Dbfy2017 Risk Report

Risk Report
42 Introduction
43 Risk and Capital Overview 58 Credit Risk Management
43 Key Risk Metrics 65 Market Risk Management
44 Overall Risk Assessment 71 Operational Risk
44 Risk Profile 76 Liquidity Risk Management
46 Risk and Capital Framework 80 Business (Strategic) Risk Management
46 Risk Management Principles 81 Reputational Risk Management
47 Risk Governance 81 Risk Concentration and Risk Diversification
50 Risk Appetite and Capacity 82 Risk and Capital Performance
51 Risk and Capital Plan 82 Capital and Leverage Ratio
53 Stress testing 95 Credit Risk Exposure
55 Recovery and Resolution Planning 111 Asset Quality
57 Risk and Capital Management 119 Trading Market Risk Exposures
57 Capital Management 123 Nontrading Market Risk Exposures
57 Resource Limit Setting 125 Operational Risk Exposure
58 Risk Identification and Assessment 126 Liquidity Risk Exposure
Deutsche Bank 1 – Management Report
Annual Report 2017
Introduction
Disclosures in line with IFRS 7 and IAS 1

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, and capital disclo-
sures required by International Accounting Standard 1 (IAS 1) Presentation of Financial Statements. Information which forms
part of and is incorporated by reference into the financial statements of this report is marked by a bracket in the margins
throughout 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
CRR and supported by EBA Implementing Technical Standards or the EBA Guideline “Final Report on the Guidelines on Dis-
closure Requirements under Part Eight of Regulation (EU) No 575/2013” (“EBA Guideline”, EBA/GL/2016/11, version 2*) 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.
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, 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 adhered to the disclosure recommenda-
tions in this Risk Report and also in our additional Pillar 3 Report.
42
Deutsche Bank Risk and Capital Overview
Annual Report 2017 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), Internal Capital Adequacy Ratio (ICA), Leverage Ratio (LR), Liquidity Cover-
age Ratio (LCR), and Stressed Net Liquidity Position (SNLP) serve as high level metrics and are fully integrated across strate-
gic planning, risk appetite framework, stress testing (except LCR), and recovery and resolution planning practices, which are
reviewed and approved by our Management Board at least annually. The CET 1, LR, Leverage Exposure, LCR and Risk-
Weighted-Assets ratios and metrics, which are regulatory defined, are based on the fully loaded rules under 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 4 or “CRD 4”). ICA, Economic Capital and SNLP are Deutsche Bank
specific internal risk metrics in addition to the above described regulatory metrics.
Common Equity Tier 1 Ratio Total Risk-Weighted Assets

31.12.2017 14.0 % 31.12.2017 € 344.2 bn
31.12.2016 11.8 % 31.12.2016 € 357.5 bn
Internal Capital Adequacy Ratio 1 Total Economic Capital2

31.12.2017 192 % 31.12.2017 € 27.1 bn
31.12.2016 162 % 31.12.2016 € 35.4 bn
Leverage Ratio Leverage Exposure

31.12.2017 3.8 % 31.12.2017 € 1,395 bn
31.12.2016 3.5 % 31.12.2016 € 1,348 bn
Liquidity Coverage Ratio Stressed Net Liquidity Position (sNLP)

31.12.2017 140 % 31.12.2017 € 32.6 bn
31.12.2016 128 % 31.12.2016 € 36.1 bn
1 The definition of capital supply for the purpose of calculating the internal capital adequacy ratio has been changed to take a perspective that aims at maintaining the viability of
Deutsche Bank on an ongoing basis. More information is provided in section “Internal Capital Adequacy”.
2
The quantile used to measure the economic capital demand has been changed from 99.98% to 99.9% to take a perspective that aims at maintaining the viability of Deutsche
Bank on an ongoing basis in alignment with the change of the definition of capital supply. More information is provided in section “Internal Capital Adequacy”. An overview of
the quantitative impact of the quantile change on the economic capital is provided in section “Risk Profile”.
For further details please refer to sections “Risk Appetite and Capacity”, “Recovery and Resolution Planning”, “Stress Testing”,
“Risk Profile”, “Internal Capital Adequacy Assessment Process”, “Capital Instruments”, “Development of Regulatory Capital” (for
phase-in and fully loaded CET 1 and risk-weighted-assets figures), “Development of Risk Weighted Assets”, “Leverage Ratio”
(for phase-in and fully loaded leverage ratio), “Liquidity Coverage Ratio”, and “Stress Testing and Scenario Analysis”.
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Annual Report 2017
Overall Risk Assessment

Key risk categories include 1) financial risks such as credit risk (including default, migration, transaction, settlement, exposure,
country, mitigation and concentration risks), market risk (including interest rate, foreign exchange, equity, credit spread, com-
modity and other cross-asset risks), liquidity risk, business risk (including tax and strategic risk), and 2) non-financial risks
(NFRs) including reputational risk and operational risk (with important sub-categories compliance risk, legal risk, model risk,
information security risks, fraud risks, 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 infor-
mation on the management of our material risks.
As part of our regular analysis, sensitivities of the key portfolio risks are reviewed using a bottom-up risk assessment, comple-
mented by a top-down macro-economic and political scenario analysis. This two-pronged approach allows us to capture both
those risk drivers that have an impact across our risk inventories and business divisions as well as those relevant only to specif-
ic portfolios.
Against an improving global economic backdrop, particularly in the Eurozone, key downside risks are focused on monetary
policy and (geo) political risks. The Federal Reserve is expected to continue to raise rates in 2018, while the ECB’s quantitative
easing program may terminate by the end of the year. Higher than expected inflation could drive more rapid policy tightening, in
turn disrupting financial markets (where valuations are stretched across several asset classes) as well as driving financial insta-
bility in sectors where leverage is high. The political agenda in Europe remains busy with the Italy election in March, Brexit
negotiations ongoing and the Catalonia situation unresolved. On the geopolitical risk front tensions between the United States
and its allies and North Korea remain in focus.
The assessment of the potential impacts of these risks is integrated into our group-wide stress tests which assess our ability to
absorb these events should they occur. The results of these tests showed that the currently available capital and liquidity re-
serves, in combination with available mitigation measures, would allow us to absorb the impact of these risks if they were to
materialize in line with the tests’ parameters. Information about risk and capital positions for our portfolios can be found in the
“Risk and Capital Performance” section.
With the Basel Committee’s revisions to the modelling approaches for RWA finalized at the end of 2017 (commonly referred to
as Basel 4), the focus in 2018 is expected to shift to implementation of rules and enhancement of supervision. We remain fo-
cused on identifying potential political and regulatory changes and assessing the possible impact on our business model and
processes.
The overall focus of risk and capital management throughout 2017 was on maintaining our risk profile in line with our risk strat-
egy, increasing our capital base and supporting our strategic management initiatives with a focus on balance sheet optimization.
This approach is reflected across the different risk metrics summarized below.
Risk Profile
The table below shows our overall risk position as measured by the economic capital usage calculated for credit, market, opera-
tional and business risk for the dates specified. To determine our overall (economic capital) risk position, we generally consider
diversification benefits across risk types.
Overall risk position as measured by economic capital usage by risk type

2017 increase (decrease)
from 2016
in € m.
(unless stated otherwise) Dec 31, 2017 Dec 31, 2016 in € m. in %
Credit risk 10,769 13,105 (2,336) (18)
Market risk 10,428 14,593 (4,165) (29)
Trading market risk 3,800 4,229 (429) (10)
Nontrading market risk 6,628 10,364 (3,736) (36)
Operational risk 7,329 10,488 (3,159) (30)
Business risk 5,677 5,098 579 11
Diversification benefit1 (7,074) (7,846) 772 (10)
Total economic capital usage 27,129 35,438 (8,309) (23)
1 Diversification benefit across credit, market, operational and strategic risk (largest part of business risk).
44
Deutsche Bank Risk and Capital Overview
Annual Report 2017 Risk Profile
As of December 31, 2017, our economic capital usage amounted to € 27.1 billion, which was € 8.3 billion or 23 %, below the
€ 35.4 billion economic capital usage as of December 31, 2016. The decrease was mainly driven by the change in the quantile
from 99.98% to 99.9%. The quantile change is due to our revised internal capital adequacy perspective from a “gone-concern”
to a perspective aimed at maintaining the viability of Deutsche Bank, including a revised capital supply as further explained in
the section “Internal Capital Adequacy”.
The economic capital usage for credit risk was € 2.3 billion or 18 % lower as of December 31, 2017 compared to year-end 2016
mainly due to quantile change which led a decrease in credit risk economic capital as of November 2017 by € 3.66 billion, partly
offset by a higher counterparty risk component.
The economic capital usage for trading market risk decreased to € 3.8 billion as of December 31, 2017, compared to
€ 4.2 billion at year-end 2016. The decrease was primarily driven by the change of the quantile, which led to a reduction in
trading market risk by € 0.6 billion, partially offset by an increase in traded default risk component exposure. The nontrading
market risk economic capital usage decreased by € 3.7 billion or 36 % compared to December 31, 2016, mainly driven by a
considerable decrease in the guaranteed funds risk from the application of a new methodology and due to lower structural
foreign exchange risk exposure. The quantile change led to a decrease in nontrading market risk economic capital as of No-
vember 2017 by € 1.8 billion.
The operational risk economic capital usage totaled € 7.3 billion, as of December 31, 2017, which is € 3.2 billion or 30 % lower
than the € 10.5 billion economic capital usage as of December 31, 2016.The decrease was almost exclusively driven by the
impact from the change in the reference confidence level, which was only marginally offset by the effects that also led to the
small increase in regulatory capital for operational risk as outlined in the section “Operational Risk Management”.
Our business risk economic capital methodology captures strategic risk, which also implicitly includes elements of non-standard
risks including refinancing and reputational risk, a tax risk component and a capital charge for IFRS deferred tax assets on
temporary differences. The business risk increased by € 578 million compared to December 31, 2016, to € 5.7 billion as of
December 31, 2017. This increase reflected a higher economic capital usage for the tax risk component by € 267 million and a
deferred tax capital charge of € 686 million partially offset by the lower economic capital quantile used since November 2017 by
€ 791 million. Further details can be found in the section “Internal Capital Adequacy”.
The inter-risk diversification effect of the economic capital usage across credit, market, operational and strategic risk decreased
by € 772 million mainly due to quantile change and due to an overall lower economic capital usage.
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 undiversified economic capital demand (EC) metric, which mirrors each business
division’s risk profile before taking into account cross-risk effects at the Group level.
Risk profile of our business divisions as measured by economic capital

Dec 31, 2017
Corporate & Private &
in € m. (unless Investment Commercial Deutsche Asset Non-Core Consolidation & Total
stated otherwise) Bank Bank Management Operations Unit Adjustments Total (in %)
Credit Risk 6,519 3,596 62 - 591 10,769 40
Market Risk 4,679 1,386 310 - 4,054 10,428 38
Operational Risk 5,995 932 402 - 0 7,329 27
Business Risk 4,435 10 99 - 1,133 5,677 21
Diversification Benefit1 (5,450) (950) (264) - (410) (7,074) (26)
Total EC 16,178 4,974 609 - 5,368 27,129 100
Total EC in % 60 18 2 - 20 100 N/M
N/M – Not meaningful
Dec 31, 20161

Corporate & Private &
in € m. (unless Investment Commercial Deutsche Asset Non-Core Consolidation & Total
stated otherwise) Bank Bank Management Operations Unit Adjustments Total (in %)
Credit Risk 8,185 4,308 62 108 442 13,105 37
Market Risk 5,341 1,712 2,197 332 5,010 14,593 41
Operational Risk 8,330 1,437 561 160 0 10,488 30
Business Risk 4,753 32 100 245 (32) 5,098 14
Diversification Benefit2 (6,008) (1,039) (441) (110) (248) (7,846) (22)
Total EC 20,602 6,449 2,480 735 5,172 35,438 100
Total EC in % 58 18 7 2 15 100 N/M
1 Amounts allocated to the business segments have been restated to reflect comparatives according to the structure as of December 31, 2016.
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Annual Report 2017
Corporate & Investment Bank’s (CIB) risk profile is dominated by its trading in support of origination, structuring and market
making activities, which gives rise to market risk and credit risk. The vast majority of its credit risk relates to trade finance activi-
ties in Global Transaction Banking and corporate finance activities in Financing and Origination & Advisory. The share of the
operational risk in CIB’s risk profile reflects a high loss profile in the industry combined with internal losses and has increased
compared to the year-end 2016. The remainder of CIB’s risk profile is derived from business risk reflecting earnings volatility
risk. The economic capital usage for business risk increased compared to year-end 2016 mainly due to a higher economic
capital usage for the strategic risk component. The quantile change led to a decrease of economic capital in CIB by € 6.3 billion.
Private & Commercial Bank’s (PCB) risk profile comprises credit risk from retail, small and medium-sized enterprises lending
and wealth management activities as well as nontrading market risk from investment risk, modelling of client deposits and credit
spread risk. The economic capital usage for market risk decreased compared to the year-end 2016 mainly due to a lower non-
trading market risk component. The quantile change led to a decrease of economic capital in PCB by € 1.8 billion.
The main risk driver of Deutsche Asset Management’s (Deutsche AM) business are guarantees on investment funds, which we
report as nontrading market risk. Otherwise Deutsche AM’s advisory and commission focused business attracts primarily opera-
tional risk. The economic capital usage for market risk decreased compared to the year-end 2016 mainly due to a lower non-
trading market risk component resulting from the application of a new methodology to measure guaranteed funds risk. The
quantile change led to a decrease of economic capital in Deutsche AM by € 469 million.
The Non-Core Operations Unit (NCOU) portfolio included activities that are non-core to the Bank’s future strategy; assets ear-
marked for de-risking; assets suitable for separation; assets with significant capital absorption but low returns; and assets ex-
posed to legal risks. NCOU’s risk profile covered risks across the entire range of our operations. The economic capital usage
across all risk types decreased throughout 2016 mainly due to general wind-down of non-strategic assets. The NCOU was
dissolved as of the beginning of 2017 and its assets were reallocated to the other segments.
Consolidation & Adjustments mainly comprises nontrading market risk for structural foreign exchange risk, pension risk and
equity compensation risk. The economic capital usage for market risk and tax risk as part of business risk increased compared
to the year-end 2016. The quantile change led to a decrease of economic capital in Consolidation & Adjustments by € 1.8 billion.
Risk and Capital Framework
Risk Management Principles

The diversity of our business model requires us to identify, assess, measure, aggregate and manage our risks, and to allocate
our capital among our businesses. Our aim is to help reinforce our resilience by encouraging a holistic approach to the man-
agement of risk and return throughout our organization as well as the effective management of our risk, capital and reputational
profile. We actively take risks in connection with our business and as such the following principles underpin our risk manage-
ment framework:
‒ Risk is taken within a defined risk appetite;

‒ Every risk taken needs to be approved within the risk management framework;
‒ Risk taken needs to be adequately compensated; and
‒ Risk should be continuously monitored and managed.
Risk and capital are managed via a framework of principles, organizational structures and measurement and monitoring pro-
cesses that are closely aligned with the activities of the divisions and business units:
‒ Core risk management responsibilities are embedded in the Management Board and delegated to senior risk managers and
senior risk management committees responsible for execution and oversight.
‒ We operate a Three Lines of Defense (“3LoD”) risk management model, in which risk, control and reporting responsibilities
are defined.
‒ The 1st Line of Defense (“1st LoD”) refers to those roles in the Bank whose activities generate risks, whether financial or
non-financial.
‒ The 2nd Line of Defense (“2nd LoD”) refers to the risk type controller roles in the Bank who facilitate the implementation
of a sound risk management framework throughout the organization. The 2nd LoD defines the risk appetite and risk
management and control standards for their risk type, and independently oversees and challenges the risk taking and risk
management activities of the 1st LoD.
‒ The 3rd Line of Defense (“3rd LoD”) is Group Audit, which is accountable for providing independent and objective assur-
ance on the adequacy of the design and effectiveness of the systems of internal control and risk management.
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Deutsche Bank Risk and Capital Framework
Annual Report 2017 Risk Governance
‒ The risk strategy is approved by the Management Board on an annual basis and is defined based on the Group Risk Appe-
tite and the Strategic and Capital Plan in order to align risk, capital and performance targets.
‒ Cross-risk analysis reviews are conducted across the Group to validate that sound risk management practices and a holistic
awareness of risk exist.
‒ All material risk types, including credit risk, market risk, operational risk, liquidity risk, business risk and reputational risk, are
managed via risk management processes. Modeling and measurement approaches for quantifying risk and capital demand
are implemented across the material risk types. For more details, refer to section “Risk and Capital Management” for the
management processes of our material risks.
‒ Monitoring, stress testing tools and escalation processes are in place for key capital and liquidity thresholds and metrics.
‒ Systems, processes and policies are critical components of our risk management capability.
‒ Recovery and contingency planning provides the escalation path for crisis management and supplies senior management
with a set of actions designed to improve the capital and liquidity positions in a stress event.
‒ Resolution planning is the responsibility of our resolution authority, the Single Resolution Board. It provides a strategy to
manage Deutsche Bank in case of default. It is designed to prevent major disruptions to the financial system or the wider
economy through maintaining critical services.
‒ We apply an integrated risk management approach that aims at Group-wide consistency in risk management standards,
while allowing for adaptation to local or legal entity specific requirements.
We promote a strong risk culture where employees at all levels are responsible for the management and escalation of risks. We
expect employees to exhibit behaviors that support a strong risk culture in line with our Code of Business Conduct and Ethics.
To promote this, our policies require that risk-related behavior is taken into account during our performance assessment and
compensation processes. In addition, our Management Board members and senior management frequently communicate the
importance of a strong risk culture to support a consistent tone from the top.
In 2017, we also introduced a principles-based assessment of risk culture, in particular focusing on risk awareness, risk owner-
ship and management of risk within risk appetite. Assessment results are incorporated into existing risk reporting, reinforcing
the message that risk culture is an integral part of effective day-to-day risk management.
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 competent
authorities of EU countries which joined the Single Supervisory Mechanism via the Joint Supervisory Team act in cooperation
as our primary supervisors to monitor our compliance with the German Banking Act and other applicable laws and regulations
as well as the CRR/CRD 4 framework and respective implementations into German law.
European banking regulators assess our capacity to assume risk in several ways, which are described in more detail in the
section “Regulatory Capital” of this report.
Several layers of management provide cohesive risk governance:
‒ The Supervisory Board is informed regularly on our risk situation, risk management and risk controlling, as well as on our
reputation and material litigation cases. It has formed various committees to handle specific tasks (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 key risk portfolios, on risk strategy and on
matters of special importance due to the risks they entail. It also reports on loans requiring a Supervisory Board resolu-
tion pursuant to law or the Articles of Association. The Risk Committee deliberates with the Management Board on is-
sues of the overall risk appetite, aggregate risk position and the risk strategy and supports the Supervisory Board in
monitoring the implementation of this strategy.
‒ The Integrity Committee, among other responsibilities, monitors the Management Board’s measures that promote the
company’s compliance with legal requirements, authorities’ regulations and the company’s own in-house policies. It also
reviews the Bank’s Code of Business Conduct and Ethics, and, upon request, supports the Risk Committee in monitor-
ing 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 Asso-
ciation 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 stakeholders. The Management Board is respon-
sible for establishing a proper business organization, encompassing appropriate and effective risk management. The
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Annual Report 2017
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.
Risk Management Governance Structure of the Deutsche Bank Group
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, review of risk exposure developments and internal and regulatory Group-wide stress test-
ing results, and monitoring of risk culture across the Group. The GRC also reviews risk resources available to the business
divisions and high-level risk portfolios (for example on a country or industry level) and sets related risk appetite targets, for
example in the form of limits or thresholds. In addition, the GRC reviews and recommends items for Management Board ap-
proval, such as key risk management principles, 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. It is
tasked to define the non-financial risk appetite tolerance framework, to monitor and control the non-financial risk operating
model and interdependencies between business divisions and control functions and different risk type control functions.
‒ The Group Reputational Risk Committee (GRRC) is responsible for the oversight, governance and coordination of reputa-
tional risk management and provides for an appropriate look-back and a lessons learnt process. It reviews and decides all
reputational 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 coor-
dination 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 ap-
proves the annual country risk portfolio overviews and specified country risk thresholds, establishes product thresholds, re-
views risk portfolio concentrations across the Group, monitors group-wide stress tests used for managing the Group’s risk
appetite, and reviews topics with enterprise-wide risk implications like risk culture.
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Annual Report 2017 Risk Governance
‒ The Financial Resource Management Council (FRMC) is an ad-hoc governance body to support the decision-making in a
period of anticipated or actual capital or liquidity stress. It is a forum to discuss and recommend mitigating actions, thereby
bringing together in one forum the tasks of the former Liquidity Management Committee and the crisis-related tasks previ-
ously assigned to the GRC. Specifically, the FRMC is tasked with analyzing the bank’s capital and liquidity situation, advising
on the capital and liquidity strategy, and making recommendations on specific business level capital and liquidity targets
and/or countermeasures that are necessary to successfully execute the strategy. This includes the recommendation whether
or not to invoke the Contingency Funding Plan and the right to oversee the execution of related decisions.
Our Chief Risk Officer (“CRO”), who is a member of the Management Board, has Group-wide, supra-divisional responsibility for
the management of all credit, market, liquidity and operational risks as well as for the continuing development and enhance-
ment of methods for risk measurement. In addition, the CRO is responsible for monitoring, analyzing and reporting risk on a
comprehensive basis.
The CRO has direct management responsibility for the Risk function. Risk management & control duties in the Risk 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.
Additionally, Business Aligned Risk Management (BRM) represents the Risk function vis-à-vis specific business areas. The
CROs for each business division manage their respective risk portfolio, taking a holistic view of each division to challenge and
influence the division’s strategy and risk ownership and implement risk appetite.
The specialized risk management functions are complemented by our Enterprise Risk Management (ERM) function, which sets
a bank-wide risk management framework seeking to ensure that all risks at the Group and Divisional level are identified, owned
and controlled by the functional risk teams within the agreed risk appetite and risk management principles. ERM is responsible
for aggregating and analyzing enterprise-wide risk information and reviewing the risk/return profile of portfolios to enable in-
formed strategic decision-making on the Bank’s resources. ERM has the mandate to:
‒ Manage enterprise risk appetite and allocation across 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 and resolution plans; and
‒ Govern and improve the effectiveness of the risk management framework.
The specialized risk management functions and ERM 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 re-
sponsibility to quantify and verify the risk that we assume.
The integration of the risk management of our subsidiary Deutsche Postbank AG is promoted through harmonized processes
for identifying, assessing, managing, monitoring, and communicating risk, the strategies and procedures for determining and
safeguarding risk-bearing capacity, and corresponding internal control procedures. Key features of the joint governance are:
‒ Functional reporting lines from Postbank Risk Management to Deutsche Bank Risk;
‒ Participation of voting members from Deutsche Bank from the respective risk functions in Postbank’s key risk committees
and vice versa for selected key committees; and
‒ Alignment to key Group risk policies.
The key risk management committees of Postbank are:
‒ The Bank Risk Committee, which advises Postbank’s Management Board with respect to the determination of overall risk
appetite and risk and capital allocation;
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Annual Report 2017
‒ The Credit Risk Committee, which is responsible for limit allocation and the definition of an appropriate limit framework;
‒ The Market Risk Committee, which decides on limit allocations as well as strategic positioning of Postbank’s banking and
trading book and the management of liquidity risk;
‒ The Operational Risk Management Committee, which defines the appropriate risk framework as well as the limit allocation
for the individual business areas; and
‒ The Model and Validation Risk Committee, which monitors validation of all rating systems and risk management models.
The Chief Risk Officer of Postbank or senior risk managers of Deutsche Bank are voting members of the committees listed
above.
Following the announcement in March 2017 to merge Postbank with the German Private and Business Clients business and as
part of the overarching integration project, the Risk division has also commenced the analyses and work on establishing an
appropriate Risk function for the planned merged legal entity which will remain connected into to the Group as described above.
Risk Appetite and Capacity

