIFERs, Series DBE-8065 Trust
DB SPEARs/LIFERs, Series DBE-8066 Trust
DB SPEARs/LIFERs, Series DBE-8067 Trust
DB SPEARs/LIFERs, Series DBE-8068 Trust
DB SPEARs/LIFERs, Series DBE-8069 Trust
DB SPEARs/LIFERs, Series DBE-8070 Trust
DB SPEARs/LIFERs, Series DBE-8071 Trust
DB SPEARs/LIFERs, Series DBE-8072 Trust
DB SPEARs/LIFERs, Series DBE-8073 Trust
DB Structured Finance 1 Designated Activity Company
DB Structured Finance 2 Designated Activity Company
DB Structured Holdings Luxembourg S.à r.l.
DBRE Global Real Estate Management US IB, L.L.C.
DBX ETF Trust
De Heng Asset Management Company Limited
Deloraine Spain, S.L.
Deutsche Bank Capital Finance LLC I
Deutsche Bank Capital Finance Trust I
Deutsche Bank Luxembourg S.A. - Fiduciary Deposits
Deutsche Bank Luxembourg S.A. - Fiduciary Note Programme
Deutsche Bank SPEARs/LIFERs, Series DBE-8011 Trust
Deutsche Colombia S.A.S.
Deutsche Postbank Funding LLC I
Deutsche Postbank Funding LLC II
Deutsche Postbank Funding LLC III
Deutsche Postbank Funding Trust I
Deutsche Postbank Funding Trust II
Deutsche Postbank Funding Trust III
DWS Access S.A.
DWS FlexPension
DWS Garant
DWS Invest
DWS Invest (IE) ICAV
DWS World Protect 90
DWS Zeitwert Protect
Dynamic Infrastructure Securities Fund LP
Earls Four Limited
EARLS Trading Limited
Einkaufszentrum "HVD Dresden" S.à.r.l & Co. KG i.I.
Eirles Three Designated Activity Company
Eirles Two Designated Activity Company
Emerald Asset Repackaging Designated Activity Company
Emerging Markets Capital Protected Investments Limited
Emeris
Encina Property Finance Designated Activity Company
Epicuro SPV S.r.l.
Erste Frankfurter Hoist GmbH
Fondo Privado de Titulizacion Activos Reales 1 B.V.
Fondo Privado de Titulización PYMES I Designated Activity Com-
pany
Domicile of
company
Wilmington
Wilmington
Wilmington
Wilmington
Wilmington
Wilmington
Wilmington
Wilmington
Wilmington
Wilmington
Wilmington
Wilmington
Wilmington
Wilmington
Wilmington
Wilmington
Wilmington
Wilmington
Wilmington
Wilmington
Wilmington
Wilmington
Wilmington
Wilmington
Dublin
Dublin
Luxembourg
Wilmington
Wilmington
Beijing
Madrid
Wilmington
Wilmington
Luxembourg
Luxembourg
Wilmington
Bogotá
Wilmington
Wilmington
Wilmington
Wilmington
Wilmington
Wilmington
Luxembourg
Luxembourg
Luxembourg
Luxembourg
Dublin
Luxembourg
Luxembourg
Wilmington
George Town
George Town
Cologne
Dublin
Dublin
Dublin
George Town
George Town
Dublin
Conegliano
Frankfurt
Amsterdam
Dublin
Share
of
Capital
in %
17.1
17.7
14.9
0.0
0.0
11.1
0.0
0.0
0.0
0.0
6.5
2.5
0.0
0.0
6.1
0.0
0.0
0.0
2.0
1.8
0.0
0.0
0.0
0.0
100.0
100.0
100.0
100.0
100.0
0.0
0.2
100.0
100.0
100.0
100.0
0.0
0.0
0.0
Foot-
note
Nature of activity
3 Ancillary Services Undertaking
3 Ancillary Services Undertaking
3 Ancillary Services Undertaking
3 Ancillary Services Undertaking
2 Ancillary Services Undertaking
3 Ancillary Services Undertaking
3 Ancillary Services Undertaking
3 Ancillary Services Undertaking
3 Ancillary Services Undertaking
3 Ancillary Services Undertaking
3 Ancillary Services Undertaking
3 Ancillary Services Undertaking
2 Ancillary Services Undertaking
3 Ancillary Services Undertaking
3 Ancillary Services Undertaking
3 Ancillary Services Undertaking
2 Ancillary Services Undertaking
3 Ancillary Services Undertaking
3 Ancillary Services Undertaking
3 Ancillary Services Undertaking
2 Ancillary Services Undertaking
3 Ancillary Services Undertaking
3 Ancillary Services Undertaking
3 Ancillary Services Undertaking
1 Ancillary Services Undertaking
1 Ancillary Services Undertaking
1 Financial Institution
1 Financial Institution
2, 7 Other Enterprise
2 Financial Institution
2 Ancillary Services Undertaking
1 Financial Institution
1, 4 Financial Institution
2, 7 Other Enterprise
2, 7 Other Enterprise
3 Ancillary Services Undertaking
1 Securities Trading Firm
1 Financial Institution
1 Financial Institution
1 Financial Institution
1, 4 Financial Institution
1, 4 Financial Institution
1, 4 Financial Institution
2, 7 Other Enterprise
2, 7 Other Enterprise
2, 7 Other Enterprise
2, 7 Other Enterprise
2 Other Enterprise
2 Other Enterprise
2 Other Enterprise
2 Financial Institution
2, 7 Other Enterprise
2 Financial Institution
2 Other Enterprise
2, 7 Other Enterprise
2, 7 Other Enterprise
1 Financial Institution
100.0
2, 7 Other Enterprise
2 Securities Trading Firm
2 Financial Institution
2 Ancillary Services Undertaking
1 Financial Institution
2 Other Enterprise
2 Ancillary Services Undertaking
100.0
511
512
FRANKFURT CONSULT GmbH
Freddie Mac Class A Taxable Multifamily M Certificates Series M-
Frankfurt
McLean
1 Financial Institution
3 Ancillary Services Undertaking
100.0
100.0
037
380
Deutsche Bank
Annual Report 2020
Additional notes
44 – Shareholdings
Serial
No.
513
Name of company
Freddie Mac Class A Taxable Multifamily M Certificates Series M-
Domicile of
company
McLean
039
Foot-
note
Nature of activity
Share
of
Capital
in %
3 Ancillary Services Undertaking
100.0
514
Freddie Mac Class A Taxable Multifamily M Certificates Series M-
McLean
3 Ancillary Services Undertaking
100.0
040
515
Freddie Mac Class A Taxable Multifamily M Certificates Series M-
McLean
3 Ancillary Services Undertaking
100.0
041
516
Freddie Mac Class A Taxable Multifamily M Certificates Series M-
McLean
3 Ancillary Services Undertaking
100.0
043
517
Freddie Mac Class A Taxable Multifamily M Certificates Series M-
McLean
3 Ancillary Services Undertaking
100.0
044
518
Freddie Mac Class A Taxable Multifamily M Certificates Series M-
McLean
3 Ancillary Services Undertaking
100.0
047
519
520
521
522
523
524
525
526
527
528
529
530
531
532
533
534
535
536
537
538
539
540
541
542
543
G.O. IB-US Management, L.L.C.
GAC-HEL, Inc.
Galene S.à r.l.
Gladyr Spain, S.L.
Global Markets Fundo de Investimento Multimercado
Global Markets III Fundo de Investimento Multimercado - Crédito
Wilmington
Wilmington
Luxembourg
Madrid
Rio de Janeiro
Rio de Janeiro
Privado e Investimento No Exterior
Global Opportunities Co-Investment Feeder, LLC
Global Opportunities Co-Investment, LLC
Groton Invest, S.L.
GWC-GAC Corp.
Hamildak Designated Activity Company
Havbell Designated Activity Company
Histria Inversiones Designated Activity Company
Iberia Inversiones Designated Activity Company
Iberia Inversiones II Designated Activity Company
Infrastructure Holdings (Cayman) SPC
Inn Properties S.à r.l., en faillite
Investor Solutions Limited
Isar Properties S.à r.l., en faillite
IVAF (Jersey) Limited
Kelona Invest, S.L.
Kelsey Street LLC
KH Kitty Hall Holdings Limited
KOMPASS 3 Beteiligungsgesellschaft mbH
KOMPASS 3 Erste Beteiligungsgesellschaft mbH & Co. Euro KG
Wilmington
George Town
Madrid
Wilmington
Dublin
Dublin
Dublin
Dublin
Dublin
George Town
Luxembourg
St. Helier
Luxembourg
St. Helier
Madrid
Wilmington
Galway
Duesseldorf
Duesseldorf
i.L.
i.L.
545
546
547
548
549
550
551
552
553
554
555
556
557
558
559
560
561
562
563
564
565
566
567
568
569
Kratus Inversiones Designated Activity Company
Latitude Australia Secured Personal Loans Trust
Ledyard, S.L.
87 Leonard Development LLC
Leonardo Charitable 1 Limited
Lerma Investments 2018, Sociedad Limitada
Life Mortgage S.r.l.
Lindsell Finance Limited
Lockwood Invest, S.L.
London Industrial Leasing Limited
Lunashadow Limited
Malabo Holdings Designated Activity Company
Merlin I (in voluntary liquidation)
Merlin XI
Meseta Inversiones Designated Activity Company
Micro-E Finance S.r.l.
Motion Picture Productions One GmbH & Co. KG
MPP Beteiligungsgesellschaft mbH
Navegator - SGFTC, S.A.
NCW Holding Inc.
New 87 Leonard, LLC
Oasis Securitisation S.r.l.
Oder Properties S.à r.l., en faillite
OPAL, en liquidation volontaire
Opus Niestandaryzowany Sekurytyzacyjny Fundusz Inwestycyjny
Dublin
Melbourne
Madrid
Wilmington
George Town
Madrid
Conegliano
St. Julian's
Madrid
London
Dublin
Dublin
Camana Bay
George Town
Dublin
Rome
Frankfurt
Frankfurt
Lisbon
Vancouver
Wilmington
Conegliano
Luxembourg
Luxembourg
Warsaw
Zamkniety
1 Financial Institution
1 Ancillary Services Undertaking
2 Other Enterprise
2 Ancillary Services Undertaking
3 Financial Institution
3 Financial Institution
100.0
100.0
100.0
100.0
2 Financial Institution
2 Financial Institution
2 Financial Institution
1 Ancillary Services Undertaking
2 Ancillary Services Undertaking
2 Ancillary Services Undertaking
2 Financial Institution
2 Other Enterprise
2 Ancillary Services Undertaking
2 Financial Institution
2 Other Enterprise
2, 7 Other Enterprise
2 Other Enterprise
2 Ancillary Services Undertaking
2 Other Enterprise
1 Ancillary Services Undertaking
2 Financial Institution
3 Financial Institution
1, 5 Ancillary Services Undertaking
2 Financial Institution
2 Other Enterprise
2 Other Enterprise
1 Ancillary Services Undertaking
2 Ancillary Services Undertaking
2 Financial Institution
2 Ancillary Services Undertaking
1 Ancillary Services Undertaking
2 Financial Institution
1 Financial Institution
2 Financial Institution
2 Financial Institution
2 Securities Trading Firm
2 Securities Trading Firm
2 Ancillary Services Undertaking
2 Ancillary Services Undertaking
100.0
25.0
25.0
100.0
50.0
96.1
97.0
100.0
100.0
100.0
100.0
1, 5 Financial Institution
1 Financial Institution
1 Ancillary Services Undertaking
1 Financial Institution
1 Financial Institution
1, 4 Ancillary Services Undertaking
2 Other Enterprise
2, 7 Other Enterprise
2 Ancillary Services Undertaking
100.0
100.0
100.0
100.0
100.0
0.0
25.0
544
KOMPASS 3 Zweite Beteiligungsgesellschaft mbH & Co. USD KG
Duesseldorf
1, 5 Ancillary Services Undertaking
570
571
OTTAM Mexican Capital Trust Designated Activity Company
Palladium Global Investments S.A.
Dublin
Luxembourg
2, 7 Other Enterprise
2, 7 Other Enterprise
381
Deutsche Bank
Annual Report 2020
Additional notes
44 – Shareholdings
Serial
No.
572
573
574
575
576
577
578
579
580
581
582
583
584
585
586
587
588
589
590
591
592
593
594
595
596
597
598
599
600
601
602
603
604
605
606
607
608
609
610
611
612
613
614
615
616
617
618
619
620
621
622
623
624
625
626
627
628
Domicile of
company
Luxembourg
George Town
Wilmington
Edinburgh
Senningerberg
Senningerberg
London
Luxembourg
Luxembourg
Luxembourg
Name of company
Palladium Securities 1 S.A.
PanAsia Funds Investments Ltd.
PARTS Funding, LLC
PEIF II SLP Feeder, L.P.
PEIF III SLP Feeder GP, S.à r.l.
PEIF III SLP Feeder, SCSp
Peruda Leasing Limited
PERUS 1 S.à r.l.
PES Carry and Employee Co-Investment Feeder SCSp
PES Carry and Employee Co-Investment GP S.à r.l.
Philippine Opportunities for Growth and Income (SPV-AMC), INC. Makati City
Property Debt Fund S.C.Sp. SICAV-RAIF
QR Tower 2, LLC
Quartz No. 1 S.A.
Radical Properties Unlimited Company
Reference Capital Investments Limited
REO Properties Corporation II
Residential Mortgage Funding Trust
Rhine Properties S.à r.l., en faillite
Riviera Real Estate
Romareda Holdings Designated Activity Company
RREEF DCH, L.L.C.
Samburg Invest, S.L.
SCB Alpspitze UG (haftungsbeschränkt)
Seaconview Designated Activity Company
Select Access Investments Limited
Singer Island Tower Suite LLC
SOLIDO Grundstücks-Vermietungsgesellschaft mbH
Somkid Immobiliare S.r.l.
SP Mortgage Trust
SPV I Sociedad Anónima Cerrada
SPV II Sociedad Anónima Cerrada
Style City Limited
Swabia 1 Designated Activity Company
Swabia 1. Vermögensbesitz-GmbH
Tagus - Sociedade de Titularização de Creditos, S.A.
Tasman NZ Residential Mortgage Trust
Tender Option Bond Series 2019-BAML3502AB Trust
Tender Option Bond Series 2019-BAML3503AB Trust
Trave Properties S.à r.l., en faillite
TRS Aria LLC
TRS Leda LLC
TRS Maple II LTD
TRS Oak II LTD
TRS Scorpio LLC
TRS SVCO LLC
TRS Tupelo II LTD
TRS Venor LLC
TRS Walnut II LTD
VCJ Lease S.à r.l.
Vermögensfondmandat Flexible (80% teilgeschützt)
Waltzfire Limited
Wedverville Spain, S.L.
Wendelstein 2017-1 UG (haftungsbeschränkt)
Xtrackers (IE) Public Limited Company
Xtrackers ETC Public Limited Company
Zumirez Drive LLC
Luxembourg
Wilmington
Luxembourg
Dublin
London
Wilmington
Toronto
Luxembourg
Paris
Dublin
Wilmington
Madrid
Frankfurt
Dublin
Sydney
Wilmington
Duesseldorf
Conegliano
Wilmington
Lima
Lima
Dublin
Dublin
Frankfurt
Lisbon
Auckland
Wilmington
Wilmington
Luxembourg
Wilmington
Wilmington
George Town
George Town
Wilmington
Wilmington
George Town
Wilmington
George Town
Luxembourg
Luxembourg
Dublin
Madrid
Frankfurt
Dublin
Dublin
Wilmington
Share
of
Capital
in %
100.0
0.7
54.0
100.0
1.3
95.0
100.0
99.9
0.0
25.0
100.0
100.0
100.0
100.0
100.0
100.0
99.9
99.8
100.0
100.0
15.0
15.0
25.0
100.0
100.0
100.0
100.0
100.0
100.0
100.0
100.0
100.0
100.0
Foot-
note
Nature of activity
2, 7 Other Enterprise
2, 7 Financial Institution
1 Financial Institution
3 Financial Institution
2 Financial Institution
2, 5 Other Enterprise
1 Financial Institution
2 Financial Institution
3 Financial Institution
2 Financial Institution
1 Financial Institution
2 Other Enterprise
1 Ancillary Services Undertaking
2 Ancillary Services Undertaking
2 Financial Institution
1 Financial Institution
1, 4 Ancillary Services Undertaking
2 Financial Institution
2 Other Enterprise
2 Other Enterprise
2 Financial Institution
1 Financial Institution
2 Other Enterprise
2 Financial Institution
2 Ancillary Services Undertaking
2, 7 Other Enterprise
1 Ancillary Services Undertaking
1 Financial Institution
2 Other Enterprise
2 Other Enterprise
1 Financial Institution
1 Ancillary Services Undertaking
2 Financial Institution
2 Ancillary Services Undertaking
1 Financial Institution
1 Ancillary Services Undertaking
2 Other Enterprise
3 Ancillary Services Undertaking
3 Ancillary Services Undertaking
2 Other Enterprise
3 Financial Institution
3 Financial Institution
1 Financial Institution
1 Financial Institution
3 Financial Institution
3 Financial Institution
1 Financial Institution
3 Financial Institution
1 Financial Institution
2 Other Enterprise
2 Other Enterprise
2 Financial Institution
2 Other Enterprise
2 Ancillary Services Undertaking
2, 7 Other Enterprise
2 Other Enterprise
1 Ancillary Services Undertaking
0.0
100.0
382
Deutsche Bank
Annual Report 2020
Additional notes
44 – Shareholdings
Companies accounted for at equity
Serial
No.
629
630
631
632
Name of company
A.C.N. 603 303 126 Pty Ltd
AKA Ausfuhrkredit-Gesellschaft mit beschränkter Haftung
Arabesque AI Ltd
Baigo Capital Partners Fund 1 Parallel 1 GmbH & Co. KG
633
634
BANKPOWER GmbH Personaldienstleistungen
Bestra Gesellschaft für Vermögensverwaltung mit beschränkter
Haftung
Domicile of
company
Melbourne
Frankfurt
London
Bad Soden am
Taunus
Frankfurt
Duesseldorf
635
636
637
638
639
640
641
642
643
644
645
646
647
648
649
BFDB Tax Credit Fund 2011, Limited Partnership
Comfund Consulting Limited
Cyber Defence Alliance Limited
DBG Eastern Europe II L.P.
Deutsche Börse Commodities GmbH
Deutsche Gulf Finance
Deutsche Zurich Pensiones Entidad Gestora de Fondos de Pensi-
New York
Bangalore
London
St. Helier
Eschborn
Riyadh
Barcelona
ones, S.A.
Deutscher Pensionsfonds Aktiengesellschaft
DIL Internationale Leasinggesellschaft mbH
Domus Beteiligungsgesellschaft der Privaten Bausparkassen mbH Berlin
dwins GmbH
Elbe Properties S.à r.l., en faillite clôturée
equiNotes Management GmbH i.L.
Evroenergeiaki Anonymi Etaireia
Fünfte SAB Treuhand und Verwaltung GmbH & Co. "Leipzig-Mag-
Frankfurt
Luxembourg
Duesseldorf
Athens
Bad Homburg
Bonn
Duesseldorf
Foot-
note
Nature of activity
Financial Institution
Credit Institution
Financial Institution
Other Enterprise
Other Enterprise
Financial Institution
8, 9 Other Enterprise
Other Enterprise
9, 10 Other Enterprise
Financial Institution
Other Enterprise
9 Financial Institution
Other Enterprise
Other Enterprise
Financial Institution
Financial Holding Company
Other Enterprise
Other Enterprise
Other Enterprise
9 Other Enterprise
Other Enterprise
deburg" KG
650
Fünfte SAB Treuhand und Verwaltung GmbH & Co. Dresden
Bad Homburg
Other Enterprise
"Louisenstraße" KG
651
652
653
654
655
656
657
658
659
660
661
662
663
664
665
666
667
668
669
670
Wilmington
G.O. IB-SIV Feeder, L.L.C.
Amsterdam
German Public Sector Finance B.V.
Berlin
Gesellschaft für Kreditsicherung mit beschränkter Haftung
Frankfurt
giropay GmbH
Troisdorf
Grundstücksgesellschaft Bürohäuser Köln Rheinhallen GbR
Troisdorf
Grundstücksgesellschaft Karlsruhe Kaiserstraße GbR
Troisdorf
Grundstücksgesellschaft Köln Oppenheimstraße GbR
Grundstücksgesellschaft Köln-Merheim Winterberger Straße GbR Troisdorf
Troisdorf
Grundstücksgesellschaft München Synagogenplatz GbR
Troisdorf
Grundstücksgesellschaft Schillingsrotter Weg GbR
Shanghai
Harvest Fund Management Co., Ltd.
Huarong Rongde Asset Management Company Limited
Beijing
ILV Immobilien-Leasing Verwaltungsgesellschaft Düsseldorf mbH Duesseldorf
Immobilienfonds Bürohaus Düsseldorf Grafenberg GbR
Immobilienfonds Bürohaus Düsseldorf Parsevalstraße GbR
Immobilienfonds Köln-Deutz Arena und Mantelbebauung GbR
Immobilienfonds Köln-Ossendorf II GbR
Ingrid S.à.r.l.
iSwap Limited
IZI Düsseldorf Informations-Zentrum Immobilien Gesellschaft mit
Troisdorf
Cologne
Troisdorf
Troisdorf
Munsbach
London
Duesseldorf
beschränkter Haftung
Financial Institution
Financial Institution
Other Enterprise
Other Enterprise
5 Other Enterprise
5 Other Enterprise
10 Other Enterprise
10 Other Enterprise
10 Other Enterprise
10 Other Enterprise
Investment Firm
Financial Institution
Financial Institution
5 Other Enterprise
5 Other Enterprise
5 Other Enterprise
5 Other Enterprise
9 Other Enterprise
Financial Institution
Financial Institution
671
IZI Düsseldorf Informations-Zentrum Immobilien GmbH & Co.
Duesseldorf
9 Other Enterprise
Kommanditgesellschaft
KVD Singapore Pte. Ltd.
Lion Residential Holdings S.à r.l.
Neo Strategic Holding Limited
North Coast Wind Energy Corp.
P.F.A.B. Passage Frankfurter Allee Betriebsgesellschaft mbH
PERILLA Beteiligungsgesellschaft mbH
Prestipay S.p.A.
Relax Holding S.à r.l.
672
673
674
675
676
677
678
679
Singapore
Luxembourg
Abu Dhabi
Vancouver
Berlin
Duesseldorf
Udine
Luxembourg
Financial Institution
Financial Institution
Financial Institution
8, 9 Other Enterprise
Other Enterprise
Financial Institution
9 Financial Institution
Other Enterprise
Share
of
Capital
in %
19.4
26.9
24.9
49.8
30.0
49.0
99.9
30.0
0.0
25.9
16.2
29.1
50.0
25.1
50.0
21.1
21.3
25.0
50.0
40.0
41.2
30.6
15.7
50.0
36.7
33.3
15.6
3.4
0.0
0.0
0.0
0.0
30.0
40.7
50.0
10.0
7.0
7.8
9.7
23.8
14.0
22.9
22.9
30.1
17.4
15.0
96.7
22.2
50.0
40.0
20.0
383
Deutsche Bank
Annual Report 2020
Additional notes
44 – Shareholdings
Serial
No.
680
681
682
683
684
685
686
687
688
689
690
691
692
693
694
695
696
697
698
699
Name of company
Robuterra AG in Liquidation
Sakaras Holding Limited (in dissolution)
SRC Security Research & Consulting GmbH
Starpool Finanz GmbH
Teesside Gas Transportation Limited (in members' voluntary liqui-
dation)
Trade Information Network Limited
TRAXPAY GmbH
Triton Beteiligungs GmbH i.L.
U.S.A. ITCF XCI L.P.
UKEM Motoryacht Medici Mangusta GbR
Ullmann Krockow Esch GbR
Ullmann, Krockow, Esch Luftverkehrsgesellschaft bürgerlichen
Rechts
Domicile of
company
Zurich
Naxxar
Bonn
Berlin
London
London
Frankfurt
Frankfurt
New York
Troisdorf
Troisdorf
Troisdorf
Foot-
note
Nature of activity
10 Other Enterprise
10 Financial Institution
Other Enterprise
Other Enterprise
Other Enterprise
9 Other Enterprise
Other Enterprise
Other Enterprise
8 Other Enterprise
10 Other Enterprise
10 Other Enterprise
10 Other Enterprise
Volbroker.com Limited
Weser Properties S.à r.l., en faillite
Wood NewCo S.à r.l.
zeitinvest-Service GmbH
Zhong De Securities Co., Ltd
ZINDUS Beteiligungsgesellschaft mbH i.L.
ZYRUS Beteiligungsgesellschaft mbH
ZYRUS Beteiligungsgesellschaft mbH & Co. Patente I KG i.L.
London
Luxembourg
Luxembourg
Eschborn
Beijing
Duesseldorf
Schoenefeld
Schoenefeld
Financial Institution
Other Enterprise
8, 9 Other Enterprise
Other Enterprise
9 Securities Trading Firm
Financial Institution
Financial Institution
Other Enterprise
Share
of
Capital
in %
0.0
0.0
22.5
49.9
48.0
16.7
2.4
33.1
99.9
0.0
0.0
0.0
22.5
25.0
52.1
25.0
33.3
50.0
25.0
20.4
384
Deutsche Bank
Annual Report 2020
Additional notes
44 – Shareholdings
Other companies, where the holding exceeds 20 %
Serial
No.
700
701
702
703
704
Name of company
ABATE Grundstücks-Vermietungsgesellschaft mbH
ABRI Beteiligungsgesellschaft mbH
Acamar Holding S.A.