Risk appetite expresses the aggregate level of risk that we are willing to assume to achieve our strategic objectives, as defined
by a set of minimum 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 plan and strategy, to promote the appropri-
ate alignment of risk, capital and performance targets, while at the same time considering risk capacity and appetite constraints
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 busi-
ness 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. In detail, we assess a suite of metrics
under stress (Common Equity Tier 1 (“CET 1”) Ratio, Leverage Ratio (“LR”), Internal Capital Adequacy (“ICA”) Ratio, and
Stressed Net Liquidity Position (“SNLP”)) within the regularly performed group-wide stress tests.
Reports relating to our risk profile as compared to our risk appetite and strategy and our monitoring thereof are presented regu-
larly up to the Management Board. In the event that our desired risk appetite is breached, a predefined escalation governance
matrix is applied so these breaches are highlighted to the respective committees. Amendments to the risk appetite and capacity
must be approved by the Group Risk Committee or the full Management Board, depending on their significance.
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Annual Report 2017 Risk and Capital Plan
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 pro-
cess, the targets for the next five years are based on our global macro-economic outlook and the expected regulatory frame-
work. 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 for the first year
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 European bank with a global reach support-
ed by a strong home base in Germany 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
‒ 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 risk-bearing capacity with regard to internal and external requirements (i.e., economic capital and regulatory
capital); and
‒ Apply an appropriate stress test to assess the impact on capital demand, capital supply and liquidity.
The specific limits e.g. for regulatory capital demand, economic capital, and leverage exposures are derived from the Strategic
and Capital Plan to align risk, capital and performance targets at all relevant levels of the organization.
51
Annual Report 2017
All externally communicated financial targets are monitored on an ongoing basis in appropriate management committees. Any
projected shortfall from targets is discussed together with potential mitigating strategies 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 Group Supervisory Review and Evaluation
Process (“SREP”) requirements as articulated by our home supervisor. On December 19, 2017, Deutsche Bank was informed
by the ECB of its decision regarding prudential minimum capital requirements for 2018, following the results of the 2017 SREP.
The decision requires Deutsche Bank to maintain a phase-in CET 1 ratio of at least 10.65 % on a consolidated basis, beginning
on January 1, 2018. This CET 1 capital requirement comprises the Pillar 1 minimum capital requirement of 4.50 %, the Pillar 2
requirement (SREP Add-on) of 2.75 %, the phase-in capital conservation buffer of 1.88 %, the countercyclical buffer (currently
0.02%) and the phase-in G-SII buffer following Deutsche Bank's designation as a global systemically important institution (“G-
SII”) of 1.50 %. The new CET 1 capital requirement of 10.65 % for 2018 is higher than the CET 1 capital requirement of 9.51 %,
which was applicable to Deutsche Bank in 2017. Correspondingly, 2018 requirements for Deutsche Bank's Tier 1 capital ratio
are at 12.15 % and for its total capital ratio at 14.15 %. Also following the results of the 2017 SREP, the ECB communicated to
us an individual expectation to hold a further “Pillar 2” CET 1 capital add-on, commonly referred to as the ‘“Pillar 2” guidance’.
The capital add-on pursuant to the “Pillar 2” guidance is separate from and in addition to the Pillar 2 requirement. The ECB has
stated that it expects banks to meet the “Pillar 2” guidance although it is not legally binding, and failure to meet the “Pillar 2”
guidance does not automatically trigger legal action.
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:
‒ 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 under section “Risk
Identification and Assessment”.
‒ Capital demand/risk measurement: Risk measurement methodologies and models are applied to quantify the capital de-
mand 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 and Leverage Ratio”.
‒ Capital supply: Capital supply quantification refers to the definition of available capital resources to absorb unexpected loss-
es quantified as part of the capital demand. Further details can be found in section “Capital and Leverage Ratio”.
‒ Risk appetite: Deutsche Bank has established Group risk appetite 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 Group risk appetite thresholds for capital adequacy metrics constitute boundaries which have to be
met to safeguard capital adequacy on a forward-looking basis. Further details can be found in section “Strategic 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. Capital adequacy metrics are also subject to regular stress tests throughout the year to constantly eval-
uate Deutsche Bank’s capital position in hypothetical stress scenarios and to detect any vulnerabilities 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 concludes
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 an internal process aimed at the fulfilment of all capital-related legal requirements and supervisory
demands on an ongoing basis (primarily measured via the CET1 and leverage ratio). The economic internal perspective
(measured via the internal capital adequacy ratio) refers to an internal process aimed at capital adequacy using internal eco-
nomic capital demand models and an internal economic capital supply definition. Both perspectives focus on maintaining the
viability of Deutsche Bank on an ongoing basis.
52
Annual Report 2017 Stress testing
Stress testing
We have a strong commitment to stress testing performed on a regular basis in order to assess the impact of a severe econom-
ic downturn on our risk profile and financial position. These exercises complement traditional risk measures and represent an
integral part of our strategic and capital planning process. Our stress testing framework comprises regular Group-wide stress
tests based on internally defined “Downside Planning” and more severe macroeconomic global downturn scenarios. We include
all material risk types into our stress testing exercises. The time-horizon of internal stress tests is generally one year and can be
extended to multi-year, if required by the scenario assumptions. Our methodologies undergo regular scrutiny from Deutsche
Bank’s internal validation team (Global Model Validation and Governance - GMVG) whether they correctly capture the impact of
a given stress scenario. These analyses are complemented by portfolio- and country-specific stress tests as well as regulatory
requirements, such as annual reverse stress tests and additional stress tests requested by our regulators on group or legal
entity level. An example of a regulatory stress test performed in 2017 is the CCAR stress test for the U.S. entity. In 2018,
Deutsche Bank will take part in the biannual EBA stress test. Moreover, capital plan stress testing is performed to assess the
viability of our capital plan in adverse circumstances and to demonstrate a clear link between risk appetite, business strategy,
capital plan and stress testing. An integrated procedure allows us to assess the impact of ad-hoc scenarios that simulate poten-
tial imminent financial or geopolitical shocks.
The initial phase of our internal stress tests 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, Leverage Ratio and the Net Liquidity
Position under stress are derived. Prior to the impact assessment the scenarios are discussed and approved by the Enterprise
Risk Committee (ERC) which also reviews the final stress results. After comparing these results against our defined risk appe-
tite, the ERC also discusses specific mitigation actions to remediate the stress impact in alignment with the overall strategic 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 aware-
ness on the highest level as it provides key insights into specific business vulnerabilities and contributes to the overall risk pro-
file assessment of the bank. The group wide stress tests performed in 2017 indicated that the bank’s capitalization together with
available mitigation measures allow it to reach the internally set stress exit level being well above regulatory early intervention
levels. A reverse stress test is performed annually in order to challenge our business model to determine the severity of scenar-
ios that would cause us to become unviable. Such a reverse stress test is based on a hypothetical macroeconomic scenario
and takes into account severe impacts of major risks on our results. Comparing the hypothetical scenario that would be neces-
sary to result in our non-viability according to the reverse stress, to the current economic environment, we consider the probabil-
ity of occurrence of such a hypothetical macroeconomic scenario as extremely low. Given the extremely low probability of the
reverse stress test scenario, we do not believe that our business continuity is at risk.
Stress Testing Framework of Deutsche Bank Group

Finance:
Capital plan
Senior
Management:
No action required
ERM Risk Risk Units: Risk Units: Central Function: Central Function:
Research: Parameter translation Calculation engines Calculation of Comparison against
Scenario definition aggregated impact risk appetite Senior
Research defines Scenario parameters Teams run risk- Calculation of Stress results are Management:
scenario with several are translated into specific calculation aggregated stress compared against Actions
risk parameters such risk-specific drivers engines to arrive at impact based on risk appetite and in
Strategic decision
as FX, interest rates, stressed results capital plan for case of breaches
on adequate risk
growth, etc. several metrics such mitigation actions
mitigation or
as RWA, CET1, etc. are considered
reduction from a
catalogue of pre-
determined
alternatives
53
Annual Report 2017
Risk Reporting and Measurement Systems

Our risk measurement systems support regulatory reporting and external disclosures, as well as internal management reporting
across credit, market, liquidity, cross, business, operational and reputational risks. The risk infrastructure incorporates the rele-
vant 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 Risk
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 organ-
izational setup 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 reporting and monitoring” practices:
‒ Deutsche Bank monitors risks taken against the 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 permit, across material Financial and Non-Financial Risks, the bank’s risk
profile is easily and well 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 re-
porting 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 un-
due 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 min-
imize individual separate reporting efforts to allow Deutsche Bank to provide consistent information, which only differentiates by
granularity and audience focus.
The Bank identifies a large number of metrics within our 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 desig-
nates 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 the 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 and 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, whereby the level of granularity is customized to the audiences’ requirements. The
RCP includes risk type specific, business aligned overviews and enterprise-wide risk topics. It also includes updates on Key
Group Risk Appetite metrics and other Risk Type Control Metrics as well as Risk development updates on areas of particular
interest.
‒ Overviews of our liquidity and solvency/leverage position are typically presented to the GRC by Group Capital Management
and the Group Treasurer on a monthly basis. It comprises information on key metrics including CRR/CRD 4 Common Equity
Tier 1 ratio and the CRR/CRD 4 leverage ratio, as well as an overview of our current funding, liquidity status and the liquidity
stress test results.
‒ 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 indi-
cators are benchmarked against the Group Risk Appetite thresholds.
54
Annual Report 2017 Recovery and Resolution Planning
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 that Risk Type or Business Aligned Risk Management func-
tions use to monitor and control the risk profile.
Recovery and Resolution Planning

The 2007/2008 financial crisis exposed banks and the broader financial market to unprecedented pressures. These pressures
led to certain banks seeking significant support from their governments and to large-scale interventions by central banks. The
crisis also forced many financial institutions to significantly restructure their businesses and strengthen their capital, liquidity and
funding bases. This crisis revealed that many financial institutions were insufficiently prepared for a fast-evolving systemic crisis
and thus were unable to act and respond in a way that would avoid potential failure and prevent material adverse impacts on
the financial system and ultimately the economy and society.
In response to the crisis, a number of jurisdictions (such as the member states of the European Union, including Germany and
the UK as well as the U.S.) have enacted new regulations requiring banks or competent regulatory authorities to develop re-
covery and resolution plans. The Group recovery plan (“Recovery Plan”) is updated and submitted to our regulators at least
annually to reflect changes in the business and the regulatory requirements. The Recovery Plan prepares us to restore our
financial strength and viability during an extreme stress situation. The Recovery Plan’s more specific purpose is to outline how
we can respond to a financial stress situation that would significantly impact our capital or liquidity position. Therefore it lays out
a set of defined actions aimed to protect us, our customers and the markets and prevent a potential resolution event. In line with
regulatory guidance, we have identified a wide range of countermeasures that will mitigate different types of stress scenarios.
These scenarios originate from both idiosyncratic and market-wide events, which would lead to severe capital and liquidity
impacts as well as impacts on our performance and balance sheet. The Recovery Plan is intended to enable us to effectively
monitor, escalate, plan and execute actions in the event of a crisis situation.
The Management Board oversees the development of the Recovery Plan and has set up a dedicated contingent governance
process to manage financial stress events.
As set out in the Bank Recovery and Resolution Directive (”BRRD”), the German Recovery and Resolution Act (Sanierungs-
und Abwicklungsgesetz, “SAG”) transforming the BRRD into German national legislation, and the Single Resolution Mechanism
Regulation (the “SRM Regulation”), the Group resolution plan 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 (“BaF-
in”) who establish 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 strategy, the parent entity Deutsche Bank AG would be recapitalized
through a direct bail-in (write-down and/or conversion to equity of capital instruments (Common Equity Tier1, Additional Tier1,
Tier2) and other liabilities eligible for bail-in) 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 establish a business reorganiza-
tion plan addressing the causes of failure and aiming to restore the institution's long-term viability.
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 AG, as a global systemically important bank, will be subject to global minimum standards for
Total Loss-Absorbing Capacity (“TLAC”), which sets out strict requirements for the amount and eligibility of instruments to be
maintained for bail-in purposes. In particular, TLAC instruments must be subordinated to other senior liabilities. From January 1,
2017, non-structured senior debt instruments issued by Deutsche Bank AG meet the TLAC subordination requirement, since
Germany adopted legislation to adjust the creditor hierarchy in insolvency for banks in the German Banking Act. 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 liabilities such as deposits, derivatives, debt instruments that are “structured” and money market instruments.
In addition, Title I of the Dodd-Frank Wall Street Reform and Consumer Protection Act (the “Dodd-Frank Act”) and the imple-
menting regulations issued by the Federal Reserve Board and the Federal Deposit Insurance Corporation (“FDIC”) require each
bank holding company with assets of U.S.$ 50 billion or more, including Deutsche Bank AG, to prepare and submit annually a
plan for the orderly resolution of subsidiaries and operations in the event of future material financial distress or failure (the “U.S.
Resolution Plan”). For foreign-based companies subject to these resolution planning requirements such as Deutsche Bank AG,
the U.S. Resolution Plan relates only to subsidiaries, branches, agencies and businesses that are domiciled in or whose activi-
ties are carried out in whole or in material part in the United States. Deutsche Bank AG filed its last U.S. Resolution Plan in July
2015 and was not required to file a U.S. Resolution Plan in 2016 or 2017. Our next U.S. Resolution Plan is due on July 1, 2018.
55
Annual Report 2017
The core elements of the U.S. Resolution Plan are Material Entities (“MEs”), Core Business Lines (“CBLs”), and Critical Opera-
tions (“COs”). The U.S. Resolution Plan lays out the resolution strategy for each ME, defined as those entities significant to the
activities of a CO or CBL, and demonstrates how each ME, CBL and CO, as applicable, can be resolved in a rapid and orderly
manner and without systemic impact on U.S. financial stability. The U.S. Resolution Plan also discusses the strategy for contin-
uing Critical Services in resolution. Key factors addressed in the U.S. Resolution Plan include how to ensure:
‒ Continued access to services from other U.S. and non-U.S. legal entities as well as from third parties such as payment
servicers, exchanges and key vendors;
‒ Availability of funding from both external and internal sources;
‒ Retention of key employees during resolution; and
‒ Efficient and coordinated close-out of cross-border contracts.
The U.S. Resolution Plan is drafted in coordination with the U.S. businesses and infrastructure groups so that it accurately
reflects the business, critical infrastructure and key interconnections.
MREL and TLAC

Under the Single Resolution Mechanism (“SRM”) Regulation, the Bank Recovery and Resolution Directive (“BRRD”) and the
German Recovery and Resolution Act (Sanierungs- und Abwicklungsgesetz, “SAG”) banks in the European Union (“EU”) are
required to meet at all times a robust minimum requirement for own funds and eligible liabilities (“MREL”) which is determined
on a case-by-case basis by the competent resolution authority.
The Single Resolution Board (“SRB”) intends to set binding MREL targets for the majority of the largest and most complex
banking groups in its remit as part of the 2017 resolution planning cycle and to communicate the MREL decision to them (via
National Resolution Authorities) in the first quarter 2018.
In addition, on November 9, 2015, the Financial Stability Board (“FSB”) published a standard that will require, when implement-
ed as law, global systemically important banks (“G-SIBs”) to meet a new firm-specific minimum requirement for total loss-
absorbing capacity (“TLAC”) starting on January 1, 2019.
On July 6, 2017, the FSB published guiding principles on internal TLAC, i.e., the loss absorbing capacity that a resolution entity
has committed to material sub-groups so that losses and recapitalization needs of material sub-groups may be passed with
legal certainty to the resolution entity of a G-SIB resolution group without subsidiaries within the material sub-groups entering
into resolution.
Both the TLAC and MREL requirements are specifically designed to require banks to maintain a sufficient amount of instru-
ments which are eligible to absorb losses in resolution with the aim of ensuring that failing banks can be resolved without re-
course to taxpayers’ money.
On November 23, 2016, the European Commission (“EC”) proposed a revision of the Capital Requirement Regulation (“CRR”)
to implement TLAC into EU legislation. In addition, it proposed amendments to the BRRD and the SRM Regulation. Under the
Commission’s CRR revision proposal, the loss absorbency regime for EU global systemically important institutions (“G-SIIs”)
would be closely aligned with the international TLAC term sheet. The instruments which qualify under TLAC are Common Equi-
ty Tier 1 instruments, Additional Tier 1 instruments, Tier 2 instruments and certain eligible unsecured liabilities. The TLAC term
sheet introduces a minimum requirement of 16% of Risk Weighted Assets (“RWAs”) or 6% of leverage exposure by January 1,
2019; and 18% of RWAs and 6.75% of leverage exposure by 2022. The resolution authority would be able to request a firm-
specific add-on if deemed necessary. For non-G-SIIs banks, the MREL would still be set on a case-by-case basis.
Furthermore, under the German Banking Act, as amended by the German Resolution Mechanism Act, which was published in
November 2015, senior bonds rank junior to other senior liabilities, without constituting subordinated debt, in insolvency pro-
ceedings opened on or after January 1, 2017. On December 27, 2017, an EU Directive amending the ranking of unsecured
debt instruments in the insolvency hierarchy for the purpose of banks’ resolution and insolvency proceedings has been pub-
lished which introduces a common EU approach to banks’ creditor hierarchy, thereby enhancing legal certainty in the event of
resolution. The Directive introduces non-preferred senior debt instruments as a separate category of senior debt. These new
instruments will rank junior to all other senior liabilities but will be senior to subordinated debt provided they have an original
contractual maturity of at least one year, do not contain embedded derivatives or be derivatives themselves and the contractual
documentation explicitly refers to their lower ranking under normal insolvency proceedings. Member States are required to
transpose the amending Directive into national law by December 29, 2018. The new provisions will apply to unsecured debt
instruments issued on or after the date of when the respective national law enters into force. Any senior bonds that rank junior
to other senior liabilities in accordance with the German Banking Act provisions published in November 2015 will be grandfa-
thered and represent non-preferred senior debt instruments according to the EU Directive published on December 27, 2017.
56
Deutsche Bank Risk and Capital Management
Annual Report 2017 Resource Limit Setting
Risk and Capital Management
Capital Management
Our Treasury function manages solvency, capital adequacy and leverage ratios at Group level and locally in each region.
Treasury implements our capital strategy, which itself is developed by the Group Risk Committee and approved by the Man-
agement Board, including issuance and repurchase of shares and capital instruments, hedging of capital ratios against foreign
exchange swings, limit setting for key financial resources, design of shareholders’ equity allocation, and regional capital plan-
ning. 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. 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.
Our core currencies are Euro, US Dollar and Pound Sterling. Treasury manages the sensitivity of our capital ratios against
swings in core currencies. The capital invested into our foreign subsidiaries and branches in the other non-core currencies is
largely hedged against foreign exchange swings. Treasury determines which currencies are to be hedged, develops suitable
hedging strategies in close cooperation with Risk Management and finally executes these hedges.
In connection with MREL and TLAC requirements, we review our issuance portfolio of senior bonds to make them eligible under
bail-in rules. We intend to comply with potential requirements as they become effective.
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. In a
quarterly process, the Group Risk Committee approves divisional resource limits for Total Capital Demand and leverage expo-
sure 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 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 though Risk-Weighted Assets (RWA) and Leverage Ratio Exposure (LRE) assuming full imple-
mentation of CRR/CRD 4 rules. The Group’s Capital Loss under Stress is a measure of the Group’s overall economic risk ex-
posure under a defined stress scenario. In our performance measurement, our methodology also applies different rates for the
cost of equity for each of the business segments, reflecting in a more differentiated way the earnings volatility of the individual
business models. This enables improved performance management and investment decisions.
Regional capital plans covering the capital needs of our branches and subsidiaries across the globe are prepared on an annual
basis and presented to the Group Investment Committee. Most of our subsidiaries are subject to legal and regulatory capital
requirements. In developing, implementing and testing our capital and liquidity, we fully take such legal and regulatory require-
ments into account.
Further, Treasury is represented on the Investment Committee of the largest Deutsche Bank pension fund which sets the in-
vestment guidelines. This representation is intended to ensure that pension assets are aligned with pension liabilities, thus
protecting our capital base.
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Annual Report 2017
Risk Identification and Assessment

We face a variety of risks as a result of our business activities; these risks include credit risk, market risk, business risk, liquidity
risk, operational risk and reputational risk as described in the following sections below. Our risk identification and assessment
processes utilize our three lines of defense (3LoD) operating model with the first line identifying the key risks and the second
line complementing and aggregating identified risks into our global risk type taxonomy and assessing identified risks for their
materiality. Operating processes are in place across the organization to capture relevant measures and indicators. The core
aim of all processes is to provide adequate transparency and understanding of existing and emerging risk issues, and to ensure
a holistic cross-risk perspective. We update the risk inventory at least once a year or at other times if needed, by running a risk
identification and materiality assessment process.
We categorize our material risks into financial risks and non-financial risks. Financial risks comprise credit risk (including default,
migration, transaction, settlement, exposure, country, mitigation and concentration risks), market risk (including interest-rate,
foreign exchange, equity, credit-spread, commodity and other cross asset risks), liquidity risk and business (strategic) risk. Non-
financial risks comprise operational risks and reputational risks (with important sub-categories compliance risk, legal risk, model
risk and information security risk captured in our operational risk framework). For all material risks common risk management
standards apply including having a dedicated risk management function, defining a risk type specific risk appetite and the deci-
sion on the amount of capital to be held.
Credit risk, market risk and operational risk attract regulatory capital. As part of our internal capital adequacy assessment pro-
cess, we calculate the amount of economic capital for credit, market, operational and business risk to cover risks generated
from our business activities taking into account diversification effects across those risk types. Furthermore, our economic capital
framework embeds additional risks, e.g. reputational risk and refinancing risk, for which no dedicated economic capital models
exist. We exclude liquidity risk from economic capital.
Credit Risk Management

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 transac-
tions 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 annual risk identification and materiality assessment, Credit Risk is grouped into five categories, namely default/
migration risk, country risk, transaction/ settlement risk (exposure risk), mitigation (failure) risk and concentration risk.
‒ Default/Migration 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, coun-
try, industry or product.
We measure, manage/mitigate and report/monitor 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 decision
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.
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Annual Report 2017 Credit Risk Management
‒ 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 assume 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 miti-
gate 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 measure and consolidate all our credit exposures to each obligor across our consolidated Group on a global basis, in
line with regulatory requirements.
‒ We manage credit exposures on the basis of the “one obligor principle” ” (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.
‒ 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.
‒ 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 determi-
nation on a counterparty and portfolio level, credit decision and transaction pricing as well the determination of credit risk regula-
tory capital. 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. Dif-
ferent 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 Commit-
tee (RCRMC) chaired by the Head of CRM, as well as by the Head of the Model Risk Function or delegate, where appropri-
ate, before the methodologies are used for credit decisions and capital calculation for the first time or before they are
significantly changed. Proposals with high impact are recommended for approval to the Management Board. Additionally, the
Risk Committee of the Supervisory Board has to be informed regularly about all model changes that have been brought to the
attention of the Management Board. Regulatory approval may also be required. The methodology validation is performed inde-
pendently of model development by Global Model Validation and Governance. The results of the regular validation processes
as stipulated by internal policies have to be brought to the attention of the Regulatory Credit Risk Model Forum (RCRMF), even
if the validation results do not lead to a change. The validation plan for rating methodologies is presented to RCRMF at the
beginning of the calendar year and a status update is given on a quarterly basis.
For Postbank, responsibility for implementation, validation and monitoring of internal rating systems effectiveness is with Post-
bank’s Group Risk Controlling function and overseen by the model and validation committee, chaired by Postbank’s Head of
Group Risk Controlling. An independent model risk and validation function has been established in 2016 in addition to the mod-
el risk development unit. All rating systems are subject to approval by Postbank’s Bank Risk Committee chaired by the Chief
Risk Officer. Effectiveness of rating systems and rating results are reported to the Postbank Management Board on a regular
basis. Joint governance is ensured via a cross committee membership of Deutsche Bank senior managers joining Postbank
committees and vice versa.
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.
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Annual Report 2017
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 calcu-
lation 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.
We apply the foundation IRBA to the majority of our remaining foundation IRBA eligible credit portfolios at Postbank. The foun-
dation 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 subject to
internal estimates include the probability of default (“PD”) while the loss given default (“LGD”) and the credit conversion factor
(“CCF”) are defined in the regulatory framework.
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 exposures to
central governments of other European Member States that meet the required conditions. These exposures make up the major-
ity 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.
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 port-
folio via Monte Carlo Simulation of correlated rating migrations. The loss distribution is modeled in two steps. First, individual
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 developed 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 deriv-
ing 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 internal limits and credit exposures under these limits. Credit limits set
forth maximum credit exposures we are willing to assume over specified periods. In determining the credit limit for a counterpar-
ty, 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 characteris-
tics of individual transactions and portfolios. Risk-Return metrics explain the development of client revenues as well as capital
consumption. In this regard we also look at the client revenues in relation to the balance sheet consumption.
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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 aligned to types of counter-
party (such as financial institutions, corporates or private individuals) or economic area (e.g., emerging markets) and dedicated
rating analyst teams. The individual credit officers have the relevant expertise and experience to manage the credit risks asso-
ciated with these counterparties and their associated credit related transactions. For retail clients, credit decision making and
credit monitoring is highly automated for efficiency reasons. Credit Risk Management has full oversight of the respective pro-
cesses and tools used in the retail credit process. It is the responsibility of each credit officer to undertake ongoing credit moni-
toring 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 “watch list”. 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 maximize the
recovery. 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 qualifi-
cation, 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 Credit Portfolio Strategies Group.
‒ Netting and collateral arrangements which reduce the credit exposure from derivatives and securities financing transactions
(e.g. repo transactions).
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 thor-
ough assessment of the debt service ability of the counterparty in line with CRR Article 194 (9).
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Annual Report 2017
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, securi-
ties (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 established pro-
cesses that includes regular 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 derivatives 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 process
for counterparties.
Risk Transfers
Risk transfers to third parties form a key part of our overall risk management process and are executed in various forms, includ-
ing outright sales, single name and portfolio hedging, and securitizations. Risk transfers are conducted by the respective busi-
ness units and by our Credit Portfolio Strategies Group (CPSG), in accordance with specifically approved mandates.
CPSG manages the residual credit risk of loans and lending-related commitments of the institutional and corporate credit portfo-
lio, the leveraged portfolio and the medium-sized German companies’ portfolio within our CIB Division.
Acting as a central pricing reference, CPSG 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.
CPSG 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 (“DFA”) and related Commodity Futures Trading Commission (“CFTC”) rules introduced in 2013 mandato-
ry CCP clearing in the United States for certain standardized OTC derivative transactions, including certain interest rate swaps
and index credit default swaps. Additionally, the CFTC adopted final rules in 2016 that require additional interest rate swaps to
be cleared on a phased implementation schedule ending in October 2018. 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 clearing
for certain standardized OTC derivatives transactions. Mandatory CCP clearing in the EU began for certain interest rate deriva-
tives 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,
provided 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 exemp-
tion for most 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, 2017, the Bank has obtained intragroup exemptions from the EMIR
62
clearing obligation for 70 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 70 intragroup relationships, 17 are relationships where both
entities are established in the Union (EU) for which a full exemption has been granted, and 53 are relationships where one is
established in a third country (“Third Country Relationship”). Third Country Relationships currently require repeat applications
for each new asset class being subject to the clearing obligation. Such repeat applications have been filed for 39 of the Third
Country Relationships.
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 CCP rules and regulations also provide for the termination, close-out and netting of all cleared trans-
actions upon the CCP’s default (“close-out netting”), which reduced our credit risk. In our risk measurement and risk assess-
ment processes we apply close-out netting only to the extent we have satisfied ourselves of the legal validity and enforceability
of the relevant CCP’s close-out netting provisions.
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 counterparts. A master agreement allows for the close-out netting of rights and obligations arising under derivative transac-
tions 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 parts of the derivatives business (e.g., foreign exchange transactions) we also enter into
master agreements under which payment netting applies in respect to transactions covered by such master agreements, reduc-
ing our settlement risk. In our risk measurement and risk assessment processes we apply close-out netting only to the extent
we have satisfied ourselves of the legal validity and enforceability of the master agreement in all relevant jurisdictions.
Also, we enter into credit support annexes (“CSA”) 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 rules § 23.504 and § 23.158, as well as EMIR and Commis-
sion Delegated Regulation based thereupon, namely Commission Delegated Regulation (EU) 2016/2251, introduced the man-
datory use of master agreements and related CSAs, which must be executed prior to or contemporaneously with entering into
an uncleared OTC derivative transaction. Under U.S. margin rules adopted by U.S. prudential regulators (the Federal Reserve,
the FDIC, the Office of the Comptroller of the Currency, the Farm Credit Administration and Federal Housing Finance Agency)
and the CFTC, we are required to post and collect initial margin and variation 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. mar-
gin 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
financial end user counterparties. These margin requirements are subject to a U.S.$ 50 million threshold for initial margin and a
zero 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 phased in on an annual basis from September 2017 through
September 2020.
Under EMIR 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 sub-
ject to a staged phase-in until September 1, 2020. Pursuant to Article 11 (5) to (10) of EMIR competent authorities are author-
ized 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 plans to make 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, 2017, the Bank has obtained intragroup exemp-
tions from the EMIR collateral obligation for 13 bilateral intragroup relationships, and one application is still pending.
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Annual Report 2017
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 affecting
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”.
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 counter-
parties 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. For each of these portfolios an “Industry Strategy Document” is prepared, usually on an annual basis. This report
highlights industry developments and risks to our credit portfolio, reviews cross-risk concentration risks, analyses the
risk/reward profile of the portfolio and incorporates an economic downside stress test. Finally, this analysis is used to define the
credit strategies for the portfolio in question.
Beyond credit risk, our Industry Risk Framework comprises of Market Risk thresholds for Traded Credit Positions while key
non-financial risks are closely monitored.
The Industry Strategy Documents have been presented to the Enterprise Risk Committee. In addition to these analyses, the
development of the industry portfolios is regularly monitored during the year and is compared with the approved portfolio strate-
gies. Regular overviews are prepared for the Enterprise Risk Committee to discuss recent developments and to agree on ac-
tions where necessary.
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 limits are applied to Emerging Markets as well as selected Developed Markets countries
(based on internal country risk ratings). Emerging Markets are grouped into regions and for each region, as well as for the
Higher Risk Developed Markets, a “Country Strategy Document” is prepared, usually on an annual basis. These reports 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, thresholds and strategies are set for countries and, where relevant, for the
region as a whole. Country risk thresholds are approved by our Enterprise Risk Committee and by the Management Board at
Postbank for respective portfolios.
In our Country Limit 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 include exposures to
entities incorporated locally as well as subsidiaries of foreign multinational corporations. Also, gap risk thresholds are set to
control the risk of loss due to intra-country wrong-way risk exposure.
Beyond credit risk, our Country Risk Framework comprises Market Risk thresholds for trading positions in emerging markets
that are based on the P&L impact of potential stressed market events on these positions. Furthermore we take into considera-
tion treasury risk comprising thresholds 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.
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Annual Report 2017 Market Risk Management
Our country risk ratings represent a key tool in our management of country risk. They are established by the independent ERM
Risk Research function within Deutsche Bank and include:
‒ Sovereign rating: A measure of the probability of the sovereign defaulting on its foreign or local currency obligations.
‒ Transfer risk rating: 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 in-
tervention.
‒ Event risk rating: A measure of the probability of major disruptions in the market risk factors relating to a country (interest
rates, credit spreads, etc.). Event risks are measured as part of our event risk scenarios, as described in the section “Market
Risk Measurement” of this report.
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 concen-
trations and selectively set limits, thresholds or indicators 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 cases. In this
respect, correlated losses might result from disruptions of the functioning of financial markets, significant moves in market pa-
rameters to which the respective product is sensitive, macroeconomic default scenarios or other factors. Specific focus is put on
concentrations of transactions with underwriting risks where we underwrite commitments with the intention to sell down or dis-
tribute part of the risk to third parties. These commitments include the undertaking to fund bank loans and to provide bridge
loans for the issuance of public bonds. The risk is that we may not be successful in the distribution of the facilities, meaning that
we would have to hold more of the underlying risk for longer periods of time than originally intended. These underwriting com-
mitments are additionally exposed to market risk in the form of widening credit spreads. We dynamically hedge this credit
spread risk to be within the approved market risk limit framework.
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, in our PCC businesses, we apply product-specific strategies setting our risk appetite for sufficiently homogeneous
portfolios where tailored client analysis is secondary, such as the retail portfolios of mortgages and business and consumer
finance products. 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.
One of the primary objectives of Market Risk Management, a part of our independent Risk function, is to ensure that our busi-
ness units’ risk exposure is within the approved 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 Corporate & Investment
Bank Corporate Division. 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 ex-
change 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.
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Market Risk Management governance is designed and established to promote oversight of all market risks, effective decision-
making and timely escalation to senior management.
Market Risk Management defines and implements a framework to systematically identify, assess, monitor and report our mar-
ket risk. Market risk managers identify market risks through active portfolio analysis and engagement with the business areas.
Market Risk Measurement