ACHTE PAXAS Treuhand- und Beteiligungsgesellschaft mbH
ACHTUNDZWANZIGSTE PAXAS Treuhand- und Beteiligungsgesellschaft
mbH i.L.
ACHTZEHNTE PAXAS Treuhand- und Beteiligungsgesellschaft mbH
ACIS Beteiligungsgesellschaft mbH
ACTIO Grundstücks-Vermietungsgesellschaft mbH
Adara S.A.
ADEO Beteiligungsgesellschaft mbH
ADLAT Beteiligungsgesellschaft mbH
ADMANU Beteiligungsgesellschaft mbH
Agena S.A.
AGLOM Beteiligungsgesellschaft mbH
AGUM Beteiligungsgesellschaft mbH
ALANUM Beteiligungsgesellschaft mbH
ALMO Beteiligungsgesellschaft mbH i.L.
ALTA Beteiligungsgesellschaft mbH
ANDOT Grundstücks-Vermietungsgesellschaft mbH
APUR Beteiligungsgesellschaft mbH i.L.
Asia Core Real Estate Fund SCA SICAV-RAIF
ATAUT Beteiligungsgesellschaft mbH i.L.
AVOC Beteiligungsgesellschaft mbH
BAKTU Beteiligungsgesellschaft mbH
BALIT Beteiligungsgesellschaft mbH
Banks Island General Partner Inc.
Benefit Trust GmbH
BIMES Beteiligungsgesellschaft mbH
BLI Beteiligungsgesellschaft für Leasinginvestitionen mbH
BLI Internationale Beteiligungsgesellschaft mbH
DB Advisors SICAV
DB Fund (Mauritius) Limited
Domicile of
company
Duesseldorf
Duesseldorf
Luxembourg
Duesseldorf
Duesseldorf
Duesseldorf
Duesseldorf
Duesseldorf
Luxembourg
Duesseldorf
Duesseldorf
Duesseldorf
Luxembourg
Duesseldorf
Duesseldorf
Duesseldorf
Duesseldorf
Duesseldorf
Duesseldorf
Duesseldorf
Luxembourg
Duesseldorf
Duesseldorf
Schoenefeld
Schoenefeld
Toronto
Luetzen
Schoenefeld
Duesseldorf
Duesseldorf
Luxembourg
Ebène Cyber-
City
Foot-
note
Nature of activity
11 Financial Institution
11 Financial Institution
8 Other Enterprise
11 Other Enterprise
11 Other Enterprise
11 Other Enterprise
11 Financial Institution
11 Financial Institution
8 Other Enterprise
11 Financial Institution
11 Financial Institution
11 Financial Institution
8 Other Enterprise
11 Financial Institution
11 Financial Institution
11 Financial Institution
11 Financial Institution
11 Financial Institution
11 Financial Institution
11 Financial Institution
11, 12 Other Enterprise
11 Financial Institution
11 Financial Institution
11 Financial Institution
11 Financial Institution
11 Financial Institution
1, 13 Financial Institution
11 Financial Institution
11 Financial Institution
11 Financial Institution
14, 15 Other Enterprise
14 Other Enterprise
Wilmington
DB Placement, LLC
Wilmington
DB RC Investments II, LLC
DB Real Estate Global Opportunities IB (Offshore), L.P.
Camana Bay
Deutsche River Investment Management Company S.à r.l., en faillite clôturée Luxembourg
Duesseldorf
DIL Fonds-Beteiligungsgesellschaft mbH i.L.
Duesseldorf
DONARUM Holding GmbH
Duesseldorf
DREIUNDZWANZIGSTE PAXAS Treuhand- und Beteiligungsgesellschaft
mbH
DREIZEHNTE PAXAS Treuhand- und Beteiligungsgesellschaft mbH
Duesseldorf
DRITTE Fonds-Beteiligungsgesellschaft mbH
Duesseldorf
Duesseldorf
DRITTE PAXAS Treuhand- und Beteiligungsgesellschaft mbH
EINUNDZWANZIGSTE PAXAS Treuhand- und Beteiligungsgesellschaft mbH Duesseldorf
Eisler Capital (TA) Ltd
ELC Logistik-Centrum Verwaltungs-GmbH
ELFTE PAXAS Treuhand- und Beteiligungsgesellschaft mbH
FÜNFTE Fonds-Beteiligungsgesellschaft mbH i.L.
FÜNFTE PAXAS Treuhand- und Beteiligungsgesellschaft mbH
FÜNFUNDZWANZIGSTE PAXAS Treuhand- und Beteiligungsgesellschaft
London
Erfurt
Duesseldorf
Duesseldorf
Duesseldorf
Duesseldorf
mbH i.L.
FÜNFZEHNTE PAXAS Treuhand- und Beteiligungsgesellschaft mbH
Glor Music Production GmbH & Co. KG
GLOR Music Production II GmbH & Co. KG
HR "Simone" GmbH & Co. KG i.I.
Immobilien-Vermietungsgesellschaft Schumacher GmbH & Co. Objekt Ro-
Duesseldorf
Tegernsee
Tegernsee
Jork
Berlin
8 Other Enterprise
8 Other Enterprise
11 Financial Institution
11 Financial Institution
14 Financial Institution
11 Financial Institution
11 Other Enterprise
11 Other Enterprise
11 Financial Institution
11 Other Enterprise
11 Other Enterprise
16 Other Enterprise
11 Financial Institution
11 Other Enterprise
11 Financial Institution
11 Other Enterprise
11 Other Enterprise
11 Other Enterprise
16 Other Enterprise
16 Other Enterprise
16 Other Enterprise
11 Financial Institution
landufer KG i.L.
754
Intermodal Finance I Ltd.
George Town
11 Other Enterprise
705
706
707
708
709
710
711
712
713
714
715
716
717
718
719
720
721
722
723
724
725
726
727
728
729
730
731
732
733
734
735
736
737
738
739
740
741
742
743
744
745
746
747
748
749
750
751
752
753
Share
of
Capital
in %
50.0
50.0
95.0
50.0
50.0
50.0
50.0
50.0
95.0
50.0
50.0
50.0
95.0
50.0
50.0
50.0
50.0
50.0
50.0
50.0
29.9
50.0
50.0
50.0
50.0
50.0
100.0
50.0
33.2
32.0
95.4
100.0
100.0
99.9
34.3
49.0
100.0
50.0
50.0
50.0
50.0
50.0
50.0
34.7
50.0
50.0
50.0
50.0
50.0
50.0
29.0
28.2
24.3
20.5
49.0
385
Deutsche Bank
Annual Report 2020
Additional notes
44 – Shareholdings
Serial
No.
755
756
757
758
759
Name of company
IOG Denali Upton, LLC
IOG NOD I, LLC
Isaac Newton S.A.
Kinneil Leasing Company
M Cap Finance Mittelstandsfonds GmbH & Co. KG
Domicile of
company
Dover
Dover
Luxembourg
London
Frankfurt
760
761
762
763
764
765
766
767
768
769
770
771
772
773
774
775
776
777
778
779
780
781
782
783
784
785
786
787
788
789
790
791
792
793
794
795
796
797
798
799
800
801
802
803
804
805
806
807
808
809
810
811
812
813
814
815
816
M Cap Finance Mittelstandsfonds III GmbH & Co. KG
MCT Südafrika 3 GmbH & Co. KG i.I.
Metro plus Grundstücks-Vermietungsgesellschaft mbH i.L.
MT "CAPE BEALE" Tankschiffahrts GmbH & Co. KG i.I.
MT "KING DANIEL" Tankschiffahrts UG (haftungsbeschränkt) & Co. KG i.L.
MT "KING DOUGLAS" Tankschiffahrts UG (haftungsbeschränkt) & Co. KG
Frankfurt
Hamburg
Duesseldorf
Hamburg
Hamburg
Hamburg
i.L.
MT "KING EDWARD" Tankschiffahrts GmbH & Co. KG
MT "KING ERIC" Tankschiffahrts GmbH & Co. KG i.I.
NBG Grundstücks-Vermietungsgesellschaft mbH
NEUNTE PAXAS Treuhand- und Beteiligungsgesellschaft mbH
NEUNZEHNTE PAXAS Treuhand- und Beteiligungsgesellschaft mbH
Nexus Infrastruktur Beteiligungsgesellschaft mbH
NOFA Grundstücks-Vermietungsgesellschaft mbH
OPPENHEIM Buy Out GmbH & Co. KG i.L.
PADEM Grundstücks-Vermietungsgesellschaft mbH
PAGUS Beteiligungsgesellschaft mbH i.L.
PALDO Grundstücks-Vermietungsgesellschaft mbH
PANTUR Grundstücks-Vermietungsgesellschaft mbH i.L.
PAXAS Treuhand- und Beteiligungsgesellschaft mbH
PEDIS Grundstücks-Vermietungsgesellschaft mbH i.L.
PEDUM Beteiligungsgesellschaft mbH i.L.
PENDIS Grundstücks-Vermietungsgesellschaft mbH
PENTUM Beteiligungsgesellschaft mbH
PERGOS Beteiligungsgesellschaft mbH i.L.
PERGUM Grundstücks-Vermietungsgesellschaft mbH
PERLIT Mobilien-Vermietungsgesellschaft mbH
PERLU Grundstücks-Vermietungsgesellschaft mbH
PERNIO Grundstücks-Vermietungsgesellschaft mbH
PERXIS Beteiligungsgesellschaft mbH
PETA Grundstücks-Vermietungsgesellschaft mbH
PONTUS Grundstücks-Vermietungsgesellschaft mbH
PRADUM Beteiligungsgesellschaft mbH
PRASEM Beteiligungsgesellschaft mbH
PRATES Grundstücks-Vermietungsgesellschaft mbH i.L.
PRISON Grundstücks-Vermietungsgesellschaft mbH
Private Equity Invest Beteiligungs GmbH
Private Equity Life Sciences Beteiligungsgesellschaft mbH
PUDU Grundstücks-Vermietungsgesellschaft mbH
PUKU Grundstücks-Vermietungsgesellschaft mbH i.L.
PURIM Grundstücks-Vermietungsgesellschaft mbH
QUANTIS Grundstücks-Vermietungsgesellschaft mbH
QUELLUM Grundstücks-Vermietungsgesellschaft mbH
QUOTAS Grundstücks-Vermietungsgesellschaft mbH
SABIS Grundstücks-Vermietungsgesellschaft mbH
SALIX Grundstücks-Vermietungsgesellschaft mbH
SALUS Grundstücks-Vermietungsgesellschaft mbH
SALUS Grundstücks-Vermietungsgesellschaft mbH & Co. Objekt Dresden
KG
Hamburg
Hamburg
Duesseldorf
Duesseldorf
Duesseldorf
Duesseldorf
Duesseldorf
Cologne
Duesseldorf
Duesseldorf
Duesseldorf
Duesseldorf
Duesseldorf
Duesseldorf
Duesseldorf
Duesseldorf
Duesseldorf
Duesseldorf
Duesseldorf
Duesseldorf
Duesseldorf
Duesseldorf
Duesseldorf
Duesseldorf
Duesseldorf
Duesseldorf
Duesseldorf
Schoenefeld
Schoenefeld
Duesseldorf
Duesseldorf
Duesseldorf
Duesseldorf
Duesseldorf
Schoenefeld
Duesseldorf
Duesseldorf
Duesseldorf
Duesseldorf
Duesseldorf
Duesseldorf
SANCTOR Grundstücks-Vermietungsgesellschaft mbH
SANDIX Grundstücks-Vermietungsgesellschaft mbH
SANO Grundstücks-Vermietungsgesellschaft mbH
SARIO Grundstücks-Vermietungsgesellschaft mbH
SATINA Mobilien-Vermietungsgesellschaft mbH
SCANDO Grundstücks-Vermietungsgesellschaft mbH
SCHEDA Grundstücks-Vermietungsgesellschaft mbH i.L.
Schumacher Beteiligungsgesellschaft mbH
SCITOR Grundstücks-Vermietungsgesellschaft mbH
SCITOR Grundstücks-Vermietungsgesellschaft mbH & Co. Objekt Heiligen-
Duesseldorf
Duesseldorf
Duesseldorf
Duesseldorf
Duesseldorf
Duesseldorf
Duesseldorf
Duesseldorf
Duesseldorf
Duesseldorf
stadt KG i.L.
Foot-
note
Nature of activity
16 Other Enterprise
16 Other Enterprise
8, 17 Other Enterprise
11 Financial Institution
Financial Institution
8, 16,
18,
19
16 Financial Institution
16 Other Enterprise
11 Financial Institution
16 Other Enterprise
16 Other Enterprise
16 Other Enterprise
16 Other Enterprise
16 Other Enterprise
11 Financial Institution
11 Other Enterprise
11 Other Enterprise
11 Financial Institution
11 Financial Institution
4, 5 Financial Institution
11 Financial Institution
11 Financial Institution
11 Financial Institution
11 Financial Institution
11 Other Enterprise
11 Financial Institution
11 Financial Institution
11 Financial Institution
11 Financial Institution
11 Financial Institution
11 Financial Institution
11 Financial Institution
11 Financial Institution
11 Financial Institution
11 Financial Institution
11 Financial Institution
11 Financial Institution
11 Financial Institution
11 Financial Institution
11 Financial Institution
11 Financial Institution
11 Financial Institution
11 Financial Institution
11 Financial Institution
11 Financial Institution
11 Financial Institution
11 Financial Institution
11 Financial Institution
11 Financial Institution
11 Financial Institution
11 Financial Institution
11 Financial Institution
14 Financial Institution
11 Financial Institution
11 Financial Institution
11 Financial Institution
11 Financial Institution
11 Financial Institution
11 Financial Institution
11 Financial Institution
11 Financial Institution
11 Financial Institution
14 Financial Institution
Share
of
Capital
in %
23.0
22.5
95.0
35.0
77.1
38.4
38.5
40.0
34.0
33.0
33.0
35.3
34.5
50.0
50.0
50.0
50.0
50.0
27.7
50.0
50.0
50.0
50.0
50.0
50.0
50.0
50.0
50.0
50.0
50.0
50.0
50.0
50.0
50.0
50.0
50.0
50.0
50.0
50.0
50.0
50.0
50.0
50.0
50.0
50.0
50.0
50.0
50.0
50.0
50.0
50.0
58.5
50.0
50.0
50.0
50.0
50.0
50.0
50.0
33.2
50.0
71.1
817
818
SCUDO Grundstücks-Vermietungsgesellschaft mbH i.L.
SECHSTE Fonds-Beteiligungsgesellschaft mbH
Duesseldorf
Duesseldorf
14 Financial Institution
11 Financial Institution
100.0
50.0
386
Deutsche Bank
Annual Report 2020
Additional notes
44 – Shareholdings
Serial
No.
819
820
821
822
823
824
825
826
827
828
829
830
831
832
833
834
835
836
837
838
839
840
Domicile of
company
Name of company
Duesseldorf
SECHSTE PAXAS Treuhand- und Beteiligungsgesellschaft mbH
Duesseldorf
SECHZEHNTE PAXAS Treuhand- und Beteiligungsgesellschaft mbH
Duesseldorf
SEDO Grundstücks-Vermietungsgesellschaft mbH i.L.
Duesseldorf
SEGES Grundstücks-Vermietungsgesellschaft mbH
Duesseldorf
SEGU Grundstücks-Vermietungsgesellschaft mbH
Duesseldorf
SELEKTA Grundstücksverwaltungsgesellschaft mbH
SENA Grundstücks-Vermietungsgesellschaft mbH
Duesseldorf
SENA Grundstücks-Vermietungsgesellschaft mbH & Co. Objekt Kamenz KG Duesseldorf
Duesseldorf
SERICA Grundstücks-Vermietungsgesellschaft mbH
Duesseldorf
SIDA Grundstücks-Vermietungsgesellschaft mbH
Duesseldorf
SIEBTE PAXAS Treuhand- und Beteiligungsgesellschaft mbH
Duesseldorf
SIEBZEHNTE PAXAS Treuhand- und Beteiligungsgesellschaft mbH
Duesseldorf
SIFA Grundstücks-Vermietungsgesellschaft mbH
Duesseldorf
SILANUS Grundstücks-Vermietungsgesellschaft mbH i.L.
SILEX Grundstücks-Vermietungsgesellschaft mbH
Duesseldorf
SILEX Grundstücks-Vermietungsgesellschaft mbH & Co. Objekt Berlin KG i.L. Duesseldorf
Duesseldorf
SILIGO Mobilien-Vermietungsgesellschaft mbH i.L.
Duesseldorf
SILUR Grundstücks-Vermietungsgesellschaft mbH
Duesseldorf
SIMILA Grundstücks-Vermietungsgesellschaft mbH i.L.
Duesseldorf
SOLATOR Grundstücks-Vermietungsgesellschaft mbH
Schoenefeld
SOLON Grundstücks-Vermietungsgesellschaft mbH
Halle/Saale
SOLON Grundstücks-Vermietungsgesellschaft mbH & Co. Objekt Heizkraft-
werk Halle KG i.L.
841
842
843
844
845
846
847
848
849
850
851
852
853
854
855
856
857
858
859
860
861
862
863
864
865
866
867
868
869
870
871
872
873
874
875
876
877
878
879
880
881
882
883
Duesseldorf
SOLUM Grundstücks-Vermietungsgesellschaft mbH
Duesseldorf
SOMA Grundstücks-Vermietungsgesellschaft mbH
Duesseldorf
SOREX Grundstücks-Vermietungsgesellschaft mbH
Duesseldorf
SOSPITA Grundstücks-Vermietungsgesellschaft mbH
Duesseldorf
SPINO Grundstücks-Vermietungsgesellschaft mbH i.L.
Schoenefeld
SPLENDOR Grundstücks-Vermietungsgesellschaft mbH
Duesseldorf
STABLON Grundstücks-Vermietungsgesellschaft mbH i.L.
Duesseldorf
STAGIRA Grundstücks-Vermietungsgesellschaft mbH
Schoenefeld
STATOR Heizkraftwerk Frankfurt (Oder) Beteiligungsgesellschaft mbH
Duesseldorf
SUBLICA Grundstücks-Vermietungsgesellschaft mbH i.L.
Duesseldorf
SUBU Mobilien-Vermietungsgesellschaft mbH i.L.
Schoenefeld
SULPUR Grundstücks-Vermietungsgesellschaft mbH i.L.
Duesseldorf
SUPERA Grundstücks-Vermietungsgesellschaft mbH
Duesseldorf
SUPLION Beteiligungsgesellschaft mbH
Duesseldorf
SUSA Mobilien-Vermietungsgesellschaft mbH
Duesseldorf
SUSIK Grundstücks-Vermietungsgesellschaft mbH
Schoenefeld
TABA Grundstücks-Vermietungsgesellschaft mbH
Duesseldorf
TACET Grundstücks-Vermietungsgesellschaft mbH
Duesseldorf
TAGO Grundstücks-Vermietungsgesellschaft mbH
Duesseldorf
TAGUS Beteiligungsgesellschaft mbH
Duesseldorf
TAKIR Grundstücks-Vermietungsgesellschaft mbH
Duesseldorf
TEBOR Grundstücks-Vermietungsgesellschaft mbH i.L.
Duesseldorf
TEMATIS Grundstücks-Vermietungsgesellschaft mbH i.L.
Duesseldorf
TERRUS Grundstücks-Vermietungsgesellschaft mbH i.L.
Duesseldorf
TESATUR Beteiligungsgesellschaft mbH
TESATUR Beteiligungsgesellschaft mbH & Co. Objekt Halle I KG i.L.
Duesseldorf
TESATUR Beteiligungsgesellschaft mbH & Co. Objekt Nordhausen I KG i.L. Duesseldorf
Duesseldorf
TIEDO Grundstücks-Vermietungsgesellschaft mbH
Duesseldorf
TIEDO Grundstücks-Vermietungsgesellschaft mbH & Co. Objekt Lager Nord
KG i.L.
TOSSA Grundstücks-Vermietungsgesellschaft mbH
TRAGO Grundstücks-Vermietungsgesellschaft mbH
TREMA Grundstücks-Vermietungsgesellschaft mbH
TRENTO Grundstücks-Vermietungsgesellschaft mbH
TRINTO Beteiligungsgesellschaft mbH i.L.
TRIPLA Grundstücks-Vermietungsgesellschaft mbH
TUDO Grundstücks-Vermietungsgesellschaft mbH i.L.
TUGA Grundstücks-Vermietungsgesellschaft mbH i.L.
TYRAS Beteiligungsgesellschaft mbH
VARIS Beteiligungsgesellschaft mbH i.L.
VCL Lease S.à r.l.
VIERTE Fonds-Beteiligungsgesellschaft mbH
VIERTE PAXAS Treuhand- und Beteiligungsgesellschaft mbH
VIERUNDZWANZIGSTE PAXAS Treuhand- und Beteiligungsgesellschaft
Duesseldorf
Duesseldorf
Berlin
Duesseldorf
Schoenefeld
Duesseldorf
Duesseldorf
Duesseldorf
Duesseldorf
Duesseldorf
Luxembourg
Duesseldorf
Duesseldorf
Duesseldorf
mbH
Foot-
note
Nature of activity
11 Other Enterprise
11 Other Enterprise
14 Financial Institution
11 Financial Institution
11 Financial Institution
11 Financial Institution
11 Financial Institution
8 Financial Institution
11 Financial Institution
11 Financial Institution
11 Other Enterprise
11 Other Enterprise
14 Financial Institution
11 Financial Institution
11 Financial Institution
1 Financial Institution
11 Financial Institution
11 Financial Institution
11 Financial Institution
11 Financial Institution
11 Financial Institution
11 Other Enterprise
11 Financial Institution
11 Financial Institution
11 Financial Institution
11 Financial Institution
14 Financial Institution
11 Financial Institution
14 Financial Institution
11 Financial Institution
14 Financial Institution
11 Financial Institution
11 Financial Institution
11 Financial Institution
11 Financial Institution
11 Financial Institution
11 Financial Institution
11 Financial Institution
11 Financial Institution
11 Financial Institution
11 Financial Institution
11 Financial Institution
14 Financial Institution
11 Financial Institution
14 Financial Institution
14 Financial Institution
11 Financial Institution
1 Financial Institution
1 Financial Institution
11 Financial Institution
11 Financial Institution
14 Financial Institution
11 Financial Institution
11 Financial Institution
11 Financial Institution
11 Financial Institution
14 Financial Institution
11 Financial Institution
11 Financial Institution
11 Financial Institution
11 Financial Institution
8 Other Enterprise
11 Financial Institution
11 Other Enterprise
11 Other Enterprise
Share
of
Capital
in %
50.0
50.0
100.0
50.0
50.0
50.0
50.0
100.0
50.0
50.0
50.0
50.0
100.0
50.0
50.0
83.8
50.0
50.0
50.0
50.0
50.0
30.5
50.0
50.0
50.0
50.0
100.0
50.0
100.0
50.0
100.0
50.0
50.0
50.0
50.0
50.0
50.0
50.0
50.0
50.0
50.0
50.0
100.0
50.0
100.0
100.0
50.0
100.0
100.0
50.0
25.0
100.0
50.0
50.0
50.0
50.0
100.0
50.0
50.0
50.0
50.0
95.0
50.0
50.0
50.0
884
VIERZEHNTE PAXAS Treuhand- und Beteiligungsgesellschaft mbH
Duesseldorf
11 Other Enterprise
50.0
387
Foot-
note
Nature of activity
Share
of
Capital
in %
Deutsche Bank
Annual Report 2020
Additional notes
44 – Shareholdings
Serial
No.
885
886
887
888
889
890
891
892
893
894
895
896
897
898
899
900
901
902
903
904
905
906
907
908
909
910
911
912
913
914
Name of company
Wohnungs-Verwaltungsgesellschaft Moers mbH i.L.
XARUS Grundstücks-Vermietungsgesellschaft mbH i.L.
XELLUM Grundstücks-Vermietungsgesellschaft mbH
XENTIS Grundstücks-Vermietungsgesellschaft mbH
XERA Grundstücks-Vermietungsgesellschaft mbH
ZABATUS Grundstücks-Vermietungsgesellschaft mbH
ZAKATUR Grundstücks-Vermietungsgesellschaft mbH
ZALLUS Beteiligungsgesellschaft mbH
ZARAT Beteiligungsgesellschaft mbH
ZARGUS Grundstücks-Vermietungsgesellschaft mbH
ZEA Beteiligungsgesellschaft mbH
ZEHNTE PAXAS Treuhand- und Beteiligungsgesellschaft mbH
ZELAS Beteiligungsgesellschaft mbH
ZENO Grundstücks-Vermietungsgesellschaft mbH
ZEPTOS Grundstücks-Vermietungsgesellschaft mbH i.L.
ZEREVIS Grundstücks-Vermietungsgesellschaft mbH
ZERGUM Grundstücks-Vermietungsgesellschaft mbH
ZIDES Grundstücks-Vermietungsgesellschaft mbH
ZIMBEL Grundstücks-Vermietungsgesellschaft mbH
ZINUS Grundstücks-Vermietungsgesellschaft mbH
ZIRAS Grundstücks-Vermietungsgesellschaft mbH
ZITON Grundstücks-Vermietungsgesellschaft mbH
ZITUS Grundstücks-Vermietungsgesellschaft mbH
ZONTUM Grundstücks-Vermietungsgesellschaft mbH
ZORUS Grundstücks-Vermietungsgesellschaft mbH i.L.
ZURET Beteiligungsgesellschaft mbH
ZWANZIGSTE PAXAS Treuhand- und Beteiligungsgesellschaft mbH
ZWEITE Fonds-Beteiligungsgesellschaft mbH
ZWEITE PAXAS Treuhand- und Beteiligungsgesellschaft mbH
ZWEIUNDZWANZIGSTE PAXAS Treuhand- und Beteiligungsgesellschaft
mbH
Domicile of
company
Duesseldorf
Schoenefeld
Duesseldorf
Duesseldorf
Duesseldorf
Duesseldorf
Duesseldorf
Duesseldorf
Duesseldorf
Duesseldorf
Schoenefeld
Duesseldorf
Duesseldorf
Duesseldorf
Duesseldorf
Duesseldorf
Duesseldorf
Schoenefeld
Schoenefeld
Schoenefeld
Schoenefeld
Duesseldorf
Schoenefeld
Duesseldorf
Duesseldorf
Duesseldorf
Duesseldorf
Duesseldorf
Duesseldorf
Duesseldorf
11 Financial Institution
11 Financial Institution
11 Financial Institution
11 Financial Institution
11 Financial Institution
11 Financial Institution
11 Financial Institution
11 Financial Institution
11 Financial Institution
11 Financial Institution
11 Financial Institution
11 Other Enterprise
11 Financial Institution
11 Financial Institution
11 Financial Institution
11 Financial Institution
11 Financial Institution
11 Financial Institution
11 Financial Institution
11 Financial Institution
11 Financial Institution
11 Financial Institution
11 Financial Institution
11 Financial Institution
11 Financial Institution
11 Financial Institution
11 Other Enterprise
11 Financial Institution
11 Other Enterprise
11 Other Enterprise
915
916
ZWÖLFTE PAXAS Treuhand- und Beteiligungsgesellschaft mbH
ZYLUM Beteiligungsgesellschaft mbH
Duesseldorf
Schoenefeld
11 Other Enterprise
11 Financial Institution
50.0
50.0
50.0
50.0
50.0
50.0
50.0
50.0
50.0
50.0
25.0
50.0
50.0
50.0
50.0
50.0
50.0
50.0
50.0
50.0
50.0
50.0
50.0
50.0
50.0
50.0
50.0
50.0
50.0
50.0
50.0
25.0
388
Deutsche Bank
Annual Report 2020
Additional notes
44 – Shareholdings
Holdings in large corporations, where the holding exceeds 5 % of the voting rights
Serial
No.
917
918
919
920
921
922
923
924
925
926
927
928
929
930
Name of company
ABRAAJ Holdings (in official liquidation)
BBB Bürgschaftsbank zu Berlin-Brandenburg GmbH
BÜRGSCHAFTSBANK BRANDENBURG GmbH
Bürgschaftsbank Mecklenburg-Vorpommern GmbH
Bürgschaftsbank Sachsen GmbH
Bürgschaftsbank Sachsen-Anhalt GmbH
Bürgschaftsbank Schleswig-Holstein Gesellschaft mit beschränkter Haftung
Bürgschaftsbank Thüringen GmbH
Bürgschaftsgemeinschaft Hamburg GmbH
MTS S.p.A.
Prader Bank S.p.A.
Private Export Funding Corporation
Saarländische Investitionskreditbank Aktiengesellschaft
Yensai.com Co., Ltd.
Domicile of
company
Foot-
note
George Town
Berlin
Potsdam
Schwerin
Dresden
Magdeburg
Kiel
Erfurt
Hamburg
Rome
Bolzano
Wilmington
Saarbruecken
Tokyo
Nature of activity
Financial Institution
Financial Institution
Financial Institution
Financial Institution
Financial Institution
Financial Institution
Financial Institution
Financial Institution
Financial Institution
Other Enterprise
Credit Institution
Financial Institution
Credit Institution
Investment Firm
Share
of
Capital
in %
8.8
5.6
8.5
8.4
6.3
8.2
5.6
8.7
8.7
5.0
9.0
6.0
11.8
7.1
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Deutsche Bank
Annual Report 2020
Additional notes
45 – Impact of Deutsche Bank’s transformation
45 – Impact of Deutsche Bank’s transformation
On July 7, 2019, Deutsche Bank announced a number of transformational measures relating to the Group’s businesses and
its organization. The immediate and secondary impacts that these measures had on the Group’s operating results and financial
position are disclosed below.
Impairment and amortization of self-developed software
In line with the transformation announcement, the Group reviewed current platform software and software under construction
assigned to businesses subject to the transformation strategy. Accordingly, the reassessment of the respective recoverable
amounts led to an impairment of self-developed software of € 36 million and € 855 million for the financial year ended Decem-
ber 31, 2020 and 2019, respectively.
In addition, the Group recorded amortization on Equities software subject to the transformation strategy of € 178 million and
€ 114 million for the financial year ended December 31, 2020 and 2019, respectively. The impairment write-down as well as
the software amortization are included within the general and administrative expenses of the Group’s results in 2020 and
2019, respectively.
Impairment of Right of Use assets and other related impacts
The Group recognized impairments, accelerated or higher depreciation of Right-of-Use (RoU) assets, asset write downs and
accelerated depreciation on leasehold improvements and furniture, onerous contracts provisions for non-lease costs, depre-
ciation of capitalized reinstatement costs and other one-time relocation costs of € 195 million and € 137 million for the financial
year ended December 31, 2020 and 2019, respectively. Certain of these costs related to incremental or accelerated decisions
are driven by the changes in our expected operations due to the COVID-19 pandemic.
Deferred tax asset valuation adjustments
Each quarter, the Group re-evaluates its estimate related to deferred tax assets, including its assumptions about future profit-
ability. In connection with the transformation the Group adjusted the estimate related to deferred tax assets in affected juris-
dictions, such as the UK and the U.S., and recognized € 37 million and € 2.8 billion of valuation adjustments for the financial
year ended December 31, 2020 and 2019, respectively.
Restructuring and severance charges
Starting with the announcement of the transformation of Deutsche Bank on July 7, 2019, we designated all restructuring
expenses as related to the transformation announcement and the subsequent business re-organization and perimeter
changes resulting in € 485 million and € 611 million restructuring expenses for the Group for the financial year ended Decem-
ber 31, 2020 and 2019, respectively. These charges are comprised of termination benefits, additional expenses covering the
acceleration of deferred compensation awards not yet amortized due to the discontinuation of employment and contract ter-
mination costs related to real estate. 1,447 and 2,564 full-time equivalent employees (FTE) were impacted by the re-organi-
zation and changes during the financial year 2020 and 2019, respectively.
In addition to these restructuring expenses, € 203 million and € 97 million of severance related to the transformation announce-
ment were recorded for the financial year ended December 31, 2020 and 2019, respectively.
Other transformation related expenses
As a result of the strategic transformation the Group recognized other transformation related expenses including expenses for
Audit, Accounting & Tax, consulting fees and IT consulting fees of € 82 million and € 39 million for the financial year ended
December 31, 2020 and 2019, respectively.
390
Deutsche Bank
Annual Report 2020
Confirmations
Report on the audit of the consolidated financial statements and of the group management report
Confirmations
Independent Auditor’s Report
To Deutsche Bank Aktiengesellschaft, Frankfurt am Main
Report on the audit of the consolidated financial statements
and of the group management report
Opinions
We have audited the consolidated financial statements of Deutsche Bank Aktiengesellschaft, Frankfurt am Main, and its sub-
sidiaries (the Group), which comprise the consolidated balance sheet as at 31 December 2020, and the consolidated state-
ment of income, consolidated statement of comprehensive income, consolidated statement of changes in equity and consoli-
dated statement of cash flows for the fiscal year from 1 January 2020 to 31 December 2020, and notes to the consolidated
financial statements, including a summary of significant accounting policies. In addition, we have audited the group manage-
ment report of Deutsche Bank Aktiengesellschaft, Frankfurt am Main, which is combined with the management report of the
Bank, for the fiscal year from 1 January 2020 to 31 December 2020. In accordance with the German legal requirements, we
have not audited the content of the combined Corporate Governance Statement pursuant to Sec. 315d HGB which is pub-
lished on the website stated in the group management report and is part of the management report.
In our opinion, on the basis of the knowledge obtained in the audit,
– the accompanying consolidated financial statements comply, in all material respects, with the IFRSs as adopted by the EU,
and the additional requirements of German commercial law pursuant to Sec. 315e (1) HGB and, in compliance with these
requirements, give a true and fair view of the assets, liabilities and financial position of the Group as at 31 December 2020
and of its financial performance for the fiscal year from 1 January 2020 to 31 December 2020, and
– the accompanying group management report as a whole provides an appropriate view of the Group’s position. In all material
respects, this group management report is consistent with the consolidated financial statements, complies with German
legal requirements and appropriately presents the opportunities and risks of future development. Our opinion on the group
management report does not cover the content of the combined Corporate Governance Statement referred to above.
Pursuant to Sec. 322 (3) Sentence 1 HGB, we declare that our audit has not led to any reservations relating to the legal
compliance of the consolidated financial statements and of the group management report.
Basis for the opinions
We conducted our audit of the consolidated financial statements and of the group management report in accordance with
Sec. 317 HGB and the EU Audit Regulation (No 537/2014, referred to subsequently as “EU Audit Regulation”) and in compli-
ance with German Generally Accepted Standards for Financial Statement Audits promulgated by the Institut der
Wirtschaftsprüfer [Institute of Public Auditors in Germany] (IDW). Our responsibilities under those requirements and principles
are further described in the “Auditor’s responsibilities for the audit of the consolidated financial statements and of the group
management report” section of our auditor’s report. We are independent of the group entities in accordance with the require-
ments of European law and German commercial and professional law, and we have fulfilled our other German professional
responsibilities in accordance with these requirements. In addition, in accordance with Art. 10 (2) f) of the EU Audit Regulation,
we declare that we have not provided non-audit services prohibited under Art. 5 (1) of the EU Audit Regulation. We believe
that the audit evidence we have obtained is sufficient and appropriate to provide a basis for our opinions on the consolidated
financial statements and on the group management report.
Key audit matters in the audit of the consolidated financial statements
Key audit matters are those matters that, in our professional judgment, were of most significance in our audit of the consoli-
dated financial statements for the fiscal year from 1 January 2020 to 31 December 2020. These matters were addressed in
the context of our audit of the consolidated financial statements as a whole, and in forming our opinion thereon; we do not
provide a separate opinion on these matters.
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Deutsche Bank
Annual Report 2020
Confirmations
Report on the audit of the consolidated financial statements and of the group management report
Below, we describe what we consider to be the key audit matters:
1.
Valuation of level 3 financial instruments and related inputs not quoted in active markets
Reasons why the matter was determined to be a key audit matter
The bank uses valuation techniques to establish the fair value of level 3 financial instruments and related inputs not
quoted in active markets. The bank held level 3 financial assets and financial liabilities measured at fair value of EUR
23,583 million and EUR 8,867 million as of December 31, 2020. The relevant financial instruments are reported within
financial assets and liabilities at fair value through profit or loss.
Financial instruments and related inputs that are not quoted in active markets include structured derivatives valued
using complex models; derivatives with non-standard collateral arrangements; more-complex OTC derivatives; dis-
tressed debt; highly-structured bonds; private equity placements; commercial real estate loans; illiquid loans; and mu-
nicipal bonds; credit and funding spreads used to determine valuation adjustments (Credit Valuation Adjustment and
Funding Valuation Adjustment); and other inputs which cannot be observed for instruments with longer-dated maturi-
ties.
As the valuation of level 3 financial instruments and related inputs not quoted in active markets is based on a high
degree on management’s assumptions and judgements due to the complex nature of the valuation techniques and
models being utilized and the unobservability of the significant inputs used, this is a key audit matter.
Auditor’s response
We obtained an understanding, evaluated the design and tested the operational effectiveness of the controls over manage-
ment’s processes to determine fair value of financial instruments and determination of significant unobservable inputs therein,
including controls relating to independent price verification; independent validation of valuation models, including assessment
of model limitations; monitoring of potentially inappropriate valuation model usage; calculation of fair value adjustments; and
the associated controls over relevant information technology systems.
We evaluated the valuation techniques, models and methodologies, and tested the inputs used in those models. We performed
an independent revaluation of a sample of derivatives and other financial instruments at fair value using independent models
and inputs. We also independently assessed the reasonableness of a sample proxy inputs used.
In addition, we evaluated the methodology and inputs used by management in determining fair value adjustments against the
requirements of IFRS 13 and performed recalculations for a sample of these valuation adjustments using our own independent
data and methodology.
We involved internal specialists who have particular expertise in the area of financial instruments valuation.
Our procedures did not lead to any reservations relating to the valuation of level 3 financial instruments and related inputs not
quoted in active markets.
Reference to related disclosures
Information on the valuation techniques, models and methodologies used in the measurement of fair value is provided in notes
1 and 13 of the notes to the consolidated financial statements.
Inclusion of forward-looking information in the model-based calculation of expected
2.
credit losses
Reasons why the matter was determined to be a key audit matter
As of December 31, 2020, the Group recognized an allowance for credit losses of EUR 5,385 million.
The estimated probabilities of default used in the model-based calculation of expected credit losses on non-defaulted financial
instruments (IFRS 9 Stage 1 and Stage 2) are based on historical information, combined with current economic developments
and forward-looking macroeconomic forecasts (e.g., gross domestic product and unemployment rates). Statistical techniques
are then applied to transform the base scenario into a multiple scenario analysis. The scenarios specify deviations from the
baseline forecasts. These are then used for deriving multi-year PD curves for different rating and counterparty classes, which
are applied in the calculation of expected credit losses and in the identification of significant deterioration in credit quality of
financial assets. In light of the economic uncertainty arising as a result of the COVID-19 pandemic in the fiscal year, the
resulting uncertainty in the estimation of forward-looking information and the impact of government support schemes on the
392
Deutsche Bank
Annual Report 2020
Confirmations
Report on the audit of the consolidated financial statements and of the group management report
early detection of risks, the Bank made adjustments to the expected credit losses calculated using the conventional credit risk
models and forecasting methods.
In view of the significant holdings of non-defaulted financial instruments and the increased uncertainty and use of judgment,
including the COVID-19 pandemic, we consider the inclusion of forward-looking information (e.g., gross domestic product and
unemployment rates) in the model-based calculation of expected credit losses to be a key audit matter.
Auditor’s response
During our audit we obtained an understanding of the processes implemented by the Bank, assessed the design of the controls
over the selection, determination and validation of forward-looking information in respect of the requirements under IFRS 9,
and tested their operating effectiveness.
We evaluated the review of the forecasting methods on the basis of the Bank’s model validation reports. Furthermore, we
evaluated the methods used to include the selected variables in the baseline scenario and the performance of the multi-
scenario analysis.
We assessed the macroeconomic forecasts used by the Bank as of the reporting date by comparing them with the macroe-
conomic forecasts produced by external sources.
We also evaluated the methodology applied by the Bank in making adjustments. In so doing, we assessed the results of the
Bank’s sensitivity analyses by drawing on insights from our own benchmark analyses. We also tested that the adjustments
were considered in the calculation of expected credit losses according to management’s methodology.
To audit the inclusion of forward-looking information in the model-based calculation of expected credit losses, we involved
internal specialists who have particular expertise in the area of credit risk modeling.
Our procedures did not lead to any reservations relating to the inclusion of forward-looking information in the model-based
calculation of expected credit losses.
Reference to related disclosures
Information on the inclusion of forward-looking information in the model-based calculation of expected credit losses is provided
in notes 1 and 19 to the notes to the consolidated financial statements.
3.
Measurement of goodwill for the Asset Management cash-generating unit
Reasons why the matter was determined to be a key audit matter
As of December 31, 2020, the Group reports goodwill of EUR 2,739 million that was exclusively allocated to its Asset Man-
agement cash-generating unit (CGU).
For purposes of the impairment test the recoverable amount of the Asset Management cash-generating unit is calculated
using the discounted cash flow model. In this context, assumptions must be made regarding, earnings projections, long-term
growth rate and the discount rate. The discount rate is derived using the Capital Asset Pricing Model.
As the measurement of goodwill for the Asset Management cash-generating unit is based on a high degree of judgment this
is a key audit matter.
Auditor’s response
During our audit procedures we obtained an understanding of the process for preparing the multi-year plan and calculating
the recoverable amount of goodwill for the Asset Management cash-generating unit. In this respect, we also obtained an
understanding of management’s controls regarding the earnings projections, applied discount rate and long-term growth rate,
assessed the design of such controls and tested their effectiveness.
Furthermore, we analyzed the significant assumptions described above with a focus on significant changes in the planning
assumptions compared with the prior year. In this regard, we assessed the consistency and verifiability of the significant
assumptions used in the multi-year plan and also compared them with external market expectations.
In analyzing the expected future cash flows of the Asset Management cash-generating unit, we compared the business plan
with the prior fiscal year’s plan and with the actual results achieved and evaluated any significant deviations. Furthermore, we
examined the extent to which the assumptions on the economic development in the detailed planning period and for the
perpetual annuity are within a range of externally available forecasts. We examined the valuation parameters used for the
estimate of the recoverable amount, such as estimated discount rate and long-term growth rate, in comparison to externally
available parameters.
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Deutsche Bank
Annual Report 2020
Confirmations
Report on the audit of the consolidated financial statements and of the group management report
We also recalculated the arithmetical accuracy of the valuation model used.
To audit the recoverability of goodwill, we involved internal specialists who have particular expertise in the area of business
valuation.
Our procedures did not lead to any reservations relating to the measurement of the goodwill for the Asset Management cash-
generating unit.
Reference to related disclosures
Information on the measurement of goodwill is provided in notes 1 and 23 of the notes to the consolidated financial statements.
Measurement of the unamortized intangible asset from retail investment management
4.
agreements in the U.S. (“Scudder”)
Reasons why the matter was determined to be a key audit matter
As of December 31, 2020, the Group reports an intangible asset of EUR 706 million stemming from agreements to manage a
variety of retail mutual funds in the US. These agreements were acquired as part of the acquisition of Zurich Scudder Invest-
ments, Inc. (Scudder) in 2002.
For purposes of the impairment test the recoverable amount is calculated as fair value less cost of disposal using the multi-
period excess earnings method on the basis of a multi-year plan of the earnings generated by the agreements and of the
expected costs of managing the retail mutual funds. The key assumptions in determining the fair value less costs of disposal
include the asset mix, the flows forecast, the effective fee rate and discount rate as well as the long-term growth rate.
As the measurement of the “Scudder” unamortized intangible asset is based on a high degree of judgment this is a key audit
matter.
Auditor’s response
For our audit, the process for preparing the multi-year plan and for the further calculation of the recoverable amount of the
“Scudder” intangible asset was assessed and an understanding of management’s controls was obtained and the design and
operating effectiveness of the controls related to the asset mix, flows forecast, effective fee rate and discount rate as well as
the long-term growth rate was assessed.
Furthermore, the significant assumptions described above with a focus on significant changes in the planning assumptions
compared with the prior year were analyzed. In this regard, the consistency and verifiability of the significant assumptions
used in the multi-year plan were assessed and also compared with external market expectations.
In analyzing the expected earnings from the investment management agreements, the business plan was compared to the
prior fiscal year’s plan and to the actual results achieved and any significant deviations were evaluated. Furthermore, the
extent to which the assumptions on the economic development in the detailed planning period and for the perpetual annuity
are within a range of externally available forecasts was examined. The valuation parameters used for the estimate of the
recoverable amount, such as estimated discount rate and long-term growth rate, in comparison to externally available param-
eters were examined.
To audit the impairment of the “Scudder” unamortized intangible asset, we involved internal specialists who have particular
expertise in the area of business valuation.
Our procedures did not lead to any reservations relating to the measurement of the “Scudder” unamortized intangible asset.
Reference to related disclosures
Information on the measurement of the “Scudder” unamortized intangible asset is provided in notes 1 and 23 of the notes to
the consolidated financial statements.
5.
Recognition and measurement of deferred tax assets
Reasons why the matter was determined to be a key audit matter
As of December 31, 2020, the Group reports net deferred tax assets of EUR 5,497 million.
The estimation of future ability to utilize such assets depends on the potential for future taxable profit. This is subject to
estimation uncertainty and is dependent on the expected development of key assumptions. These include, but are not limited
to, assumptions on the forecasted operating results based upon approved business plans, including a review of the eligible
carry-forward periods, tax planning opportunities and other relevant considerations.
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Deutsche Bank
Annual Report 2020
Confirmations
Report on the audit of the consolidated financial statements and of the group management report
In light of the material significance and the use of judgment in numerous estimates of future taxable profit and the ability to
use tax losses and previously unclaimed tax credits, the recognition and measurement of deferred tax assets is a key audit
matter.
Auditor’s response
We obtained an understanding of the process for the recognition and measurement of deferred tax assets to determine
whether deductible temporary differences and net operating loss carryforwards are identified and measured in accordance
with the provisions of tax law and rules for accounting for deferred taxes under IAS 12, evaluated the design and tested the
operational effectiveness of the controls.
This included, but was not limited to, the assumptions used to develop and allocate elements of the approved business plan
as a basis for estimating the future taxable income of the relevant group companies and tax groups.
Furthermore, we verified the methodology for the recognition of deferred tax assets by analyzing the assumptions made in
estimating future taxable profits. We assessed the accuracy of the data used to estimate future taxable income by comparing
the key assumptions underlying the forecast of future taxable income with historical and prospective data available externally.
We also assessed the parameters applied to the approved business plans and performed sensitivity analyses for the under-
lying assumptions. We additionally compared the historical forecasts with the actual results.
To audit the above assumptions involved in the recoverability of the deferred taxes, we involved our tax professionals and
internal specialists who have knowledge in the area of business valuation.
Our procedures did not lead to any reservations relating to the recognition and measurement of the deferred tax assets.
Reference to related disclosures
Information on the recognition and measurement of deferred tax assets is provided in notes 1 and 34 of the notes to the
consolidated financial statements.
6.
IT Access and Change Management in the financial reporting
Reasons why the matter was determined to be a key audit matter
The accuracy of the bank’s group financial reporting is highly dependent on the reliability and the continuity of the used infor-
mation technology due to the significant number of transactions that are processed daily.
The bank continued to make efforts during the year to enhance the centralization of their IT systems and processes, to increase
the reliability and continuity of the IT processing and access and change management as well as to reduce the IT complexity.
Given the high dependency on reliable and continuing data processing and given the pervasive nature of IT controls on the
internal control system, we consider IT Access and Change Management in the financial reporting as a key audit matter.
Auditor’s response
We assessed the IT control environment including the IT general controls as well as the IT application controls relevant to the
financial reporting. Our procedures also covered the changes during the year on the current IT control environment from
ongoing centralization activities.
Moreover, we tested the operating effectiveness of IT general controls related to user access management and change man-
agement across applications, databases and operating systems. Additionally, we tested IT application controls over automated
data processing, data feeds and interfaces. Our audit procedures related to IT access management included, but were not
limited to, user access provisioning and withdrawal, privileged user access, periodic access right recertifications, system se-
curity settings and user authentication controls. Our audit procedures related to IT change management included, but were
not limited to, evaluating if changes were tested and approved prior to implementation and changes in the user management
is restricted to authorized users.
Furthermore, we tested if program developers had approval rights for changes in productive systems and whether they were
able to carry out any modifications due to their access rights in the productive versions of applications, databases, and oper-
ating systems respectively to assess if these responsibilities were functionally segregated.
To audit the IT Access and Change Management in the financial reporting process, we involved internal professionals who
have particular expertise in the area of IT audits.
Our audit procedures did not lead to any reservations relating to the IT access and change management in the financial
reporting.
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Deutsche Bank
Annual Report 2020
Confirmations
Report on the audit of the consolidated financial statements and of the group management report
Reference to related disclosures
For a general description of internal controls over the financial reporting, we refer to the combined management report in
section “Internal Control over Financial Reporting”.
Other information
The Supervisory Board is responsible for the Report of the Supervisory Board. The executive directors and the Supervisory
Board are responsible for the declaration pursuant to Sec. 161 AktG [“Aktiengesetz”: German Stock Corporation Act] on the
German Corporate Governance Code, which is part of the combined Corporate Governance Statement. In all other respects,
the executive directors are responsible for the other information. The other information comprises
– the combined Corporate Governance Statement pursuant to Sec. 315d HGB published on the website referred to in the
group management report
and other parts to be included in the annual report, of which we obtained a version prior to issuing this auditor’s report, in
particular:
– the Non-financial Statement,
– the Responsibility Statement pursuant to Sec. 297 (2) Sentence 4 HGB in conjunction with Sec. 315 (1) Sentence 6 HGB,
– the “Deutsche Bank – Financial Summary” section,
– the “Deutsche Bank Group” section,
– the “Corporate Governance Statement/Corporate Governance Report” section and
– the “Supplementary Information” section,
but not the consolidated financial statements, not the group management report disclosures whose content is audited and not
our auditor’s report thereon.
Our opinions on the annual financial statements and on the management report do not cover the other information, and con-
sequently we do not express an opinion or any other form of assurance conclusion thereon.
In connection with our audit, our responsibility is to read the other information referred to above and, in so doing, to consider
whether the other information
– is materially inconsistent with the consolidated financial statements, the disclosures in the group management report whose
content was audited or our knowledge obtained in the audit, or
– otherwise appears to be materially misstated.
If, based on the work we have performed, we conclude that there is a material misstatement of this other information, we are
required to report that fact. We have nothing to report in this regard.
Responsibilities of the executive directors and the Supervisory Board for the con-
solidated financial statements and the group management report
The executive directors are responsible for the preparation of the consolidated financial statements that comply, in all material
respects, with IFRSs as adopted by the EU and the additional requirements of German commercial law pursuant to Sec. 315e
(1) HGB, and that the consolidated financial statements, in compliance with these requirements, give a true and fair view of
the assets, liabilities, financial position and financial performance of the Group. In addition, the executive directors are respon-
sible for such internal control as they have determined necessary to enable the preparation of consolidated financial state-
ments that are free from material misstatement, whether due to fraud or error.