We aim to accurately measure all types of market risks by a comprehensive set of risk metrics embedding accounting, econom-
ic 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 individual business units within them based on established and agreed business
plans. We also have business aligned heads within Market Risk Management who establish business 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 concentra-
tion/liquidity, 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 will 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 Super-
visory Authority (now the BaFin) approved our internal model for calculating the regulatory market risk capital for our general
and specific market risks. Since then the model has been continually refined and approval has been maintained.
We calculate VaR using 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 pur-
poses, which include the calculation of our risk-weighted assets, the holding period is ten days.
We use one year of historical market data as input to calculate VaR. The calculation employs a Monte Carlo Simulation tech-
nique, and we assume that changes in risk factors follow a well-defined distribution, e.g. normal or non-normal (t, skew-t, Skew-
Normal). To determine our aggregated VaR, we use 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, funding spreads, 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. CDS index vs. constituent basis, money market basis, implied dividends, option-adjusted spreads and
precious metals lease rates are considered in the VaR calculation.
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. For each risk type this is achieved by deriving the sensitivities to the relevant risk
type and then simulating changes in the associated risk drivers. “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 indi-
vidual risk types to arrive at an aggregate VaR would imply the assumption that the losses in all risk types occur simultaneously.
66
The model incorporates both linear and, especially for derivatives, nonlinear effects through a combination of sensitivity-based
and revaluation approaches.
The VaR measure enables us to apply a consistent measure across all of our fair value businesses and products. 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 estimates 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.
‒ Assumptions concerning the distribution of changes in risk factors, and the correlation between different risk factors, may not
hold true, particularly during market events that are extreme in nature. 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.
We are committed to the ongoing development of our internal risk models, and we allocate substantial resources to reviewing,
validating and improving them. Additionally, we have further developed and improved our process of systematically capturing
and evaluating risks currently not captured in our value-at-risk model. An assessment is made to determine the level of materi-
ality of these risks and material risks are prioritized for inclusion in our internal model. Risks not in value-at-risk are monitored
and assessed on a regular basis through our Risk Not In VaR (RNIV) framework.
Stressed Value-at-Risk
Stressed Value-at-Risk 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. The holding period is one day for internal purposes
and ten days for regulatory purposes. Our stressed value-at-risk 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 significant financial stress (i.e., characterized by high volatilities) is used as an input for the Monte
Carlo 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.
Incremental Risk Charge
Incremental Risk Charge captures default and credit rating migration risks for credit-sensitive positions in the trading book. It
applies to credit products over a one-year capital horizon at a 99.9 % confidence level, employing a constant position approach.
We use a Monte Carlo Simulation for calculating incremental risk charge as the 99.9 % quantile of the portfolio loss distribution
and for allocating contributory incremental risk charge to individual positions.
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 correspond-
ing default and migration probabilities and parameters specifying issuer correlations.
Comprehensive Risk Measure
Comprehensive Risk Measure captures incremental risk for the corporate correlation trading portfolio calculated using an inter-
nal model subject to qualitative minimum requirements as well as stress testing requirements. The comprehensive risk measure
for the correlation trading portfolio is based on our own internal model.
We calculate the comprehensive risk measure based on a Monte Carlo Simulation technique to a 99.9 % confidence level and
a capital horizon of one year. Our model is applied to the eligible corporate correlation trading positions where typical products
include collateralized debt obligations, nth-to-default credit default swaps, and commonly traded index- and single-name credit
default swaps used to risk manage these corporate correlation products.
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Annual Report 2017
Trades subject to the comprehensive risk measure have to meet minimum liquidity standards to be eligible. The model incorpo-
rates concentrations of the portfolio and nonlinear effects via a full revaluation approach.
For regulatory reporting purposes, the comprehensive risk measure represents the higher of the internal model spot value at
the reporting dates, their preceding 12-week average calculation, and the floor, where the floor is equal to 8 % of the equivalent
capital charge under the standardized approach securitization framework. Since the first quarter of 2016, the CRM RWA calcu-
lations include two regulatory-prescribed add-ons which cater for (a) stressing the implied correlation within nth-to-default bas-
kets and (b) any stress test loss in excess of the internal model spot value.
Market Risk Standardized Approach

Market Risk Management monitors exposures and concentrations for certain exposures under the specific Market Risk Stand-
ardized Approach (“MRSA”). We use the MRSA to determine the regulatory capital charge for the specific market risk of trading
book securitizations which fall outside the scope of the regulatory correlation trading portfolio.
We also use the MRSA to determine the regulatory capital charge for longevity risk as set out in CRR/CRD 4 regulations. Lon-
gevity risk is the risk of adverse changes in life expectancies resulting in a loss in value on longevity linked policies and transac-
tions. For risk management purposes, stress testing and economic capital allocations are also used to monitor and manage
longevity risk. Furthermore, certain types of investment funds require a capital charge under the MRSA. For risk management
purposes, these positions are also included in our internal reporting framework.
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 posi-
tions 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 contrib-
utes to Group-wide stress testing. These are also set at varying severities ranging from extreme for capital adequacy assess-
ment to mild for earning stability purposes.
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 com-
ponents, the “common risk” component covering risk drivers across all businesses and the “business-specific risk” component,
which enriches the Common Risk via a suite of Business Specific Stress Tests (BSSTs). Both components are calibrated to
historically observed severe market shocks. Common risk is calculated using a scaled version of the Regulatory 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.
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 instantane-
ous 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 de-
fault 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.
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Regulatory prudent valuation of assets carried at fair value

Pursuant to Article 34 CRR institutions shall apply the prudent valuation requirements of Article 105 CRR to all assets meas-
ured at fair value and shall deduct from CET 1 capital the amount of any additional value adjustments necessary.
We determined the amount of the additional value adjustments based on the methodology defined in the Commission Delegat-
ed Regulation (EU) 2016/101.
As of December 31, 2017 the amount of the additional value adjustments was € 1.2 billion.
Based on Article 159 CRR the total amount of general and specific credit risk adjustments and additional value adjustments for
exposures that are treated under the Internal Ratings Based Approach for credit risk and that are in scope of the expected loss
calculation may be subtracted from the total expected loss amount related to these exposures. Any remaining positive differ-
ence must be deducted from CET 1 capital pursuant to Article 36 (1) lit. d. CRR.
As of December 31, 2017 the reduction of the expected loss from subtracting the additional value adjustments was € 0.3 billion,
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 outside the activities of our trading units, in our banking book and from certain off-
balance sheet items. 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.
Interest Rate Risk in the Banking Book
Interest rate risk in the banking book 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 finan-
cial 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
division is mandated to manage the interest rate risk centrally on a fiduciary basis, with Market Risk Management acting as an
independent oversight function.
Economic value based measures look at the change in economic value of banking book of 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 (“∆EVE”) as the maximum decrease of the banking book economic value
under the 6 standard scenarios defined by Basel Committee on Banking Supervision (BCBS).
Earnings-based measures look at the expected change in Net Interest Income (“NII”), compared to a defined benchmark sce-
nario, over a defined time horizon resulting from interest rate movements. Thereby the Group measures ∆NII as the maximum
reduction in NII under the 6 standard scenarios defined by Basel Committee on Banking Supervision (BCBS), compared to the
Group’s official capital planning, over a period of 12 months.
The Group employs mitigation techniques to immunize the interest rate risk arising from nontrading positions. The majority of
our interest rate risk arising from nontrading asset and liability positions are managed through Treasury Pool Management.
Treasury Pool Management hedges the transferred net banking book risk with Deutsche Bank’s trading books within the CIB
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.
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Annual Report 2017
Positions in our banking books as well as the hedges described in the aforementioned paragraph follow the accounting princi-
ples as detailed in the “Notes to the Consolidated Financial Statements” section of this document.
The Global Model Validation and Governance group performs independent validation of models used for IRRBB measurement
in line with Deutsche Bank’s group-wide risk governance framework.
The most notable exceptions from the aforementioned paragraphs are in some Private & Commercial Bank (“PCB”) entities (e.g.
Postbank). These entities manage interest rate risk through their entity specific Asset and Liability Management departments.
The measurement and reporting of economic value interest rate risk is performed daily, and earnings risk is monitored on a
monthly basis. The Group generally uses the same metrics 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 met-
rics. The only notable exception is the usage of a steady (i.e. unchanged) rates scenario as benchmark for the ∆NII calculation
in the public disclosures, whereas the internal quantitative risk appetite metric will use the Group’s official capital planning curve.
Deutsche Bank’s key modelling assumptions are applied to the positions in our PCB division and parts of our CIB Division.
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
portfolio is 1.6 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 without the exclusion of the commercial margin,
the appropriate yield curve is selected that represents the characteristics of the instrument concerned.
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 and in Postbank. This risk category is closely associated with interest rate risk in the banking book as
changes in the perceived credit quality of individual instruments may result in fluctuations in spreads relative to underlying inter-
est rates.
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 Corporate & Investment Bank 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 exchange
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 for a number of core currencies with con-
siderable 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.
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Annual Report 2017 Operational Risk Management
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 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 (including leveraged buy-out fund commitments and equity
bridge commitments), real estate (including mezzanine debt) and venture capital, undertaken for capital appreciation. In addi-
tion, principal investments are made in hedge funds and mutual funds in order to establish a track record for sale to external
clients. Other non-strategic investment assets comprise assets recovered in the workout of distressed positions or other legacy
investment assets in private equity and real estate of a non-strategic nature.
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 contribu-
tions. 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. For de-
tails on our defined benefit pension obligation see additional Note 36 “Employee Benefits”.
Other Risks
Market risks in our asset management activities in Deutsche Asset Management, primarily results 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
Operational Risk means the risk of loss resulting from inadequate or failed internal processes, people and systems or from
external events, and includes Legal Risk. Operational Risk excludes Business and Reputational Risk. It forms a subset of the
Bank’s Non-Financial Risks, as does Reputational Risk.
The governance of our operational risks follows the Three Lines of Defence (“3LoD”) approach, to protect the Bank, its custom-
ers and shareholders against risk losses and resulting reputational damages. It seeks to ensure that all our operational risks are
identified and covered, that accountabilities regarding the management of operational risks are clearly assigned and risks are
taken on and managed in the best and long term interest of the Bank. The 3LoD approach and its underlying principles, i.e., the
full accountability of the First Line of defence (“1st LoD”) to manage its own risks and the existence of an independent Second
Line of Defence (“2nd LoD”) to oversee and challenge risk taking and risk management, applies to all levels of the organization
including the Group-level, regions, countries, and legal entities.
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 failures (such as serious violations of laws or regulations), 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, further risk reducing actions must be undertaken including further re-
mediating risks, insuring risks or ceasing business.
Non-Financial Risk Management (“NFRM”) is the Risk function for the Non-Financial Risk types of the Bank, including Opera-
tional Risk and owns the overarching Operational Risk Management Framework (ORMF).
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Annual Report 2017
The ORMF is a set of interrelated tools and processes that are used to identify, assess, measure, monitor and remediate opera-
tional risks. Its components have been designed to operate together to provide a comprehensive approach to managing the
Bank’s most material operational risks. ORMF components include the setup of the 1st and 2nd LoD as well as roles and re-
sponsibilities for the Operational Risk management process and appropriate independent challenge, the Group’s approach to
setting Operational Risk appetite and adhering to it, the Operational Risk type and control taxonomies, the minimum standards
for Operational Risk management processes including tools, independent governance, and the Bank’s Operational Risk capital
model.
The following four principles form the foundation of Operational Risk management and the Group ORMF at Deutsche Bank:
Operational Risk Principle I: NFRM establishes and maintains the Group Operational Risk Management Framework. As the
2nd LoD control function, NFRM is the independent reviewer and challenger of the 1st LoD’s risk and control assessments and
risk management activities. As the subject matter expert for Operational Risk it provides independent risk views to facilitate
forward looking management of operational risks, actively engages with risk owners and facilitates the implementation of risk
management standards across the Bank. NFRM provides the oversight of risk and control mitigation plans to return risk within
risk appetite, where required.
Operational Risk Principle II: Risk owners as the 1st LoD have full accountability for their operational risks and have to man-
age these against a defined risk specific appetite.
Risk owners are those roles in the Bank that generate risks, whether financial or non-financial. The heads of business divisions
and infrastructure functions must determine the appropriate organizational structure to identify their organizations’ Operational
Risk profile, implement risk management and control standards within their organization, take business decisions on the mitiga-
tion or acceptance of operational risks within the risk appetite and establish and maintain risk owner (i.e. Level 1) controls.
Operational Risk Principle III: Risk Type Controllers (“RTCs”) as 2nd LoD control functions establish the framework and define
risk appetite statements for the specific risk type they control. They monitor the risk type’s profile against risk appetite and exer-
cise a veto on risk appetite breaches.
RTCs define risk management and control standards and independently oversee and challenge risk owners’ implementation of
these standards as well as their risk-taking and management activities. RTCs establish independent Operational Risk govern-
ance and prepare aggregated risk type profile reporting. As risk type experts, RTCs define the risk type and its taxonomy and
support and facilitate the implementation of risk management standards and processes in the 1st LoD. To maintain their inde-
pendence, RTC roles are located only in infrastructure functions.
Operational Risk Principle IV: NFRM is to ensure that sufficient capital is held to underpin Operational Risk. NFRM is ac-
countable for the design, implementation and maintenance of the approach to determine a sufficient level of capital demand for
Operational Risk for recommendation to the Management Board.
To fulfil this requirement, NFRM is accountable for the calculation and allocation of Operational Risk capital demand and Ex-
pected Loss planning under the Advanced Measurement Approach (“AMA”). NFRM is also accountable for the facilitation of the
annual Operational Risk capital planning and monthly review process.
Organizational & Governance Structure

While the day-to-day management of Operational Risk is the primary responsibility of our business divisions and infrastructure
functions as risk owners, NFRM oversees the Group-wide management of operational risks, identifies and reports risk concen-
trations and promotes a consistent application of the ORMF across the Bank. NFRM is part of the Group Risk function which is
headed by the Chief Risk Officer.
The Chief Risk Officer appoints the Head of Non-Financial Risk Management who is accountable for the design, implementa-
tion and maintenance of an effective, efficient and regulatory compliant ORMF, including the Operational Risk capital model.
The Non-Financial Risk Committee (“NFRC”), which is co-chaired by the Chief Risk Officer and the Chief Regulatory Officer, is
responsible for the oversight, governance and coordination of the management of Operational Risk in the Group on behalf of
the Management Board by establishing a cross-risk and holistic perspective of the key operational risks of the Group. Its deci-
sion-making and policy related authorities include the review, advice and management of all Operational Risk issues which may
impact the risk profile of our business divisions and infrastructure functions. Several sub-fora with attendees from both, the 1st
and 2nd LoDs support the Non-Financial Risk Committee (NFRC) to effectively fulfil its mandate. In 2017, we have established
additional councils to enhance the effectiveness of the NFRC with regards to e.g. new technology, framework and culture
themes.
72
Managing Our Operational Risk

We manage operational risks by employing the tools and processes provided by our ORMF, which enables us to determine our
Operational Risk profile in comparison to our risk appetite for Operational Risk, to systematically identify Operational Risk
themes and concentrations, and to define risk mitigating measures and priorities.
In 2017, we enhanced the ORMF and the management of operational risks by simplifying our risk management processes,
focusing on the identification of the most material operational risks and their effective mitigation, and by promoting an active and
continuous dialogue between the 1st and 2nd LoDs. This allows challenge to be raised throughout the various risk manage-
ment processes and makes the management of operational risks more transparent, meaningful and embedded in day-to-day
business decisions.
In order to cover the broad range of risk types underlying Operational Risk, our ORMF contains a number of management
techniques that apply to all Operational Risk types. These include:
Loss Data Collection: In a timely manner, we collect, categorize and analyze data on internal (with a P&L impact ≥ €10.000) and
relevant external Operational Risk events. This data is used for senior management information, in a variety of risk manage-
ment processes and the calculation of Operational Risk capital requirements.
Lessons Learned reviews analyze the causes of significant Operational Risk events, identify their root causes, and document
appropriate remediation actions to reduce the likelihood of reoccurrence. They are required for all Operational Risk events that
meet defined quantitative or qualitative criteria. The area in which the Operational Risk failure occurred that caused the event is
formally responsible to complete the review, though engagement with other relevant 2nd LoD functions throughout the process
is encouraged. NFRM provides independent review and challenge over the appropriateness of the review’s conclusions. In
2017, we harmonized several existing processes, moved to a workshop based approach and, thus, enhanced the consistency
and quality of reviews.
Read Across reviews take the conclusions 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. Read Across reviews may also be undertaken based on events
that have occurred at other relevant financial firms where sufficient information exists to allow meaningful analysis.
We complement our Operational Risk profile by using a set of scenarios including relevant external cases provided by a public
database and additional internal scenarios. We thereby systematically utilize information on external loss events occurring in
the banking industry to prevent similar incidents from happening to us, for example through particular deep dive analyses or risk
profile reviews.
The Risk & Control Assessment process (RCA) comprises of a series of bottom-up assessments of the risks generated by
businesses and infrastructure functions, the effectiveness of the controls in place to manage them, and the remediation actions
required to bring the outsized risks back into risk appetite. This enables both the 1st and 2nd LoDs to have a clear view of the
Bank’s material operational risks. Through 2017, we simplified the RCA process and made it easier to repeat by producing a
smaller number of higher quality assessments that are easier to use for decision-making purposes. We developed control as-
sessment and consequence management frameworks and held interactive workshops instead of running a sequential process.
This increased the continuous engagement between risk owners, NFRM and RTCs and allowed for challenge to be raised
throughout the process.
We regularly report and perform analyses on our Top 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. The reporting provides a forward-looking perspective on the impact of
planned remediation and control enhancements. It also contains emerging risks and themes that have the potential to evolve as
a Top Risk in 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.
Key Risk Indicators are used to monitor the Operational Risk profile, including against the Bank’s defined risk appetite, and to
alert the organization to impending problems in a timely fashion. Key Risk Indicators enable the monitoring of the Bank’s major
risks, its control culture and overall business environment and trigger risk mitigating actions. They facilitate the forward-looking
management of operational risks, based on early warning signals.
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Annual Report 2017
Operational Risk Type Frameworks

The ORMF, which provides the overarching set of standards, tools and processes that apply to the management of all risk
types underlying Operational Risk, is complemented by the Operational Risk type frameworks, risk management and control
standards and tools set up by the respective Risk Type Controllers for the Operational Risk types they control. These include
the following with respect to the following risk types:
‒ Compliance Risk is the risk of incurring criminal or administrative sanctions, financial loss or damage to reputation as a result
of failing to comply with laws, regulations, rules, expectations of regulators, the standards of self-regulatory organizations,
and codes of conduct/ethics in connection with the Bank’s regulated activities (collectively the “Rules”). Failure to appropri-
ately manage Compliance Risk can give rise to fines, penalties, judgments, damages, sanctions, settlements and/or in-
creased costs, limitations on businesses related to regulatory or legal actions due to non-compliance with established
policies and procedures and Rules governing the activities of a business or entity, and potential reputational damage. The
Compliance department, as the second line of defence control function for the Compliance-owned risk types, identifies rele-
vant effective procedures and corresponding controls to support the Bank’s business divisions and Infrastructure functions in
managing their Compliance risk. The Compliance department further provides advisory services on the above; performs
monitoring activities in relation to the coverage of new or amended material rules and regulations; and assesses the control
environment. 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 re-
sponsibilities 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 as well as other criminal activi-
ties including fraud, bribery and corruption and other crimes. AFC assures further update of its strategy on financial crime
prevention via regular development of internal policies and procedures, institution-specific risk assessment and staff training.
‒ Group Legal is primarily responsible for managing the Bank’s legal risk, and carries out its mandate as infrastructure control
function through, among other things, the following legal services: (i) provision of legal advice, (ii) drafting of legal content of
documentation that defines rights and obligations of the Bank such as contracts, (iii) the management of all contentious mat-
ters and (iv) retaining external counsel. These activities are the key pillars of the legal control framework to mitigate the
Bank´s legal risk. Legal has established a Legal Risk Management function responsible for implementing and maintaining
the ORMF in respect of legal risk types which includes overseeing Legal’s participation in the Bank’s Risk and Control As-
sessment process and Lessons Learned reviews as well as managing the interface into the Non-Financial Risk Manage-
ment function. LRM also conducts quality assurance reviews on Legal’s processes, thereby testing the robustness of the
legal control framework, identifying related control enhancements and fostering legal risk management awareness via regu-
lar communication and training.
‒ Non-Financial Risk Management Risk Type Control (“NFRM RTC”) is Risk Type Controller for a number of operational risks.
Its mandate includes 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
businesses have robust plans in place to recover critical business processes and functions in the event of disruption from
technical or building outage, or the effects of cyber-attack or natural disaster. NFRM RTC also manages the risks arising
from the Bank’s internal and external vendor engagements via the provision of a comprehensive vendor 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 exter-
nal scenarios from a public database (IBM OpData) complemented by internal scenario data are used to estimate the risk pro-
file (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 capital requirement for Operational Risk is derived from the 99.9 % percentile. Since Q4 2017, the economic
capital is also set at 99.9 % percentile, see the section “Internal Capital Adequacy”. Both regulatory and economic capital re-
quirements are calculated for a time horizon of one year.
74
The Regulatory and Economic Capital demand calculations are performed on a quarterly basis. NFRM aims to ensure that for
the approach for capital demand quantification appropriate development, validation and change governance processes are in
place, whereby the validation is performed by an independent validation function and in line with the Group’s model risk man-
agement process.
Drivers for Operational Risk Capital Development

In 2017, our Operational Risk losses have been predominantly driven by losses and provisions arising from civil litigation and
regulatory enforcement. Such losses account for 70 % of Operational Risk losses and account for the majority of Operational
Risk regulatory and economic capital demand. For a description of our current legal and regulatory proceedings, please see
section “Current Individual Proceedings” in Note 29 “Provisions” to our consolidated financial statements. The Operational Risk
losses from civil litigation and regulatory enforcement decreased by € 2.5 billion or 85 % while our non-legal Operational Risk
losses were € 29 million or 19% higher compared to 2016.
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 furthermore
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 that is above the amount
reflected as provisions within our financial statements.
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 litiga-
tions and regulatory enforcement is outlined in detail in Note 29 “Provisions” to our consolidated financial statements.
Uncertain legal losses which are not reflected in our financial statements as provisions because they do not meet the recogni-
tion criteria under IAS 37 are expressed as “regulatory or economic capital demand” reflecting our risk exposure that consumes
regulatory and economic capital.
To quantify the litigation losses in the AMA model the Bank takes into account historic 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. Hereby 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.
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Annual Report 2017
Liquidity Risk Management

Liquidity risk is the risk arising from our potential inability to meet all 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 en-
sure that the Group can fulfill its payment obligations at all times and can manage liquidity and funding risks within its risk appe-
tite. 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 Supervisory Review and Evaluation Process (SREP), Deutsche Bank has implemented an annu-
al Internal Liquidity Adequacy Assessment Process (“ILAAP”), which is reviewed and approved by the Management Board. The
ILAAP provides comprehensive documentation 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 meas-
ured 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 rec-
ommendations made by the Group Risk Committee (“GRC”). At least annually the Management Board reviews and approves
the limits which are applied to the Group to measure 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 acting
as an independent control function, responsible for reviewing the liquidity risk framework, proposing the risk appetite to GRC
and the validation of Liquidity Risk models which are developed by Treasury, to measure and manage the Group’s liquidity risk
profile.
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 to monitor these and ensure compliance. In addition, Treasury works close-
ly in conjunction with Liquidity Risk Management (“LRM”), and the business, to analyze and understand the underlying liquidity
characteristics of the business portfolios. These parties are engaged in regular and frequent dialogue to understand changes in
the Bank’s position arising from business activities and market circumstances. Dedicated business targets are allocated to
ensure the Group operates within its overall liquidity and funding appetite.
The Management Board is informed of performance against the risk appetite metrics, via a weekly Liquidity Dashboard. As part
of the annual strategic planning process, we project the development of the key liquidity and funding metrics based on the
underlying business plans to ensure that the plan is in compliance with our risk appetite.
Capital Markets Issuance

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. 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 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 develop-
ment. Our capital markets portfolio is dynamically managed through our yearly issuance plans to avoid excessive maturity
concentrations.
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 raised primarily by Treasury Pool Management, as
well as secured liabilities raised by our Corporate & 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 Management Board-approved limits to restrict the Bank’s exposure to wholesale counter-
parties, 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 unse-
cured with specific tenor limits covering the first 8 weeks. Our Liquidity Reserves are the primary mitigant against potential
stress in short-term wholesale funding markets.
The tables in section “Liquidity Risk Exposure: Funding Diversification” show the contractual maturity of our short-term whole-
sale funding and capital markets issuance.
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Annual Report 2017 Liquidity Risk Management
Liquidity Stress Testing and Scenario Analysis

Global liquidity stress testing and scenario analysis is one of the key tools for measuring liquidity risk and evaluating the Group’s
short-term liquidity position within the liquidity framework. It complements the intraday operational liquidity management process
and the long-term liquidity strategy, represented by the Funding Matrix.
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, including the definition of the stress scenarios, the
choice of liquidity risk drivers and the determination of appropriate assumptions (parameters) to translate input data into model
results. Liquidity Risk Management is responsible for the independent validation of liquidity risk models. Liquidity and Treasury
Reporting & Analysis (LTRA) is responsible for implementing these methodologies in conjunction with Treasury and IT as well
as for the stress test calculation.
We use stress testing and scenario analysis to evaluate the impact of sudden and severe stress events on our liquidity position.
The scenarios we apply are based on historic events, such as the 2008 financial markets crisis.
Deutsche Bank has selected five 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. A global market crisis, for ex-
ample, is covered by a specific stress scenario (systemic market risk) that models the potential consequences observed during
the financial crisis of 2008. Additionally, we have introduced regional market stress scenarios. Under each of the scenarios we
assume a high degree of maturing loans to non-wholesale customers is rolled-over, to support our business franchise. Whole-
sale funding, from the most risk sensitive counterparties (including banks and money-market mutual funds) is assumed to roll-
off at contractual maturity or even be bought back, in the acute phase of the stress.
In addition, we include the potential funding requirements from contingent liquidity risks which might arise, including credit facili-
ties, increased collateral requirements under derivative agreements, and outflows from deposits with a contractual rating linked
trigger.
We then model the actions we would take to counterbalance the outflows incurred. Countermeasures include utilizing the Li-
quidity Reserve and generating liquidity from unencumbered, marketable assets.
Stress testing is conducted at a global level and for defined individual legal entities. In addition to the global stress test, stress
tests for material currencies (EUR, USD and GBP) are performed. We review our stress-testing assumptions on a regular basis
and have made further enhancements to the methodology and severity of certain parameters through the course of 2017.
On a daily basis, we run the liquidity stress test over an eight-week horizon, which we consider the most critical time span in a
liquidity crisis, and apply the relevant stress assumptions to risk drivers from on-balance sheet and off-balance sheet products.
Beyond the eight week time horizon, we analyze the impact of a more prolonged stress period, extending to twelve months.
This stress testing analysis is performed on a daily basis.
In the second half of 2016, the Bank experienced deposit outflows as a result of negative market perceptions concerning
Deutsche Bank in the context of civil claims then being negotiated with the U.S. Department of Justice in connection with the
Bank’s issuance and underwriting of residential mortgage backed securities. As part of the lessons learned from this period, the
risk appetite was increased from € 5 billion as per December 2016 to € 10 billion in January 2017. The risk appetite to maintain
a surplus of at least € 10 billion throughout the 8 week stress horizon under all scenarios for our daily global liquidity stress test
remained at this level for the rest of 2017.
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.
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Annual Report 2017
Liquidity Coverage Ratio

In addition to our internal stress test result, the Group has a Management Board-approved risk appetite for the Liquidity Cover-
age 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, meas-
ured against the total volume of net cash outflows, arising from both actual and contingent exposures, in a stressed scenario.
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.
In 2017, the Bank has set its internal risk appetite more conservative by 5 % in order to maintain a LCR ratio of at least 110 %.
Key differences between the 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 outflows related to
intraday liquidity assumptions, which are not explicitly captured in the LCR.
Funding Risk Management

Structural Funding
Deutsche Bank’s primary tool for monitoring and managing 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 manage-
ment of potential liquidity exposures.
The liquidity maturity profile is based on contractual cash flow information. If the contractual maturity profile of a product does
not adequately reflect the liquidity maturity 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) can be 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, any 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 above
10 year bucket down to the above 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 issuance
targets for securities by tenor, volume and instrument. We also maintain a stand-alone U.S. dollar and GBP funding matrix
which limits the maximum short position in any time bucket (more than 1 year to more than 10 years) to € 10 billion and
€ 5 billion respectively. This supplements the risk appetite for our global funding matrix which requires us to maintain a positive
funding position in any time bucket (more than 1 year to more than 10 years).
Net Stable Funding Ratio

The Net Stable Funding Ratio (“NSFR”) was proposed as part of Basel 3, as the regulatory metric for assessing a bank’s struc-
tural 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).
In the EU, on November 23, 2016, the Commission published a legislative proposal to amend the CRR. The proposal defines,
inter alia, a mandatory quantitative NSFR requirement which would apply two years after the proposal comes into force. The
proposal remains subject to change in the EU legislative process. Therefore, for banks domiciled in the EU, the final definition of
the ratio and associated implementation timeframe has not yet been confirmed.
We are currently in the process of assessing the impacts of the NSFR, and would expect to formally embed this metric within
our overall liquidity risk management framework, once the relevant rules and timing within the EU have been finally determined.
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Annual Report 2017 Liquidity Risk Management
Funding Diversification
Diversification of our funding profile in terms of investor types, regions, products and instruments is an important element of our
liquidity risk management framework. Our most stable funding sources come from capital markets and equity, retail, and trans-
action banking clients. Other customer deposits 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.
Given the relatively short-term nature of these liabilities, they are primarily used to fund cash and liquid trading assets.
To promote the additional diversification of our refinancing activities, we hold a Pfandbrief license allowing us to issue mortgage
Pfandbriefe. In addition, we have established a program for the purpose of issuing Covered Bonds under Spanish law (Cedu-
las).
Unsecured wholesale funding comprises a range of unsecured products, such as Certificates of Deposit (CDs), Commercial
Paper (CP) as well as term, call and overnight deposits across tenors primarily up to one year.
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 contrib-
ute to the liquidity risk position, both in EUR billion and as a percentage of our total external funding sources.
Funds Transfer Pricing

The funds transfer pricing framework applies to all businesses and regions and promotes pricing of (i) assets in accordance with
their underlying liquidity risk, (ii) liabilities in accordance with their liquidity value and funding maturity and (iii) contingent liquidity
exposures in accordance with the cost of providing for commensurate liquidity reserves to fund unexpected cash requirements.
Deutsche Bank’s funds transfer pricing framework reflects regulatory principles and guidelines. Within this framework all funding
and liquidity risk costs and benefits are allocated to the firm’s business units based on market rates. Those market rates 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 compensation framework for businesses generating stable long-term and stress compliant
funding. Funding relevant transactions are subject to liquidity (term) premiums and/or other funds transfer pricing mechanisms
depending on market conditions. Liquidity premiums are set by Treasury and reflected in a segregated Treasury liquidity ac-
count which is the aggregator of liquidity costs and benefits. The management and allocation of the liquidity account cost base
is the key variable for funds transfer pricing within Deutsche Bank.
Liquidity Reserves
Liquidity reserves comprise available cash and cash equivalents, highly liquid securities (includes government, agency and
government guaranteed) as well as other unencumbered central bank eligible assets.
The volume of our liquidity reserves is a function of our expected daily stress result, both at an aggregate level as well as at an
individual currency level. To the extent we receive incremental short-term wholesale liabilities which attract a high stress roll-off,
we will largely keep the proceeds of such liabilities in cash or highly liquid securities as a stress mitigant. Accordingly, the total
volume of our liquidity reserves will fluctuate as a function of the level of short-term wholesale liabilities held, although this has
no material impact on our overall liquidity position under stress. Our liquidity reserves include only assets that are freely trans-
ferable or that can be utilized after taking into consideration local liquidity demands within the Group, including local limits on
free transferability within the Group, or that can be applied against local entity stress outflows. As a result our liquidity reserves
exclude surplus liquidity held in DBTCA due to requirements pursuant to Section 23A of the U.S. Federal Reserve Act and in
Postbank due to the absence of a waiver concerning the full integration of Postbank assets. We hold the vast majority of our
liquidity reserves centrally across the major currencies, at our parent and our foreign branches with further reserves held at key
locations in which we are active.
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Annual Report 2017
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 Pfandbriefe or other self-securitization structures, while financing debt and equity inventory on a
secured basis is a regular activity for our Corporate & Investment Bank business. Additionally, in line with the EBA technical
standards on regulatory asset encumbrance reporting, we consider as encumbered assets placed with settlement systems,
including default funds and initial margins, as well as other assets pledged which cannot be freely withdrawn such as mandato-
ry 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 suffering an operating income shortfall due to lower than expected performance in revenues not
compensated by a reduction in costs. Strategic Risk may arise from changes to the competitive landscape or regulatory frame-
work or ineffective positioning in the macroeconomic environment. Strategic Risk could also arise due to a failure to execute
strategy and/ or failure to effectively take actions to address underperformance.
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 com-
prehensive description of this process is detailed in the section ‘Strategic and Capital Plan’.
Model Risk Management

Model risk is the potential for adverse consequences from incorrect or misused model outputs and reports using these outputs.
Model risk can lead to financial loss, poor business or strategic decision making, or damage our reputation. 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.
Model risk is managed across Pricing models, Risk & Capital models, and other models:
‒ Pricing models are used to generate asset and liability fair value measurements reported in official books and records and/or
risk sensitivities which feed Market Risk Management (MRM) processes;
‒ Risk & Capital models are related to risks used for regulatory or internal capital requirements, e.g. VaR, IMM, Stress tests
etc.;
‒ Other models are those outside of the Bank’s Pricing and Risk & Capital models.
Model risk appetite is aligned to the Group’s qualitative statements, ensuring that model risk management is embedded in a
strong risk culture and that risks are minimized to the extent possible.
The management of model risk includes:
‒ Performing robust independent model validation that provides effective challenge to the model development process and
includes identification of conditions for use, methodological limitations that may require adjustments or overlays, and valida-
tion findings that require remediation;
‒ Establishing a strong model risk management and governance framework, including senior forums for monitoring and esca-
lation of model risk related topics;
‒ Creating Bank-wide model risk related policies, aligned to regulatory requirements with clear roles and responsibilities for
key stakeholders across the model life cycle; and
‒ Providing an assessment of the model risk control environment and reporting to the Management Board on a periodic basis.
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Annual Report 2017 Risk Concentration and Risk Diversification
Reputational Risk Management

Within our risk management process, we define reputational risk as the risk of possible damage to our 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 Deutsche Bank’s values and beliefs.
The Reputational Risk Framework (the Framework) is in place to manage primary reputational risk. It covers the process
through which active decisions are taken on matters which may pose a reputational risk, before such risk materializes, and, in
doing so, prevent damage to Deutsche Bank’s reputation wherever possible. Reputational risks which may arise from a failure
with another risk type, control or process (secondary reputational risk) are addressed separately via the associated risk type
framework. The Framework is established to provide consistent standards for the identification, assessment and management
of reputational risk issues. While every employee has a responsibility to protect our reputation, the primary responsibility for the
identification, assessment, management, monitoring and, if necessary, referring or reporting, of reputational risk matters lies
with our business divisions. Each employee is under an obligation, within the scope of his or her activities, to be alert to any
potential causes of reputational risk and to address them according to the Framework. Reputational Risk Management has
designed and implemented a comprehensive look back and lessons learned process in order to assess and control the effec-
tiveness of the Framework, including in relation to reputational risk identification and referral.
If a matter is identified that is considered to pose, at a minimum, a moderate reputational risk then it is required to be referred
for further consideration within the business division through its Unit Reputational Risk Assessment Process (Unit RRAP). In the
event that a matter is deemed to pose a material reputational risk then it must be referred through to one of the four Regional
Reputational Risk Committees (RRRCs) for further review. In addition to the materiality assessment, there are also certain
criteria, known as mandatory referral criteria, which are considered inherently higher risk from a reputational perspective and
therefore require mandatory referral to defined Subject Matter Experts (SMEs), e.g. Industry Reputational Risk or Group Sus-
tainability, and/or referral to a Unit RRAP or RRRC.
The RRRCs are sub-committees of the Group Reputational Risk Committee (GRRC), which is itself a sub-committee of the
Group Risk Committee (GRC), and are responsible for the oversight, governance and coordination of the management of repu-
tational risk in their respective regions of Deutsche Bank on behalf of the Management Board. In exceptional circumstances,
matters can also be referred by the RRRCs to the GRRC.
The modelling and quantitative measurement of reputational risk internal capital is implicitly covered in our economic capital
framework primarily within operational and strategic risk.
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 other risks) as well as across different risk types (inter-risk concentrations). They could
occur within and across counterparties, businesses, regions/countries, industries and products. The management of concentra-
tions is integrated as part of the management of individual risk types and monitored on an ongoing basis. The key objective is to
avoid any undue concentrations in the portfolio, which is achieved through a quantitative and qualitative approach, as follows:
‒ Intra-risk concentrations are assessed, monitored and mitigated by the individual risk disciplines (credit, market, operational,
liquidity risk management and others). This is supported by limit setting on different levels and/or management according to
risk type.
‒ Inter-risk concentrations are managed through quantitative top-down stress-testing and qualitative bottom-up reviews, identi-
fying 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 2017 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 the
economic capital calculation. To the extent correlations between these risk types fall below 1.0, a risk type diversification benefit
results. 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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Annual Report 2017
Risk and Capital Performance
Capital and Leverage Ratio

Regulatory Capital
The calculation of our regulatory capital incorporates the capital requirements following the “Regulation (EU) No 575/2013 on
prudential 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 invest-
ment firms” (Capital Requirements Directive 4 or “CRD 4”) as 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.
When referring to results according to full application of the final CRR/CRD 4 framework (without consideration of applicable
transitional methodology) we use the term “CRR/CRD 4 fully loaded”. In some cases, CRR/CRD 4 maintains transitional rules
that had been adopted in earlier capital adequacy frameworks through Basel 2 or Basel 2.5. These relate, e.g., to the risk
weighting of certain categories of assets and include rules permitting the grandfathering of equity investments at a risk-weight of
100 %. In this regard, we assumed in our CRR/CRD 4 fully loaded methodology for a limited subset of equity positions that the
impact of the expiration of these transitional rules will be mitigated through sales of the underlying assets or other measures
prior to the expiration of the grandfathering provisions by the end of 2017. Since the fourth quarter 2017 we have not applied
this grandfathering rule anymore, but instead applied a risk weight between 190 % and 370 % determined based on Article 155
CRR under the CRR/CRD 4 fully loaded rules to all our equity positions. Consequently, no transitional arrangements are con-
sidered in our fully loaded RWA numbers for December 31, 2017. Only for the comparative period, yearend 2016, are these
transitional rules within the risk weighting still applied.
This section refers to the capital adequacy of the group of institutions 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 regulatory capital pursuant to the effective regulations as of year-end 2017 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). Prudential filters for CET 1 capital, accord-
ing to Articles 32 to 35 CRR, include (i) securitization gain on sale, (ii) cash flow hedges and changes in the value of own
liabilities, and (iii) additional value adjustments. CET 1 capital deductions comprise (i) intangible assets, (ii) deferred tax assets
that rely on future profitability, (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 investments in the capital (CET 1, AT1, T2) of financial sector entities above certain thresholds. All items not deduct-
ed (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
eligible under earlier frameworks. To qualify as AT1 capital under CRR/CRD 4, 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.
Capital instruments that no longer qualify as AT1 or T2 capital under the CRR/CRD 4 fully loaded rules are subject to grandfa-
thering rules during transitional period and are phased out from 2013 to 2022 with their recognition capped at 50 % in 2017 and
the cap decreasing by 10 % every year.
82
Deutsche Bank Risk and Capital Performance
Annual Report 2017 Capital and Leverage Ratio
Capital Instruments
Our Management Board received approval from the 2016 Annual General Meeting to buy back up to 137.9 million shares be-
fore the end of April 2021. Thereof 69.0 million shares can be purchased by using derivatives. These authorizations substitute
the authorizations of the previous year. We have received approval from the ECB for share buybacks for 2016 and 2017 ac-
cording to CRR/CRD 4 rules. During the period from the 2016 Annual General Meeting until the 2017 Annual General Meeting
(May 18, 2017), 14.8 million shares have been purchased, of which 0.2 million shares through exercise of call options. The
shares purchased were used for equity compensation purposes in the same period or were to be used in the upcoming period
so that the number of shares held in Treasury from buybacks was 1.2 million as of the 2017 Annual General Meeting. In Q2
2017 we purchased under the 2016 AGM authorization 27.5 million call options on Deutsche Bank shares to hedge the risk of a
rising share price for upcoming equity compensation liabilities. All options had a maturity of more than 18 months.
The 2017 Annual General Meeting granted our Management Board the approval to buy back up to 206.7 million shares before
the end of April 2022. 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 2017 Annual General Meeting until December 31, 2017, 14.1 million shares were purchased. The shares purchased
were used for equity compensation purposes in the same period or were to be used in the upcoming period so that the number
of shares held in Treasury from buybacks was 0.2 million as of December 31, 2017.
On March 5, 2017, Deutsche Bank announced a capital increase of up to 687.5 million new shares with subscription rights to
existing shareholders and with the same dividend rights as all other outstanding shares. Deutsche Bank completed the capital
increase on April 7, 2017. With the capital increase, the number of common shares of Deutsche Bank AG increased by 687.5
million, from 1,379.3 million to 2,066.8 million in early April 2017. The gross proceeds amounted to € 8.0 billion and the net
proceeds amounted to € 7.9 billion. The recognition of the gross proceeds was formally approved by the ECB on July 26, 2017.
Since the 2017 Annual General Meeting, and as of December 31, 2017, authorized capital available to the Management Board
is € 2,560 million (1,000 million shares). As of December 31, 2017, 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).
Our legacy Hybrid Tier 1 capital instruments (substantially all noncumulative trust preferred securities) are not recognized under
fully loaded CRR/CRD 4 rules as Additional Tier 1 capital, mainly because they have no write-down or equity conversion feature.
However, they are to a large extent recognized as Additional Tier 1 capital under CRR/CRD 4 transitional provisions and can
still be partially recognized as Tier 2 capital under the fully loaded CRR/CRD 4 rules. 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, 2017, this
resulted in eligible Additional Tier 1 instruments of € 8.6 billion (i.e. € 4.6 billion newly issued AT1 Notes plus € 3.9 billion of
legacy Hybrid Tier 1 instruments recognizable during the transition period). In 2017, the Bank has called one legacy Hybrid Tier
1 instrument with a notional of € 0.5 billion and an eligible equivalent amount of € 0.5 billion and another legacy Hybrid Tier 1
instrument with a notional of U.S. $ 0.3 billion and an eligible equivalent amount of € 0.0 billion. The bank has also called one
legacy Hybrid Tier 1 instrument with a notional of U.S. $ 2.0 billion and an eligible equivalent amount of € 1.6 billion effective as
of February 20, 2018. € 3.9 billion of the legacy Hybrid Tier 1 instruments can still be recognized as Tier 2 capital under the fully
loaded CRR/CRD 4 rules. Additional Tier 1 instruments recognized under fully loaded CRR/CRD 4 rules amounted to € 4.6
billion as of December 31, 2017.
On December 1, 2017, we issued fixed rate subordinated Tier 2 notes with an aggregate amount of U.S. $ 1.0 billion. The notes
have a denomination of U.S. $ 200,000 and integral multiples of U.S. $ 1,000 in excess thereof and are due December 1, 2032.
They were issued in accordance with the registration requirements of the US Securities Act of 1933.
The total of our Tier 2 capital instruments as of December 31, 2017 recognized during the transition period under CRR/CRD 4
was € 6.4 billion. As of December 31, 2017, there were no legacy Hybrid Tier 1 instruments that are counted as Tier 2 capital
under transitional rules. The gross notional value of the Tier 2 capital instruments was € 8.3 billion. No Tier 2 capital instrument
had been called in 2017. Tier 2 instruments recognized under fully loaded CRR/CRD 4 rules amounted to € 10.3 billion as of
December 31, 2017 (including the € 3.9 billion legacy Hybrid Tier 1 capital instruments only recognizable as Additional Tier 1
capital during the transitional period).
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Annual Report 2017
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 2017.
In addition to these minimum capital requirements, the following combined capital buffer requirements have been phased in
since 2016 (other than the systemic risk buffer, if any, which is not subject to any phase-in) and will become fully effective from
2019 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.
Deutsche Bank continues to be designated as a global systemically important institution (G-SII) by the German Federal Finan-
cial Supervisory Authority (BaFin) in agreement with Deutsche Bundesbank, resulting in a G-SII buffer requirement of 2.00 %
CET 1 capital of RWA in 2019. This is in line with the Financial Stability Board (FSB) assessment of systemic importance based
on the indicators as published in 2017. The additional buffer requirement of 2.00 % for G-SIIs was phased in with 0.5 % in 2016,
1.00 % in 2017 and in 2018 amounts to 1.50 %. We will continue to publish our indicators on our website.
The capital conservation buffer is implemented in Section 10c German Banking Act based on Article 129 CRD 4 and equals a
requirement of 2.50 % CET 1 capital of RWA. The additional buffer requirement of 2.50 % was phased in with 0.625% in 2016,
1.25 % in 2017 and in 2018 amounts to 1.875 %.
The countercyclical capital buffer is deployed in a jurisdiction when excess credit growth is associated with an increase in sys-
tem-wide risk. It may vary between 0 % and 2.50 % CET 1 capital of RWA by 2019. 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 coun-
tercyclical capital buffers that apply in the jurisdictions where our relevant credit exposures are located. As per December 31,
2017 (and currently), 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 2017 (and currently), no systemic risk buffer applied
to Deutsche Bank.
Additionally, Deutsche Bank AG has been classified by BaFin as other systemically important institution (O-SII) with an addi-
tional buffer requirement of 2.00 % that has to be met on a consolidated level. For Deutsche Bank, the O-SII buffer was intro-
duced in first steps of 0.66 % in 2017 and in 2018 amounts to 1.32 %. Unless certain exceptions apply, only the higher of the
systemic risk buffer, G-SII buffer and O-SII buffer must be applied. Accordingly, the O-SII buffer is not applicable as of Decem-
ber 31, 2017.
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 8, 2016, following the results of the 2016 SREP, the ECB informed Deutsche Bank that it must
maintain a phase-in CET 1 ratio of at least 9.52 % on a consolidated basis under applicable transitional rules under CRR/CRD
4 at all times, beginning on January 1, 2017. This CET 1 capital requirement comprises the Pillar 1 minimum capital require-
ment of 4.50 %, the Pillar 2 requirement (SREP Add-on) of 2.75 %, the phase-in capital conservation buffer of 1.25 %, the
countercyclical buffer (currently 0.02 %) and the phase-in G-SII buffer of 1.00 %. Correspondingly the requirements for
Deutsche Bank's Tier 1 capital ratio were at 11.02 % and total capital ratio at 13.02 % as of December 31, 2017.
On December 19, 2017, Deutsche Bank was informed by the ECB of its decision regarding prudential minimum capital re-
quirements for 2018, following the results of the 2017 SREP. The decision requires Deutsche Bank to maintain a phase-in
CET 1 ratio of at least 10.65 % on a consolidated basis, beginning on January 1, 2018. This CET 1 capital requirement com-
prises the Pillar 1 minimum capital requirement of 4.50 %, the Pillar 2 requirement (SREP Add-on) of 2.75 %, the phase-in
capital conservation buffer of 1.875 %, the countercyclical buffer (currently 0.02 %) and the phase-in G-SII buffer of 1.50 %. The
new CET 1 capital requirement of 10.65 % for 2018 is higher than the CET 1 capital requirement of 9.52 %, which was applica-
ble to Deutsche Bank in 2017, reflecting the further phase-in of the capital conservation buffer and the G-SII buffer. Correspond-
ingly, 2018 requirements for Deutsche Bank's Tier 1 capital ratio are at 12.15 % and for its total capital ratio at 14.15 %. Also,
following the results of the 2017 SREP, the ECB communicated to us an individual expectation to hold a further “Pillar 2” CET 1
capital add-on, commonly referred to as the ‘“Pillar 2” guidance’. The capital add-on pursuant to the “Pillar 2” guidance is sepa-
rate from and in addition to the Pillar 2 requirement. The ECB has stated that it expects banks to meet the “Pillar 2” guidance
although it is not legally binding, and failure to meet the “Pillar 2” guidance does not automatically trigger legal action.
84
The following table gives an overview of the different Pillar 1 and Pillar 2 minimum capital requirements (but excluding the “Pil-
lar 2” guidance) as well as capital buffer requirements applicable to Deutsche Bank in the years 2017 and 2018 (articulated on a
phase-in basis):
Overview total capital requirements and capital buffers