In preparing the consolidated financial statements, the executive directors are responsible for assessing the Group’s ability to
continue as a going concern. They also have the responsibility for disclosing, as applicable, matters related to going concern.
In addition, they are responsible for financial reporting based on the going concern basis of accounting unless there is an
intention to liquidate the Group or to cease operations, or there is no realistic alternative but to do so.
Furthermore, the executive directors are responsible for the preparation of the group management report that, as a whole,
provides an appropriate view of the Group’s position and is, in all material respects, consistent with the consolidated financial
statements, complies with German legal requirements, and appropriately presents the opportunities and risks of future devel-
opment. In addition, the executive directors are responsible for such arrangements and measures (systems) as they have
considered necessary to enable the preparation of a group management report that is in accordance with the applicable
German legal requirements, and to be able to provide sufficient appropriate evidence for the assertions in the group manage-
ment report.
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Deutsche Bank
Annual Report 2020
Confirmations
Report on the audit of the consolidated financial statements and of the group management report
The Supervisory Board is responsible for overseeing the Group’s financial reporting process for the preparation of the consol-
idated financial statements and of the group management report.
Auditor’s responsibilities for the audit of the consolidated financial statements
and of the group management report
Our objectives are to obtain reasonable assurance about whether the consolidated financial statements as a whole are free
from material misstatement, whether due to fraud or error, and whether the group management report as a whole provides an
appropriate view of the Group’s position and, in all material respects, is consistent with the consolidated financial statements
and the knowledge obtained in the audit, complies with the German legal requirements and appropriately presents the oppor-
tunities and risks of future development, as well as to issue an auditor’s report that includes our opinions on the consolidated
financial statements and on the group management report.
Reasonable assurance is a high level of assurance, but is not a guarantee that an audit conducted in accordance with Sec. 317
HGB and the EU Audit Regulation and in compliance with German Generally Accepted Standards for Financial Statement
Audits promulgated by the Institut der Wirtschaftsprüfer (IDW) will always detect a material misstatement. Misstatements can
arise from fraud or error and are considered material if, individually or in the aggregate, they could reasonably be expected to
influence the economic decisions of users taken on the basis of these consolidated financial statements and this group man-
agement report.
We exercise professional judgment and maintain professional skepticism throughout the engagement. We also:
– Identify and assess the risks of material misstatement of the consolidated financial statements and of the group manage-
ment report, whether due to fraud or error, design and perform audit procedures responsive to those risks, and obtain audit
evidence that is sufficient and appropriate to provide a basis for our opinions. The risk of not detecting a material misstate-
ment resulting from fraud is higher than for one resulting from error, as fraud may involve collusion, forgery, intentional
omissions, misrepresentations, or the override of internal control.
– Obtain an understanding of internal control relevant to the audit of the consolidated financial statements and of arrange-
ments and measures (systems) relevant to the audit of the group management report in order to design audit procedures
that are appropriate in the circumstances, but not for the purpose of expressing an opinion on the effectiveness of these
systems.
– Evaluate the appropriateness of accounting policies used by the executive directors and the reasonableness of estimates
made by the executive directors and related disclosures.
– Conclude on the appropriateness of the executive directors’ use of the going concern basis of accounting and, based on
the audit evidence obtained, whether a material uncertainty exists related to events or conditions that may cast significant
doubt on the Group’s ability to continue as a going concern. If we conclude that a material uncertainty exists, we are
required to draw attention in the auditor’s report to the related disclosures in the consolidated financial statements and in
the group management report or, if such disclosures are inadequate, to modify our respective opinions. Our conclusions
are based on the audit evidence obtained up to the date of our auditor’s report. However, future events or conditions may
cause the Group to cease to be able to continue as a going concern.
– Evaluate the overall presentation, structure and content of the consolidated financial statements, including the disclosures,
and whether the consolidated financial statements present the underlying transactions and events in a manner that the
consolidated financial statements give a true and fair view of the assets, liabilities, financial position and financial perfor-
mance of the Group in compliance with IFRSs as adopted by the EU and the additional requirements of German commercial
law pursuant to Sec. 315e (1) HGB.
– Obtain sufficient appropriate audit evidence regarding the financial information of the entities or business activities within
the Group to express opinions on the consolidated financial statements and on the group management report. We are
responsible for the direction, supervision and performance of the group audit. We remain solely responsible for our audit
opinions.
– Evaluate the consistency of the group management report with the consolidated financial statements, its conformity with
[German] law, and the view of the Group’s position it provides.
– Perform audit procedures on the forward-looking information presented by the executive directors in the group management
report. On the basis of sufficient appropriate audit evidence we evaluate, in particular, the significant assumptions used by
the executive directors as a basis for the forward-looking information, and evaluate the proper derivation of the forward-
looking information from these assumptions. We do not express a separate opinion on the forward-looking information and
on the assumptions used as a basis. There is a substantial unavoidable risk that future events will differ materially from the
forward-looking information.
We communicate with those charged with governance regarding, among other matters, the planned scope and timing of the
audit and significant audit findings, including any significant deficiencies in internal control that we identify during our audit.
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Report on the audit of the consolidated financial statements and of the group management report
We also provide those charged with governance with a statement that we have complied with the relevant independence
requirements, and communicate with them all relationships and other matters that may reasonably be thought to bear on our
independence and where applicable, the related safeguards.
From the matters communicated with those charged with governance, we determine those matters that were of most signifi-
cance in the audit of the consolidated financial statements of the current period and are therefore the key audit matters. We
describe these matters in our auditor’s report unless law or regulation precludes public disclosure about the matter.
Other legal and regulatory requirements
Report on the assurance in accordance with Sec. 317 (3b) HGB on the electronic reproduction
of the consolidated financial statements and the group management report prepared for publica-
tion purposes
Opinion
We have performed assurance work in accordance with Sec. 317 (3b) HGB to obtain reasonable assurance about whether
the reproduction of the consolidated financial statements and the group management report (hereinafter the “ESEF docu-
ments”) contained in the attached electronic file [Deutsche_Bank_AG_KA+KLB_ESEF-2020-12-31.zip] and prepared for pub-
lication purposes complies in all material respects with the requirements of Sec. 328 (1) HGB for the electronic reporting format
(“ESEF format”). In accordance with German legal requirements, this assurance only extends to the conversion of the infor-
mation contained in the consolidated financial statements and the group management report into the ESEF format and there-
fore relates neither to the information contained in this reproduction nor to any other information contained in the abovemen-
tioned electronic file.
In our opinion, the reproduction of the consolidated financial statements and the group management report contained in the
abovementioned attached electronic file and prepared for publication purposes complies in all material respects with the re-
quirements of Sec. 328 (1) HGB for the electronic reporting format. We do not express any opinion on the information con-
tained in this reproduction nor on any other information contained in the abovementioned file beyond this reasonable assur-
ance opinion and our audit opinions on the accompanying consolidated financial statements and the accompanying group
management report for the fiscal year from 1 January 2020 to 31 December 2020 contained in the “Report on the audit of the
consolidated financial statements and of the group management report” above.
Basis for the opinion
We conducted our assurance work on the reproduction of the consolidated financial statements and the group management
report contained in the abovementioned attached electronic file in accordance with Sec. 317 (3b) HGB and Exposure Draft of
IDW Assurance Standard: Assurance in Accordance with Sec. 317 (3b) HGB on the Electronic Reproduction of Financial
Statements and Management Reports Prepared for Publication Purposes (ED IDW AsS 410). Our responsibilities under that
standard are further described in the “Group auditor’s responsibilities for the assurance work on the ESEF documents” section.
Our auditor practice applied the requirements set forth in IDW Quality Control Standard: “Anforderungen an die Quali-
tätssicherung in der Wirtschaftsprüferpraxis“ [Requirements for Quality Control in the Practice of Public Auditors] (IDW QS 1)
with regard to its quality control system.
Responsibilities of the executive directors and the Supervisory Board for the ESEF documents
The executive directors of the Bank are responsible for the preparation of the ESEF documents including the electronic repro-
duction of the consolidated financial statements and the group management report in accordance with Sec. 328 (1) Sentence
4 No. 1 HGB and for the tagging of the consolidated financial statements in accordance with Sec. 328 (1) Sentence 4 No. 2
HGB.
In addition, the executive directors of the Bank are responsible for such internal control as they have considered necessary to
enable the preparation of ESEF documents that are free from material non-compliance with the requirements of Sec. 328 Abs.
1 HGB for the electronic reporting format, whether due to fraud or error.
The executive directors of the Bank are also responsible for the submission of the ESEF documents together with the auditor’s
report and the attached audited consolidated financial statements and group management report as well as other documents
to be published to the operator of the Bundesanzeiger [German Federal Gazette].
The Supervisory Board is responsible for overseeing the preparation of the ESEF documents as part of the financial reporting
process.
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Confirmations
Report on the audit of the consolidated financial statements and of the group management report
Group auditor’s responsibilities for the assurance work on the ESEF documents
Our objective is to obtain reasonable assurance about whether the ESEF documents are free from material non-compliance
with the requirements of Sec. 328 (1) HGB, whether due to fraud or error. We exercise professional judgment and maintain
professional skepticism throughout the engagement. We also:
– Identify and assess the risks of material non-compliance with the requirements of Sec. 328 (1) HGB, whether due to fraud
or error, design and perform audit procedures responsive to those risks, and obtain assurance evidence that is sufficient
and appropriate to provide a basis for our assurance opinion.
– Obtain an understanding of internal control relevant to the assurance on the ESEF documents in order to design assurance
procedures that are appropriate in the circumstances, but not for the purpose of expressing an assurance opinion on the
effectiveness of these controls.
– Evaluate the technical validity of the ESEF documents, i.e., whether the electronic file containing the ESEF documents
meets the requirements of Delegated Regulation (EU) 2019/815, in the version valid as of the reporting date, on the tech-
nical specification for this electronic file.
– Evaluate whether the ESEF documents enable an XHTML reproduction with content equivalent to the audited consolidated
financial statements and to the audited group management report.
– Evaluate whether the tagging of the ESEF documents with Inline XBRL technology (iXBRL) enables an appropriate and
complete machine-readable XBRL copy of the XHTML reproduction.
Further information pursuant to Art. 10 of the EU Audit Regulation
We were elected as group auditor by the Annual General Meeting on 20 May 2020. We were engaged by the Supervisory
Board on 5 June 2020. We have been the group auditor of Deutsche Bank Aktiengesellschaft since fiscal year 2020.
We declare that the opinions expressed in this auditor’s report are consistent with the additional report to the Audit Committee
pursuant to Art. 11 of the EU Audit Regulation (long-form audit report).
German Public Auditor responsible for the engagement
The German Public Auditor responsible for the engagement is Mr. Holger Lösken.
Eschborn/Frankfurt am Main, 8 March 2021
Ernst & Young GmbH
Wirtschaftsprüfungsgesellschaft
Barth
Lösken
Wirtschaftsprüfer
Wirtschaftsprüfer
[German Public Auditor]
[German Public Auditor]
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Deutsche Bank
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Confirmations
Responsibility statement by the Management Board
Responsibility statement by the Management Board
To the best of our knowledge, and in accordance with the applicable reporting principles, the consolidated financial statements
give a true and fair view of the assets, liabilities, financial position and profit or loss of the Group and the Group management
report, which has been combined with the management report for Deutsche Bank AG, includes a fair review of the development
and performance of the business and the position of the Group, together with a description of the principal opportunities and risks
associated with the expected development of the Group.
Frankfurt am Main, March 4, 2021
Christian Sewing
Karl von Rohr
Fabrizio Campelli
Frank Kuhnke
Bernd Leukert
Stuart Lewis
James von Moltke
Alexander von zur Mühlen
Christiana Riley
Stefan Simon
400
3
Corporate Governance Statement
according to Sections 289f and 315d
of the German Commercial Code /
Corporate Governance Report
402 Management Board and Supervisory Board
417 Reporting and transparency
417 Related party transactions
418 Auditing and controlling
421
Compliance with the German Corporate
Governance Code
Deutsche Bank
Annual Report 2020
Management Board and Supervisory Board
Management Board
All information presented in this Corporate Governance Statement according to Section 289f and 315d of the German Com-
mercial Code is as of February 19, 2021.
Management Board and Supervisory Board
Management Board
The Management Board of Deutsche Bank AG is responsible for the management of the company in accordance with the law,
the Articles of Association of Deutsche Bank AG and the Terms of Reference for the Management Board with the objective of
creating sustainable value in the interests of the company. It considers the interests of shareholders, employees and other
company-related stakeholders. The members of the Management Board are collectively responsible for managing the bank’s
business. The Management Board, as the Group Management Board, manages Deutsche Bank Group in accordance with
uniform guidelines; it exercises general control over all Group companies.
The Management Board decides on all matters prescribed by law and the Articles of Association and ensures compliance with
the legal requirements and internal guidelines (compliance). It also takes the necessary measures to ensure that adequate
internal guidelines are developed and implemented. The Management Board's responsibilities include, in particular, the bank’s
strategic management and direction, the allocation of resources, financial accounting and reporting, control and risk manage-
ment, as well as a properly functioning business organization and corporate control. The Management Board decides on the
appointments to the senior management level below the Management Board and, in particular, on the appointment of Global
Key Function Holders. In appointing people to management functions in the Group, the Management Board takes diversity
into account and strives, in particular, to achieve an appropriate representation of women (more detailed information in section
“Targets for the proportion of women in management positions/gender quota“ in this Corporate Governance Statement).
The Management Board works closely together with the Supervisory Board in a cooperative relationship of trust and for the
benefit of the company. The Management Board reports to the Supervisory Board at a minimum within the scope prescribed
by law or administrative guidelines, in particular on all issues with relevance for the Group concerning strategy, the intended
business policy, planning, business development, risk situation, risk management, staff development, reputation and compli-
ance.
A comprehensive presentation of the duties, responsibilities and procedures of our Management Board is specified in its
Terms of Reference, the current version of which is available on our website (www.db.com/ir/en/documents.htm).
Personnel changes to the Management Board and the current members of the Management
Board
The following members of the Management Board were appointed for a three-year period:
– Christiana Riley and Bernd Leukert with effect from January 1, 2020
– Professor Dr. Stefan Simon and Alexander von zur Mühlen with effect from August 1, 2020.
The following members of the Management Board left the Management Board:
– As of July 31, 2020: Werner Steinmüller.
The following, information is provided on the current members of the Management Board on the year in which they were born,
year in which they were first appointed and year in which their term expires as well as their current positions and area of
responsibility according to the current Business Allocation Plan for the Management Board. Also specified are their other
board mandates or directorships outside of Deutsche Bank Group as well as all memberships in legally prescribed supervisory
boards or other comparable domestic or foreign supervisory bodies of commercial enterprises. The members of our Manage-
ment Board have generally undertaken not to assume chairmanships of supervisory boards of companies outside Deutsche
Bank Group.
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Management Board and Supervisory Board
Management Board
Christian Sewing
Year of birth: 1970
First appointed: 2015
Term expires: 2022
Christian Sewing became a member of our Management Board on January 1, 2015, and Chairman of the Management Board
with effect from April 8, 2018. He is responsible on the Management Board for Communications & Corporate Social Respon-
sibility (CSR), Research and Group Audit as well as for the Corporate Bank and the Investment Bank.
Prior to assuming his role on the Management Board, Mr. Sewing was Global Head of Group Audit and held a number of
positions before that in Risk, including Deputy Chief Risk Officer (from 2012 to 2013) and Chief Credit Officer (from 2010 to
2012) of Deutsche Bank.
From 2005 until 2007, Mr. Sewing was a member of the Management Board of Deutsche Genossenschafts-Hypothekenbank.
Before graduating with a diploma from the Bankakademie Bielefeld and Hamburg, Mr. Sewing completed a bank apprentice-
ship at Deutsche Bank in 1989.
Mr. Sewing does not have any external directorships subject to disclosure.
Karl von Rohr
Year of birth: 1965
First appointed: 2015
Term expires: 2023
Karl von Rohr became a member of our Management Board on November 1, 2015, and President as of April 8, 2018. He is
responsible on the Management Board for the Private Bank and Asset Management (AM). He is also Regional Chief Executive
Officer (CEO) for Germany and since September 2020 has also been responsible for the EMEA Region (Europe, Middle, East
and Africa).
Mr. von Rohr joined Deutsche Bank in 1997. From November 2015 to November 2019 he was the Management Board member
responsible for Human Resources and until the end of July 31, 2020, he was responsible for Legal, Group Governance and
Government & Regulatory Affairs. From 2013 to 2015 he was Global Chief Operating Officer, Regional Management. Prior to
this, he was Head of Human Resources for Deutsche Bank in Germany and member of the Management Board of Deutsche
Bank Privat- und Geschäftskunden AG. During his time at Deutsche Bank, he has held various senior management positions
in other divisions in Germany and Belgium.
He studied law at the universities of Bonn (Germany), Kiel (Germany), Lausanne (Switzerland) and at Cornell University
(U.S.A.).
Mr. von Rohr does not have any external directorships subject to disclosure.
Mr. von Rohr is Chairman of the Supervisory Board of DWS Group GmbH & Co. KGaA and was Chairman of the Supervisory
Board of DB Privat- und Firmenkundenbank AG until May 15, 2020.
Fabrizio Campelli
Year of birth: 1973
First appointed: 2019
Term expires: 2022
Fabrizio Campelli became a member of our Management Board on November 1, 2019. He is our Chief Transformation Officer
and the Management Board member responsible for Transformation and Human Resources.
He previously spent four years as the Global Head of Deutsche Bank Wealth Management. Before that he was Head of
Strategy & Organizational Development as well as Deputy Chief Operating Officer for Deutsche Bank Group.
He joined Deutsche Bank in 2004 after working at McKinsey & Company in the firm’s London and Milan offices, focusing on
strategic assignments mainly for global financial institutions.
He holds an MBA from MIT Sloan School of Management and a Business Administration degree from Bocconi University in
Milan.
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Management Board and Supervisory Board
Management Board
Mr. Campelli has been a member of the following Supervisory Boards since June 26, 2020: BVV Versicherungsverein des
Bankgewerbes a.G. and BVV Versorgungskasse des Bankgewerbes e.V.
He was Chairman of the Board of Directors of Deutsche Bank (Suisse) SA until December 31, 2020.
Frank Kuhnke
Year of birth: 1967
First appointed: 2019
Term expires: 2021
Frank Kuhnke became a member of our Management Board on January 1, 2019. He is our Chief Operating Officer and is the
Management Board member responsible for Global Procurement, Global Real Estate and for Corporate Bank/Investment
Bank/Capital Release Unit (CB/IB/CRU) Operations (excluding Settlement Operations) and CB/IB/CRU Know-Your-Customer
(KYC) Operations. In addition he is responsible for the Capital Release Unit. Until September 2020 he was responsible for the
EMEA Region.
He joined Deutsche Bank in 1986 and was appointed as Deutsche Bank’s Chief Operating Officer (COO) in April 2018. From
January 2016 until April 2018 he was Divisional Control Officer, Chief Administrative Officer and Head of Operations of the
Private & Commercial Bank. Prior to that Mr. Kuhnke was Divisional Control Officer for Deutsche Asset & Wealth Management.
From 2012 until 2015 he worked in Deutsche Bank’s Non-Core Operations Unit, initially as Chief Risk Officer and subsequently
as Chief Operating Officer (COO). Between 2008 and 2012 he held management positions in Risk, based in London. During
his career, he has worked across several business divisions and infrastructure functions in Tokyo, New York and Germany
and has run global organizations within Deutsche Bank Group.
Before graduating with a diploma from Bank Akademie Lüneburg, Mr. Kuhnke completed a bank apprenticeship at Deutsche
Bank.
Mr. Kuhnke does not have any external directorships subject to disclosure.
He was a member of the Supervisory Board of Deutsche Bank Società per Azioni until June 25, 2020.
Bernd Leukert
Year of birth: 1967
First appointed: 2020
Term expires: 2022
Bernd Leukert became a member of our Management Board on January 1, 2020. He is our Chief Technology, Data
and Innovation Officer and is responsible for the Chief Information Offices for the Infrastructure areas and the busi-
ness divisions, Chief Technology Office, Technology Infrastructure, Chief Data Office, Chief Security Office, Strategy
& Innovation Network as well as CB/IB/CRU Settlement Operations.
He joined Deutsche Bank on September 1, 2019. He previously worked for many years at SAP SE, the global soft-
ware company. From 2014 to 2019, he was responsible for product development and innovations as well as the Digi-
tal Business Services division on the Executive Board. He joined SAP in 1994 and held various management posi-
tions.
Mr. Leukert studied Industrial Engineering and Management at the University of Karlsruhe and at Trinity College Dub-
lin, graduating in 1994 with a Masters Degree in Business Administration.
Mr. Leukert is member of the Supervisory Board of Bertelsmann SE & Co. KGaA and was a member of the Supervi-
sory Board of TomTom N.V. until April 15, 2020.
He has been a member of the Supervisory Board of DWS Group GmbH & Co. KgaA since July 21, 2020.
Stuart Lewis
Year of birth: 1965
First appointed: 2012
Term expires: 2023
Stuart Lewis became a member of our Management Board on June 1, 2012. He is our Chief Risk Officer responsible for the
functions managing Credit Risk, Non-Financial Risk, Market Risk and Liquidity Risk as well as for the Risk-Infrastructure units.
In addition, he is responsible for Compliance, Anti-Financial Crime (AFC) and the Business Selection and Conflicts Office as
well as the United Kingdom & Ireland region.
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Deutsche Bank
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Management Board and Supervisory Board
Management Board
He joined Deutsche Bank in 1996. Prior to assuming his current role, Mr. Lewis was Deputy Chief Risk Officer and subse-
quently Chief Risk Officer of the Corporate & Investment Bank from 2010 to 2012. Between 2006 and 2010 he was Chief
Credit Officer.
Before joining Deutsche Bank in 1996, he worked at Credit Suisse and Continental Illinois National Bank in London.
He studied at the University of Dundee, where he obtained an LLB (Hons), and he holds an LLM from the London School of
Economics. He also attended the College of Law, Guildford.
Mr. Lewis does not have any external directorships subject to disclosure. He has held the position of Visiting Professor
in Practice in the Finance Department at the London School of Economics since 2017.
He was Chairman of the Advisory Council of DEUKONA Versicherungs-Vermittlungs-GmbH until August 1, 2020 and Chair-
man of the Supervisory Board of Deutsche Bank Società per Azioni until June 25, 2020.
James von Moltke
Year of birth: 1969
First appointed: 2017
Term expires: 2023
James von Moltke became a member of our Management Board on July 1, 2017. He is our Chief Financial Officer and in this
function he is responsible for, among other things, Finance, Group Tax, Treasury and Investor Relations.
Before Mr. von Moltke joined Deutsche Bank he served as Treasurer of Citigroup. He started his career at Credit Suisse First
Boston in London in 1992. In 1995, he joined J.P. Morgan, working at the bank for 10 years in New York and Hong Kong.
After next working at Morgan Stanley in New York for four years, where he led the Financial Technology advisory team globally,
Mr. von Moltke joined Citigroup as Head of Corporate M&A in 2009. Three years later he became the Global Head of Financial
Planning for the U.S. bank.
He holds a Bachelor of Arts degree from New College, University of Oxford.
Mr. von Moltke was a member of the following Supervisory Boards until June 26, 2020: BVV Versicherungsverein des
Bankgewerbes a.G. and BVV Versorgungskasse des Bankgewerbes e.V.
Alexander von zur Mühlen
Year of birth: 1975
First appointed: 2020
Term expires: 2023
Alexander von zur Mühlen became a member of our Management Board on August 1, 2020. He is our Regional CEO Asia
Pacific.
Mr. von zur Mühlen joined Deutsche Bank in 1998 and over the years has held a range of management roles in London and
Frankfurt across infrastructure and business divisions. Between 2018 and 2020 he was responsible for the Group’s strate-
gic development and advisor to the Chief Executive Officer (CEO). Before that, he served as Co-Head of Global Capital
Markets, with a regional focus on Asia Pacific and EMEA. From 2009 to 2017, he was Group Treasurer.
Alexander von zur Mühlen holds a Diploma in Business Administration from the Berlin School of Economics and Law in Ber-
lin.
Mr. von zur Mühlen does not have any external directorships subject to disclosure.
Christiana Riley
Year of birth: 1978
First appointed: 2020
Term expires: 2022
Christiana Riley became a member of our Management Board on January 1, 2020. She is our Regional CEO Americas.
Mrs. Riley joined Deutsche Bank in 2006 where she was recently the Chief Financial Officer of the Corporate & Investment
Bank. She previously spent nine years in Group Strategy & Planning, which she headed from 2011 to 2015. Prior to this Mrs.
Riley worked at the management consultancy McKinsey & Company and at the investment bank Greenhill & Co.
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Deutsche Bank
Annual Report 2020
Management Board and Supervisory Board
Management Board
She graduated cum laude in 2000 from Princeton University in America where she studied Romance Languages, Literature
and Linguistics. She also studied at London Business School in the UK, where she gained a Master of Business Administration
in 2005.
Mrs. Riley is a member of the Supervisory Board of The Clearing House Payments Company LLC.
Mrs. Riley is Chief Executive Officer of DB USA Corporation.
Stefan Simon
Year of birth: 1969
First appointed: 2020
Term expires: 2023
Stefan Simon became a member of our Management Board on August 1, 2020. He is our Chief Administrative Officer (CAO)
and is responsible for Government and Regulatory Affairs as well as for Legal and Governance.