2017 2018
Pillar 1
Minimum CET 1 requirement 4.50 % 4.50 %
Capital Conservation Buffer 1.25 % 1.875 %
Countercyclical Buffer 0.02 % 0.02 % 1
G-SII Buffer3 1.00 % 1.50 %
O-SII Buffer3 0.66 % 1.32 %
Systemic Risk Buffer3 0.00 % 0.00 % 2
Pillar 2
Pillar 2 SREP Add-on of CET 1 capital (excluding the "Pillar 2" guidance) 2.75 % 2.75 %
SREP CET 1 Requirement 8.50 % 9.125 %
Total CET 1 requirement from Pillar 1 and 2 4 9.52 % 10.65 %
Total Tier 1 requirement from Pillar 1 and 2 11.02 % 12.15 %
Total capital requirement from Pillar 1 and 2 13.02 % 14.15 %
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 2018 has been assumed to be 0.02 % due to
unavailability of 2018 data.
2 The systemic risk buffer has been assumed to remain at 0 % for the projected year 2018, subject to changes based on further directives.
3 Unless certain exceptions apply only the higher of the systemic risk buffer, G-SII and O-SII buffer must be applied.
4 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
systemic risk buffer requirement as well as the countercyclical buffer requirement.
Development of regulatory capital

Our CRR/CRD 4 Tier 1 capital as of December 31, 2017 amounted to € 57.6 billion, consisting of CET 1 capital of € 50.8 billion
and AT1 capital of € 6.8 billion. The CRR/CRD 4 Tier 1 capital was € 2.1 billion higher than at the end of 2016, primarily driven
by an increase in CET 1 capital of € 3.0 billion since year end 2016 while AT1 capital decreased by € 0.9 billion in the same
period.
The € 3.0 billion increase of CRR/CRD 4 CET 1 capital was largely the result of the capital issuance completed in early April
2017 with net proceeds of € 7.9 billion and the reversal of 10 % threshold-related deductions of € 0.4 billion due to the higher
capital base. These positive effects were then reduced by increased regulatory adjustments due to the higher phase-in rate of
80 % in 2017 compared to 60 % in 2016 and negative effects from Currency Translation Adjustments of € 2.6 billion with partial-
ly positive foreign exchange counter-effects in capital deduction items. Further reductions were due to the net loss attributable
to Deutsche Bank shareholders and additional equity components of € 0.8 billion in 2017. Since we do not include an interim
profit in our CET 1 capital as a consequence of the negative net income in the financial year 2017, neither AT1 coupon nor
shareholder dividends are accrued in CET 1 capital in accordance with Art 26 (2) CRR.
The € 0.9 billion decrease in CRR/CRD 4 AT1 capital was mainly the result of reduced Legacy Hybrid Tier 1 instruments, rec-
ognizable as AT1 capital during the transition period, which were € 2.6 billion lower compared to year end 2016 largely due to
the call of instruments (€ 2.4 billion) and foreign exchange effects. A positive counter-effect resulted from reduced transitional
adjustments (€ 1.7 billion lower than at year end 2016) that were phased out from AT1 capital. These deductions reflect the
residual amount of certain CET 1 deductions that are subtracted from CET 1 capital under fully loaded rules, but are allowed to
reduce AT1 capital during the transitional period. The phase-in rate for these deductions on the level of CET 1 capital increased
to 80 % in 2017 (60 % in 2016) and decreased correspondingly on the level of AT1 capital to 20 % in 2017 (40 % in 2016).
Our fully loaded CRR/CRD 4 Tier 1 capital as of December 31, 2017 was € 52.9 billion, compared to € 46.8 billion at the end of
2016. Our fully loaded CRR/CRD 4 CET 1 capital amounted to € 48.3 billion as of December 31, 2017, compared to
€ 42.3 billion as of December 31, 2016. Our fully loaded CRR/CRD 4 AT1 capital amounted to € 4.6 billion as of December 31,
2017, unchanged compared to year end 2016.
The increase of our fully loaded CET 1 capital of € 6.0 billion compared to year end 2016 capital was largely the result of the
€ 7.9 billion net proceeds from our capital issuance and the reversal of 10 % threshold-related deductions of € 0.6 billion due to
the higher capital base. Further positive effects of € 0.4 billion resulted from regulatory adjustments from prudential filters (Debt
Valuation Adjustments). These positive effects were partially reduced by our negative net income of € 0.8 billion and negative
effects from Currency Translation Adjustments of € 2.6 billion with partially positive foreign exchange counter-effects in capital
deduction items.
Based on ECB guidance and following the EBA Guidelines on payment commitments, Deutsche Bank will treat irrevocable
payment commitments related to the Deposit Guarantee Scheme and the Single Resolution Fund as an additional CET 1 capi-
tal deduction instead of risk weighted assets, effective from January 2018 onwards. If these were treated as a capital deduction
85
Annual Report 2017
item for the financial year 2017, then our pro-forma fully loaded CET 1 capital would have been € 0.4 billion lower along with an
RWA relief of € 1.0 billion resulting in a pro-forma fully loaded CET 1 capital ratio decrease of 8 basis points.
Transitional template for regulatory capital, RW A and capital ratios

Dec 31, 2017 Dec 31, 2016
CRR/CRD 4 CRR/CRD 4
in € m. fully loaded CRR/CRD 4 fully loaded CRR/CRD 4
Common Equity Tier 1 (CET 1) capital: instruments and reserves
Capital instruments and the related share premium accounts 45,195 45,195 37,290 37,290
Retained earnings 17,977 17,977 20,113 20,113
Accumulated other comprehensive income (loss), net of tax 696 660 3,708 3,645
Independently reviewed interim profits net of any foreseeable charge or dividend 1 (751) (751) (2,023) (2,023)
Other 0 33 0 79
Common Equity Tier 1 (CET 1) capital before regulatory adjustments 63,116 63,114 59,088 59,104
Common Equity Tier 1 (CET 1) capital: regulatory adjustments

Additional value adjustments (negative amount) (1,204) (1,204) (1,398) (1,398)
Other prudential filters (other than additional value adjustments) (102) (74) (639) (428)
Goodwill and other intangible assets (net of related tax liabilities) (negative amount) (8,394) (6,715) (8,436) (5,062)
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) (3,004) (2,403) (3,854) (2,312)
Negative amounts resulting from the calculation of expected loss amounts (502) (408) (297) (188)
Defined benefit pension fund assets (negative amount) (1,125) (900) (945) (567)
Direct, indirect and synthetic holdings by an institution of own CET 1 instruments (negative
amount) (144) (117) (59) (41)
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) 0 0 0 0
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) 0 0 (590) (354)
Other regulatory adjustments 2 (341) (485) (591) (971)
Total regulatory adjustments to Common Equity Tier 1 (CET 1) capital (14,816) (12,306) (16,810) (11,321)
Common Equity Tier 1 (CET 1) capital 48,300 50,808 42,279 47,782
Additional Tier 1 (AT1) capital: instruments

Capital instruments and the related share premium accounts 4,676 4,676 4,676 4,676
Amount of qualifying items referred to in Art. 484 (4) CRR and the related share
premium accounts subject to phase out from AT1 N/M 3,904 N/M 6,516
Additional Tier 1 (AT1) capital before regulatory adjustments 4,676 8,579 4,676 11,191
Additional Tier 1 (AT1) capital: regulatory adjustments

Direct, indirect and synthetic holdings by an institution of own AT1 instruments
(negative amount) (55) (26) (125) (51)
Residual amounts deducted from AT1 capital with regard to deduction from CET 1 capital during
the transitional period pursuant to Art. 472 CRR N/M (1,730) N/M (3,437)
Other regulatory adjustments 0 0 0 0
Total regulatory adjustments to Additional Tier 1 (AT1) capital (55) (1,756) (125) (3,488)
Additional Tier 1 (AT1) capital 4,621 6,823 4,551 7,703
Tier 1 capital (T1 = CET 1 + AT1) 52,921 57,631 46,829 55,486
Tier 2 (T2) capital 10,329 6,384 12,673 6,672

Total capital (TC = T1 + T2) 63,250 64,016 59,502 62,158
Total risk-weighted assets 344,212 343,316 357,518 356,235
Capital ratios
Common Equity Tier 1 capital ratio (as a percentage of risk-weighted assets) 14.0 14.8 11.8 13.4
Tier 1 capital ratio (as a percentage of risk-weighted assets) 15.4 16.8 13.1 15.6
Total capital ratio (as a percentage of risk-weighted assets) 18.4 18.6 16.6 17.4
1 As we do not include an interim profit in our CET 1 capital as a consequence of the negative net income in the financial year 2017, neither AT1 coupon nor shareholder
dividends are accrued in CET 1 capital in accordance with Art 26 (2) CRR.
2 Including an additional capital deduction of € 0.3 billion that was imposed on Deutsche Bank effective from October 2016 onwards based on a notification by the ECB pursuant
to Article 16(1)(c), 16(2)(b) and (j) of Regulation (EU) No 1024/2013 as well as the additional filter for funds for home loans and savings protection (“Fonds für
bauspartechnische Absicherung”) of € 19 million.
86
Reconciliation of shareholders’ equity to regulatory capital

CRR/CRD 4
in € m. Dec 31, 2017 Dec 31, 2016
Total shareholders’ equity per accounting balance sheet 63,174 59,833
Deconsolidation/Consolidation of entities (58) (123)
Thereof:
Additional paid-in capital (6) (6)
Retained earnings (228) (276)
Accumulated other comprehensive income (loss), net of tax 176 159
Total shareholders' equity per regulatory balance sheet 63,116 59,710
Noncontrolling interest based on transitional rules 33 79
Accrual for dividend and AT1 coupons 1 0 (621)
Reversal of deconsolidation/consolidation of the position Accumulated other comprehensive income (loss),
net of tax, during transitional period (35) (63)
Common Equity Tier 1 (CET 1) capital before regulatory adjustments 63,114 59,104
Additional value adjustments (1,204) (1,398)
Other prudential filters (other than additional value adjustments) (74) (428)
Regulatory adjustments relating to unrealized gains and losses pursuant to Art. 467 and 468 CRR (144) (380)
Goodwill and other intangible assets (net of related tax liabilities) (6,715) (5,062)
Deferred tax assets that rely on future profitability (2,403) (2,666)
Defined benefit pension fund assets (900) (567)
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 0 0
Other regulatory adjustments (866) (820)
Common Equity Tier 1 capital 50,808 47,782
Development of regulatory capital

CRR/CRD 4
in € m. Dec 31, 2017 Dec 31, 2016
Common Equity Tier 1 (CET 1) capital - opening amount 47,782 52,429
Common shares, net effect 1,760 0
Additional paid-in capital 6,153 192
Retained earnings (795) (1,826)
Common shares in treasury, net effect/(+) sales (–) purchase (9) 10
Movements in accumulated other comprehensive income (2,748) 231
Accrual for dividend and Additional Tier 1 (AT1) coupons 1 0 (621)
Additional value adjustments 194 479
Goodwill and other intangible assets (net of related tax liabilities) (1,653) (1,686)
Deferred tax assets that rely on future profitability (excluding those arising from temporary differences) (91) (988)
Negative amounts resulting from the calculation of expected loss amounts (219) (130)
Defined benefit pension fund assets (333) (97)
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 0 278
Securitization positions not included in risk-weighted assets 0 0
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) 354 (30)
Other, including regulatory adjustments 413 (457)
Common Equity Tier 1 (CET 1) capital - closing amount 50,808 47,782
Additional Tier 1 (AT1) Capital – opening amount 7,703 5,793
New Additional Tier 1 eligible capital issues 0 0
Matured and called instruments (2,376) (76)
Transitional arrangements 1,708 1,879
Thereof:
Goodwill and other intangible assets (net of related tax liabilities) 1,696 1,689
Other, including regulatory adjustments (212) 108
Additional Tier 1 (AT1) Capital – closing amount 6,823 7,703
Tier 1 capital 57,631 55,486
Tier 2 (T2) capital – closing amount 6,384 6,672
Total regulatory capital 64,016 62,158
87
Annual Report 2017
Development of risk-weighted assets

The table below provides an overview of RWA broken down by risk type and business division. They include 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 according to transitional rules
Dec 31, 2017
Corporate & Private & Deutsche Non-Core Consolidation
Investment Commercial Asset Operations & Adjustments
in € m. Bank Bank Management Unit and Other Total
Credit Risk 118,940 75,377 3,273 0 16,552 214,142
Settlement Risk 142 0 0 0 5 147
Credit Valuation Adjustment (CVA) 6,189 171 84 0 7 6,451
Market Risk 30,896 70 0 0 0 30,966
Operational Risk 74,936 11,654 5,020 0 0 91,610
Total 231,103 87,272 8,378 0 16,564 343,316
Dec 31, 2016

Corporate & Private & Deutsche Non-Core Consolidation
Investment Commercial Asset Operations & Adjustments
in € m. Bank Bank Management Unit and Other Total
Credit Risk 124,274 72,735 3,756 4,075 15,505 220,345
Settlement Risk 36 0 0 0 0 36
Credit Valuation Adjustment (CVA) 8,886 294 139 90 8 9,416
Market Risk 30,198 62 0 3,502 0 33,762
Operational Risk 73,610 12,696 4,957 1,413 0 92,675
Total 237,003 85,788 8,853 9,079 15,512 356,235
The RWA according to CRR/CRD 4 were € 343.3 billion as of December 31, 2017, compared to € 356.2 billion at the end of
2016. The overall decrease of € 12.9 billion mainly reflects decreases in credit risk RWA. Credit Risk RWA are € 6.2 billion
lower mainly from foreign exchange reductions of € 10.2 billion which is partly offset by business driven increase in our Corpo-
rate & Investment Bank and Private & Commercial Bank segments. In addition book quality changes due to improved portfolio
quality have contributed to the overall decrease in Credit Risk RWA. The decrease in RWA for market risk since December 31,
2016 was primarily driven by value-at-risk and stressed value-at-risk components, which was partly offset by an increase in the
incremental risk charge and market risk standardized approach for securitizations. The € 2.9 billion reduction in RWA for CVA
was mainly driven by de-risking of the portfolio. The slight decrease in Operational Risk RWA was mainly driven by the internal
and external loss profile.
RWA calculated on CRR/CRD 4 fully loaded basis were € 344.2 billion as of December 31, 2016 compared with € 357.5 billion
at the end of 2016. The decrease was driven by the same movements as outlined for the transitional rules. The fully loaded
RWA were € 0.9 billion higher than the risk-weighted assets under the transitional rules due to the application under the transi-
tion rules of the equity investment grandfathering rule according to Article 495 CRR, pursuant to which certain equity invest-
ments receive a 100 % risk weight instead of a risk weight between 190 % and 370 % determined based on Article 155 CRR
that would apply under the CRR/CRD 4 fully loaded rules.
As of December 31, 2017, we have not applied the grandfathering rule anymore, but instead applied a risk weight between
190 % and 370 % determined based on Article 155 CRR under the CRR/CRD 4 fully loaded rules to all our equity positions.
Consequently, no transitional arrangements are considered in our fully loaded RWA numbers for December 31, 2017. Only for
the comparative period, year-end 2016, are these transitional rules within the risk weighting still applied.
As of December 31, 2016, our portfolio of transactions for which we applied the equity investment grandfathering rule in calcu-
lating our fully loaded RWA consisted of 15 transactions amounting to € 220 million in exposures. Had we not applied the
grandfathering rule for these transactions, their fully loaded RWA would have been no more than € 816 million, and thus our
Group fully loaded RWA would have been no more than € 358.1 billion as of December 31, 2016, rather than the Group fully
loaded RWA of € 357.5 billion that we reported on a fully loaded basis with application of the grandfathering rule. Also, had we
calculated our fully loaded CET 1 capital ratio, Tier 1 capital ratio and Total capital ratio as of December 31, 2016 using fully
loaded RWAs without application of the grandfathering rule, such capital ratios would have remained unchanged (due to round-
ing) at the 11.8 %, 13.1 % and 16.6 %, respectively, that we reported on a fully loaded basis with application of the grandfather-
ing rule.
88
The tables below provide an analysis of key drivers for risk-weighted asset movements observed for credit, market, operational
risk and the credit valuation adjustment in the reporting period.
Development of risk-weighted assets for Credit Risk including Counterparty Credit Risk
Dec 31, 2017 Dec 31, 2016
Capital Capital
in € m. Credit risk RWA requirements Credit risk RWA requirements
Credit risk RWA balance, beginning of year 220,345 17,628 242,019 19,362
Book size 3,523 282 (8,085) (647)
Book quality 506 40 (3,827) (306)
Model updates 1,272 102 2,328 186
Methodology and policy 0 0 (1,280) (102)
Acquisition and disposals 0 0 (12,701) (1,016)
Foreign exchange movements (10,162) (813) 350 28
Other (1,342) (107) 1,539 123
Credit risk RWA balance, end of year 214,142 17,131 220,345 17,628
Thereof: Development of risk-weighted assets for Counterparty Credit Risk

Dec 31, 2017 Dec 31, 2016
Counterparty Capital Counterparty Capital
in € m. credit risk RWA requirements credit risk RWA requirements
Counterparty credit risk RWA balance, beginning of year 35,614 2,849 37,276 2,982
Book size (4,628) (370) (2,740) (219)
Book quality 3,715 297 511 41
Model updates 1,272 102 1,439 115
Methodology and policy 0 0 (60) (5)
Acquisition and disposals 0 0 (707) (57)
Foreign exchange movements (2,048) (164) (106) (8)
Other 0 0 0 0
Counterparty credit risk RWA balance, end of year 33,924 2,714 35,614 2,849
Organic changes in our portfolio size and composition are considered in the category “Book size”. The category “Book quality”
mainly represents the effects from portfolio rating migrations, loss given default, model parameter recalibrations as well as
collateral coverage and netting activities. “Model updates” include model refinements and advanced model roll out. RWA
movements resulting from externally, regulatory-driven changes, e.g. applying new regulations, are considered in the “Method-
ology and policy” category. “Acquisition and disposals” shows 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 decrease in RWA for credit risk by 3 % or € 6.2 billion since December 31, 2016 is predominantly driven by reductions in
“Foreign exchange movements”. This is partly offset by “Book Size” and “Model updates”. The increase in “Book size” is driven
by the FX neutral business driven growth in our Corporate & Investment Bank and Private & Commercial Bank segments. The
increase in “Model updates” corresponds predominantly to a revised treatment of the applicable margin period of risk and gen-
eral wrong way risk of specific derivatives portfolios, which was partially offset by a refinement in the calculation of effective
maturity for collateralized counterparties.
The increase in “Book quality” within the counterparty credit risk table is predominantly driven by the revised treatment of netting
application of our security financing products which is partly offset by reductions from recalibrations of our risk parameters as
well as process enhancements. This increase is offset by a decrease in “Book size” where there was a decline due to de-risking
measures and exposure reductions.
Based on the CRR/CRD 4 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.
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Annual Report 2017
Development of risk-weighted assets for Credit Valuation Adjustment

Dec 31, 2017 Dec 31, 2016
Capital Capital
in € m. CVA RWA requirements CVA RWA requirements
CVA RWA balance, beginning of year 9,416 753 15,877 1,270
Movement in risk levels (3,228) (258) (5,600) (448)
Market data changes and recalibrations 0 0 278 22
Model updates 0 0 (1,000) (80)
Methodology and policy 870 70 0 0
Acquisitions and disposals 0 0 0 0
Foreign exchange movements (607) (49) (139) (11)
CVA RWA balance, end of year 6,451 516 9,416 753
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, 2017, the RWA for CVA amounted to € 6.5 billion, representing a decrease of € 2.9 billion (31%) compared
with € 9.4 billion for December 31, 2016. The overall reduction was driven by de-risking of the portfolio and currency effects with
some offset from “Methodology and policy” changes.
Development of risk-weighted assets for Market Risk

Dec 31, 2017
Total capital
in € m. VaR SVaR IRC CRM Other Total RWA requirements
Market risk RWA balance, beginning of year 5,957 14,271 8,662 273 4,599 33,762 2,701
Movement in risk levels (1,658) (3,375) 2,598 (217) 922 (1,729) (138)
Market data changes and recalibrations 81 0 0 0 581 661 53
Model updates/changes 0 0 (1,390) 0 (38) (1,428) (114)
Methodology and policy 0 0 0 0 0 0 0
Acquisitions and disposals 0 0 0 0 0 0 0
Foreign exchange movements 0 0 0 0 (301) (301) (24)
Other 0 0 0 0 0 0 0
Market risk RWA balance, end of year 4,380 10,896 9,871 56 5,763 30,966 2,477
Dec 31, 2016

Total capital
in € m. VaR SVaR IRC CRM Other Total RWA requirements
Market risk RWA balance, beginning of year 6,931 17,146 11,608 2,378 11,491 49,553 3,964
Movement in risk levels (655) (1,547) (2,716) (3,553) (8,852) (17,323) (1,386)
Market data changes and recalibrations 403 0 0 0 2,018 2,421 194
Model updates/changes (57) 237 (230) 0 0 (50) (4)
Methodology and policy (665) (1,565) 0 1,475 0 (754) (60)
Acquisitions and disposals 0 0 0 0 0 0 0
Foreign exchange movements 0 0 0 (27) (58) (84) (7)
Other 0 0 0 0 0 0 0
Market risk RWA balance, end of year 5,957 14,271 8,662 273 4,599 33,762 2,701
The analysis for market risk covers movements in our internal models for value-at-risk, stressed value-at-risk, incremental risk
charge and comprehensive risk measure as well as results from the market risk standardized approach, which are captured in
the table under the category “Other”. The market risk standardized approach covers trading securitizations and nth-to-default
derivatives, longevity exposures, relevant Collective Investment Undertakings and market risk RWA from Postbank.
90
The market risk RWA movements due to changes in market data levels, volatilities, correlations, liquidity and ratings are includ-
ed 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 busi-
nesses and disposals would be assigned to the line item “Acquisition and disposals”. The impacts of “Foreign exchange move-
ments” are only calculated for the CRM and Standardized approach methods.
As of December 31, 2017 the RWA for market risk was € 31.0 billion which has decreased by € 2.8 billion (8.3 %) since De-
cember 31, 2016. The reduction was driven by the value-at-risk and stressed value-at-risk components in the "Movement in risk
levels" category, partly offset by an increase in the incremental risk charge in the “Movement risk levels” category and the mar-
ket risk standardized approach for securitization positions in the “Movement in risk levels” and “Market data changes” catego-
ries.
Development of risk-weighted assets for Operational Risk

Dec 31, 2017 Dec 31, 2016
Operational risk Capital Operational risk Capital
in € m. RWA requirements RWA requirements
Operational risk RWA balance, beginning of year 92,675 7,414 89,923 7,194
Loss profile changes (internal and external) (2,815) (225) 7,048 564
Expected loss development 1,104 88 (1,798) (144)
Forward looking risk component (3,265) (261) (1,140) (91)
Model updates 3,912 313 (358) (29)
Methodology and policy 0 0 (1,000) (80)
Acquisitions and disposals 0 0 0 0
Operational risk RWA balance, end of year 91,610 7,329 92,675 7,414
Changes of 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 Key Risk Indicators and Self-
Assessment scores, focusing on the business environment and internal control factors. The category “Model updates” covers
model refinements 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 move-
ments which can be clearly assigned to new or disposed businesses.
The overall RWA decrease of € 1.1 billion was mainly driven by a lighter loss profile from internal and external losses feeding
into our capital model. An additional increased benefit from the forward looking risk component overcompensated the impact of
a model change regarding an enhanced scoring mechanism for the Self-Assessment results. This model change replaced the
existing Self-Assessment process by our enhanced Risk and Control Assessment process. In Q4 2017, we have implemented
a model change concerning the consistent use of loss data in our AMA model.
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Annual Report 2017
Economic Capital
Internal Capital Adequacy
Our internal capital adequacy assessment process (ICAAP) is aimed at maintaining the viability of Deutsche Bank on an ongo-
ing basis. We assess our internal capital adequacy as the ratio of our internal capital supply divided by our internal economic
capital demand as shown in the table below. While Deutsche Bank’s ICAAP was historically based on a “gone concern ap-
proach”, the approach was changed in November 2017 to take a perspective aimed at maintaining the viability of Deutsche
Bank on an ongoing basis. As a result, the quantile used for the calculation of the internal economic capital demand has been
changed from 99.98% to 99.9% improving comparability with regulatory capital demand along with the following implications for
the internal capital supply definition: The revised internal capital supply definition excludes any Tier 1 capital instruments subject
to grandfathering and Tier 2 capital instruments. Accruals for AT1 coupons and IFRS deferred tax assets that rely on future
profitability excluding those arising from temporary differences are fully deducted. IFRS deferred tax assets arising from tempo-
rary differences are risk weighted and covered within business risk economic capital on the internal capital demand side. Previ-
ously, deferred tax assets had been fully deducted from internal capital supply. Fair value adjustments for assets reclassified
where no matched funding is available are no longer deducted from the internal capital supply.
Total capital supply and demand

in € m.
(unless stated otherwise) Dec 31, 2017 Dec 31, 2016
Capital supply
Shareholders' equity 63,174 59,833
Noncontrolling interests1 0 0
Accruals AT1 coupons (213) N/M
Gain on sale of securitizations, cash flow hedges (29) N/M
Fair value gains on own debt and debt valuation adjustments, subject to own credit risk 2 (73) (440)
Additional valuation adjustments 3 (1,204) (1,398)
Intangible assets (8,839) (8,982)
IFRS deferred tax assets excl. temporary differences 4 (3,341) N/M
IFRS deferred tax assets 4 N/M (8,666)
Expected loss shortfall (502) (297)
Defined benefit pension fund assets 5 (1,125) (945)
Holdings of own common equity tier 1 capital instruments (131) (45)
Home loans and savings protection ("Fonds zur bauspartechnischen Absicherung") (19) (231)
Other adjustments (322) N/M
Fair value adjustments for financial assets reclassified to loans 6 N/M (557)
Additional tier 1 equity instruments 7 4,675 N/M
Hybrid tier 1 capital instruments N/M 11,259
Tier 2 capital instruments N/M 8,003
Capital supply 52,051 57,534
Total economic capital requirement

Credit risk 10,769 13,105
Market risk 10,428 14,593
Operational risk 7,329 10,488
Business risk 5,677 5,098
Diversification benefit (7,074) (7,846)
Capital demand 27,129 35,438
Internal capital adequacy ratio 192 % 162 %

1 Includes noncontrolling interest up to the economic capital requirement for each subsidiary.
2 Includes deduction of fair value gains on own credit-effect relating to own liabilities designated under the fair value option as well as the debt valuation adjustments.
3 As applied in the section Capital Management.
4 Deduction-treatment of deferred tax assets arising from temporary differences was changed to inclusion in business risk economic capital demand.
5 Reported as net assets (assets minus liabilities) of a defined pension fund, i.e. applicable for overfunded pension plans.
6 Includes fair value adjustments for assets reclassified in accordance with IAS 39 and for banking book assets where no matched funding is available.
7 As per Dec 31, 2016 included under 'Hybrid Tier 1 capital instruments'
A ratio of more than 100 % signifies that the total capital supply is sufficient to cover the capital demand determined by the risk
positions. This ratio was 192 % as of December 31, 2017, compared with 162 % as of December 31, 2016. The change of the
ratio was due to the fact that capital supply decreased proportionately less than the capital demand did. The decrease in capital
demand was driven by lower economic capital requirements partly due to the change in quantile as explained in the section
“Risk Profile”. The capital supply decreased by € 5.4 billion mainly due to the new capital supply definition as per the new inter-
nal capital adequacy perspective implemented in November 2017.
The above capital adequacy measures apply to the consolidated Group as a whole (including Postbank) and form an integral
part of our risk and capital management framework.
92
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). Following the publication of the CRR/CRD 4 frame-
work, we established a leverage ratio calculation according to that framework.
Leverage Ratio according to revised CRR/CRD 4 framework
The CRR/CRD 4 framework introduced a non-risk based leverage ratio that 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. While the CRR/CRD 4 framework currently does
not provide for a mandatory minimum leverage ratio to be complied with by the relevant financial institutions, a legislative pro-
posal published by the European Commission on November 23, 2016 suggests introducing a minimum leverage ratio of 3 %.
The legislative proposal provides that the leverage ratio would apply two years after the proposal’s entry into force and remains
subject to political discussion among EU institutions.
We calculate our leverage ratio exposure on a fully loaded basis 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
amending Regulation (EU) No 575/2013. In addition, we provide the leverage ratio on a phase-in basis as displayed below in
the tables.
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 recognized
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 disclosure”
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 exposure meas-
ure is further reduced by the effective notional amount of a purchased credit derivative on the same reference name provided
certain conditions are met.
The securities financing transaction (SFT) component includes the gross receivables for SFTs, which are netted with SFT pay-
ables if specific conditions are met. In addition to the gross exposure a regulatory add-on for the counterparty credit risk is in-
cluded.
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 other on-balance sheet exposure component (excluding derivatives and SFTs) reflects the accounting values of the assets
(excluding derivatives and SFTs) as well as regulatory adjustments for asset amounts deducted in determining Tier 1 capital.
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Annual Report 2017
The following tables show the leverage ratio exposure and the leverage ratio, both on a fully loaded basis, in accordance with
the disclosure tables of the implementing technical standards (ITS) which were adopted by the European Commission via
Commission Implementing Regulation (EU) 2016/200 published in the Official Journal of the European Union on February 16,
2016. For additional information, they also contain the phase-in figures.
Summary reconciliation of accounting assets and leverage ratio exposures

in € bn. Dec 31, 2017 Dec 31, 2016
Total assets as per published financial statements 1,475 1,591
Adjustment for entities which are consolidated for accounting purposes but are outside the scope of
regulatory consolidation 5 0
Adjustments for derivative financial instruments (172) (276)
Adjustment for securities financing transactions (SFTs) 41 20
Adjustment for off-balance sheet items (i.e. conversion to credit equivalent amounts of off-balance
sheet exposures) 95 102
Other adjustments (50) (90)
Leverage ratio total exposure measure (fully loaded) 1,395 1,348
Leverage ratio total exposure measure (phase-in) 1,396 1,350
Leverage ratio common disclosure

in € bn.
(unless stated otherwise) Dec 31, 2017 Dec 31, 2016
Total derivative exposures 166 177
Total securities financing transaction exposures 158 135
Total off-balance sheet exposures 95 102
Other Assets 990 948
Asset amounts deducted in determining Tier 1 capital 1 (14) (15)
Tier 1 capital (fully loaded) 52.9 46.8

Leverage ratio total exposure measure (fully loaded) 1,395 1,348
Leverage ratio (fully loaded, in %) 3.8 3.5
Tier 1 capital (phase-in) 57.6 55.5

Leverage ratio total exposure measure (phase-in) 1,396 1,350
Leverage ratio (phase-in, in %) 4.1 4.1
1 Using a fully loaded definition of Tier 1 capital. The amount using a transitional definition of Tier 1 capital is € (13) billion and € (13) billion as of December 31, 2017 and
December 31, 2016, respectively.
Description of the factors that had an impact on the leverage ratio in 2017
As of December 31, 2017, our fully loaded CRR/CRD 4 leverage ratio was 3.8 % compared to 3.5 % as of December 31, 2016,
taking into account as of December 31, 2017 a fully loaded Tier 1 capital of € 52.9 billion over an applicable exposure measure
of € 1,395 billion (€ 46.8 billion and € 1,348 billion as of December 31, 2016, respectively).
Our CRR/CRD 4 leverage ratio according to transitional provisions was 4.1 % as of December 31, 2017 (4.1 % as of
December 31, 2016), calculated as Tier 1 capital according to transitional rules of € 57.6 billion over an applicable exposure
measure of € 1,396 billion (€ 55.5 billion and € 1,350 billion as of December 31, 2016, respectively). The exposure measure
under transitional rules is € 1 billion (€ 2 billion as of December 31, 2016) higher compared to the fully loaded exposure meas-
ure as the asset amounts deducted in determining Tier 1 capital are lower under transitional rules.
Based on recent ECB guidance, we have included pending settlements in the calculation of the leverage exposure since the
second quarter 2017 based on the asset values as recorded for financial accounting purposes, i.e., for Deutsche Bank Group
under IFRS, trade date accounting. The application of trade date accounting leads to a temporary increase of the leverage
exposure between trade date and settlement date for regular way asset purchases. The size of the reported increase was
€ 17 billion at December 31, 2017. It should be noted that under the proposed revision of the Capital Requirement Regulation
(“CRR”) as currently drafted this increase would materially reverse out once the revision becomes effective given it allows for
the offsetting of pending settlement cash payables and cash receivables for regular way purchases and sales that are settled
on a delivery-versus-payment basis.
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Annual Report 2017 Credit Risk Exposure
Following a clarification by the EBA published on January 19, 2018 we have changed the treatment of sold options which form
part of a regulatory netting set starting with the fourth quarter 2017. We no longer apply a cap at the maximum possible expo-
sure increase of the netting set that may result from the option and this leads to an increase of the add-ons for potential future
exposure for derivatives by € 15 billion.
Over the year 2017, our leverage ratio exposure increased by € 47 billion to € 1,395 billion. This is primarily driven by the
€ 41 billion increase in Other Assets which in addition to the above mentioned pending settlements also reflects the develop-
ment on our balance sheet, in particular increases in cash and central bank balances and non-derivative trading assets, partly
offset by a decrease in loans. Furthermore, there was an increase of € 23 billion in SFT exposures reflecting higher add-ons for
counterparty credit risk and the overall growth on the balance sheet in the SFT related items (securities purchased under resale
agreements and securities borrowed, under accrual and fair value accounting as well as receivables from prime brokerage).
Derivative exposures decreased by € 11 billion mainly driven by lower replacement costs; the above-mentioned increase of the
potential future exposure add-ons for sold options was largely offset by the change from the previous collateral model to a
settlement model for the interest rate swaps transacted with the London Clearing House and other reductions. In addition, off-
balance sheet exposures decreased by € 7 billion corresponding to lower notional amounts for irrevocable lending commit-
ments and contingent liabilities.
The increase of the leverage ratio exposure in 2017 includes a negative foreign exchange impact of € 82 billion mainly due to
the appreciation of the Euro against the U.S. dollar.
Our leverage ratio calculated as the ratio of total assets under IFRS to total equity under IFRS was 22 as of December 31, 2017
compared to 25 as of December 31, 2016.
For main drivers of the Tier 1 capital development please refer to section “Regulatory Capital” in this report.
Credit Risk Exposure

Counterparty credit exposure arises from our traditional non-trading lending activities which include elements such as loans and
contingent liabilities, as well as from our direct trading activity with clients in certain instruments including OTC derivatives like
foreign exchange forwards and Forward Rate Agreements. A default risk also arises from our positions in equity products and
traded credit products such as bonds.
We define our credit exposure by taking into account all transactions where losses might occur due to the fact that counterpar-
ties may not fulfill their contractual payment obligations.
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 specified.
The netting credit enhancement component includes the effects of legally enforceable netting agreements as well as the offset
of negative mark-to-markets from derivatives against pledged cash collateral. The collateral credit enhancement component
mainly includes real estate, collateral in the form of cash as well as securities-related collateral. In relation to collateral we apply
internally determined haircuts and additionally cap all collateral values at the level of the respective collateralized exposure.
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Annual Report 2017
Maximum Exposure to Credit Risk

Dec 31, 2017
Credit Enhancements
Maximum Guarantees
exposure and Credit Total credit
in € m.1 to credit risk2 Netting Collateral derivatives3 enhancements
Cash and central bank balances 225,655 − 0 − 0
Interbank balances (w/o central banks) 9,265 − 0 7 7
Central bank funds sold and securities purchased
under resale agreements 9,971 − 9,914 − 9,914
Securities borrowed 16,732 − 15,755 − 15,755
Financial assets at fair value through profit or loss 4 550,313 286,149 136,650 265 423,065
Trading assets 98,730 − 2,635 146 2,781
Positive market values from derivative financial instruments 361,032 285,421 52,797 119 338,338
Financial assets designated at fair value through
profit or loss 90,551 728 81,218 0 81,946
thereof:
Securities purchased under resale agreement 57,843 728 56,566 0 57,294
Securities borrowed 20,254 − 20,034 0 20,034
Financial assets available for sale4 47,766 − 559 0 559
Loans5 405,621 − 211,578 20,063 231,641
Securities held to maturity 3,170 − − − −
Other assets subject to credit risk 66,900 29,854 1,514 56 31,424
Financial guarantees and other credit related
contingent liabilities6 48,212 − 4,024 6,579 10,604
Irrevocable lending commitments and other
credit related commitments6 158,253 − 7,544 1,759 9,303
Maximum exposure to credit risk 1,541,858 316,003 387,538 28,730 732,271
1 All amounts at carrying value unless otherwise indicated.
2 Does not include credit derivative notional sold (€ 828,804 million) and credit derivative notional bought protection.
3 Bought credit protection is reflected with the notional of the underlying.
4 Excludes equities, other equity interests and commodities.
5 Gross loans less deferred expense/unearned income before deductions of allowance for loan losses.
6 Figures are reflected at notional amounts.
Dec 31, 2016

Credit Enhancements
Maximum Guarantees
exposure and Credit Total credit
in € m.1 to credit risk2 Netting Collateral derivatives3 enhancements
Cash and central bank balances 181,364 0 0 0 0
Interbank balances (w/o central banks) 11,606 0 0 25 25
Central bank funds sold and securities purchased
under resale agreements 16,287 0 15,944 0 15,944
Securities borrowed 20,081 0 19,193 0 19,193
Financial assets at fair value through profit or loss 4 667,411 389,475 139,274 1,241 529,990
Trading assets 95,410 0 3,601 1,007 4,607
Positive market values from derivative financial instruments 485,150 386,727 64,438 164 451,329
profit or loss 86,850 2,748 71,235 70 74,054
thereof:
Securities purchased under resale agreement 47,404 2,748 44,591 0 47,339
Securities borrowed 21,136 0 20,918 0 20,918
Financial assets available for sale4 54,275 0 560 28 589
Loans5 413,455 0 210,776 30,189 240,965
Securities held to maturity 3,206 0 0 0 0
Other assets subject to credit risk 76,036 39,567 1,061 80 40,708
Financial guarantees and other credit related
contingent liabilities6 52,341 0 5,094 8,661 13,756
credit related commitments6 166,063 0 8,251 7,454 15,705
Maximum exposure to credit risk 1,662,125 429,042 400,153 47,679 876,874
2 Does not include credit derivative notional sold (€ 744,159 million) and credit derivative notional bought protection.
3 Bought credit protection is reflected with the notional of the underlying.
The overall decrease in maximum exposure to credit risk for December 31, 2017 was driven by a € 124.1 billion decrease in
positive market values from derivative financial instruments, € 9.1 billion decrease in Other assets subject to credit risk,
€ 7.8 billion decrease in loans and € 6.5 billion decrease in financial assets available for sale, partly offset by a € 44.3 billion
increase in cash and central bank balances.
96
Included in the category of trading assets as of December 31, 2017, were traded bonds of € 87.3 billion (€ 81.3 billion as of
December 31, 2016) of which over 82 % were investment-grade (over 81 % as of December 31, 2016). The above mentioned
financial assets available for sale category primarily reflected debt securities of which more than 98 % were investment-grade
(more than 98 % as of December 31, 2016).
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 mortgages (prin-
cipally consisting of residential properties mainly in Germany) for the homogeneous retail portfolio.
Credit Quality of Financial Instruments neither Past Due nor Impaired

We derive our credit quality from internal ratings and group our exposures into classes as shown below. Please refer to section
“Measuring Credit Risk” for more details about our internal ratings.
Credit Quality of Financial Instruments neither Past Due nor Impaired

Dec 31, 2017
iCCC
1
in € m. iAAA–iAA iA iBBB iBB iB and below Total
Cash and central bank balances 219,690 3,717 1,453 597 80 118 225,655
Interbank balances (w/o central banks) 3,921 2,743 1,450 808 23 320 9,265
Central bank funds sold and securities
purchased under resale agreements 2,666 2,851 716 3,018 630 89 9,971
Securities borrowed 13,326 2,379 495 499 10 22 16,732
Financial assets at fair value through profit or loss 2 251,554 193,193 50,326 41,347 10,004 3,888 550,313
Trading assets 49,305 12,186 11,833 16,496 6,684 2,226 98,730
Positive market values from derivative financial
instruments 151,693 167,014 25,442 13,333 2,472 1,078 361,032
profit or loss 50,557 13,993 13,051 11,518 848 585 90,551
thereof:
Securities purchased under resale agreement 25,389 11,498 9,662 10,367 324 603 57,843
Financial assets available for sale2 36,235 6,658 2,592 399 57 130 46,071
Loans3 40,765 54,383 126,071 117,807 43,872 12,236 395,132
thereof:
IAS 39 reclassified loans 20 0 36 283 141 108 588
Securities held to maturity 3,170 0 0 0 0 0 3,170
Other assets subject to credit risk 16,705 25,909 8,128 14,704 754 700 66,900
Financial guarantees and other
credit related contingent liabilities4 5,108 13,899 16,165 7,882 3,434 1,723 48,212
credit related commitments4 18,643 44,388 51,021 25,652 15,286 3,264 158,253
Total 611,783 350,120 258,417 212,713 74,152 22,489 1,529,674
4
Figures are reflected at notional amounts.
97
Annual Report 2017
Dec 31, 2016

iCCC
in € m.1 iAAA–iAA iA iBBB iBB iB and below Total
Cash and central bank balances 174,978 4,241 1,778 238 81 47 181,364
Interbank balances (w/o central banks) 5,546 3,452 1,612 689 112 195 11,606
Central bank funds sold and securities
purchased under resale agreements 3,542 7,734 1,028 2,624 1,338 22 16,287
Financial assets at fair value through profit or loss 2 277,645 258,627 61,162 52,904 11,183 5,889 667,411
Trading assets 46,398 10,956 12,024 17,729 5,833 2,471 95,410
Positive market values from derivative financial
instruments 188,037 234,491 38,113 19,138 3,297 2,073 485,150
profit or loss 43,211 13,180 11,024 16,037 2,053 1,344 86,850
thereof:
Securities purchased under resale agreement 13,622 10,684 7,401 13,667 1,165 866 47,404
Financial assets available for sale2 42,808 6,616 2,106 577 72 254 52,433
Loans3 44,116 52,421 127,682 121,213 42,941 14,273 402,645
thereof:
IAS 39 reclassified loans 54 28 341 26 68 87 604
Securities held to maturity 3,206 0 0 0 0 0 3,206
Other assets subject to credit risk 26,594 25,791 9,656 13,091 630 273 76,036
Financial guarantees and other
credit related contingent liabilities4 5,699 13,712 16,753 9,663 4,477 2,038 52,341
credit related commitments4 21,479 45,635 47,480 29,274 18,173 4,022 166,063
Total 621,650 421,112 270,058 230,615 79,025 27,013 1,649,473
The overall decline in total credit exposure of € 119.8 billion for December 31, 2017 is mainly due to an decrease in positive
market value from derivative financial instruments in investment-grade rating categories, mainly in the category iA.
Main Credit Exposure Categories

The tables in this section show details about several of our main credit exposure categories, namely loans, irrevocable lending
commitments, contingent liabilities, over-the-counter (“OTC”) derivatives, traded loans, traded bonds, debt securities available
for sale and repo and repo-style transactions:
‒ “Loans” are net loans as reported on our balance sheet at amortized cost but before deduction of our allowance for loan
losses.
‒ “Irrevocable lending commitments” consist of the undrawn portion of 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, before netting and cash collateral
received.
‒ “Traded loans” are 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 this category principally covers trading book positions.
‒ “Traded bonds” include 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 this category principally covers trading book positions.
‒ “Debt securities” include debentures, bonds, deposits, notes or commercial paper, which are issued for a fixed term and
redeemable by the issuer, which we have classified as available for sale.
‒ “Repo and repo-style transactions” consist of reverse repurchase transactions, as well as securities or commodities borrow-
ing transactions before application of netting and collateral received.
98
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 as well as equity invest-
ments.
Main Credit Exposure Categories by Business Divisions

Dec 31, 2017
Irrevocable
lending Repo and
commit- Contingent OTC Traded Traded Debt repo-style
1
in € m. Loans ments2 liabilities derivatives3 Loans Bonds securities4 transactions5 Total
Corporate & Investment
Bank 137,954 141,892 45,342 30,993 10,875 83,067 2,667 99,335 552,125
Private & Commercial
Bank 267,554 16,201 2,802 422 1 0 14,421 835 302,235
Deutsche Asset
Management 87 53 16 0 0 67 39 0 262
Non-Core Operations
Unit - - - - - - - - -
Consolidation &
Adjustments 26 107 52 15 0 4,130 31,124 4,630 40,084
Total 405,621 158,253 48,212 31,430 10,876 87,264 48,251 104,800 894,707
1 Includes impaired loans amounting to € 6.2 billion as of December 31, 2017.
2 Includes irrevocable lending commitments related to consumer credit exposure of € 10.1 billion as of December 31, 2017.
3 Includes the effect of netting agreements and cash collateral received where applicable. Excludes derivatives qualifying for hedge accounting.
4
Includes debt securities on financial assets available for sale and securities held to maturity.
5 Before reflection of collateral and limited to securities purchased under resale agreements and securities borrowed.
Dec 31, 2016

Irrevocable
lending Repo and
1
Corporate & Investment
Bank 145,187 148,599 48,778 43,230 12,996 72,342 3,568 98,135 572,835
Private & Commercial
Bank 264,385 16,976 2,985 737 0 1 17,360 4,290 306,734
Deutsche Asset
Management 343 55 21 27 6 2,569 26 0 3,047
Non-Core Operations
Unit 3,133 131 434 175 191 257 0 34 4,355
Consolidation &
Adjustments 407 302 123 24 0 6,124 33,768 2,450 43,197
Total 413,455 166,063 52,341 44,193 13,193 81,293 54,722 104,909 930,169
4 Includes debt securities on financial assets available for sale and securities held to maturity.
As part of our resegmentation in 2017, Global Markets along with Corporate & Investment Banking were merged together to
form Corporate & Investment Bank as a new business segment. Similarly, Private, Wealth and Commercial Clients along with
Postbank were merged together to form Private & Commercial Bank. The divisional balances for 2017 and comparative bal-
ances for 2016 have been allocated as per the new segmentation. The activities of the Non-Core Operations Unit, including a
total credit exposure of € 4.4 billion as of December 31, 2016 were moved to Private & Commercial Bank and Corporate &
Investment Bank, in the beginning of 2017.
Our main credit exposure decreased by € 35.5 billion.
‒ From a divisional perspective, decreases in exposure are observed across all divisions. Corporate & Investment Bank de-
creased by € 20.7 billion is the main contributor to the overall decrease.
‒ From a product perspective strong exposure reductions have been observed for OTC derivatives, Loans, Irrevocable lending
commitments and Debt securities while an increase is observed for Traded Bonds.
99
Annual Report 2017
Main Credit Exposure Categories by Industry Sectors

Dec 31, 2017
Irrevocable
lending Repo and
1
Financial
intermediation 52,087 31,839 9,407 17,991 1,635 16,982 15,590 100,006 245,536
Fund management
activities 18,668 6,213 173 1,232 306 737 53 44 27,426
Manufacturing 27,569 38,450 14,893 1,347 628 1,991 294 − 85,172
Wholesale and
retail trade 19,246 10,684 5,623 413 388 501 50 − 36,905
Households 186,687 9,975 671 398 74 − − − 197,805
Commercial real
estate activities 29,180 4,343 508 1,185 2,080 1,468 1 41 38,806
Public sector 13,510 844 138 3,510 611 54,989 30,301 4,694 108,597
Other 58,674 55,904 16,799 5,353 5,154 10,596 1,963 16 154,459
Total 405,621 158,253 48,212 31,430 10,876 87,264 48,251 104,800 894,707
Dec 31, 2016