Mr. Simon joined Deutsche Bank on August 1, 2019. He was a member of Deutsche Bank’s Supervisory Board from August
2016 until July 2019 and was Chairman of its Integrity Committee. He is a lawyer and tax consultant and between 1997 and
2016 worked at the law firm Flick Gocke Schaumburg, where he became a partner in 2002. Since 2008 he has also been an
Honorary Professor at the University of Cologne.
He studied law at the University of Cologne and received his doctorate there in 1998.
Mr. Simon is Chairman of the Advisory Council of Leop. Krawinkel GmbH & Co. KG.
406
Deutsche Bank
Annual Report 2020
Management Board and Supervisory Board
Supervisory Board
Supervisory Board
The Supervisory Board of Deutsche Bank AG appoints, supervises and advises the Management Board and is directly in-
volved in decisions of fundamental importance to the bank. It works together closely with the Management Board in a coop-
erative relationship of trust and for the benefit of the company. The Supervisory Board decides on the appointment and dis-
missal of members of the Management Board including long-term succession planning for the Management Board based on
proposals of the Chairman’s Committee while taking into account recommendations of the Nomination Committee. Based on
proposals of the Compensation Control Committee, the Supervisory Board determines the total compensation of the individual
members of the Management Board resolves on the compensation system for the Management Board and reviews it regularly.
In accordance with Section 9 (1) of the Articles of Association, the members of the Supervisory Board can be elected for the
period until the conclusion of the General Meeting which adopts the resolutions concerning the ratification of the acts of man-
agement for the fourth financial year following the beginning of the term of office. For the election of shareholder representa-
tives, the General Meeting may establish that the terms of office of individual members may begin or end on differing dates.
In accordance with Section 4 (2) of the Terms of Reference for the Supervisory Board, shareholder representatives will be
proposed in the future to the General Meeting for election in each case only for a maximum of approximately four years, i.e.
until the conclusion of the General Meeting which adopts the resolutions concerning the ratification of the acts of management
for the third financial year following the beginning of the term of office, whereby the financial year in which the term of office
begins is not taken into account.
The internal organization of the Supervisory Board and its committees as well as the tasks and profiles of the individual
members are subject to specific statutory and regulatory requirements that further specify and supplement the corporate-law
regulations concerning corporate governance. Such requirements are founded on, among other things, the German Banking
Act (Kreditwesengesetz), the Remuneration Ordinance for Institutions (Institutsvergütungsverordnung), the guidelines of the
European Banking Authority and the administrative practices of the European Central Bank as our supervisory authority. In
individual cases, these are in contradiction to the recommendations of the German Corporate Governance Code (“Code”)
and, in such case, this may lead to a statement of exceptions in our Declaration of Conformity.
The Supervisory Board receives reports from the Management Board at least within the scope prescribed by law or adminis-
trative guidelines, in particular on all issues of relevance for the Group concerning strategy, intended business policy, planning,
business development, risk situation, risk management, staff development, reputation and compliance. Furthermore, Group
Audit informs the Audit Committee regularly, and in the case of severe deficiencies without undue delay, of any serious defi-
ciencies identified and of any deficiencies that have not yet been remediated. The Chairman of the Supervisory Board is
informed accordingly of any serious findings against the members of the Management Board. The Supervisory Board and
Management Board adopted an Information Regime, which specifies not only the reporting to the Supervisory Board but also
rules relating to the Supervisory Board’s enquiries and requests for information from employees of the company, as well as
the exchange of information in connection with preparations for the meetings and between the meetings.
The Chairman of the Supervisory Board plays a crucial role in the proper functioning of the Supervisory Board and has a
leadership role in this. He can issue internal guidelines and principles concerning the Supervisory Board’s internal organization
and communications, the coordination of the work within the Supervisory Board and the Supervisory Board’s interaction with
the Management Board. Between meetings, the Chairman of the Supervisory Board, and, if expedient, the chairpersons of
the Supervisory Board committees, maintain regular contact with the Management Board, especially with the Chairman of the
Management Board, and deliberate with him on issues of Deutsche Bank Group’s strategy, planning, the development of its
business, risk situation, risk management, risk controlling, governance, compliance, compensation systems, IT, data and dig-
italization as well as material litigation cases. The Chairman of the Supervisory Board and – within their respective functional
responsibility – the chairpersons of the Supervisory Board committees are informed without delay by the Chairman of the
Management Board or by the respectively responsible Management Board member about important events of material signif-
icance for the assessment of the situation, development and management of Deutsche Bank Group. The Chairman of the
Supervisory Board engages in discussions with investors on Supervisory Board-related topics when necessary and regularly
informs the Supervisory Board of the substance of such discussions.
The types of business that require the approval of the Supervisory Board to be transacted are specified in Section 13 of the
Articles of Association of Deutsche Bank AG. The Supervisory Board meets regularly without the Management Board. After
due consideration and insofar as materially appropriate, the Supervisory Board, or any of its committees, may, in order to
perform their tasks, consult auditors, legal advisors and other internal or external advisors. In performing their tasks, the
Chairman of the Supervisory Board, the chairpersons of the standing committees and the Supervisory Board members are
supported by the Office of the Supervisory Board, which is independent of the Management Board.
The duties, procedures and committees of the Supervisory Board are specified in its Terms of Reference. The current version
is available on the Deutsche Bank website (www.db.com/ir/en/documents.htm). The number of meetings that took place during
the financial year is stated in the Report of the Supervisory Board.
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Deutsche Bank
Annual Report 2020
Management Board and Supervisory Board
Supervisory Board
Members of the Supervisory Board
The Supervisory Board of Deutsche Bank AG has 20 members. In accordance with the German Co-Determination Act (Mit-
bestimmungsgesetz), it comprises an equal number of shareholder representatives and employee representatives.
The suitability of each individual member to perform their mandate is assessed both internally and externally by the regulatory
authorities, determined and monitored continuously. The suitability assessment covers the expertise, reliability and time avail-
ability of the individual members. In addition, there is an assessment of the knowledge, skills and experience of the Supervisory
Board as a whole that are necessary for it to perform its control function. Passing the suitability assessment and the continual
suitability of the Supervisory Board member during the entire mandate with Deutsche Bank AG are mandatory regulatory
prerequisites for the performance of their work.
The members representing our shareholders were elected at the General Meeting on May 24, 2018. In departure from this,
Dr. Paul Achleitner was first elected at the General Meeting on May 31, 2012, Dr. Gerhard Eschelbeck was elected at the
General Meeting on May 18, 2017 and Sigmar Gabriel, Dr. Dagmar Valcárcel and Dr. Theodor Weimer were elected at the
General Meeting on May 20, 2020. The election of employee representatives took place on April 26, 2018.
Among the members representing shareholders, Katherine Garrett-Cox left the Supervisory Board effective May 20, 2020.
Stephan Szukalski stepped down as an employee representative from the Supervisory Board effective December 31, 2020.
For the remainder of his term of office on the Supervisory Board, he is being replaced by the substitute member elected to
take his place, Stefan Viertel with effect from January 1, 2021.
The following table shows information on the current members of our Supervisory Board. The information includes the years
in which the members were born, the dates on which they were first elected or appointed, the years when their terms expire,
their principal occupations as well as their memberships on other companies’ supervisory boards, other non-executive direc-
torships and other positions.
Member
Principal occupation
Supervisory board memberships and other directorships
Dr. Paul Achleitner
Chairman of the Supervisory Board,
Bayer AG; Daimler AG (until July 2020); Henkel AG & Co.
Year of birth: 1956
Deutsche Bank AG
KGaA (member of the Shareholders’ Committee)
First elected: May 31, 2012
Term expires: 2022
Ludwig Blomeyer-Barten-
stein*
Year of birth: 1957
First elected: May 24, 2018
Term expires: 2023
Frank Bsirske*
Year of birth: 1952
First elected: May 23, 2013
Term expires: 2023
Spokesman of the Management and Head of the Market
Frowein & Co. Beteiligungs AG; Bürgschaftsbank Bremen
Region Bremen, Deutsche Bank AG
GmbH (member of the Board of Directors)
Supervisory Board member
RWE AG (Deputy Chairman); DB Privat- und Firmen-kun-
denbank AG (until May 2020); innogy SE (Deputy Chair-
man)
Mayree Carroll Clark
Founder and Managing Partner,
Ally Financial, Inc. (Member of the Board of Directors);
Year of birth: 1957
Eachwin Capital
Taubman Centers, Inc. (Member of the Board of Directors)
First elected: May 24, 2018
Term expires: 2023
(until December 2020)
Jan Duscheck*
Head of national working group Banking,
No memberships or directorships subject to disclosure
Year of birth: 1984
trade union ver.di (Vereinte Dienstleistungsgewerkschaft)
Appointed by the court: Au-
gust 2, 2016
Term expires: 2023
Dr. Gerhard Eschelbeck
Chief Information Security Officer, Aurora Innovation, Inc. Onapsis Inc. (Member of the Board of Directors); Woot-
Cloud Inc. (Member of the Board of Directors)
Former Federal Minister
GP Papenburg AG; Siemens Energy AG (since September
2020)
Year of birth: 1965
First elected: May 18, 2017
Term expires: 2022
Sigmar Gabriel
Year of birth: 1959
Appointed by
the court:
March 11, 2020
Term expires: 2025
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Deutsche Bank
Annual Report 2020
Management Board and Supervisory Board
Supervisory Board
Timo Heider*
Chairman of the General Staff Council of BHW Bauspar-
BHW Bausparkasse AG (Deputy Chairman); PCC Services
Year of birth: 1975
kasse AG / Postbank Finanzberatung AG, Chairman of
GmbH der Deutschen Bank (Deputy Chairman); Pension-
First elected: May 23, 2013
the General Staff Council of PCC Services GmbH der
skasse der BHW Bausparkasse AG VVaG (Deputy Chair-
Term expires: 2023
Deutschen Bank; Chairman of the Staff Council of BHW
man)
Bausparkasse AG, PCC Services GmbH der Deutschen
Bank, Postbank Finanzberatung AG and BHW Holding
GmbH; Deputy Chairman of the Group Staff Council of
Deutsche Bank AG
Martina Klee*
Deputy Chairperson of the Staff Council PWCC Center
Sterbekasse für die Angestellten der Deutsche Bank-
Year of birth: 1962
Frankfurt, Deutsche Bank AG
Gruppe VVaG
First elected: May 29, 2008
Term expires: 2023
Henriette Mark*
Member of the Staff Council Southern Bavaria, of the
No memberships or directorships subject to disclosure
Year of birth: 1957
General Staff Council and of the Group Staff Council of
First elected: June 10, 2003
Deutsche Bank
Term expires: 2023
Gabriele Platscher*
Chairperson of the Staff Council Niedersachsen Ost, Deut-
BVV Versicherungsverein des Bankgewerbes a.G.
Year of birth: 1957
sche Bank
(Deputy Chairperson);
First elected: June 10, 2003
Term expires: 2023
BVV Versorgungskasse des Bankgewerbes e.V.
(Deputy Chairperson);
BVV Pensionsfonds des Bankgewerbes AG
(Deputy Chairperson)
Detlef Polaschek*
Deputy Chairman of the Supervisory Board; Member of
No memberships of directorships subject to disclosure
Year of birth: 1960
First elected: May 24, 2018
Term expires: 2023
the General Staff Council; Chairman of the Staff Council of
Deutsche Bank Niederrhein and Ruhr Region, Central and
Eastern Region of Deutsche Bank AG
Bernd Rose*
Chairman of the General Staff Council of Postbank Filial-
DB Privat- und Firmenkunden AG (until May 2020); Post-
Year of birth: 1967
vertrieb AG; Member of the Group Staff Council and Euro-
bank Filialvertrieb AG; ver.di Vermögensverwaltungsgesell-
First elected: May 23, 2013
pean Staff Council of Deutsche Bank
schaft m.b.H. (Deputy Chairman)
Term expires: 2023
Gerd Alexander Schütz
Chairman of the Management Board,
cyan AG (Chairman) (since January 2021)
Year of birth: 1967
C-QUADRAT Investment AG
First elected: May 18, 2017
Term expires: 2023
John Alexander Thain
Supervisory Board member
Uber Technologies Inc. (Member of the Board of Directors);
Year of birth: 1955
First elected: May 24, 2018
Term expires: 2023
Michele Trogni
Year of birth: 1965
First elected: May 24, 2018
Term expires: 2023
Operating Partner Eldridge Industries LLC
Morneau Shepell Inc. (Member of the Board of Directors)
Aperture Investors LLC (Member of the Board of Directors);
Pine Island Capital Partners LLC (Chairman); Pine Island
Acquisition Corp. (Chairman of the Board of Directors)
(since January 2021)
(until September 2020); Capital Markets Gateway Inc.
(Chairperson of the Board of Directors) (until August 2020);
SE2 LLC (Chairperson of the Board); Horizon Acquisition
Corporation (Member of the Board of Directors) (since July
2020)
Dr. Dagmar Valcárcel
Supervisory Board member
amedes Holding GmbH
Year of birth: 1966
Appointed by the court: Au-
gust 1, 2019
Term expires: 2025
Stefan Viertel*
Head of Institutional Cash Sales & Client Management
No memberships or directorships subject to disclosure
Year of birth: 1964
Hungary, Member of the General Staff Council, Staff Coun-
Succession as substitute
cil Representative of the Corporate Bank and Investment
member:
Bank, Deutsche Bank AG
January 1, 2021**
Term expires: 2023
Dr. Theodor Weimer
Chief Executive Officer, Deutsche Börse AG
Knorr Bremse AG (since June 2020); FC Bayern München
Year of birth: 1959
First elected: May 20, 2020
Term expires: 2025
AG (until June 2020)
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Professor Dr. Norbert Win-
Supervisory Board member Bayer AG (Chairman) (since April 2020); Heristo AG
keljohann
Year of birth: 1957
First elected: August 1, 2018
Term expires: 2023
(Chairman) (until January 2021); Georgsmarienhütte Hold-
ing GmbH; Sievert AG (Chairman); Bohnenkamp AG
(Chairman) (since April 2020)
* Employees representatives.
** Mr. Viertel already was a member of the Supervisory Board from August 1, 2010 to May 23, 2013.
Objectives for the composition of the Supervisory Board, Profile of Requirements,
diversity concept and status of implementation
The Supervisory Board established objectives for its composition in October 2010 and last amended them as specified in the
following in February 2018. Furthermore the Supervisory Board adopted a Profile of Requirements at its meeting on October
26, 2017, and last reviewed and confirmed it, unchanged, at its meeting on October 30, 2020.
The Supervisory Board shall be composed in such a way that its members as a whole possess the knowledge, abilities and
expert experience to properly complete its tasks and the members in their entirety of the Supervisory Board and the Audit
Committee must be familiar with the banking sector. In particular, the Supervisory Board members should have sufficient time
to perform their mandates. The composition of the Supervisory Board should ensure the Supervisory Board’s qualified control
of and advice for the Management Board of an internationally operating, broadly positioned bank and should preserve the
reputation of Deutsche Bank Group among the public. In this regard, in particular, attention should be placed on the integrity,
personality, willingness to perform, professionalism and independence of the individuals proposed for election. The objective
is for the Supervisory Board as a whole to have all of the knowledge and experience considered to be essential while taking
into account the activities of Deutsche Bank Group.
The Supervisory Board, as a whole, must possess the expertise required to effectively monitor and advise the Management
Board in its management of Deutsche Bank AG and Deutsche Bank Group – also with regard to the observance of the relevant
bank supervisory regulations.
As set out in the Profile of Requirements each Supervisory Board member must have an understanding of the fields of exper-
tise specified below that is appropriate for the size and complexity of Deutsche Bank AG. Experts shall have profound exper-
tise in the individual fields.
The fields of expertise include, in particular, the fields listed below:
– Knowledge in the areas of banking, financial services, financial markets and the financial industry, including the home
market and the bank’s key markets outside Europe
– Knowledge of the relevant clients for the bank, the market expectations and the operational environment
– Risk management (investigation, assessment, mitigation, management and control of financial and non-financial risks,
capital and liquidity management, shareholdings)
– Accounting (according to International Financial Reporting Standards (IFRS) and the German Commercial Code (HGB))
and audits of annual financial statements (financial experts: these members of the Supervisory Board must fulfill the re-
quirements as “financial experts” as such term is defined by the implementation rules of the U.S. Securities and Exchange
Commission (SEC) issued pursuant to Section 407 of the Sarbanes-Oxley Act of 2002 and by Section 100 of the German
Stock Corporation Act)
– Corporate and social responsibility, including reporting
– Taxation
– Internal audit
– Compliance and internal controls
– Strategic planning, business and risk strategies as well as their implementation
– Digitalization
– Information technology (IT), IT systems and IT security
– Regulatory framework and legal requirements, in particular, knowledge of the legal systems relevant for the bank
– Knowledge of the social, political and regulatory expectations in the home market
– Selection procedure for management body members and assessment of their suitability
– Governance and corporate culture
– Human resources and staff management
– Compensation and compensation systems (compensation expert)
– Management of a large, international regulated company
– Internal organization of the bank
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Furthermore, consideration is to be given to the amendments to the current version of the Business Allocation Plan for the
Management Board of Deutsche Bank AG as well as to the requirements and expectations of the regulatory authorities.
In addition the Supervisory Board shall have what its shareholder representatives consider to be an adequate number of
independent shareholder representatives and shall not have more than two former members of the Management Board of
Deutsche Bank AG. In any event, the Supervisory Board shall be composed such that the number of independent members
among the shareholder representatives will be at least six. The members of the Supervisory Board may not exercise functions
on a management body of, or perform advisory duties, at major competitors. Important and not just temporary conflicts of
interest with respect to a member of the Supervisory Board should lead to a termination of the mandate. Members of the
Supervisory Board may not hold more than the allowed number of supervisory board mandates according to Section 25d of
the German Banking Act (KWG) or mandates in supervisory bodies of companies which have similar requirements.
There is a regular maximum age limit of 70. In well-founded, individual cases, a Supervisory Board member may be elected
or appointed for a period that extends at the latest until the end of the fourth Annual General Meeting that takes place after he
or she has reached the age of 70. This age limit was taken into account in the election proposals to the recent General
Meetings and shall also be taken into account for the next Supervisory Board elections or subsequent appointments for Su-
pervisory Board positions that become vacant. In July 2020, the Supervisory Board resolved that for members of the Super-
visory Board to be elected or appointed in future, the length of each individual Supervisory Board membership shall not, as a
rule, exceed 12 years. Otherwise, the respective Supervisory Board member shall not be considered independent.
The Supervisory Board respects diversity when proposing members for appointment to the Supervisory Board. In light of the
international operations of Deutsche Bank, care should be taken that the Supervisory Board has an appropriate number of
members with long-term international experience. Currently, the professional careers or private lives of six members of the
Supervisory Board are centered outside Germany. Furthermore, all of the shareholder representatives on the Supervisory
Board have several years of international experience from their current or former activities as management board members
or CEOs or a comparable executive function of corporations or organizations with international operations. In these two ways,
the Supervisory Board believes the international activities of the company are sufficiently taken into account. The objective is
to retain the currently existing international profile. The resumes of the members of the Supervisory Board are published on
Deutsche Bank’s website (www.db.com/ir/en/supervisory-board.htm).
For the election proposals to the General Meeting, the Supervisory Board takes into account the recommendations of the
Nomination Committee and the legal requirements according to which the Supervisory Board shall be composed of at least
30 % women and at least 30 % men. Special importance has already been attached to an appropriate consideration of women
in the selection process since the Supervisory Board elections in 2008. In reviewing potential candidates for a new election or
subsequent appointments to Supervisory Board positions that have become vacant, qualified women shall be included in the
selection process and shall be appropriately considered in the election proposals. For many years now, at least 30 % of the
Supervisory Board members have been women and, since 2013, 30 % of the shareholder representatives have been women.
The Supervisory Board believes that it complies with the specified concrete objectives regarding its composition and the Profile
of Requirements. The members of the Supervisory Board as a whole possess the knowledge, ability and expert experience
to properly complete their tasks. Diversity is appropriately taken into account. At the end of the financial year, six women
(30%) and 14 men were members of the Supervisory Board. The statutory minimum quota of 30% was thus fulfilled. In com-
parison to the prior year, the ratio declined from 35% to 30%, as in 2020 Katherine Garrett-Cox left the Supervisory Board and
Dr. Theodor Weimer was elected by the General Meeting. The age structure is diverse, ranging from 35 to 67 years of age at
the end of the financial year and spanning three generations, according to the general definition of the term. The length of
experience as member of the Supervisory Board of Deutsche Bank ranged from under one year to around 18 years at the end
of the financial year. Two of the 20 members of the Supervisory Board joined the Supervisory Board in the 2020 financial year.
In accordance with our objectives specified above, all of the shareholder representatives on the Supervisory Board have many
years of international experience in various companies and functions. In addition, on January 1, 2021, Mr. Viertel became a
substitute member of the Supervisory Board. In addition, on January 1, 2021, Mr. Viertel became a substitute member of the
Supervisory Board. The diverse range of the members’ educational and professional backgrounds includes banking, business
administration, economics, law, German studies, history, political science and information technology.
The bank transparently reports on Supervisory Board diversity beyond the information presented above in this Corporate
Governance Statement in the section “Management Board and Supervisory Board: Supervisory Board” as well as on the
bank’s website: www.db.com (Heading “Investor Relations”, “Corporate Governance”, “Supervisory Board”).
The shareholder representatives on the Supervisory Board determined that it has what they consider to be an adequate
number of members among the shareholder representatives who are independent from the Management Board and the com-
pany. These are namely: Dr. Paul Achleitner, Mayree Carroll Clark, Dr. Gerhard Eschelbeck, Sigmar Gabriel, Gerd Alexander
Schütz, John Alexander Thain, Michele Trogni, Dr. Dagmar Valcárcel, Dr. Theodor Weimer and Professor Dr. Norbert Win-
keljohann.
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Standing Committees
Some members of the Supervisory Board are, or were last year, in high-ranking positions at other companies that Deutsche
Bank has business relations with. Business transactions with these companies are conducted under the same conditions as
those between unrelated third parties. These transactions, in our opinion, do not affect the independence of the Supervisory
Board members involved.
Standing Committees
The Supervisory Board has established the following eight standing committees. To the extent required, the committees co-
ordinate their work and consult each other on an ad hoc basis. The committee chairpersons report regularly to the Supervisory
Board on the work of the committees. The Report of the Supervisory Board in the Annual Report 2020 provides information
on the concrete work of the committees over the preceding year.
Chairman’s Committee: It is responsible for, in particular: preparing the meetings of the Supervisory Board and handling
current business between meetings of the Supervisory Board; preparing for decisions by the Supervisory Board on the ap-
pointment and dismissal of members of the Management Board, including long-term succession planning for the Management
Board, while taking into account the recommendations of the Nomination Committee; concluding, amending and terminating
employment and pension contracts in consideration of the plenary Supervisory Board’s sole authority to decide on the com-
pensation of the members of the Management Board and in consideration of the recommendations of the Compensation
Control Committee taking note of and, where necessary, expressing an opinion on contracts and/or amendments to contracts
for a General Manager (Generalbevollmächtigter) of Deutsche Bank AG who is designated as an intended member of the
Management Board; handling other contractual business with active and former members of the Management Board pursuant
to Section 112 of the German Stock Corporation Act; and approving Management Board members’ mandates, honorary offices
or special tasks outside of Deutsche Bank Group, while taking the recommendations of the Nomination Committee into ac-
count. The Chairman’s Committee is also responsible for: approving the hand-over of confidential internal data concerning a
Management Board member in consultation with the Chairman of the Management Board and/or the Chief Risk Officer, unless
they have a conflict of interests; approving contracts with Supervisory Board members pursuant to Section 114 of the German
Stock Corporation Act; preparing for decisions of the Supervisory Board in the field of corporate governance, deciding in the
Supervisory Board’s stead on an adjustment of the annual Declaration of Conformity to changed actual circumstances and
verifying compliance with the Declaration of Conformity. Its tasks also include: taking note of and, where necessary, expressing
an opinion on the Supervisory Board’s and its committees’ costs for consultations with auditors, experts, legal advisors and
other external advisors; as well as preparing recommendations for decisions of the Supervisory Board on pursuing claims for
damages or taking other measures against incumbent or former members of the Management Board. As and when necessary,
the Chairman’s Committee draws on the expertise of the Chair of the Integrity Committee.
The current members of the Chairman’s Committee are Dr. Paul Achleitner (Chairman), Frank Bsirske, Detlef Polaschek and
Professor Dr. Norbert Winkeljohann.
Nomination Committee: It is responsible for, in particular, supporting the Supervisory Board in identifying candidates to fill a
position on the bank's Management Board. In doing so, the Nomination Committee takes into account the balance and diversity
of the knowledge, skills and experience of all members of the Management Board, prepares a position description with a
candidate profile, and states the time commitment. The Nomination Committee and/or the Supervisory Board regularly receive
reports from the Management Board on the internal planning and the process from the Management Board’s perspective.
Furthermore, the Nomination Committee is responsible in particular for drawing up an objective to promote the representation
of the under-represented gender on the Supervisory Board as well as a strategy for achieving this and the regular assessment,
to be performed at least once a year, of the structure, size, composition and performance of the Management Board and of
the Supervisory Board and making recommendations regarding this to the Supervisory Board. At several meetings of the
Nomination Committee and of the Supervisory Board in plenary session, the Nomination Committee and the Supervisory
Board addressed the assessment of the Management Board and the Supervisory Board, which is required by the German
Banking Act. The Nomination Committee supports the Supervisory Board in drawing up guidelines for the individual and col-
lective assessment of the professional qualifications, personal reliability and time availability of the members of the Manage-
ment Board and Supervisory Board (“Suitability Guideline”) as well as in monitoring the effectiveness of the Suitability Guide-
line. Furthermore, the Nomination Committee also supports the Supervisory Board in the regular assessment, to be performed
at least once a year, of the knowledge, skills and experience of the individual members of the Management Board and Super-
visory Board as well as of the respective body collectively in the assessment of the members of the Management Board and
Supervisory Board in all other cases pursuant to the requirements of the Suitability Guideline; and in the review of the Man-
agement Board’s principles for selecting and appointing persons to the upper management levels as well as the recommen-
dations made to the Management Board in this respect. The shareholder representatives on the Nomination Committee pre-
pare the Supervisory Board’s proposals for the election or appointment of new shareholder representatives to the Supervisory
Board. In this context, they take into account the Profile of Requirements for the Supervisory Board, the criteria specified by
the Supervisory Board for its composition as well as the balance and diversity of the knowledge, skills and experience of all
members of the Supervisory Board, prepare a position description with a candidate profile, and state the time commitment.
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The current members of the Nomination Committee are Mayree Carroll Clark, (Chairperson), Dr. Paul Achleitner, Frank
Bsirske, Detlef Polaschek und Professor Dr. Norbert Winkeljohann.
Audit Committee: It supports the Supervisory Board in particular in monitoring the financial reporting process, and it can submit
recommendations or suggestions to the Supervisory Board on ensuring the integrity of the financial reporting process. Fur-
thermore, the Audit Committee supports the Supervisory Board in monitoring the effectiveness of the risk management sys-
tem, particularly of the internal control system and the internal audit system, the auditing of the financial statements, especially
with regard to the auditor’s independence and the additional services provided by the auditor, and the Management Board’s
prompt remediation – through suitable measures – of the deficiencies identified by the auditor and bank-internal control func-
tions based on internal and external audits, in particular relating to weaknesses in risk controls, as well as non-compliance
with policies, laws and regulatory requirements. The Committee is entitled to inspect all business documentation of the bank,
including the business information stored on data carriers. The Audit Committee pre-reviews the annual and consolidated
financial statements and management reports as well as the separate non-financial report and the separate consolidated non-
financial report, if they were prepared. It discusses the audit reports with the auditor and prepares the decisions of the Super-
visory Board on establishing the annual financial statements and the approval of the consolidated financial statements as well
as the resolution proposal on the appropriation of distributable profit. The Audit Committee submits corresponding recommen-
dations to the Supervisory Board. It also provides support to the Supervisory Board with regard to engaging any external
assurances for the non-financial statement and the consolidated non-financial statement or for the separate non-financial
report and separate consolidated non-financial report. It discusses important changes to the audit and accounting methods.
The Audit Committee also discusses the quarterly financial statements and the report on the limited review of the quarterly
financial statements with the Management Board and the auditor prior to their publication. Furthermore, the Audit Committee
submits proposals to the Supervisory Board for the appointment of the auditor and prepares the proposal of the Supervisory
Board to the General Meeting for the election of the auditor. The Audit Committee advises the Supervisory Board on issuing
the audit mandate to the auditor elected by the General Meeting, submits proposals to the Supervisory Board for the auditor’s
remuneration and can specify areas of focus for the audit. It supports the Supervisory Board in monitoring the independence,
qualifications and efficiency of the auditor as well as the rotation of the members of the audit team. It regularly assesses the
quality of the auditing of the financial statements. Mandates for non-audit-related services given to the auditor or to companies
to which the auditor is related in legal, economic or personnel terms need the prior consent of the Audit Committee (in this
context, see also the Principal Accountant Fees and Services section in this Corporate Governance Statement / Corporate
Governance Report). The Audit Committee issues guidelines for the employment of staff – including former staff – of the
auditor by the company. It arranges to be informed regularly about the work done by Group Audit, the effectiveness of the
internal audit system and in particular about its annual audit plan the focal areas of its auditing activity and on the results of
its audits. The Audit Committee is responsible, in particular, for receiving and handling the quarterly, annual and ad hoc reports
of Group Audit. The Management Board informs the Audit Committee about special audits, substantial complaints and other
exceptional measures on the part of German and foreign bank regulatory authorities. The Committee regularly obtains reports
on the receipt and handling of complaints from employees of the bank and its subsidiaries, from shareholders of Deutsche
Bank AG and from third parties. In particular complaints concerning accounting, internal accounting controls, auditing and
other financial reporting matters must be submitted to the Committee without undue delay. Reports concerning compliance
matters and the prevention of money laundering are presented at the meetings of the Committee on a regular basis. The
Chairman of the Audit Committee is entitled, in addition to the Chairman of the Supervisory Board, to obtain information directly
from the Head of Compliance and the Anti-Money Laundering Officer. The Audit Committee is responsible for acknowledging
communications about significant reductions in the budgets of Group Audit as well as the Compliance and Anti-Financial Crime
infrastructure areas and for taking receipt of and handling the Compliance Report by the Head of Compliance as well as the
Anti-Money Laundering Officer’s Report, , which are issued at least once a year. Furthermore, the Committee is entitled to
obtain, through its Chairman, information in connection with its tasks from the auditor, the Management Board, the Head of
Group Audit and – with the prior consent of the Management Board – senior managers of the bank reporting directly to the
Management Board.
The current members of the Audit Committee are Professor Dr. Norbert Winkeljohann (Chairman), Dr. Paul Achleitner, Hen-
riette Mark, Gabriele Platscher, Detlef Polaschek, Bernd Rose, Dr. Dagmar Valcárcel and Dr. Theodor Weimer.
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Standing Committees
Risk Committee: It advises the Supervisory Board on the overall risk appetite and risk strategy, and oversees the implemen-
tation of the stated risk appetite and risk strategy by the senior management level. It discusses and oversees the strategies
for capital and liquidity management as well as for all the bank’s material risks (financial and non-financial), such as credit,
market, liquidity, personnel as well as operational and reputational risks to ensure they are consistent with the stated risk
appetite. In its assessment, the Risk Committee reflects whether the material financial products and services offered by the
bank as well as the conditions in the client business are in line with the business model and risk structure, thereby taking into
account the alignment between the prices assigned to and the profits gained from these products and services.
The committee assesses the bank’s current risk profile based on reports from the Management Board. This includes the
review of a number of possible stress scenarios and overseeing that the Management Board has in place processes to pro-
mote the adherence of Deutsche Bank AG to the applicable risk policies and regulations. The Risk Committee also monitors
material aspects of the rating and valuation process.
Furthermore, the Risk Committee oversees the reporting of the Management Board regarding the current state of risk culture
and reviews whether the incentives set by the compensation system take into consideration the bank’s risk, capital and liquidity
structure as well as the likelihood and maturity of earnings, taking into account retention risk.
The Risk Committee also performs all of the tasks assigned to it by law or regulatory authorities, which includes the handling
of certain loans including the acquisition of shareholdings in other companies as defined by section 13 (1) c) of the Articles of
Association of Deutsche Bank AG, which require approval by the Supervisory Board according to the German Banking Act.
The Risk Committee determines the nature, scope, format and frequency of the information which the Management Board is
required to submit on strategy and risks. The Chairperson of the Risk Committee is entitled to obtain, in connection with its
activities, information directly from the Management Board and the Head of Group Audit. It collaborates with other committees
whose activities may have an impact on the risk strategy (e.g. Audit and Compensation Control Committees) and regularly
communicates with the institution’s internal control functions, in particular the risk management function.
The current members of the Risk Committee are Mayree Carroll Clark (Chairperson), Dr. Paul Achleitner, Ludwig Blomeyer-
Bartenstein, Jan Duscheck, Michele Trogni, Stefan Viertel and Professor Dr. Norbert Winkeljohann.
Integrity Committee: It continually advises and monitors the Management Board with regard to whether management is com-
mitted to the economically sound, sustainable development of the company while observing the principles of sound, respon-
sible management, fulfilling the company’s social responsibilities and protecting the natural resources of the environment
(environmental, social and governance (ESG) issues), and to whether the business management is aligned to these values
with the objective of a holistic corporate culture. The Integrity Committee monitors the Management Board’s measures that
ensure the company’s compliance with legal requirements, authorities’ regulations and the company’s own in-house policies
(preventive compliance control) as well as the measures if they are breached (consequence management). It regularly reviews
the bank’s Code of Conduct and ethics to foster conduct on the part of company employees that is exemplary in every way,
both within and outside the company, and that such conduct is not just aligned to the formal compliance with statutory require-
ments. It supports on request the Risk Committee in monitoring and analyzing the legal and reputational risks that are material
to the bank. For this purpose, it advises the Management Board on how to generate awareness of the importance of such
risks (e. g. in the bank’s codes of conduct and ethics). It supports on request the preparation of the Chairman’s Committee’s
recommendations for Supervisory Board decisions on pursuing recourse claims or taking other measures against current or
former members of the Management Board and its Chairperson discusses the recommendations with the Chairman’s Com-
mittee. Furthermore, the Integrity Committee supports the Supervisory Board in the monitoring of the highest risk associated
litigation cases and other material cases.
The current members of the Integrity Committee are Dr. Dagmar Valcárcel (Chairperson), Dr. Paul Achleitner, Ludwig
Blomeyer-Bartenstein, Sigmar Gabriel, Timo Heider and Gabriele Platscher.
Compensation Control Committee: It supports the Supervisory Board in the appropriate structuring of the compensation sys-
tems for the members of the Management Board. It also monitors the appropriate structure of the compensation systems for
the Management Board members and employees and, in particular, the appropriate structure of the compensation for the
Head of the compliance function, for the Anti-Money Laundering Officer and for the employees who have a material influence
on the bank's overall risk profile. The Compensation Control Committee supports the Supervisory Board in monitoring the
process to identify Group risk takers in accordance with Section 27 (2) sentence 1 of the Remuneration Ordinance for Institu-
tions (InstitutsVergV) as well as the appropriate structure of the compensation systems for the company’s employees. The
Committee assesses the effects of the compensation systems on risk, capital and liquidity management, while ensuring that
the compensation systems are aligned to the business strategy focused on the banks sustainable development, to the risk
strategies derived from this and to the compensation strategies at the company and Group levels. It prepares the Supervisory
Board’s resolutions on the compensation of the Management Board, considering, in particular, the effects of the resolutions
on the company’s risks and risk management. The long-term interests of shareholders, investors and other stakeholders as
well as the public interest are also taken into account. It also prepares the Supervisory Board's resolutions on setting the total
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Standing Committees
amount of variable compensation for the members of the Management Board in accordance with Section 45 (2) sentence 1
No. 5a of the German Banking Act (KWG) in consideration of Section 7 of the Remuneration Ordinance for Institutions (Insti-
tutsVergV) and on setting the appropriate compensation parameters, targets for contributions to performance, payment and
deferral periods as well as the conditions for a full forfeiture or partial reduction of variable compensation. It also checks
regularly, at least annually, whether the adopted specifications are still appropriate. Furthermore, it checks, as part of its
support to the Supervisory Board in monitoring the appropriate structure of the compensation systems for employees, regu-
larly, but at least annually, in particular, whether the total amount of variable compensation has been set in accordance with
Section 45 (2) sentence 1 No. 5a of the German Banking Act (KWG) in consideration of Section 7 of the Remuneration Ordi-
nance for Institutions (InstitutsVergV) and whether the specified principles to assess the compensation parameters, contribu-
tions to performance as well as the payment and deferral periods, including the conditions for a full forfeiture or partial reduction
of the variable compensation, are appropriate. In addition, it supports the Supervisory Board in monitoring whether the internal
controls and other relevant areas are properly involved in the structuring of the compensation systems. The Committee is
authorized to obtain, via its Chairperson, information relating to the Committee tasks from the Head of Group Audit and from
the heads of the organizational units responsible for structuring the compensation systems.
The current members of the Compensation Control Committee are Dr. Paul Achleitner (Chairman), Frank Bsirske, Dr. Gerhard
Eschelbeck, Detlef Polaschek, Bernd Rose and Dr. Dagmar Valcárcel.
Strategy Committee: It supports the Supervisory Board in fulfilling its oversight responsibilities relating to the bank’s strategy.
It advises and monitors the Management Board with regard to the definition of business strategies geared to the sustainable
development of the bank and the establishment of processes for planning, implementing, assessing and adjusting the business
strategy. It oversees the Management Board’s work on the strategic perspective, direction and development of the strategy
for Deutsche Bank Group and its business divisions, the Management Board’s implementation of the strategic plan and the
execution progress against strategic milestones and goals, as well as the Management Board’s implementation of major
business transformation projects and their execution. It advises the Management Board as to whether the governance, risk
appetite, financial and capital planning, liquidity and funding management, control environment and resources can support the
bank’s strategic objectives, and advises on divestitures and merger and acquisition strategy, including post-transaction per-
formance tracking, as well as on the impact of changes in the competitive environment. Furthermore, the Strategy Committee
advises the Management Board in preparation for the Supervisory Board meetings at which the Supervisory Board plenum
addresses the company’s strategy and prepares the Supervisory Board’s decisions on transactions subject to its approval
pursuant to Section 13 (1) b) and (1) d) of the Articles of Association.
The current members of the Strategy Committee are John Alexander Thain (Chairman), Dr. Paul Achleitner, Frank Bsirske,
Mayree Carroll Clark, Timo Heider, Henriette Mark, Detlef Polaschek and Michele Trogni.
Technology, Data and Innovation Committee: It supports the Supervisory Board in fulfilling its oversight responsibilities relating
to the bank’s innovation, data and technology environment. It continually advises and monitors the Management Board with
regard to the adequate technical and organizational resources and the definition of an adequate plan for IT systems, including
their application with generally established standards to the arrangement of the IT systems and the related IT processes. This
includes in particular the oversight over the Management Board’s work on the IT strategy and its sustainability outlining the
objectives and measures to be taken to achieve these objectives, the IT governance, the information security management,
the user access management, the implementation of major IT projects and application development, IT operation, including
data backup, outsourcing and other external procurement of IT services, data governance and data strategy, including their
implementation, and any other material issues which may arise in connection with the IT systems and services or data quality.
The current members of the Technology, Data and Innovation Committee are Michele Trogni (Chairperson), Dr. Paul Achleit-
ner, Jan Duscheck, Dr. Gerhard Eschelbeck, Martina Klee and Bernd Rose.
Mediation Committee: In addition to these eight standing committees, the Mediation Committee, which is required by German
law, makes proposals to the Supervisory Board on the appointment or dismissal of members of the Management Board in
cases where the Supervisory Board is unable to reach a two-thirds majority decision with respect to the appointment or dis-
missal. The Mediation Committee only meets if necessary.
The current members of the Mediation Committee are Dr. Paul Achleitner (Chairman), Frank Bsirske, Detlef Polaschek and
Professor Dr. Norbert Winkeljohann.
Further details regarding the Chairman’s Committee, the Nomination Committee, the Audit Committee, the Risk Committee,
the Integrity Committee, the Compensation Control Committee, the Strategy Committee and the Technology, Data and Inno-
vation Committee are regulated in separate Terms of Reference. The current versions are available on our website, along
with the Terms of Reference for the Supervisory Board (see: www.db.com/ir/en/documents.htm).
415
Deutsche Bank
Annual Report 2020
Management Board and Supervisory Board
Share Plans
Self-assessment of the work of the Supervisory Board and of its
committees
In 2020, the Supervisory Board performed the self-assessment of the work of the Supervisory Board and of its committees
pursuant to the recommendation in Section D.13 of the German Corporate Governance Code. Based on the statutory require-
ments for financial institutions pursuant to Section 25d (11) sentence 2 Nos. 3 and 4 of the German Banking Act (KWG),
Deutsche Bank is required in any event to perform a self-assessment of the Supervisory Board at least annually. The Nomi-
nation Committee and Supervisory Board addressed the assessment prescribed by law at several meetings. The concrete
implementation of and the schedule for the assessment were deliberated on and set out at the meetings of the Nomination
Committee on July 29, 2020, and September 22, 2020. Services of an external advisor were not mandated in this context.
The assessment was performed essentially on the basis of extensive questionnaires regarding the work of the Supervisory
Board, of the Supervisory Board committees and of the Management Board, individual interviews conducted by members of
the Nomination Committee with the members of the Management Board, and an assessment of the individual members of
both the Management Board and Supervisory Board. The final discussion of the assessment took place at the Supervisory
Board meeting in plenum on February 3, 2021, and the results were set out in a final report. The Supervisory Board continues
to hold the opinion that the Supervisory Board and Management Board have achieved a high standard and that there are no
reservations, in particular, regarding the professional qualifications, personal reliability and time availability of the members of
the Management Board and of the Supervisory Board. Furthermore, as one of the outcomes of the assessment against the
backdrop of the progress achieved by the bank in its strategic transformation, the Supervisory Board will address the distribu-
tion of tasks across its committees.
Share Plans
For information on our employee share programs, please refer to the additional Note 33 “Employee Benefits” to the Consoli-
dated Financial Statements.
416
Deutsche Bank
Annual Report 2020
Related party transactions
Directors’ Share Ownership
Reporting and transparency
Directors’ Share Ownership
Management Board. For information on the share ownership of the Management Board, please refer to our detailed Compen-
sation Report in the Management Report.
Supervisory Board. The members of our Supervisory Board held the following numbers of our shares and share awards under
our employee share plans.
Members of the Supervisory Board
Dr. Paul Achleitner
Ludwig Blomeyer-Bartenstein
Frank Bsirske
Mayree Carroll Clark
Jan Duscheck
Dr. Gerhard Eschelbeck
Sigmar Gabriel
Timo Heider
Martina Klee
Henriette Mark
Gabriele Platscher
Detlef Polaschek
Bernd Rose
Gerd Alexander Schütz
John Alexander Thain
Michele Trogni
Dr. Dagmar Valcárcel
Stefan Viertel
Dr. Theodor Weimer
Professor Dr. Norbert Winkeljohann
Total
Number of
shares
145,000
3,694
0
109,444
0
0
0
0
2,493
1,524
1,549
655
0
0
100,000
15,000
0
1,007
108,000
0
488,366
Number of
share awards
0
3,220
0
0
0
0
0
0
0
0
10
10
0
0
0
0
0
0
0
0
3,240
1 Restricted Equity Awards. Mr. Blomeyer-Bartenstein has an entitlement linked to 3,220 shares through Restricted Equity Awards as part of his variable compensation. These
are due in 2021 till 2025.
The members of the Supervisory Board held 488,366 shares, amounting to less than 0,03 % of our shares as of February 19,
2021.
As listed in the “Number of share awards” column in the table, the members who are employees of Deutsche Bank hold
matching awards granted under the Global Share Purchase Plan, which are scheduled to be delivered to them on November 1,
2021, as well as Restricted Equity Awards (deferred share awards), which are granted to employees with deferred variable
compensation. The latter are marked separately in the table, and the further details concerning them as a compensation
instrument are reported in the section “Employee Compensation Report”.
As described in the “Management Report: Compensation Report: Compensation System for Supervisory Board Members”,
25 % of each member’s compensation for services as a member of the Supervisory Board for a given prior year is, rather than
being paid in cash, converted into notional shares of Deutsche Bank AG in February of the following year. The cash value of
the notional shares is paid to the member in February of the year following their departure from the Supervisory Board or the
expiration of their term of office, based on the market price of the Deutsche Bank share near the payment date. The table in
the section specified above shows the number of notional shares that will be credited in spring 2021 to members of the
Supervisory Board as part of their 2020 compensation.
Related party transactions
For information on related party transactions please refer to Note 36 “Related Party Transactions“.
417
Deutsche Bank
Annual Report 2020
Auditing and controlling
Values and leadership principles of Deutsche Bank AG and Deutsche Bank Group
Auditing and controlling
Audit Committee Financial Expert
The Supervisory Board determined that the following members of its Audit Committee are “audit committee financial experts”,
as such term is defined by the implementation rules of the U.S. Securities and Exchange Commission issued pursuant to
Section 407 of the Sarbanes-Oxley Act of 2002 Dr. Paul Achleitner, Dr. Dagmar Valcárcel, Dr. Theodor Weimer and Professor
Dr. Norbert Winkeljohann. These audit committee financial experts are “independent” of the bank, as defined in Rule 10A-3
under the U.S. Securities Exchange Act of 1934. In accordance with the provisions of Sections 107 (4) and 100 (5) of the
German Stock Corporation Act (AktG) as well as Section 25d (9) of the German Banking Act (KWG), they have the required
expert knowledge in financial accounting and auditing.
Compensation Control Committee Compensation Expert
Pursuant to Section 25d (12) of the German Banking Act (KWG), at least one member of the Compensation Control Committee
must have sufficient expertise and professional experience in the field of risk management and risk controlling, in particular,
with regard to the mechanisms to align compensation systems to the company’s overall risk appetite and strategy and the
bank’s capital base. The Supervisory Board determined that Dr. Paul Achleitner, Chairman of the Compensation Control
Committee and Dr. Dagmar Valcárcel fulfill the requirements of Section 25d (12) of the German Banking Act (KWG) and
therefore have the required expertise and professional experience in risk management and risk controlling.
For a description of the experience of the Supervisory Board members mentioned in the two foregoing paragraphs, please
see “Management Report: Corporate Governance Statement/Corporate Governance Report: Management Board and Super-
visory Board: Supervisory Board” in the Annual Report 2020.
Values and leadership principles of Deutsche Bank AG and
Deutsche Bank Group
Deutsche Bank Group Code of Conduct and Code of Ethics for Senior Financial
Officers
Deutsche Bank Group’s Code of Conduct sets out Deutsche Banks’s purpose, values and beliefs and minimum standards of
conduct that we expect all members of our Management Board and employees to follow. These values and standards govern
employee interactions with our clients, competitors, business partners, government and regulatory authorities, and sharehold-
ers, as well as with other employees. In addition, the Code forms the cornerstone of our policies, which provide guidance on
compliance with applicable laws and regulations.
In accordance with Section 406 of the Sarbanes-Oxley Act of 2002, we adopted a Code of Ethics for Senior Financial Officers
of Deutsche Bank AG and Deutsche Bank Group with special obligations that apply to our “senior financial officers”, which
currently consist of Deutsche Bank’s Chairman of the Management Board, Chief Financial Officer, Group Controller as well
as certain other senior financial officers. There were no amendments or waivers to this Code of Ethics in 2020.
The current versions of the Code of Conduct as well as the Code of Ethics for Senior Financial Officers of Deutsche Bank AG
and Deutsche Bank Group are available from Deutsche Bank’s website: www.db.com/ir/en/documents.htm.
418
Deutsche Bank
Annual Report 2020
Auditing and controlling
Principal accountant fees and services
Corporate Governance at Deutsche Bank AG and Deutsche Bank Group
Deutsche Bank established a Group Governance function to define, implement and monitor the corporate governance frame-
work of Deutsche Bank AG and Deutsche Bank Group and to perform this governance function throughout the Group. Group
Governance addresses corporate governance issues in Deutsche Bank AG and Deutsche Bank Group, while focusing closely
on clear organizational structures aligned to the key elements of good corporate governance.
Deutsche Bank AG and Deutsche Bank Group are committed to ensuring a corporate governance framework in accordance
with international standards and statutory provisions. In support of this objective, Deutsche Bank AG and Deutsche Bank
Group have instituted clear corporate governance principles.
Further details on corporate governance are published on Deutsche Bank’s website (www.db.com/ir/en/corporate-govern-
ance.htm).
Principal accountant fees and services
In accordance with German law, our principal accountant is appointed at our Annual General Meeting based on a recommen-
dation of our Supervisory Board. The Audit Committee of our Supervisory Board prepares such a recommendation. Subse-
quent to the principal accountant’s appointment, the Audit Committee awards the contract and in its sole authority approves
the terms and scope of the audit and all audit engagement fees as well as monitors the principal accountant’s independence.
Ernst & Young GmbH Wirtschaftsprüfungsgesellschaft („EY“) became our principal accountant for the 2020 fiscal year. KPMG
AG Wirtschaftsprüfungsgesellschaft was our principal accountant for the 2019 fiscal year.
The tables set forth below contain the aggregate fees billed for 2019 fiscal year by KPMG AG Wirtschaftsprüfungsgesellschaft
and billed for 2020 fiscal year by EY in each of the following categories: (1) Audit fees, which are fees for professional services
for the audit of our annual financial statements or services that are normally provided by the accountant in connection with
statutory and regulatory filings or engagements for those fiscal years, (2) Audit-related fees, which are fees for assurance and
related services that are reasonably related to the performance of the audit or review of our financial statements and are not
reported as Audit fees, (3) Tax-related fees, which are fees for professional services rendered for tax compliance, tax consult-
ing and tax planning, and (4) All other fees, which are fees for products and services other than Audit fees, Audit-related fees
and Tax-related fees. These amounts include expenses and exclude Value Added Tax (VAT).
Fees billed by EY
Fee category in € m.
Audit fees
Audit-related fees
Tax-related fees
All other fees
Total fees
Fees billed by KPMG AG
Fee category in € m.
Audit fees
Audit-related fees
Tax-related fees
All other fees
Total fees
2020
53
5
0
0
58
2020
0
0
0
0
0
2019
0
0
0
0
0
2019
60
13
4
0
77
1
1
The Audit fees include fees for professional services for the audit of our annual financial statements and consolidated financial
statements and do not include the 2020 audit fees for DWS and its subsidiaries that are not audited by EY. The Audit-related
fees include fees for other assurance services required by law or regulations, in particular for financial service specific attes-
tation, for quarterly reviews, for spin-off audits and for merger audits, as well as fees for voluntary assurance services, like
voluntary audits for internal management purposes and the issuance of comfort letters. Our Tax-related fees include fees for
services relating to the preparation and review of tax returns and related compliance assistance and advice, tax consultation
and advice relating to Group tax planning strategies and initiatives and assistance with assessing compliance with tax regu-
lations.