Irrevocable
lending Repo and
in € m. Loans1 ments2 liabilities derivatives3 Loans Bonds securities4 transactions5 Total
Financial
intermediation 49,630 31,296 10,189 22,554 3,115 19,580 16,452 104,095 256,911
Fund management
activities 26,062 6,843 53 1,441 115 1,322 183 59 36,077
Manufacturing 29,932 41,801 15,067 2,850 1,658 2,368 302 2 93,980
Wholesale and
retail trade 16,733 10,473 5,607 518 443 556 30 0 34,360
Households 187,862 9,936 1,267 652 105 2 0 0 199,825
Commercial real
estate activities 27,324 4,372 512 1,780 2,015 861 78 67 37,008
Public sector 15,707 1,795 189 6,457 629 47,265 35,515 480 108,037
Other 60,206 59,548 19,456 7,941 5,114 9,339 2,162 205 163,972
Total 413,455 166,063 52,341 44,193 13,193 81,293 54,722 104,909 930,169
The above table gives an overview of our credit exposure by industry, allocated based on the NACE code of the counterparty.
NACE (Nomenclature des Activités Économiques dans la Communauté Européenne) is a European industry standard classifi-
cation system.
From an industry classification perspective, our credit exposure is lower compared with last year mainly due to a decrease in
Financial Intermediation by € 11.4 billion, Other sectors by € 9.5 billion, Manufacturing sector by € 8.8 billion and Fund man-
agement activities by € 8.7 billion, driven by lower OTC derivatives, Loans and Irrevocable lending commitments.
Loan exposures to the industry sectors Financial Intermediation, Manufacturing and Public sector comprise predominantly
investment-grade loans. 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-specific concentration.
Material transactions, such as loans underwritten with the intention to syndicate, are subject to review by senior credit risk man-
agement professionals and (depending upon size) an underwriting credit committee and/or the Management Board. High em-
phasis is placed on structuring such transactions so that de-risking is achieved in a timely and cost effective manner. Exposures
within these categories are mostly to good quality borrowers and also subject to further risk mitigation as outlined in the descrip-
tion of our Credit Portfolio Strategies Group’s activities.
100
Our household loans exposure amounting to € 186.7 billion as of December 31, 2017 (€ 187.9 billion as of December 2016) is
principally associated with our Private & Commercial Bank portfolios. € 150.2 billion (80 %) of the portfolio comprises mortgages,
of which € 121.4 billion are held in Germany. The remaining exposures (€ 36.5 billion, 20 %) are predominantly Consumer and
small business financing related. 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 principally the financing of owner-occupied properties sold by various business channels in Europe, pri-
marily in Germany but also in Spain, Italy and Poland, with exposure normally not exceeding real estate value. Consumer fi-
nance is divided into personal instalment loans, credit lines and credit cards. Various lending requirements are stipulated,
including (but not limited to) maximum loan amounts and maximum tenors and are adapted to regional conditions and/or cir-
cumstances of the borrower (i.e., for consumer loans a maximum loan amount taking into account household net income).
Interest rates are mostly fixed over a certain period of time, especially in Germany. Second lien loans are not actively pursued.
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.
Consumer finance loan risk depends on client quality. Given that they are uncollateralized, compared with mortgages they are
also smaller in value and are extended for shorter time. Based on our underwriting criteria and processes, diversified portfolio
(customers/properties) and low loan-to-value (LTV) ratios, the mortgage portfolio is categorized as lower risk and consumer
finance as medium risk.
Our commercial real estate loans, primarily in the U.S. and Europe, are generally secured by first mortgages on the underlying
real estate property. 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 se-
cured loans by a valuation team (part of the independent Credit Risk Management function) which is also responsible for re-
viewing and challenging the reported real estate values regularly.
The Commercial Real Estate Group only in exceptional cases retains mezzanine or other junior tranches of debt (although we
do underwrite mezzanine loans). Loans originated for distribution are carefully monitored under a pipeline limit. Securitized loan
positions are entirely sold (except where regulation requires retention of economic risk), while we frequently retain a portion of
syndicated bank loans. This hold portfolio, which is held at amortized cost, is also subject to the aforementioned principles and
policy guidelines. We also participate in conservatively underwritten unsecured lines of credit to well-capitalized real estate
investment trusts and other public companies, which are generally investment-grade. We provide both fixed rate (generally
securitized product) and floating rate loans, with interest rate exposure subject to hedging arrangements. In addition, sub-
performing and non-performing loans and pools of loans are acquired from other financial institutions at generally substantial
discounts to both the notional amounts and current collateral values. The underwriting process for these is stringent and the
exposure is managed under separate portfolio limits. Commercial real estate property valuations and rental incomes can be
significantly impacted by macro-economic conditions and underlying properties to idiosyncratic events. Accordingly, the portfolio
is categorized as higher risk and hence subject to the aforementioned tight restrictions on concentration.
The category Other loans, with exposure of € 58.7 billion as of December 31, 2017 (€ 60.2 billion as of December 31, 2016)
relates to numerous smaller industry sectors with no individual sector greater than 7 % of total loans.
Our credit exposure to our ten largest counterparties accounted for 8 % of our aggregated total credit exposure in these catego-
ries as of December 31, 2017 compared with 7 % as of December 31, 2016. Our top ten counterparty exposures were with
well-rated counterparties or otherwise related to structured trades which show high levels of risk mitigation.
The statement on focus industries below follows the Credit Risk Management view on industries, which can differ from the
allocation on the basis of NACE codes.
101
Annual Report 2017
Our credit exposure to the focus industry “Shipping & other maritime” accounts for approximately € 4.8 billion of which € 3.7
billion pertains to vessel financings. The difference consists of other maritime (e.g. port facilities, yards). The reduction of the
vessel financing related exposure by more than € 1 billion in 2017 demonstrates the Bank’s applied discipline to reduce expo-
sure to this higher risk industry as well as the impact of the weakening of the US Dollar versus the Euro. Over a number of
years, the shipping industry has suffered from persistent low earnings in oversupplied markets. Demand is driven by the mac-
roeconomic environment and affected by geopolitical tensions and oil price movements. Container and dry bulk transportation
segments were most severely impacted in 2016 and have experienced slightly improved freight rates in 2017 driven by signifi-
cant scrapping and moderate new building activity. The tanker segment faced very high levels of scheduled deliveries for 2017
and 2018, which caused freight rates to fall notably in early 2017 from 2016 levels. Overall freight rates have now stabilized at
the lower levels. Ongoing new building activity on global markets, which is occurring to an unknown extent, for example in Chi-
na, poses a threat for further market developments. Any significant improvement in charter rates and subsequent asset values
is not expected in the short term. A high portion of the portfolio is non-investment-grade rated in reflection of the prolonged
challenging market conditions over recent years. A net provision for credit losses of € 198 million before a release of provision
for collectively assessed non-impaired loans was booked for the shipping industry portfolio in 2017.
The “Oil & Gas” and “Metals, Mining & Steel” industries both benefitted from recovering commodity prices in 2017. As of
December 31, 2017, our loan exposure to the “Oil & Gas” industry is approximately € 7 billion and our loan exposure to the
“Metals, Mining and Steel” industry is approximately € 4 billion. Overall, provisions for credit losses were lower than in 2016 for
both industries.
Main credit exposure categories by geographical region

Dec 31, 2017
Irrevocable
lending Repo and
1
Europe 299,937 65,739 27,574 18,353 3,149 33,120 35,304 26,648 509,825
thereof:
Germany 199,867 27,483 10,739 1,661 146 4,912 12,414 3,421 260,644
United Kingdom 6,895 5,748 1,514 5,849 190 9,668 864 10,123 40,851
France 2,651 8,265 1,266 1,231 242 3,096 3,597 3,442 23,788
Luxembourg 15,983 2,858 484 1,102 247 1,017 6,142 711 28,544
Italy 21,836 1,642 3,657 1,750 497 4,167 642 820 35,012
Netherlands 8,304 6,498 1,627 2,292 493 2,022 2,793 82 24,112
Spain 13,250 1,866 3,046 704 227 2,188 946 987 23,213
Ireland 4,415 1,843 481 972 272 1,022 655 2,673 12,333
Switzerland 6,922 2,324 2,488 313 65 644 163 416 13,336
Poland 7,871 807 234 26 36 296 1,820 0 11,089
Belgium 1,177 1,280 405 352 12 601 1,574 0 5,401
Other Europe 10,765 5,124 1,633 2,099 723 3,486 3,696 3,975 31,500
North America 64,086 85,358 10,031 10,015 5,129 31,636 10,986 56,776 274,017
thereof:
U.S. 53,795 80,776 9,489 8,036 4,750 29,972 10,623 44,659 242,101
Cayman Islands 2,312 1,951 52 700 103 1,041 17 9,162 15,336
Canada 838 1,564 110 1,092 87 272 346 1,688 5,996
Other North America 7,141 1,068 380 187 190 351 0 1,267 10,584
Asia/Pacific 34,469 4,447 8,967 2,254 1,735 20,319 1,025 19,909 93,126
thereof:
Japan 1,093 276 349 366 66 4,760 15 10,354 17,278
Australia 1,477 1,076 128 277 310 3,716 588 1,453 9,026
India 7,034 717 1,645 219 86 3,973 0 1,517 15,191
China 4,393 378 1,195 263 2 836 0 3,130 10,198
Singapore 4,946 419 794 177 75 927 0 220 7,559
Hong Kong 4,224 385 598 144 551 399 2 45 6,348
Other Asia/Pacific 11,300 1,197 4,259 808 644 5,707 419 3,190 27,526
Other geographical areas 7,130 2,708 1,639 808 862 2,190 936 1,466 17,739
Total 405,621 158,253 48,212 31,430 10,876 87,264 48,251 104,800 894,707
4
102
Dec 31, 20166

Irrevocable
lending Repo and
1
Europe 303,329 65,926 28,747 25,944 4,157 23,924 41,438 24,418 517,881
thereof:
Germany 197,368 27,954 11,511 2,636 236 3,070 12,970 5,571 261,316
United Kingdom 7,942 7,331 1,422 7,925 519 4,224 1,929 9,327 40,620
France 2,703 5,854 1,373 1,436 216 2,255 4,866 1,830 20,534
Luxembourg 19,312 2,998 575 1,521 330 1,228 7,179 372 33,515
Italy 21,374 1,462 3,607 3,183 444 2,195 279 1,808 34,351
Netherlands 8,934 6,370 1,749 3,270 224 2,164 4,143 474 27,328
Spain 13,196 1,785 3,045 671 361 1,451 756 674 21,939
Ireland 5,113 1,742 465 1,525 305 1,251 746 1,216 12,364
Switzerland 7,350 2,285 2,044 243 162 1,134 186 230 13,635
Poland 7,402 702 208 65 6 281 1,542 0 10,205
Belgium 1,581 1,423 399 481 5 424 2,520 80 6,914
Other Europe 11,055 6,018 2,349 2,988 1,347 4,248 4,322 2,836 35,162
North America 69,921 92,699 12,013 12,162 6,471 36,332 11,444 61,771 302,814
thereof:
U.S. 56,567 87,503 11,336 9,307 6,181 30,961 10,843 47,528 260,225
Cayman Islands 2,993 1,045 86 725 37 1,215 24 11,679 17,804
Canada 2,247 2,288 163 1,723 112 628 249 95 7,505
Other North America 8,115 1,863 428 406 142 3,528 328 2,470 17,279
Asia/Pacific 31,644 5,782 9,958 4,753 1,606 18,525 1,425 17,515 91,208
thereof:
Japan 888 299 350 941 95 3,932 17 9,002 15,522
Australia 1,259 1,142 166 445 143 3,357 949 1,157 8,619
India 7,589 371 1,735 537 8 3,148 0 1,578 14,966
China 2,953 722 1,113 446 11 687 0 1,945 7,877
Singapore 3,885 434 807 142 419 1,528 1 280 7,497
Hong Kong 2,405 944 566 407 174 343 0 64 4,903
Other Asia/Pacific 12,664 1,869 5,221 1,834 757 5,531 458 3,490 31,824
Other geographical areas 8,561 1,655 1,624 1,334 960 2,513 414 1,204 18,266
Total 413,455 166,063 52,341 44,193 13,193 81,293 54,722 104,909 930,169
4
6
Comparatives have been restated to reflect the changes in the reported geographical areas.
The above table gives 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”.
Our largest concentration of credit risk within loans from a regional perspective is in our home market Germany, with a signifi-
cant share in households, which includes the majority of our mortgage lending 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. From the industry classification perspective, exposures from OTC derivative as
well as repo and repo-style transactions have a significant share in highly rated Financial Intermediation companies. For trada-
ble assets, a large proportion of exposure is also with Public Sector companies.
As of December 31, 2017, our loan book decreased to € 405.6 billion (compared to € 413.5 billion as of December 31, 2016)
mainly as a result of lower levels of exposures in Luxembourg and the United States. Our Fund Management activities, house-
hold and manufacturing loan books experienced the largest decreases. The decrease in loans in Western Europe and United
States was primarily due to reduced loan balances across businesses as well as by a strengthening of the Euro in comparison
to the US dollar. Traded bonds increased by € 6.0 billion mainly in Europe region driven by an increased client activity and an
increased bond positions in EU rates business. Debt securities reduced by € 6.5 billion majorly in the United Kingdom and the
Netherlands mainly due to sale of available for sale bonds.
103
Annual Report 2017
Credit Exposure to Certain Eurozone Countries

Certain Eurozone countries are presented within the table below due to concerns 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 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 and credit deriva-
tives in relation to our correlation business which, by design, is 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 identi-
cal 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
Sovereign Financial Institutions Corporates Retail Other Total
Dec 31, Dec 31, Dec 31, Dec 31, Dec 31, Dec 31, Dec 31, Dec 31, Dec 31, Dec 31, Dec 31, Dec 31,
in € m. 2017 2016 2017 2016 2017 2016 2017 2016 2017 2016 20171 2016
Greece
Gross 55 89 734 743 526 986 5 6 − 0 1,320 1,824
Undrawn − 0 30 31 5 21 − 0 − 0 36 52
Net 38 83 270 258 8 15 1 1 − 0 317 357
Ireland
Gross 865 826 927 908 7,556 9,280 31 31 2,275 2 3,263 2 11,654 14,308
Undrawn − 0 4 42 2,005 2,000 − 1 316 2 172 2 2,326 2,214
Net 717 569 477 352 4,420 5,374 6 5 2,275 2 3,459 2 7,895 9,759
Italy
Gross 2,875 2,735 3,338 3,051 12,050 10,591 16,489 17,122 147 358 34,898 33,857
Undrawn 13 32 28 74 5,162 4,730 96 208 − 26 5,300 5,069
Net 1,015 438 672 920 8,202 7,514 7,633 7,288 146 344 17,669 16,504
Portugal
Gross (227) 61 185 127 1,329 1,424 1,757 1,674 80 65 3,123 3,352
Undrawn − 0 75 12 374 232 24 12 − 0 474 256
Net (223) 79 115 73 893 1,205 134 143 80 65 998 1,564
Spain
Gross 1,672 1,325 1,301 1,947 9,106 8,340 9,570 9,770 128 112 21,777 21,493
Undrawn − 0 225 261 4,583 4,310 259 283 − 3 5,068 4,858
Net 1,554 1,195 552 971 7,113 6,643 2,117 1,935 128 265 11,464 11,009
Total gross 5,240 5,037 6,485 6,776 30,566 30,621 27,851 28,603 2,629 3,797 72,771 74,835
Total undrawn 14 33 364 419 12,130 11,292 380 504 316 202 13,203 12,449
Total net3 3,102 2,364 2,086 2,574 20,637 20,751 9,891 9,371 2,629 4,133 38,344 39,194
1 Approximately 71 % of the overall exposure as per December 31, 2017 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 € 64.6 million as of December 31, 2017 and € 281 million as of December 31, 2016.
Total net exposure to the above selected Eurozone countries decreased by € 850 million in 2017 driven by decreased exposure
in Ireland and Portugal, partly offset by an increase in Italy and Spain.
104
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

Dec 31, 2017 Dec 31, 2016
Memo Item: Net Memo Item: Net
Direct Net Notional of fair value of CDS Direct Net Notional of fair value of CDS
Sovereign CDS referencing Net sovereign referencing Sovereign CDS referencing Net sovereign referencing
in € m. exposure 1 sovereign debt exposure sovereign debt2 exposure 1 sovereign debt exposure sovereign debt2
Greece 55 (17) 38 0 89 (6) 83 2
Ireland 709 9 717 0 569 0 569 74
Italy 2,834 (1,818) 1,016 49 2,662 (2,223) 438 398
Portugal (227) 3 (223) 0 61 17 79 (8)
Spain 1,669 (115) 1,554 35 1,322 (127) 1,195 279
Total 5,040 (1,938) 3,102 84 4,703 (2,339) 2,364 744
1 Includes sovereign debt classified as financial assets/liabilities at fair value through profit or loss, available for sale 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 € 738 million in net sovereign exposure compared with year-end 2016 mainly reflects increases in debt securi-
ties in Italy and Spain.
The above represents direct sovereign exposure included the carrying value of loans held at amortized cost to sovereigns,
which as of December 31, 2017, amounted to € 225 million for Italy and € 427 million for Spain and as of December 31, 2016
amounted to € 261 million for Italy and € 401 million for Spain.
Credit Exposure Classification

We also classify our credit exposure under two broad headings: consumer credit exposure and corporate credit exposure.
‒ Our consumer credit exposure consists of our smaller-balance standardized homogeneous loans, primarily in Germany, Italy
and Spain, which include personal loans, residential and non-residential mortgage loans, overdrafts and loans to self-
employed and small business customers of our private and retail business.
‒ Our corporate credit exposure consists of all exposures not defined as consumer credit exposure.
Corporate Credit Exposure

The tables below show our Corporate 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 credit exposure categories according to our internal creditworthiness categories of our counterparties – gross
in € m.
(unless stated otherwise) Dec 31, 2017
Irrevocable
Probability lending Contingent OTC
Rating band of default in %1 Loans commitments2 liabilities derivatives3 Debt securities4 Total
iAAA–iAA > 0.00 ≤ 0.04 38,743 18,643 5,108 13,025 39,405 114,924
iA > 0.04 ≤ 0.11 39,428 44,388 13,899 8,416 6,277 112,407
iBBB > 0.11 ≤ 0.5 56,245 51,021 16,165 5,204 2,174 130,809
iBB > 0.5 ≤ 2.27 41,888 25,652 7,882 3,390 371 79,183
iB > 2.27 ≤ 10.22 23,556 15,286 3,434 1,174 5 43,456
iCCC and below > 10.22 ≤ 100 13,688 3,264 1,723 220 19 18,913
Total 213,547 158,253 48,212 31,430 48,251 499,693
1 Reflects the probability of default for a one year time horizon.
3 Includes the effect of netting agreements and cash collateral received where applicable.
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Annual Report 2017
in € m.
Irrevocable
Rating band of default in %1 Loans commitments2 liabilities derivatives3 Debt securities4 Total
iAAA–iAA > 0.00 ≤ 0.04 43,149 21,479 5,699 16,408 46,014 132,749
iA > 0.04 ≤ 0.11 39,734 45,635 13,712 12,566 6,616 118,264
iBBB > 0.11 ≤ 0.5 57,287 47,480 16,753 8,300 1,696 131,515
iBB > 0.5 ≤ 2.27 46,496 29,274 9,663 5,333 366 91,132
iB > 2.27 ≤ 10.22 22,920 18,173 4,477 1,053 9 46,631
iCCC and below > 10.22 ≤ 100 15,069 4,022 2,038 533 21 21,683
Total 224,655 166,063 52,341 44,193 54,722 541,974
2
Includes irrevocable lending commitments related to consumer credit exposure of € 10.3 billion as of December 31, 2016.
3
Includes the effect of netting agreements and cash collateral received where applicable.
4
The above table shows an overall decrease in our corporate credit exposure in 2017 of € 42.3 billion or 7.8 %. Loans decreased
by € 11.1 billion, mainly attributable to Luxembourg and the United States. The decrease is primarily due to reduced loan bal-
ance across businesses as well as by a strengthening of the Euro in comparison to the US Dollar. Debt securities decreased by
€ 6.5 billion, almost entirely related to the top rating band and mainly due to sale of debt securities available for sale. The de-
crease in irrevocable lending commitments of € 7.8 billion was primarily attributable to North America and Asia/Pacific. The
quality of the corporate credit exposure before risk mitigation is at 72 % share of investment-grade rated exposures as of De-
cember 2017 compared to 71% as of December 31, 2016.
We use risk mitigation techniques as described above to optimize our corporate credit exposure and reduce potential credit
losses. The tables below disclose the development of our corporate credit exposure net of collateral, guarantees and hedges.
Main corporate credit exposure categories according to our internal creditworthiness categories of our counterparties – net
in € m.
Irrevocable
Rating band of default in %2 Loans commitments liabilities derivatives Debt securities Total
iAAA–iAA > 0.00 ≤ 0.04 27,580 18,281 4,272 7,370 39,405 96,907
iA > 0.04 ≤ 0.11 25,355 42,104 11,882 6,528 6,277 92,146
iBBB > 0.11 ≤ 0.5 32,131 49,095 13,461 4,490 2,174 101,351
iBB > 0.5 ≤ 2.27 18,845 24,056 5,267 2,506 371 51,046
iB > 2.27 ≤ 10.22 8,306 14,130 2,097 1,106 5 25,645
iCCC and below > 10.22 ≤ 100 4,157 2,540 629 216 15 7,557
Total 116,374 150,206 37,608 22,216 48,247 374,652
1 Net of eligible collateral, guarantees and hedges based on IFRS requirements.
in € m.
Irrevocable
Rating band of default in %2 Loans commitments liabilities derivatives Debt securities Total
iAAA–iAA > 0.00 ≤ 0.04 32,305 19,653 4,351 10,480 46,014 112,802
iA > 0.04 ≤ 0.11 24,970 41,435 11,393 10,032 6,616 94,448
iBBB > 0.11 ≤ 0.5 28,369 43,659 13,845 7,439 1,672 94,984
iBB > 0.5 ≤ 2.27 19,573 27,206 5,932 4,034 361 57,105
iB > 2.27 ≤ 10.22 8,090 16,745 2,176 1,020 9 28,041
iCCC and below > 10.22 ≤ 100 5,954 2,872 889 509 21 10,246
Total 119,261 151,571 38,586 33,514 54,694 397,626
1 Net of eligible collateral, guarantees and hedges based on IFRS requirements.
The corporate credit exposure net of collateral amounted to € 374.7 billion as of December 31, 2017 reflecting a risk mitigation
of 25 % or € 125.0 billion compared to the corporate gross exposure. This includes a more significant reduction of 46 % for our
loans exposure which includes a reduction by 60 % for the lower rated sub-investment-grade rated loans and 37 % for the
higher-rated investment-grade rated loans. The risk mitigation for the total exposure in the weakest rating band was 60 %,
which was significantly higher than 16 % in the strongest rating band.
The risk mitigation of € 125.0 billion is split into 20 % guarantees and hedges and 80 % other collateral.
106
CPSG Risk Mitigation for the Corporate Credit Exposure

Our Credit Portfolio Strategies Group (“CPSG”) helps mitigate the risk of our corporate credit exposures. The notional amount of
CPSG’s risk reduction activities decreased from € 43.3 billion as of December 31, 2016, to € 32.7 billion as of December 31,
2017. The notional of risk reduction activities reduced across the course of 2017 following Management Board approval granted
in 2016 to increase the Group’s risk appetite for Investment Grade exposures.
As of year-end 2017, CPSG mitigated the credit risk of € 32 billion of loans and lending-related commitments as of Decem-
ber 31, 2017, through synthetic collateralized loan obligations supported predominantly by financial guarantees. This position
totaled € 42.2 billion as of December 31, 2016.
CPSG also held credit derivatives with an underlying notional amount of € 0.7 billion. The position totaled € 1.1 billion as of
December 31, 2016. The credit derivatives used for our portfolio management activities are accounted for at fair value.
CPSG has elected to use the fair value option under IAS 39 to report loans and commitments at fair value, provided the criteria
for this option are met. The notional amount of CPSG loans and commitments reported at fair value decreased during the year
to € 2.8 billion as of December 31, 2017, from € 3.9 billion as of December 31, 2016.
Consumer Credit Exposure

In our consumer credit exposure we monitor consumer loan delinquencies in terms of loans that are 90 days or more past due
and net credit costs, which are the annualized net provisions charged after recoveries.
Consumer credit exposure, consumer loan delinquencies and net credit costs
90 days or more past due Net credit costs
Total exposure in € m.1 as a % of total exposure1 as a % of total exposure2
Dec 31, 2017 Dec 31, 2016 Dec 31, 2017 Dec 31, 2016 Dec 31, 2017 Dec 31, 2016
Consumer credit exposure Germany: 153,728 150,639 0.73 0.75 0.12 0.13
Consumer and small business financing 21,224 20,316 2.96 2.45 1.07 0.99
Mortgage lending 132,505 130,323 0.37 0.48 -0.03 0.00
Consumer credit exposure outside Germany 38,345 38,162 3.77 4.22 0.39 0.68
Consumer and small business financing 15,298 13,663 6.54 8.44 0.78 0.98
Mortgage lending 23,047 24,499 1.93 1.87 0.12 0.51
Total consumer credit exposure 192,074 188,801 1.34 1.45 0.17 0.24
1 Includes impaired loans amounting to € 2.8 billion as of December 31, 2017 and € 3.1 billion as of December 31, 2016.
2 Net credit costs for the twelve months period ended at the respective balance sheet date divided by the exposure at that balance sheet date.
The volume of our consumer credit exposure increased from year-end 2016 to December 31, 2017 by € 3.3 billion, or 1.7 %,
driven by our loan books in Germany, which increased by € 3.1 billion and in India, which increased by € 239 million. Our loan
book in Spain decreased by € 116 million and in Italy by € 111 million, which were partially driven by non-performing loan sales.
The 90 days or more past due ratio of our consumer credit exposure decreased from 1.45 % as of year-end 2016 to 1.34 % as
of December 31, 2017. The total net credit costs as a percentage of our consumer credit exposure decreased from 0.24 % as of
year-end 2016 to 0.17 % as of December 31, 2017. This ratio was positively affected by the further improved and stabilized
environment in countries in which we operate and by non-performing loan sales in Spain and Italy.
Consumer mortgage lending exposure grouped by loan-to-value buckets 1

Dec 31, 2017 Dec 31, 2016
≤ 50 % 68 % 68 %
> 50 ≤ 70 % 16 % 16 %
> 70 ≤ 90 % 9% 9%
> 90 ≤ 100 % 3% 3%
> 100 ≤ 110 % 2% 2%
> 110 ≤ 130 % 1% 1%
> 130 % 1% 1%
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
value.
The LTV expresses the amount of exposure as a percentage of assessed value of real estate.
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Annual Report 2017
Our LTV ratios are calculated using the total exposure divided by the current assessed value of the respective properties.
These values are updated 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 corresponding 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 credi-
tor’s creditworthiness is. Nevertheless, restrictions of LTV apply for countries with negative economic outlook or expected de-
clines of real estate values.
As of December 31, 2017, 68 % of our exposure related to the mortgage lending portfolio had a LTV ratio below or equal to
50 %, unchanged to the previous 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,
exchange 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 introduced in 2013 mandatory OTC clearing in
the United States for certain standardized OTC derivative transactions, including certain interest rate swaps and index credit
default swaps. The European Regulation (EU) No 648/2012 on OTC Derivatives, Central Counterparties and Trade Reposito-
ries (“EMIR”) introduced a number of risk mitigation techniques for non-centrally cleared OTC derivatives in 2013 and the re-
porting of OTC and exchange traded derivatives in 2014. Mandatory clearing for certain standardized OTC derivatives
transactions in the EU began in June 2016, and margin requirements for uncleared OTC derivative transactions in the EU start-
ed 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 uncleared derivatives requirements. All other in-
scope entities followed the variation margin requirements from March 1, 2017. Initial margin requirements are subject to a
phased implementation schedule which will be fully applied by September 2020.
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 2017 compliance schedule, covering identified instruments denominated in AUD, CAD, HKD,
NOK, PLN, and SEK. In December 2016, also pursuant to the Dodd-Frank Act, the CFTC re-proposed regulations to impose
position limits on certain commodities and economically equivalent swaps, futures and options. This proposal has not yet been
finalized. The Securities and Exchange Commission (“SEC”) has also finalized rules regarding registration, business conduct
standards and trade acknowledgement and verification requirements for security- based swap dealers and major security-
based swap participants, although these rules will not come into effect until the SEC completes further security-based swap
rulemakings. 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 re-
quirements for non-cleared swaps and security-based swaps, and the CFTC has adopted final rules establishing margin re-
quirements for non-cleared swaps. The final margin rules follow a phased implementation schedule, with certain initial margin
and variation margin requirements in effect as of September 2016, additional variation margin requirements in effect as of
March 1, 2017 for all covered counterparties. Deutsche Bank implemented the exchange of both initial and variation margin for
uncleared 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 phased in on an annual
basis from September 2017 through September 2020, with the relevant compliance dates depending in each case on the
transactional volume of the parties and their affiliates.
108
The following table shows a breakdown of notional amounts and gross market value of derivative transactions along with a
breakdown of notional amounts of OTC derivative assets and liabilities on the basis of clearing channel.
Notional amounts of derivatives on basis of clearing channel and type of derivative