Under SEC regulations, the principal accountant fees are required to be presented as follows: audit fees were € 55 million in
2020 compared to € 62 million in 2019, audit-related fees were € 3 million in 2020 compared to € 11 million in 2019, tax-related
fees were € 0 million in 2020 compared to € 4 million in 2019, and all other fees were € 0 million in 2020 compared to € 0
million in 2019. Fees in 2020 are paid to EY compared to fees in 2019 which were paid to KPMG.
419
Deutsche Bank
Annual Report 2020
Auditing and controlling
Principal accountant fees and services
United States law and regulations, and our own policies, generally require that all engagements of our principal accountant
be pre-approved by our Audit Committee or pursuant to policies and procedures adopted by it. Our Audit Committee has
adopted the following policies and procedures for consideration and approval of requests to engage our principal accountant
to perform non-audit services. Engagement requests must in the first instance be submitted to the Accounting Engagement
Team. If the request relates to services that would impair the independence of our principal accountant, the request must be
rejected. Our Audit Committee has given its pre-approval for specified assurance, financial advisory and tax services, provided
the expected fees for any such service do not exceed € 1 million. If the engagement request relates to such specified pre-
approved services, it may be approved by the Accounting Engagement Team and must thereafter be reported to the Audit
Committee. If the engagement request relates neither to prohibited non-audit services nor to pre-approved non-audit services,
it must be forwarded to the Audit Committee for consideration. In addition, to facilitate the consideration of engagement re-
quests between its meetings, the Audit Committee has delegated approval authority to several of its members who are “inde-
pendent” as defined by the Securities and Exchange Commission and the New York Stock Exchange. Such members are
required to report any approvals made by them to the Audit Committee at its next meeting.
Additionally, United States law and regulations permit the pre-approval requirement to be waived with respect to engagements
for non-audit services aggregating to no more than five percent of the total amount of revenues we paid to our principal
accountant, if such engagements were not recognized by us at the time of engagement and were promptly brought to the
attention of our Audit Committee or a designated member thereof and approved prior to the completion of the audit. In 2019
and 2020, the percentage of the total amount of revenues we paid to our principal accountant for non-audit services that was
subject to such a waiver was less than 5 % for each year.
420
Deutsche Bank
Annual Report 2020
Compliance with the German Corporate Governance Code
Declaration pursuant to Section 161 German Stock Corporation Act (AktG) (Declaration of Conformity
2020)
Compliance with the German Corporate Governance
Code
Declaration pursuant to Section 161 German Stock Corporation
Act (AktG) (Declaration of Conformity 2020)
In updating the Declaration of Conformity last issued on October 30, 2019, the Management Board and Supervisory Board of
Deutsche Bank AG approved the following Declaration of Conformity on October 30, 2020.
“The Management Board and Supervisory Board of Deutsche Bank Aktiengesellschaft state pursuant to Section 161 German
Stock Corporation Act (AktG):
1. The last Declaration of Conformity was issued on October 30, 2019. Since then Deutsche Bank Aktiengesellschaft has
complied with the recommendations of the “Government Commission on the German Corporate Governance Code” in
the version of the Code dated February 7, 2017, published in the Bundesanzeiger on April 24, 2017, subject to the
following deviations:
Relating to No. 5.3.3, according to which the supervisory board shall form a nomination committee composed exclu-
sively of shareholder representatives. Section 25 (d) of the German Banking Act stipulates that the nomination com-
mittee of the supervisory board must take on additional tasks that should be performed not solely by the shareholder
representatives on the supervisory board. For this reason, the Nomination Committee of the Supervisory Board of
Deutsche Bank Aktiengesellschaft also comprises representatives of the employees. However, it will be ensured
that the candidate recommendations for the election proposals to the General Meeting will be prepared exclusively
by the Committee’s shareholder representatives.
Relating to No. 4.2.3 (2) sentence 6, according to which the amount of compensation for the management board
members shall be capped, both overall and with regard to variable compensation components. The existing employ-
ment contracts (in conjunction with equity plan conditions) of the members of the Management Board of Deutsche
Bank Aktiengesellschaft do provide for a limit (cap) in the awarding of total compensation and their variable com-
pensation components. In this context, however, some hold the view that such limits would have to apply not only to
the granting and awarding of the compensation components but also to their later payout. Although Deutsche Bank
Aktiengesellschaft does not consider this view to be convincing, we state merely as a precautionary measure that a
limit (cap) has not been set for the payout amount of deferred equity-based compensation and that therefore
Deutsche Bank Aktiengesellschaft deviates from the recommendation in No. 4.2.3 (2) sentence 6 according to this
interpretation.
2. On December 16, 2019, the “Government Commission on the German Corporate Governance Code” submitted a new
version of the German Corporate Governance Code, which came into effect with its publication by the Federal Ministry
of Justice and Consumer Protection in the official section of the Federal Gazette (Bundesanzeiger) on March 20, 2020.
The new version limits the applicability of the Code’s recommendations to credit institutions and insurance companies to
the extent that the recommendations apply to them only insofar as there are no statutory provisions to the contrary.
Deutsche Bank Aktiengesellschaft complies with the applicable recommendations of this new version and will continue
to comply with them in the future, whereas as of now the following deviation applies:
Relating to recommendation G.1, first bullet point, which recommends that the remuneration system for the Man-
agement Board shall – inter alia – define “how the target total remuneration is determined for each Management
Board member, and the amount that the total remuneration must not exceed (maximum remuneration)”. The remu-
neration system defines a maximum remuneration, but this maximum remuneration currently does not include the
service costs for the contributions to the company pension of the Management Board members. For the future, it is
envisaged to comply with the recommendation also in this regard.
Frankfurt am Main, in October 2020
The Management Board
of Deutsche Bank Aktiengesellschaft
The Supervisory Board
of Deutsche Bank Aktiengesellschaft”
421
Deutsche Bank
Annual Report 2020
Compliance with the German Corporate Governance Code
Targets for the proportion of women in management positions/gender quota
Inapplicable Code recommendations due to the precedence of
statutory provisions
Pursuant to the recommendation in Section F.4 of the German Corporate Governance Code in the version of December 16,
2019, companies subject to special legal regulations shall specify in the Corporate Governance Statement which Code rec-
ommendations were not applicable due to over-riding legal stipulations.
For Deutsche Bank Aktiengesellschaft, this currently applies to the recommendation in Section D.5 of the German Corporate
Governance Code in the version of December 16, 2019, which states that the Supervisory Board shall form a Nomination
Committee composed exclusively of shareholder representatives.
Deutsche Bank Aktiengesellschaft, as a supervised credit institution, is subject to the special legal regulations of the German
Banking Act (KWG). The Supervisory Board of Deutsche Bank Aktiengesellschaft has to establish a Nomination Committee
in accordance with Section 25d (11) of the German Banking Act (KWG) whose tasks are to support the Supervisory Board in
the following tasks:
•
•
•
•
•
identifying candidates to fill a position on the Management Board and preparing proposals for the election of members of
the Supervisory Board;
drawing up an objective to promote the representation of the under-represented gender on the Supervisory Board as well
as a strategy for achieving this;
the regular assessment, to be performed at least once a year, of the structure, size, composition and performance of the
Management Board and of the Supervisory Board and making recommendations regarding this to the Supervisory Board;
the regular assessment, to be performed at least once a year, of the knowledge, skills and experience of the individual
members of the Management Board and of the Supervisory Board as well as of the respective body collectively; and
the review of the Management Board’s principles for selecting and appointing persons to the upper management level
and the recommendations made to the Management Board in this respect.
The Nomination Committee to be established in accordance with the German Banking Act (KWG) therefore has numerous
tasks that go beyond the preparation of the election proposals for the shareholder representatives on the Supervisory Board.
A general exclusion of a supervisory board’s employee representatives from a membership on a committee is only admissible,
according to prevailing opinion, if there is a material reason for this. Whereas such a material reason can exist for a committee
that solely handles the preparation of the proposals to the General Meeting for the election of shareholder representatives, a
justification for the exclusion of employee representatives is lacking for a nomination committee with the range of tasks as-
signed to it by the German Banking Act (KWG). Due to the Nomination Committee’s range of mandatory tasks stipulated by
the German Banking Act (KWG) and the inadmissibility of discriminating against employee representatives in the composition
of the committees, the recommendation in Section D.5 of the German Corporate Governance Code is therefore not applicable
to Deutsche Bank Aktiengesellschaft. Nonetheless, in order to take this recommendation into account, Section 2 (3) of the
Terms of Reference for the Nomination Committee provides that the election proposals to the General Meeting are prepared
only by the shareholder representatives on the Nomination Committee.
Targets for the proportion of women in management posi-
tions/gender quota
As of the date of this Corporate Governance Statement, the percentage of women on the Supervisory Board of Deutsche
Bank AG is 30 %. The statutory minimum of 30 % pursuant to Section 96 (2) of the German Stock Corporation Act (AktG) is
thereby fulfilled.
On July 27, 2017, the Supervisory Board set a target of at least 20 % for the percentage of female members of the Manage-
ment Board as of June 30, 2022. For a Management Board size of between eight and 12 members, this corresponds to two
women When the decision was made two women were members of the Management Board. At the end of the financial year
and as of the date of this Statement, there is one female member on the Management Board of Deutsche Bank AG, Christiana
Riley.
422
Deutsche Bank
Annual Report 2020
Compliance with the German Corporate Governance Code
Diversity concept
On September 16, 2015, the Management Board set targets for the percentage of women at 20 % for the first management
level and 25 % for the second management level, to be reached by December 31, 2020 (when the decision was made the
percentage of women on the first management level was 14 % and on the second management level 18 %).
The population of the first management level comprises Managing Directors and Directors who report directly to the Manage-
ment Board and managers with comparable responsibilities. The population of the second management level comprises Man-
aging Directors and Directors who report to the first management level.
Implementing German gender quota legislation at Deutsche Bank AG
in %
(unless stated otherwise)
Women on the Supervisory Board
Women on the Management Board
First management level below the Management Board
Second management level below the Management Board
1 Legal requirement.
2 For a Management Board size of between eight and 12 members, this corresponds to two women.
Status as of
Dec 31, 2019
35.0 %
0.0 %
19.7 %
19.5 %
Status as of
Dec 31, 2020
Target for
Dec 31, 2020
30.0 %
10.0 %
20.0 %
23.9 %
30.0 %1
-
20.0 %
25.0 %
Target for
Jun 30, 2022
-
20.0 %2
-
-
As of December 31, 2020, the proportion of women is 20 % in the first management level below the Management Board and
23,9 % on the second management level below the Management Board. The target levels as of December 31, 2020 have only
partly been achieved. The reasons are:
Key conditions have changed since the target was set in September 2015 for the percentage of women on the two levels
below the Management Board. These changes include the bank’s transformation program approved in July 2019, as well as
our decisions regarding the IPO of DWS and the merging of the DB Privat- and Firmenkundenbank AG into Deutsche Bank
AG. Furthermore, our extensive cost reduction program imposed restrictions on hiring and appointments at these two levels.
In fact, the already relatively low number of employees on the two levels below the Management Board declined further in the
period since September 2015, by nearly 36 %. Small changes in absolute numbers led to relatively high fluctuations in terms
of percentages. Nevertheless, we maintained our target and continue to focus on increasing the percentage of women in
management positions. Within this framework, our decisions on promotions and appointments are aligned, in particular, to the
suitability of the candidates for the respective roles, their demonstrated performance and their future potential.
In line with our basic diversity concept, we also take into account the knowledge and skills required for the proper performance
of tasks and the necessary experience of the employees for the composition of the two levels below the Management Board.
In accordance with the legal framework conditions and based on our own understanding of greater diversity and in-
clusion, the Management Board, over the course of the year 2021, will set new targets for the percentage of women
on the two senior management levels below the Management Board.
Diversity concept
As an integral part of our strategy as a leading European bank with a global reach and a strong home market in Germany,
Diversity is a decisive factor for our success. Diversity & Inclusion help Deutsche Bank in forming sustainable relationships
with our clients and partners and in taking part in the societies where we do business.
Age, gender as well as educational and professional backgrounds have long been accepted as key aspects of our far more
comprehensive understanding of Diversity at Deutsche Bank.
We are convinced that Diversity & Inclusion stimulate innovation, for example, and help us to take more balanced decisions
and thus play a decisive role for the success of Deutsche Bank. Diversity & Inclusion are therefore integral components of the
bank’s values and beliefs and its Code of Conduct.
The Supervisory Board and Management Board strive to and should serve as role models for the bank with regard to Diversity
& Inclusion. In accordance with our values and beliefs specified above, diversity in the composition of the Supervisory Board
and the Management Board also facilitates the proper performance of the tasks and duties assigned to them by law, the
Articles of Association and Terms of Reference.
Based on Deutsche Bank’s understanding of Diversity & Inclusion, the values and beliefs and the measures described in the
following for their implementation also apply – to the extent legally admissible – to the Supervisory Board and the Management
Board of Deutsche Bank AG. The Supervisory Board considers diversity in the company, in particular, when filling positions
on the Management Board and Supervisory Board.
On October 30, 2020, the Supervisory Board of Deutsche Bank AG updated the Suitability Guideline for selecting members
of the Supervisory Board and Management Board of Deutsche Bank AG, which also continues to comprise diversity principles.
This Suitability Guideline implements the “Guidelines on the assessment of the suitability of members of the management
423
Deutsche Bank
Annual Report 2020
Compliance with the German Corporate Governance Code
Diversity concept
body and key function holders” issued jointly by the European Banking Authority and European Securities and Markets Au-
thority.
Diversity concept for the Supervisory Board
The diversity concept for the Supervisory Board and its implementation are described above in the section “Objectives for the
composition of the Supervisory Board, Profile of Requirements, diversity concept and status of implementation”.
Diversity concept and succession planning for the Management Board
Through the composition of the Management Board, it is to be ensured that its members have, at all times, the required
knowledge, skills and experience necessary to properly perform their tasks. Accordingly, when selecting members for the
Management Board, care is to be taken that they collectively have sufficient expertise and diversity within the meaning of our
objectives specified above. Furthermore, the Supervisory Board and the Management Board should ensure long-term suc-
cession planning.
By way of resolution of the Supervisory Board, the Management Board should be composed of at least 20 % women by June
30, 2022. For a Management Board size of between eight and 12 members, this corresponds to two women.
In general, a Management Board member should not be older at the end of his or her appointment period than the regular
retirement age according to the rules of the statutory pension insurance scheme applicable in Germany for the long-term
insured to claim an early retirement pension, which is currently 65 years of age.
Implementation
In accordance with the law, the Articles of Association and Terms of Reference, the Supervisory Board adopted candidate
profiles for the members of the Management Board, based on a proposal from the Nomination Committee. These profiles take
into account an “Expertise and Capability Matrix”, specifying, among other things, the required knowledge, skills and experi-
ence to perform the tasks as Management Board member, in order to successfully develop and implement the bank’s strategy
in the respective market or the respective division and as a management body collectively. The Management Board reviews
succession plans for Management Board positions, both individually and as a group. Successions plans are reviewed and
succession candidates are discussed in detail based on potential, leadership, fit and proper suitability. As gender diversity is
a key focus of Deutsche Bank respective succession metrics and data analytics support this process. Upon approval by the
Management Board these plans are submitted to the Supervisory Board’s Nomination Committee for review and approval.
In identifying candidates to fill a position on the bank’s Management Board, the Supervisory Board’s Nomination Committee
takes into account the appropriate diversity balance of all Management Board members collectively. Furthermore, it also
considers the targets set by the Supervisory Board in accordance with statutory requirements for the percentage of women
on the Management Board.
The Nomination Committee supports the Supervisory Board with the periodic assessment, to be performed at least once a
year, of the knowledge, skills and experience of the individual members of the Management Board and of the Management
Board in its entirety.
Results achieved in the 2020 financial year
At the end of the financial year, the Management Board comprised one woman (10%) and nine men. The target of 20 % of
the members or two women adopted for June 30, 2022 for the Management Board was therefore not yet met. As of the date
of this Corporate Governance Statement, the Management Board of Deutsche Bank AG comprised one woman and nine men.
The age structure is diverse, ranging from 42 to 55 years of age as of the date of this Corporate Governance Statement. As
of the date of this Corporate Governance Statement the length of experience as member of the Management Board of
Deutsche Bank ranged from under one year to around eight years.
Also with our strategy in mind of being a leading European bank with a global reach and a strong home market in Germany,
seven of the ten Management Board members as of the date of this Corporate Governance Statement have a German back-
ground. The other members of the Management Board come from Italy, the United Kingdom and the USA. However, the ethnic
diversity of the Management Board does not currently reflect the full diversity of the markets where we do business or the
diversity of our employees.
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Deutsche Bank
Annual Report 2020
Compliance with the German Corporate Governance Code
Diversity concept
The diverse range of the members’ educational and professional backgrounds includes banking, business administration,
economics, law, linguistics and engineering.
The bank transparently reports on Management Board diversity in addition to the information presented above in this Corpo-
rate Governance Report in the section “Management Board and Supervisory Board:
Management Board” as well as on the bank’s website: www.db.com (Heading “Corporate Governance”, “Management
Board”).
425
4
Supplementary Information
( Unaudited)
427 Non-GAAP financial measures
435 Declaration of backing
436 Group five-year record
437
Imprint / publications
Deutsche Bank
Annual Report 2020
Non-GAAP financial measures
Return on equity ratios
Non-GAAP financial measures
This document and other documents the Group has published or may publish contain non-GAAP financial measures. Non-
GAAP financial measures are measures of the Group’s historical or future performance, financial position or cash flows that
contain adjustments that exclude or include amounts that are included or excluded, as the case may be, from the most directly
comparable measure calculated and presented in accordance with IFRS in the Group’s financial statements.
Return on equity ratios
The Group reports a post-tax return on average shareholders’ equity and a post-tax return on average tangible shareholders’
equity, each of which is a non-GAAP financial measure.
The post-tax returns on average shareholders’ equity and average tangible shareholders' equity are calculated as profit (loss)
attributable to Deutsche Bank shareholders after AT1 coupon as a percentage of average shareholders’ equity and average
tangible shareholders' equity, respectively.
Profit (loss) attributable to Deutsche Bank shareholders after AT1 coupon for the segments is a non-GAAP financial measure
and is defined as profit (loss) excluding post-tax profit (loss) attributable to noncontrolling interests and after AT1 coupon,
which are allocated to segments based on their allocated average tangible shareholders’ equity. For the Group, it reflects the
reported effective tax rate, which was 39 % for the full year 2020, (100) % for 2019 and 74 % for 2018. For the segments, the
applied tax rate was 28 % for all reported periods in 2020, 2019 and 2018.
At the Group level, tangible shareholders' equity is shareholders’ equity as reported in the Consolidated Balance Sheet ex-
cluding goodwill and other intangible assets. Tangible shareholders’ equity for the segments is calculated by deducting good-
will and other intangible assets from shareholders’ equity as allocated to the segments. Shareholders’ equity and tangible
shareholders’ equity are presented on an average basis.
The Group believes that a presentation of average tangible shareholders’ equity makes comparisons to its competitors easier,
and refers to this measure in the return on equity ratios presented by the Group. However, average tangible shareholders’
equity is not a measure provided for in IFRS, and the Group’s ratios based on this measure should not be compared to other
companies’ ratios without considering differences in the calculations.
The reconciliation of the aforementioned ratios is set forth in the table below:
in € m.
(unless stated otherwise)
Profit (loss) before tax
Profit (loss)
Profit (loss) attributable to
noncontrolling interests
Profit (loss) attributable to DB
shareholders and additional
equity components
Profit (loss) attributable to additional
equity components
Profit (loss) attributable to Deutsche
Bank shareholders
Corporate
Bank
561
404
Investment
Bank
3,171
2,283
Private
Bank
(124)
(89)
Asset
Management
Capital
Release Unit
544
391
(2,201)
(1,584)
Corporate &
Other
(930)
(781)
2020
Total
1,021
624
0
0
0
0
0
129
129
404
2,283
(89)
391
(1,584)
(910)
72
169
79
14
48
0
332
2,114
(168)
378
(1,632)
(910)
495
382
113
9,904
11,521
22,943
Average allocated shareholders' equity
Deduct: Average allocated goodwill
and other intangible assets1
Average allocated tangible sharehold-
ers' equity
Post-tax return on average
shareholders’ equity
Post-tax return on average
tangible shareholders’ equity
1 Goodwill and other intangible assets related to the share of DWS that is not held by Deutsche Bank are excluded since the first quarter of 2018.
(26.9) %
(26.3) %
21,809
10,266
(1.6) %
(1.5) %
21.4 %
4,760
2,993
1,767
9,302
1,255
6,062
6,205
1,134
9.7 %
3.6 %
9.2 %
7.9 %
3.3 %
602
143
0
55,332
0
6,127
0
49,205
N/M
0.2 %
N/M
0.2 %
427
Deutsche Bank
Annual Report 2020
Non-GAAP financial measures
Return on equity ratios
in € m.
(unless stated otherwise)
Profit (loss) before tax
Profit (loss)
Profit (loss) attributable to
noncontrolling interests
Profit (loss) attributable to DB
shareholders and additional
equity components
Profit (loss) attributable to additional
equity components
Profit (loss) attributable to Deutsche
Bank shareholders
Average allocated shareholders' equity
Deduct: Average allocated goodwill
and other intangible assets1
Average allocated tangible sharehold-
ers' equity
Post-tax return on average
shareholders’ equity
Post-tax return on average
tangible shareholders’ equity
Corporate
Bank
92
66
Investment
Bank
502
361
Private
Bank
(279)
(201)
Asset
Management
Capital
Release Unit
468
337
(3,170)
(2,283)
Corporate &
Other
(247)
(3,546)
2019
Total
(2,634)
(5,265)
0
0
0
0
0
125
125
66
361
(201)
337
(2,283)
(3,670)
(5,390)
60
132
62
11
63
0
328
6
229
(263)
326
(2,346)
(3,670)
(5,718)
10,464
23,052
11,729
4,821
10,105
0
60,170
780
1,824
1,731
3,032
160
0
7,528
9,684
21,227
9,998
1,789
9,945
0
52,643
0.1 %
1.0 %
(2.2) %
6.8 %
(23.2) %
N/M
(9.5) %
0.1 %
1.1 %
(2.6) %
18.2 %
(23.6) %
N/M
(10.9) %
Prior year segmental information presented in the current structure
1 Goodwill and other intangible assets related to the share of DWS that is not held by Deutsche Bank are excluded since the first quarter of 2018.
in € m.
(unless stated otherwise)
Profit (loss) before tax
Profit (loss)
Profit (loss) attributable to
noncontrolling interests
Profit (loss) attributable to DB
shareholders and additional
equity components
Profit (loss) attributable to additional
equity components
Profit (loss) attributable to Deutsche
Bank shareholders
Average allocated shareholders' equity
Deduct: Average allocated goodwill
and other intangible assets1
Average allocated tangible sharehold-
ers' equity
Post-tax return on average
shareholders’ equity
Post-tax return on average
tangible shareholders’ equity
Corporate
Bank
1,254
903
Investment
Bank
958
690
Private
Bank
616
443
Asset
Management
Capital
Release Unit
368
265
(1,404)
(1,011)
Corporate &
Other
(461)
(949)
2018
Total
1,330
341
0
0
0
0
0
75
75
903
690
443
265
(1,011)
(1,023)
61
134
63
8
54
0
267
319
842
556
380
258
(1,065)
(1,023)
(52)
10,927
22,629
12,397
4,837
11,704
115
62,610
1,029
2,086
2,035
3,024
199
14
8,386
9,898
20,542
10,363
1,814
11,505
101
54,224
7.7 %
2.5 %
3.1 %
5.3 %
(9.1) %
N/M
(0.1) %
8.5 %
2.7 %
3.7 %
14.2 %
(9.3) %
N/M
(0.1) %
Prior year segmental information presented in the current structure
1 Goodwill and other intangible assets related to the share of DWS that is not held by Deutsche Bank are excluded since the first quarter of 2018.
428
Deutsche Bank
Annual Report 2020
Non-GAAP financial measures
Adjusted costs
Core Bank
The Core Bank represents the Group excluding the Capital Release Unit (CRU).
in € m.
(unless stated otherwise)
Profit (loss) before tax
Profit (loss)
Profit (loss) attributable to noncontrolling interests
Profit (loss) attributable to Deutsche Bank shareholders and additional equity components
Profit (loss) attributable to additional equity components
Profit (loss) attributable to Deutsche Bank shareholders
Average allocated shareholders' equity
Deduct: Average allocated goodwill and other intangible assets
Average allocated tangible shareholders' equity
Post-tax return on average shareholders’ equity
Post-tax return on average tangible shareholders’ equity
Prior year segmental information presented in the current structure
in € m.
(unless stated otherwise)
Profit (loss) before tax - Group
Profit (loss) before tax - CRU
Profit (loss) before tax - Core Bank
Specific revenue items
Transformation charges
Impairment of goodwill / other intangibles
Restructuring & severance
Adjusted profit (loss) before tax – Core Bank
Prior year segmental information presented in the current structure
Transformation charges
2020
3,221
2,208
129
2,079
334
1,746
49,127
5,984
43,143
3.6 %
4.0 %
2020
1,021
(2,201)
3,221
(38)
328
0
671
4,182
2019
536
(2,982)
125
(3,107)
266
(3,372)
50,065
7,368
42,698
(6.7) %
(7.9) %
2019
(2,634)
(3,170)
536
(108)
635
1,037
649
2,749
2018
2,735
1,352
75
1,278
266
1,012
50,905
8,187
42,718
2.0 %
2.4 %
2018
1,330
(1,404)
2,735
(691)
0
0
494
2,537
Transformation charges are costs, included in adjusted costs, that are directly related to Deutsche Bank’s transformation as
a result of the strategy announced on July 7, 2019 and certain costs related to incremental or accelerated decisions driven by
the changes in our expected operations due to the COVID-19 pandemic. Such charges include the transformation-related
impairment of software and real estate, the accelerated software amortization and other transformation charges like onerous
contract provisions or legal and consulting fees related to the strategy execution. The table represents the transformation
charges by the respective cost category.
in € m.
Compensation and benefits
IT costs
Professional service fees
Occupancy, furniture and equipment expenses
Communication, data services, marketing
Other
Transformation charges
Adjusted costs
2020
8
257
18
196
7
4
490
2019
0
977
12
137
0
18
1,145
Adjusted costs is one of the key performance indicators and is a non-GAAP financial measure for which the most directly
comparable IFRS financial measure is noninterest expenses. Adjusted costs is calculated by deducting (i) impairment of
goodwill and other intangible assets, (ii) net litigation charges and (iii) restructuring and severance from noninterest expenses
under IFRS. The Group believes that a presentation of noninterest expenses excluding the impact of these items provides a
more meaningful depiction of the costs associated with our operating businesses. To show the development of our cost initi-
atives excluding costs that are directly related to Deutsche Bank’s transformation as a result of the strategy announced on
July 7, 2019, the Group also presents Adjusted costs excluding transformation charges, in which the transformation charges
described above are deducted from Adjusted costs.
429
Deutsche Bank
Annual Report 2020
Non-GAAP financial measures
Adjusted costs
In addition, BNP Paribas and Deutsche Bank have signed a master transaction agreement to provide continuity of service to
Deutsche Bank’s Prime Finance and Electronic Equities clients. Under the agreement Deutsche Bank will continue to operate
the platform until clients can be migrated to BNP Paribas, and BNP Paribas reimburses Deutsche Bank for the eligible ex-
penses of the transferred business. To show the development of our cost initiatives excluding not only transformation charges
but also these eligible reimbursable expenses, the Group also presents Adjusted costs excluding transformation charges and
expenses eligible for reimbursement related to Prime Finance.
Corporate
Bank
4,218
Investment
Bank
5,413
0
99
78
4,041
59
0
20
26
5,368
84
Private
Bank
7,539
0
83
520
6,936
122
Asset
Management
Capital
Release Unit
1,527
1,947
Corporate &
Other
572
2020
Total
consolidated
21,216
0
(1)
37
1,490
5
0
25
17
1,906
162
0
(67)
10
629
58
0
158
688
20,370
490
3,982
5,284
6,813
1,485
1,744
571
19,880
360
19,520
Corporate
Bank
4,867
Investment
Bank
6,389
492
(4)
150
4,229
160
0
135
218
6,035
211
Private
Bank
8,142
545
(21)
156
7,462
190
Asset
Management
Capital
Release Unit
1,711
3,400
Corporate &
Other
566
2019
Total
consolidated
25,076
0
(5)
41
1,675
30
0
129
157
3,115
510
0
238
83
245
43
1,037
473
805
22,761
1145
4,069
5,824
7,272
1,644
2,605
202
21,616
in € m.
Noninterest expenses
Impairment of goodwill and other
intangible assets
Litigation charges, net
Restructuring and severance
Adjusted costs
Transformation charges
Adjusted costs ex. transformation
charges
Expenses eligible for reimbursement
related to Prime Finance
Adjusted costs ex. transformation
charges and expenses eligible for re-
imbursement related to Prime Fi-
nance
in € m.
Noninterest expenses
Impairment of goodwill and other
intangible assets
Litigation charges, net
Restructuring and severance
Adjusted costs
Transformation charges
Adjusted costs ex. transformation
charges
Expenses eligible for reimbursement
related to Prime Finance
Adjusted costs ex. transformation
charges and expenses eligible for re-
imbursement related to Prime Fi-
nance
Prior year segmental information presented in the current structure
in € m.
Noninterest expenses
Impairment of goodwill and other
intangible assets
Litigation charges, net
Restructuring and severance
Adjusted costs
Transformation charges
Adjusted costs ex. transformation
charges
Expenses eligible for reimbursement
related to Prime Finance
Adjusted costs ex. transformation
charges and expenses eligible for re-
imbursement related to Prime Finance
Prior year segmental information presented in the current structure
Corporate
Bank
3,882
Investment
Bank
6,509
0
34
45
3,802
0
0
96
232
6,181
0
Private
Bank
7,556
0
(80)
112
7,524
0
Asset
Management
Capital
Release Unit
1,735
3,351
Corporate &
Other
428
Total
consolidated
23,461
0
33
45
1,657
0
0
(47)
69
3,329
0
0
52
60
317
0
0
88
563
22,810
0
3,802
6,181
7,524
1,657
3,329
317
22,810
102
21,514
2018
0
22,810
430
Deutsche Bank
Annual Report 2020
Non-GAAP financial measures
Revenues excluding specific items
Revenues excluding specific items
Revenues excluding specific items is a performance indicator that is a non-GAAP financial measure most directly comparable
to the IFRS financial measure net revenues. Revenues excluding specific items is calculated by adjusting net revenues under
IFRS for specific revenue items which generally fall outside the usual nature or scope of the business and are likely to distort
an accurate assessment of the divisional operating performance. Excluded items are Debt Valuation Adjustment (DVA) and
material transactions or events that are either one-off in nature or belong to a portfolio of connected transactions or events
where the P&L impact is limited to a specific period of time. The Group believes that a presentation of net revenues excluding
the impact of these items provides a more meaningful depiction of the revenues associated with our business.
in € m.
Revenues
DVA
Sale of PB Systems to TCS
Change in valuation of an investment
- FIC S&T
Gain on sale
- Global Transaction Banking
Gain from property sale
- Private Bank Germany
Gain from property sale
- IPB / Sal. Oppenheim
Sal. Oppenheim workout
- International Private Bank (IPB)
Update in valuation methodology –
CRU
Total Specific revenue items
Revenues excluding specific items
in € m.
Revenues
DVA
Sale of PB Systems to TCS
Change in valuation of an investment
- FIC S&T
Gain on sale
- Global Transaction Banking
Gain from property sale
- Private Bank Germany
Gain from property sale
- IPB / Sal. Oppenheim
Sal. Oppenheim workout
- International Private Bank (IPB)
Update in valuation methodology –
CRU
Total Specific revenue items
Revenues excluding specific items
Corporate
Bank
5,145
0
(16)
Investment
Bank
9,283
6
0
Private
Bank
8,126
0
(88)
Asset
Management
Capital
Release Unit
2,229
0
0
(225)
(8)
0
Corporate &
Other
(530)
0
0
2020
Total
consolidated
24,028
(2)
(104)
0
0
0
0
0
22
0
0
0
0
0
0
0
0
114
0
0
0
0
0
0
0
0
0
0
0
0
0
0
22
0
0
0
0
114
0
(16)
5,161
0
28
9,255
0
26
8,100
0
0
2,229
0
(8)
(217)
0
0
(530)
0
30
23,998
Corporate
Bank
5,244
0
0
Investment
Bank
7,019
(140)
0
Private
Bank
8,206
0
0
Asset
Management
Capital
Release Unit
2,332
0
0
217
(35)
0
0
143
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
105
Corporate &
Other
147
0
0
2019
Total
consolidated
23,165
(175)
0
0
143
0
0
0
0
0
0
0
105
0
0
5,244
0
3
7,016
0
105
8,101
0
0
2,332
(81)
(116)
332
0
0
147
(81)
(8)
23,173
Prior year segmental information presented in the current structure
431
Deutsche Bank
Annual Report 2020
Non-GAAP financial measures
Adjusted profit (loss) before tax
in € m.
Revenues
DVA
Sale of PB Systems to TCS
Change in valuation of an investment
- FIC S&T
Gain on sale
- Global Transaction Banking
Termination of legacy Trust Preferred
Security
- Private Bank Germany
Gain from asset sale
- Private Bank Germany
Gain from property sale
- IPB / Sal. Oppenheim
Sal. Oppenheim workout
- International Private Bank (IPB)
Update in valuation methodology –
CRU
Total Specific revenue items
Revenues excluding specific items
Corporate
Bank
5,278
0
0
Investment
Bank
7,561
126
0
0
140
57
0
Private
Bank
8,520
0
0
0
0
0
0
0
0
0
0
0
156
0
0
40
172
0
368
8,153
0
57
5,221
0
266
7,295
Asset
Management
Capital
Release Unit
2,187
0
0
1,911
0
0
2018
Corporate &
Other
(142)
0
0
Total
consolidated
25,316
126
0
0
0
0
0
0
0
0
0
0
0
0
0
0
140
0
57
0
0
0
156
0
0
40
172
0
0
2,187
0
0
1,911
0
0
(142)
0
691
24,625
Prior year segmental information presented in the current structure
Adjusted profit (loss) before tax
Adjusted profit (loss) before tax is calculated by adjusting the profit (loss) before tax under IFRS for specific revenue items,
transformation charges, impairments of goodwill and other intangibles, as well as restructuring and severance expenses. The
Group believes that a presentation of profit (losses) before tax excluding the impact of the foregoing items provides a more
meaningful depiction of the profitability of our operating business.
in € m.
Profit (loss) before tax
Specific revenue items
Transformation charges
Impairment of goodwill / other intan-
gibles
Restructuring & severance
Adjusted profit (loss) before tax
Corporate
Bank
561
16
59
Investment
Bank
3,171
(28)
84
0
78
714
0
26
3,252
in € m.
Profit (loss) before tax
Specific revenue items
Transformation charges
Impairment of goodwill / other intan-
gibles
Restructuring & severance
Adjusted profit (loss) before tax
Corporate
Bank
92
0
160
492
150
894
Investment
Bank
502
(3)
211
0
218
929
Prior year segmental information presented in the current structure
Private
Bank
(124)
(26)
122
0
520
493
Private
Bank
(279)
(105)
190
545
156
507
Asset
Management
Capital
Release Unit
544
0
5
0
37
586
(2,201)
8
162
0
17
(2,014)
Corporate &
Other
(930)
0
58
0
10
(862)
2020
Total
consolidated
1,021
(30)
490
0
688
2,169
Asset
Management
Capital
Release Unit
468
0
30
0
41
539
(3,170)
116
510
0
157
(2,388)
Corporate &
Other
(247)
0
43
0
83
(121)
2019
Total
consolidated
(2,634)
8
1,145
1,037
805
361
in € m.
Profit (loss) before tax
Specific revenue items
Transformation charges
Impairment of goodwill / other intangi-
bles
Restructuring & severance
Adjusted profit (loss) before tax
Corporate
Bank
1,254
(57)
0
Investment
Bank
958
(266)
0
0
45
1,242
0
232
924
Private
Bank
616
(368)
0
0
112
360
Asset
Management
Capital
Release Unit
368
0
0
0
45
413
(1,404)
0
0
0
69
(1,335)
Prior year segmental information presented in the current structure
2018
Corporate &
Other
(461)
0
0
Total
consolidated
1,330
(691)
0
0
60
(402)
0
563
1,202
432
Deutsche Bank
Annual Report 2020
Non-GAAP financial measures
Book Value and Tangible Book Value per Basic Share Outstanding
Net assets (adjusted)
Net assets (adjusted) are defined as IFRS Total assets adjusted to reflect the recognition of legal netting agreements, offset-
ting of cash collateral received and paid and offsetting pending settlements balances. The Group believes that a presentation
of net assets (adjusted) makes comparisons to its competitors easier.
in € m.
(unless stated otherwise)
Total assets
Deduct: Derivatives (incl. hedging derivatives) credit line netting
Deduct: Derivatives cash collateral received / paid
Deduct: Securities Financing Transactions credit line netting
Deduct: Pending settlements netting
Net assets
2020
1,325
266
83
1
12
963
2019
1,298
266
74
1
10
946
2018
1,348
253
68
1
18
1,010
Book Value and Tangible Book Value per Basic Share
Outstanding
Book value per basic share outstanding and tangible book value per basic share outstanding are non-GAAP financial
measures that are used and relied upon by investors and industry analysts as capital adequacy metrics. Book value per basic
share outstanding represents the Bank’s total shareholders’ equity divided by the number of basic shares outstanding at
period-end. Tangible book value represents the Bank’s total shareholders’ equity less goodwill and other intangible assets.
Tangible book value per basic share outstanding is computed by dividing tangible book value by period-end basic shares
outstanding.
Tangible Book Value
in € m.
(unless stated otherwise)
Total shareholders’ equity (Book
value)
Goodwill and other intangible assets1
Tangible shareholders’ equity (Tangi-
ble
book value)
2020
2019
2018
in € m.
in %
in € m.
in %
2020 increase (decrease)
from 2019
2019 increase (decrease)
from 2018
54,786
(5,997)
55,857
(6,254)
62,495
(8,372)
(1,071)
257
(2)
(4)
(6,638)
2,119
(11)
(25)
48,789
49,603
54,122
(815)
(2)
(4,519)
(8)
1 Excludes Goodwill and other intangible assets attributable to partial sale of DWS.
Basic Shares Outstanding
in € m.
(unless stated otherwise)
Number of shares
Shares outstanding:
Treasury shares
Vested share awards
Basic shares outstanding
Book value per basic share outstand-
ing in €
Tangible book value per basic share
outstanding in €
2020 increase (decrease)
from 2019
2020
2,066.8
2019
2,066.8
2018
2,066.8
in € m.
0
(1.3)
38.6
2,104.1
(0.7)
52.4
2,118.5
(1.3)
39.8
2,105.2
(0.6)
(13.8)
(14.4)
in %
0
94.0
(26.3)
(0.7)
2019 increase (decrease)
from 2018
in %
0
in € m.
0
0.7
12.6
13.3
(50.0)
31.7
0.6
26.04
26.37
29.69
(0.33)
(1.3)
(3.32)
(11.2)
23.19
23.41
25.71
(0.22)
(0.9)
(2.30)
(8.9)
433
Deutsche Bank
Annual Report 2020
Non-GAAP financial measures
Regulatory fully loaded measures
Regulatory fully loaded measures
Our regulatory assets, exposures, risk-weighted assets, capital and ratios thereof are calculated for regulatory purposes and
are set forth throughout this document under the CRR/CRD as currently applicable.
We present in this report certain figures based on the CRR definition of own fund instruments applicable for Additional Tier 1
(AT1) capital and Tier 2 (T2) capital and figures based thereon, including Tier 1, Total Capital and Leverage Ratio) on a “fully
loaded” basis. We calculate such “fully loaded” figures excluding the transitional arrangements for own fund instruments as
provided in the currently applicable CRR/CRD. For CET 1 instruments we do not make use of transitional provisions.
Transitional arrangements are applicable for AT1 and T2 instruments. Capital instruments issued on or prior to December 31,
2011, that no longer qualify as AT1 or T2 capital under the fully loaded CRR/CRD as currently applicable are subject to
grandfathering rules during the transitional period and are being phased out from 2013 to 2022 with their recognition capped
at 30 % in 2019, 20 % in 2020 and 10 % in 2021 (in relation to the portfolio eligible for grandfathering which was still in issue
on December 31, 2012). The current CRR as applicable since June 27, 2019 provides further grandfathering rules for AT1
and T2 instruments issued prior to June 27, 2019. Thereunder, AT1 and T2 instruments issued through special purpose enti-
ties are grandfathered until December 31, 2021, and AT1 and T2 instruments that do not meet certain new requirements that
apply since June 27, 2019 continue to qualify until June 26, 2025. Instruments issued under UK law which do not fulfill all CRR
requirements after the UK has left the European Union are also excluded from our fully loaded definition. Our CET 1 and RWA
figures show no difference between CRR/CRD as currently applicable and fully loaded CRR/CRD based on our definition of
“fully loaded”.
For the comparative numbers as per year-end 2019 we still applied our earlier concept of fully loaded, defined as excluding
the transitional arrangements for own funds instruments introduced by the CRR/CRD applicable until June 26, 2019, but re-
flecting the transitional arrangements introduced by the amendments to the CRR/CRD applicable from June 27, 2019 and
further amendments thereafter.
We believe that these “fully loaded” calculations provide useful information to investors as they reflect our progress against
the regulatory capital standards and as many of our competitors have been describing calculations on a “fully loaded” basis.
As our competitors’ assumptions and estimates regarding “fully loaded” calculations may vary, however, our “fully loaded”
measures may not be comparable with similarly labelled measures used by our competitors.
434
Deutsche Bank
Annual Report 2020
Declaration of backing
Regulatory fully loaded measures
Declaration of backing
Deutsche Bank AG ensures, except in the case of political risk, that the following subsidiaries are able to meet their
contractual liabilities:
D B Investments (GB) Limited, London
Deutsche Bank Trust Company Americas, New
York
DB International (Asia) Limited, Singapore
Deutsche Holdings (Malta) S.à r.l., Luxembourg,
Deutsche Australia Limited, Sydney
Deutsche Immobilien Leasing GmbH, Düsseldorf
DEUTSCHE BANK A.Ş., Istanbul
Deutsche Bank Americas Holding Corp., Wilming-
ton
Deutsche Bank (China) Co., Ltd., Beijing
Deutsche Bank Europe GmbH, Frankfurt am Main
Deutsche Bank Luxembourg S.A., Luxembourg
Deutsche Bank (Malaysia) Berhad, Kuala Lumpur
Deutsche Bank Polska Spółka Akcyjna, Warsaw
Deutsche Bank S.A. – Banco Alemão, São Paulo
Deutsche Bank, Sociedad Anónima Española, Mad-
rid
Deutsche Bank Società per Azioni, Milan
Deutsche Morgan Grenfell Group Public Limited
Company, London
Deutsche Securities Inc., Tokyo
Deutsche Securities Asia Limited, Hong Kong
Deutsche Securities Saudi Arabia (a closed joint
stock company), Riyadh
norisbank GmbH, Bonn
Joint Stock Company Deutsche Bank DBU, Kiev
OOO “Deutsche Bank”, Moscow
Deutsche Oppenheim Family Office AG, Cologne
BHW Bausparkasse Aktiengesellschaft, Hameln
Deutsche Bank (Suisse) SA, Geneva
PB Factoring GmbH, Bonn
435
Deutsche Bank
Annual Report 2020
Group five-year record
Regulatory fully loaded measures
Group five-year record
in € m.
Net interest income
Provision for credit losses
Net interest income after provision for credit losses
Commissions and fee income
Net gains (losses) on financial assets/liabilities
at fair value through profit or loss
Other noninterest income (loss)
Total net revenues
Compensation and benefits
General and administrative expenses
Policyholder benefits and claims
Impairment of goodwill and other intangible assets
Restructuring activities
Total noninterest expenses
Income (loss) before income taxes
Income tax expense
Net income (loss)
Net income attributable to noncontrolling interests
Net income (loss) attributable to Deutsche Bank shareholders
and additional equity components
2020
11,526
1,792
9,734
9,424
2,465
614
24,028
10,471
10,259
0
0
485
21,216
1,021
397
624
129
2019
13,749
723
13,026
9,520
193
(298)
23,165
11,142
12,253
0
1,037
644
25,076
(2,634)
2,630
(5,265)
125
2018
13,316
525
12,791
10,039
1,209
753
25,316
11,814
11,286
0
0
360
23,461
1,330
989
341
75
2017
12,378
525
11,853
11,002
2,926
142
26,447
12,253
11,973
0
21
447
24,695
1,228
1,963
(735)
15
2016
14,707
1,383
13,324
11,744
1,401
2,161
30,014
11,874
15,454
374
1,256
484
29,442
(810)
546
(1,356)
45
495
(5,390)
267
(751)
(1,402)
in €
(unless stated otherwise)
Basic earnings per share1,2
Diluted earnings per share1,3
Dividends paid per share4
Dividends paid per share in U.S.$5
1 The number of average basic shares outstanding has been adjusted for all periods before April 2017 in order to reflect the effect of the bonus element of the subscription rights
(0.53)
(0.53)
0.196
0.21
(2.71)
(2.71)
0.11
0.13
(0.01)
(0.01)
0.11
0.13
0.07
0.07
0.00
0.00
(1.08)
(1.08)
0.00
0.00
issue in connection with the capital increase in April 2017.
2 We calculate basic earnings per share for each period by dividing our net income attributable to Deutsche Bank shareholders by the average number of common shares
outstanding. Earnings were adjusted by € 349 million and € 330 million before tax, € 292 million, € 298 million and € 276 million net of tax for the coupons paid on Additional
Tier 1 Notes in April 2020, April 2019, April 2018, April 2017 and April 2016, respectively. Since 2019 the tax impact is recognized in net income (loss) directly.
3 We calculate diluted earnings per share for each period by dividing our net income attributable to Deutsche Bank shareholders by the average number of common shares
outstanding, both after assumed conversions. Earnings were adjusted by € 349 million and € 330 million before tax, € 292 million, € 298 million and € 276 million net of tax for
the coupons paid on Additional Tier 1 Notes in April 2020, April 2019, April 2018, April 2017 and April 2016 , respectively. For 2019, 2017 and 2016, there was no dilutive effect
as the Group reported a net loss. There was no dilutive effect for 2018 as the net income was offset by coupons paid on Additional Tier 1 Notes
4 Dividends declared and paid in the year.
5 Dividends declared and paid in U.S.$ were translated from euro into U.S.$ based on the exchange rates as of the respective payment days.
6 The dividend paid in 2017 consisted of € 0.11 for 2016 and of € 0.08 for 2015 that were paid simultaneously in 2017 after the agreement by the annual general meeting in 2017.
2020
2019
2018
2017
Total assets
Loans at amortized cost
Deposits
Long-term debt
Common shares1
Total shareholders’ equity
Common Equity Tier 1 capital (CRR/CRD 4)2
Common Equity Tier 1 capital (CRR/CRD 4 fully loaded)2
Tier 1 capital (CRR/CRD 4)2
Tier 1 capital (CRR/CRD 4 fully loaded)2
Total regulatory capital (CRR/CRD 4)2
Total regulatory capital (CRR/CRD 4 fully loaded)2
1 Capital increased from authorized capital against cash contributions through a public offering with subscription rights in April 2017.
2 Figures presented based on the transitional rules (“CRR/CRD 4”) and the full application (“CRR/CRD 4 fully loaded”) of the CRR/CRD 4 framework.
in € m.
1,297,674
429,841
572,208
136,473
5,291
55,857
44,148
44,148
50,546
48,733
56,503
56,503
in € m.
1,324,961
426,691
567,745
149,163
5,291
54,786
44,700
44,700
51,548
50,448
58,492
57,071
in € m.
1,348,137
400,297
564,405
152,083
5,291
62,495
47,486
47,486
55,091
52,082
61,292
61,292
in € m.
1,474,732
401,699
581,873
159,715
5,291
63,174
50,808
48,300
57,631
52,921
64,016
63,250
2016
in € m.
1,590,546
408,909
550,204
172,316
3,531
59,833
47,782
42,279
55,486
46,829
62,158
59,502
436
Deutsche Bank
Annual Report 2020
Imprint / publications
Regulatory fully loaded measures
Imprint / publications
Deutsche Bank
Aktiengesellschaft
Taunusanlage 12
60262 Frankfurt am Main
Germany
Telephone: +49 69 910-00
deutsche.bank@db.com
Contact for shareholders
+49 800 910-8000
db.ir@db.com
AGM Hotline
+49 6196 8870704
Online
All publications relating to our
financial reporting are available at:
www.db.com/annual-reports
Publication
Published on March 12, 2021
Cautionary statement regarding for-
ward-looking statements
This report contains forward-looking statements.
Forward-looking statements are statements that
are not historical facts; they include statements
about our beliefs and expectations and the
assumptions underlying them. These statements
are based on plans, estimates and projections as
they are currently available to the management of
Deutsche Bank. Forward-looking statements
therefore speak only as of the date they are
made, and we undertake no obligation to update
publicly any of them in light of new information or
future events.
By their very nature, forward-looking statements
involve risks and uncertainties. A number of
important factors could therefore cause actual
results to differ materially from those contained in
any forward-looking statement. Such factors
include the conditions in the financial markets in
Germany, in Europe, in the United States and
elsewhere from which we derive a substantial
portion of our revenues and in which we hold a
substantial portion of our assets, the development
of asset prices and market volatility, potential
defaults of borrowers or trading counterparties,
the implementation of our strategic initiatives,
the reliability of our risk management policies,
procedures and methods, and other risks
referenced in our filings with the U.S. Securities
and Exchange Commission. Such factors are
described in detail in our SEC Form 20-F of
March 12, 2021 under the heading “Risk Factors.”
Copies of this document are readily available
upon request or can be downloaded from
www.db.com/ir.
437
Our Purpose
This is why we‘re here. This is what we do.
We are here to enable economic
growth and societal progress,
by creating positive impact for
our clients, our people, our
investors and our communities.
2021
Financial Calendar
2022
Financial Calendar
April 28, 2021
Earnings Report as of March 31, 2021
February 3, 2022
Preliminary results for the 2021 financial year
May 27, 2021
Annual General Meeting
March 11, 2022
Annual Report 2021 and Form 20-F
July 28, 2021
Interim Report as of June 30, 2021
April 27, 2022
Earnings Report as of March 31, 2022
October 27, 2021
Earnings Report as of September 30, 2021
May 19, 2022
Annual General Meeting
July 27, 2022
Interim Report as of June 30, 2022
October 26, 2022
Earnings Report as of September 30, 2022