Dec 31, 2017
Notional amount maturity distribution
Positive Negative Net
> 1 and market market market
in € m. Within 1 year ≤ 5 years After 5 years Total value value value
Interest rate related:
OTC 18,389,853 9,644,152 5,862,868 33,896,874 224,783 202,492 22,291
Bilateral (Amt) 2,231,176 2,624,101 1,989,543 6,844,820 200,520 177,989 22,532
CCP (Amt) 16,158,677 7,020,051 3,873,326 27,052,054 24,262 24,503 (241)
Exchange-traded 4,100,955 1,379,528 155 5,480,638 250 275 (25)
Total Interest rate related 22,490,809 11,023,680 5,863,023 39,377,512 225,033 202,767 22,266
Currency related:
OTC 4,265,081 1,036,897 470,541 5,772,518 82,392 75,535 6,858
Bilateral (Amt) 4,209,509 1,036,536 470,541 5,716,586 81,597 74,823 6,774
CCP (Amt) 55,572 361 0 55,932 795 712 83
Exchange-traded 48,252 0 0 48,252 19 18 1
Total Currency related 4,313,333 1,036,897 470,541 5,820,771 82,411 75,553 6,859
Equity/index related:
OTC 301,662 156,272 19,248 477,182 18,201 23,010 (4,810)
Bilateral (Amt) 301,662 156,272 19,248 477,182 18,201 23,010 (4,810)
CCP (Amt) 0 0 0 0 0 0 0
Exchange-traded 732,870 107,631 5,398 845,900 9,986 12,708 (2,722)
Total Equity/index related 1,034,533 263,903 24,647 1,323,082 28,187 35,718 (7,531)
Credit derivatives related
OTC 209,376 1,321,066 153,867 1,684,309 28,317 27,888 429
Bilateral (Amt) 91,919 204,583 49,442 345,944 5,363 4,779 584
CCP (Amt) 117,457 1,116,482 104,426 1,338,365 22,954 23,108 (154)
Exchange-traded 0 0 0 0 0 0 0
Total Credit derivatives related 209,376 1,321,066 153,867 1,684,309 28,317 27,888 429
Commodity related:
OTC 3,431 995 2,015 6,441 35 1,485 (1,449)
Bilateral (Amt) 3,431 995 2,015 6,441 35 1,485 (1,449)
CCP (Amt) 0 0 0 0 0 0 0
Exchange-traded 39,955 4,163 0 44,119 187 214 (27)
Total Commodity related 43,386 5,158 2,015 50,560 222 1,699 (1,476)
Other:
OTC 3,744 765 0 4,509 9 371 (362)
Bilateral (Amt) 3,744 765 0 4,509 9 371 (362)
CCP (Amt) 0 0 0 0 0 0 0
Exchange-traded 5,196 1 0 5,197 5 26 (20)
Total Other 8,940 766 0 9,706 14 397 (382)
Total OTC business 23,173,146 12,160,146 6,508,540 41,841,833 353,737 330,780 22,957
Total bilateral business 6,841,441 4,023,253 2,530,789 13,395,482 305,726 282,457 23,269
Total CCP business 16,331,705 8,136,894 3,977,751 28,446,351 48,012 48,324 (312)
Total exchange-traded business 4,927,230 1,491,323 5,553 6,424,106 10,447 13,240 (2,793)
Total 28,100,376 13,651,470 6,514,093 48,265,939 364,185 344,020 20,164
Positive market values after netting
and cash collateral received 0 0 0 0 32,083 0 0
109
Annual Report 2017
Dec 31, 2016

Notional amount maturity distribution
Positive Negative Net
> 1 and market market market
in € m. Within 1 year ≤ 5 years After 5 years Total value value value
Interest rate related:
OTC 13,214,990 8,828,544 6,102,510 28,146,044 309,405 284,954 24,451
Bilateral (Amt) 2,777,349 3,625,915 2,645,075 9,048,340 272,059 248,396 23,664
CCP (Amt) 10,437,641 5,202,629 3,457,434 19,097,704 37,346 36,558 787
Exchange-traded 5,013,591 1,387,444 1,174 6,402,209 326 394 (68)
Total Interest rate related 18,228,581 10,215,988 6,103,684 34,548,253 309,731 285,348 24,382
Currency related:
OTC 3,994,113 1,053,558 537,044 5,584,715 129,731 126,480 3,251
Bilateral (Amt) 3,938,295 1,053,434 537,044 5,528,773 129,288 126,049 3,239
CCP (Amt) 55,818 124 0 55,942 443 431 12
Exchange-traded 29,431 398 35 29,864 6 54 (48)
Total Currency related 4,023,544 1,053,956 537,078 5,614,579 129,738 126,534 3,203
Equity/index related:
OTC 366,170 168,529 25,313 560,012 20,358 23,692 (3,334)
Bilateral (Amt) 366,170 168,529 25,313 560,012 20,358 23,692 (3,334)
CCP (Amt) 0 0 0 0 0 0 0
Exchange-traded 472,888 74,045 9,006 555,939 6,172 8,575 (2,402)
Total Equity/index related 839,058 242,574 34,319 1,115,951 26,531 32,266 (5,736)
Credit derivatives related
OTC 297,563 1,076,954 142,572 1,517,089 21,297 22,399 (1,102)
Bilateral (Amt) 157,950 298,313 58,852 515,115 7,426 8,238 (811)
CCP (Amt) 139,613 778,640 83,720 1,001,974 13,870 14,161 (291)
Exchange-traded 0 0 0 0 0 0 0
Total Credit derivatives related 297,563 1,076,954 142,572 1,517,089 21,297 22,399 (1,102)
Commodity related:
OTC 2,660 1,657 9,222 13,539 479 653 (175)
Bilateral (Amt) 2,660 1,657 9,222 13,539 479 653 (175)
CCP (Amt) 0 0 0 0 0 0 0
Exchange-traded 53,757 8,766 0 62,523 440 503 (63)
Total Commodity related 56,417 10,423 9,222 76,062 918 1,156 (238)
Other:
OTC 13,994 6,856 98 20,948 443 719 (276)
Bilateral (Amt) 13,963 6,856 98 20,917 433 698 (265)
CCP (Amt) 31 0 0 31 10 21 (11)
Exchange-traded 4,929 0 0 4,929 10 29 (18)
Total Other 18,923 6,856 98 25,877 453 747 (295)
Total OTC business 17,889,490 11,136,098 6,816,759 35,842,347 481,712 458,897 22,816
Total bilateral business 7,256,387 5,154,704 3,275,604 15,686,696 430,043 407,725 22,318
Total CCP business 10,633,102 5,981,394 3,541,155 20,155,651 51,669 51,172 497
Total exchange-traded business 5,574,597 1,470,653 10,214 7,055,464 6,954 9,555 (2,600)
Total 23,464,086 12,606,751 6,826,973 42,897,811 488,667 468,451 20,215
Positive market values after netting
and cash collateral received 0 0 0 0 44,784 0 0
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. Dec 31, 2017 Dec 31, 2016
Trading Equities 85,932 75,633
Nontrading Equities1 2,496 2,979
Total Equity Exposure 88,427 78,613
1 Includes equity investment funds amounting to € 367 million as of December 31, 2017 and € 288 million as of December 31, 2016.
As of December 31, 2017, our Trading Equities exposure was mainly composed of € 84.8 billion from Corporate & Investment
Bank activities and € 1.2 billion from the Deutsche Asset Management business. Overall trading equities increased by
€ 10.3 billion year on year driven mainly by increased exposure in Corporate & Investment Bank activities.
110
Annual Report 2017 Asset Quality
Asset Quality
This section describes the asset quality of our loans. All loans where known information about possible credit problems of bor-
rowers causes our management to have serious doubts as to the collectability of the borrower’s contractual obligations are
included in this section.
Overview of performing, renegotiated, past due and impaired loans by customer groups
Dec 31, 2017 Dec 31, 2016
Corporate Consumer Corporate Consumer
in € m. loans loans Total loans loans Total
Loans neither past due, nor renegotiated
or impaired 208,457 185,979 394,436 219,106 182,760 401,865
Past due loans, neither renegotiated nor
impaired 1,167 2,778 3,945 882 2,445 3,327
Loans renegotiated, but not impaired 518 488 1,006 357 459 816
Impaired loans 3,406 2,828 6,234 4,310 3,137 7,447
Total 213,547 192,074 405,621 224,655 188,801 413,455
Past Due Loans

Loans are considered to be past due if contractually agreed payments of principal and/or interest remain unpaid by the borrow-
er, except if those loans are acquired through consolidation. The latter are considered to be past due if payments of principal
and/or interest, which were expected at a certain payment date at the time of the initial consolidation of the loans, are unpaid by
the borrower.
Non-impaired past due loans at amortized cost by past due status

in € m. Dec 31, 2017 Dec 31, 2016
Loans less than 30 days past due 2,747 2,116
Loans 30 or more but less than 60 days past due 482 494
Loans 60 or more but less than 90 days past due 250 268
Loans 90 days or more past due 776 484
Total 4,255 3,363
Non-impaired past due loans at amortized cost by industry

in € m. Dec 31, 2017 Dec 31, 2016
Financial intermediation 267 95
Fund management activities 40 28
Manufacturing 179 278
Wholesale and retail trade 233 172
Households 2,481 2,076
Commercial real estate activities 363 190
Public sector 10 12
Other 682 512
Total 4,255 3,363
Non-impaired past due loans at amortized cost by region

in € m. Dec 31, 2017 Dec 31, 2016
Germany 1,810 1,299
Western Europe (excluding Germany) 1,758 1,531
Eastern Europe 158 155
North America 343 233
Central and South America 6 18
Asia/Pacific 161 113
Africa 19 14
Other 0 0
Total 4,255 3,363
Our non-impaired past due loans increased by € 892 million to € 4.3 billion as of December 31, 2017, largely caused by loans,
that were overdue by a few days. Businesswise, the main driver was PCB.
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Annual Report 2017
Aggregated value of collateral – with the fair values of collateral capped at loan outstanding – held against our non-impaired past
due loans
in € m. Dec 31, 2017 Dec 31, 2016
Financial and other collateral 2,364 1,775
Guarantees received 148 148
Total 2,512 1,923
Our aggregated value of collateral held against our non-impaired past due loans as of December 31, 2017 increased in line with
the increase of non-impaired past due loans compared to prior year.
Renegotiated and Forborne Loans

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 for-
bearances for a limited period of time, in which the total or partial outstanding or future instalments are deferred to a later point
of time. However, the amount not paid including accrued interest during this period must be re-compensated at a later point of
time. Repayment options include distribution over residual tenor, a one-off payment or a tenor extension. Forbearances are
restricted and depending on the economic situation of the client, 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 loans, we are following the EBA definition for forbearances and non-performing
loans (Implementing Technical Standards (ITS) on Supervisory reporting on forbearance and non-performing exposures under
article 99(4) of Regulation (EU) No 575/2013). Once the conditions mentioned in the ITS are met, we report the loan as being
forborne; we remove the loan from our forbearance reporting, once the discontinuance criteria in the ITS are met (i.e., the con-
tract is considered as performing, a minimum 2 year probation period has passed, regular payments of more than an insignifi-
cant aggregate amount of principal or interest have been made during at least half of the probation period, and none of the
exposures to the debtor is more than 30 days past-due at the end of the probation period).
Forborne Loans
Dec 31, 2017 Dec 31, 2016
Total Total
Non- forborne Non- forborne
Performing performing loans Performing performing loans
in € m. Nonimpaired Nonimpaired Impaired Nonimpaired Nonimpaired Impaired
German 1,109 569 711 2,390 907 374 983 2,264
Non-German 445 529 1,248 2,222 799 709 1,697 3,204
Total 1,554 1,099 1,959 4,612 1,706 1,083 2,679 5,468
The total forborne loans in 2017 decreased by € 857 million mainly driven by non-performing forborne loans to non-German
clients mainly reflecting non-performing loan sales in our shipping portfolio reported in CIB as well as in PCC International.
Development of Forborne Loans

in € m. Dec 31, 2017
Balance beginning of period 5,468
Classified as forborne during the year 1,015
Transferred to non-forborne during the year (including repayments) (1,518)
Charge-offs (234)
Exchange rate and other movements (119)
Balance end of period 4,612
112
Impaired Loans
Credit Risk Management regularly assesses whether there is objective evidence that a loan or group of loans is impaired. A
loan or group of loans is impaired and impairment losses are incurred if:
‒ there is objective evidence of impairment as a result of a loss event that occurred after the initial recognition of the asset and
up to the balance sheet date (a “loss event”). When making our assessment we consider information on such events that is
reasonably available up to the date the financial statements are authorized for issuance in line with the requirements of
IAS 10;
‒ the loss event had an impact on the estimated future cash flows of the financial asset or the group of financial assets, and
‒ a reliable estimate of the loss amount can be made.
Credit Risk Management’s loss assessments are subject to regular review in collaboration with Group Finance. The results of
this review are reported to and approved by Group Finance and Risk Senior Management.
For further details with regard to impaired loans please refer to Note 1 “Significant Accounting Policies and Critical Accounting
Estimates”.
Impairment Loss and Allowance for Loan Losses

If there is evidence of impairment the impairment loss is generally calculated on the basis of discounted expected cash flows
using the original effective interest rate of the loan. If the terms of a loan are renegotiated or otherwise modified because of
financial difficulties of the borrower without qualifying for de-recognition of the loan, the impairment loss is measured using the
original effective interest rate before modification of terms. We reduce the carrying amount of the impaired loan by the use of an
allowance account and recognize the amount of the loss in the consolidated statement of income as a component of the provi-
sion for credit losses. We record increases to our allowance for loan losses as an increase of the provision for loan losses in our
income statement. Charge-offs reduce our allowance while recoveries, if any, are credited to the allowance account. If we de-
termine that we no longer require allowances which we have previously established, we decrease our allowance and record the
amount as a reduction of the provision for loan losses in our income statement. When it is considered that there is no realistic
prospect of recovery and all collateral has been realized or transferred to us, the loan and any associated allowance for loan
losses is charged off (i.e., the loan and the related allowance for loan losses are removed from the balance sheet).
While we assess the impairment for our corporate credit exposures individually, we assess the impairment of our smaller-
balance standardized homogeneous loans collectively.
Our collectively assessed allowance for non-impaired loans reflects allowances to cover for incurred losses that have neither
been individually identified nor provided for as part of the impairment assessment of smaller-balance homogeneous loans.
For further details regarding our accounting policies regarding impairment loss and allowance for credit losses, please refer to
Note 1 “Significant Accounting Policies and Critical Accounting Estimates”.
Impaired loans, allowance for loan losses and coverage ratios by business division
2017 increase (decrease)
Dec 31, 2017 Dec 31, 20163 from 2016
Impaired loan Impaired loan Impaired loan
Impaired Loan loss coverage Impaired Loan loss coverage Impaired coverage
in € m. loans allowance ratio in % loans allowance ratio in % loans ratio in ppt
Corporate & Investment Bank 2,517 1,565 62 3,007 1,893 63 (490) (1)
Private & Commercial Bank 3,717 2,355 63 3,646 2,217 61 71 3
Deutsche Asset Management 0 0 N/M 0 1 N/M1 0 N/M
Non-Core Operations Unit2 0 0 N/M 794 462 58 (794) N/M
thereof: assets reclassi-
fied to loans and receiva-
bles according to IAS 39 0 0 N/M 92 69 75 (92) N/M
Consolidation & Adjustments 1 1 N/M1 0 4 N/M1 0 N/M
Total 6,234 3,921 63 7,447 4,546 61 (1,213) 2
N/M – not meaningful.
1 Allowance in Consolidation & Adjustments and Other and Deutsche Asset Management fully consists of collectively assessed allowance for non-impaired loans.
2 From 2017 onwards, Non-Core Operations Unit (NCOU) ceased to exist as a standalone division. The remaining impaired assets and the corresponding loan loss allowance
as of December 31, 2016 are now managed by the corresponding core operating segments, predominantly Private & Commercial Bank.
3 2016 Impaired loans and Loan loss allowance numbers have been restated to reflect restructuring of business areas.
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Annual Report 2017
Impaired loans, allowance for loan losses and coverage ratios by industry
Dec 31, 2017
Impaired Loans Loan loss allowance
Collectively Collectively
assessed assessed
Individually allowance for allowance for Impaired loan
Individually Collectively assessed impaired non-impaired coverage
in € m. assessed assessed Total allowance loans loans Total ratio in %
Financial intermediation 121 8 129 1 3 40 44 34
Fund management activities 8 8 16 1 0 3 4 24
Manufacturing 520 165 685 439 146 51 635 93
Wholesale and retail trade 333 188 521 211 156 27 394 76
Households 155 2,233 2,388 153 1,290 83 1,526 64
Commercial real estate
activities 345 30 376 115 11 42 168 45
Public sector 74 0 74 6 0 12 17 24
Other1 1,792 254 2,046 840 139 153 1,132 55
Total 3,348 2,886 6,234 1,766 1,745 410 3,921 63
1 Thereof: ‘Transportation, storage and communication’ - Total Impaired Loans € 808 million/Total Loan loss allowance € 469 million. ‘Real estate; renting and business
activities’ - € 482 million/ € 234 million, ‘Construction’ - € 378 million/ € 144 million, ‘Mining and quarrying’ - € 169 million/ € 116 million.
Dec 31, 2016

assessed assessed
Financial intermediation 122 11 133 27 3 47 77 58
Fund management activities 14 7 21 1 0 4 5 26
Manufacturing 524 229 754 476 149 82 707 94
Wholesale and retail trade 472 234 707 223 161 29 413 58
Households 193 2,467 2,661 220 1,466 67 1,754 66
Commercial real estate
activities 385 37 422 168 25 39 233 55
Public sector 19 0 19 4 0 3 7 35
Other1 2,397 334 2,731 953 168 230 1,351 49
Total 4,126 3,321 7,447 2,071 1,972 503 4,546 61
1 Thereof: ‘Transportation, storage and communication’ - Total Impaired Loans € 1.1 billion/Total Loan loss allowance € 650 million, ‘Real estate; renting and business activities’
- € 489 million/ € 230 million, ‘Construction’: € 309 million/ € 170 million, ‘Mining and quarrying’ - € 232 million/ € 103 million.
Impaired loans, allowance for loan losses and coverage ratios by region
Dec 31, 2017
assessed assessed
Germany 953 1,312 2,266 600 823 104 1,527 67
Western Europe
(excluding Germany) 1,471 1,422 2,892 815 822 113 1,749 60
Eastern Europe 45 123 168 45 92 11 147 88
North America 497 1 498 67 0 102 170 34
Central and South America 70 0 70 14 0 21 35 50
Asia/Pacific 264 28 292 223 8 41 272 93
Africa 48 0 49 1 0 9 10 20
Other 0 0 0 0 0 11 11 N/M
Total 3,348 2,886 6,234 1,766 1,745 410 3,921 63
N/M – not meaningful
114
Dec 31, 2016

assessed assessed
Germany 1,154 1,486 2,639 563 804 122 1,489 56
Western Europe
(excluding Germany) 2,021 1,688 3,709 1,008 1,057 130 2,195 59
Eastern Europe 46 132 179 39 106 10 154 86
North America 495 1 496 148 0 128 277 56
Central and South America1 4 0 5 3 0 14 16 363
Asia/Pacific1 341 14 355 286 5 76 367 103
Africa 63 1 64 24 0 8 32 50
Other1 2 0 2 0 0 17 17 908
Total 4,126 3,321 7,447 2,071 1,972 503 4,546 61
1 Impaired Loans in Central & South America, Asia Pacific and Other are more than fully covered by loan loss allowance due to the latter including collectively assessed
allowance for non-impaired loans.
Development of Impaired Loans

Dec 31, 2017 Dec 31, 2016
Individually Collectively Individually Collectively
in € m. assessed assessed Total assessed assessed Total
Balance, beginning of year 4,126 3,321 7,447 4,236 3,915 8,151
Classified as impaired during the year 1,370 1,248 2,618 2,177 1,291 3,469
Transferred to not impaired during the year 1 (1,127) (961) (2,088) (1,080) (723) (1,803)
Charge-offs (540) (605) (1,146) (979) (987) (1,966)
Disposals of impaired loans (267) (116) (383) (266) (161) (427)
Exchange rate and other movements (215) (1) (216) 38 (15) 23
Balance, end of year 3,348 2,886 6,234 4,126 3,321 7,447
1 Includes repayments.
Our impaired loans decreased in 2017 by € 1.2 billion or 16 % to € 6.2 billion. The reduction in our individually assessed portfo-
lio mainly reflects charge-offs in CIB along with de-risking of former NCOU assets, while the reduction in our collectively as-
sessed portfolio was driven by charge-offs related to disposals in PCC International.
The impaired loan coverage ratio (defined as total on-balance sheet allowances) for all loans individually impaired or collectively
assessed divided by IFRS impaired loans (excluding collateral) increased from 61 % as of year-end 2016 to 63 % as of De-
cember 31, 2017.
Provision for loan losses and recoveries by Industry

2017 2016
Provision for loan losses before recoveries
For For Provision for
For collectively collectively loan losses
individually assessed assessed before
assessed impaired non-impaired recoveries
in € m. loans loans loans Total Recoveries (total) Recoveries
Financial intermediation 25 (2) (3) 20 4 (3) 4
Fund management activities 0 0 (2) (1) 0 (2) 0
Manufacturing 48 18 (28) 38 19 209 14
Wholesale and retail trade 46 19 1 66 5 58 4
Households 11 322 20 354 66 531 99
Commercial real estate activities (20) 4 5 (10) 12 76 36
Public sector 2 0 9 11 0 0 0
Other1 239 23 (62) 201 20 665 31
Total 352 385 (59) 678 127 1,534 187
1 In 2017, the largest contributions to risk provisioning in the "Other" category came from the "Transport, Storage and Communications" sector (€ 107 million) and the "Mining
and quarrying" sector (€ 72 million). In 2016, the “Transport, Storage and Communications” sector contributed € 422 million and the “Mining and Quarrying” sector € 91 million.
Our existing commitments to lend additional funds to debtors with impaired loans amounted to € 28 million as of December 31,
2017 and € 117 million as of December 31, 2016.
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Annual Report 2017
Collateral held against impaired loans, with fair values capped at transactional outstanding
in € m. Dec 31, 2017 Dec 31, 2016
Financial and other collateral1 1,757 2,016
Total collateral held for impaired loans 2,066 2,359
1 Defaulted mortgage loans secured by residential real estate properties, where the loan agreement has been terminated/cancelled are generally subject to formal foreclosure
proceedings.
Our total collateral held for impaired loans as of December 31, 2017 decreased by € 293 million or 12 % compared to previous
year, while coverage ratio including collateral (defined as total on-balance sheet allowances for all loans individually impaired or
collectively assessed plus collateral held against impaired loans, with fair values capped at transactional outstanding, divided by
IFRS impaired loans) increased to 96 % as of December 31, 2017 compared to 93 % as of December 31, 2016.
Financial assets available for sale

The impairment concept is also applicable for available for sale debt instruments, which are otherwise carried at fair value with
changes in fair value reported in other comprehensive income. If an available for sale debt instrument is considered impaired,
the cumulative impairment loss reflects the difference between the amortized cost and the current fair value of the instrument.
For a detailed discussion of our accounting procedures please refer to Note 1 “Significant Accounting policies and Critical Ac-
counting Estimates”.
Non-impaired past due and impaired financial assets available for sale, accumulated impairments, coverage ratio and collateral held
against impaired financial assets available for sale
in € m. Dec 31, 2017 Dec 31, 2016
Financial assets non-impaired past due available for sale 1,538 1,661
thereof:
Less than 30 days past due 176 178
30 or more but less than 60 days past due 23 24
60 or more but less than 90 days past due 138 23
90 days or more past due 1,201 1,436
Impaired financial assets available for sale 157 229
Accumulated impairment for financial assets available for sale 113 131
Impaired financial assets available for sale coverage ratio in % 71 57
Collateral held against impaired financial assets available for sale 17 20
thereof:
Financial and other collateral 17 20
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 properties
for our business use. The commercial and residential real estate collateral obtained in 2017 refers predominantly to our expo-
sures in Spain.
Collateral obtained during the reporting periods

in € m. 2017 2016
Commercial real estate 9 9
Residential real estate1 63 55
Other 0 0
Total collateral obtained during the reporting period 72 64
1 Carrying amount of foreclosed residential real estate properties amounted to € 67 million as of December 31, 2017 and € 78 million as of December 31, 2016.
The collateral obtained, as shown in the table above, excludes collateral recorded as a result of consolidating securitization
trusts under IFRS 10. In 2017 as well as in 2016 the Group did not obtain any collateral related to these trusts.
116
Allowance for Credit Losses

Development of allowance for credit losses
2017
Allowance for Loan Losses Allowance for Off-Balance Sheet Positions
in € m. assessed assessed1 Subtotal assessed assessed2 Subtotal Total
Balance, beginning of year 2,071 2,475 4,546 162 183 346 4,892
Provision for credit losses 299 253 552 (23) (4) (27) 525
thereof: (Gains)/Losses from
disposal of impaired loans (83) (32) (115) 0 0 0 (115)
Net charge-offs: (487) (532) (1,019) 0 0 0 (1,019)
Charge-offs (541) (605) (1,146) 0 0 0 (1,146)
Recoveries 54 73 127 0 0 0 127
Other changes (117) (41) (158) (18) (16) (34) (191)
Balance, end of year 1,766 2,155 3,921 122 163 1 285 4,207
Changes compared to prior year

Provision for credit losses
Absolute (444) (351) (795) (47) (16) (62) (857)
Relative (60) % (58) % (59) % (196) % (132) % (175) % (62) %
Net charge-offs
Absolute 407 338 745 0 0 0 745
Relative (45) % (39) % (42) % 0% 0% 0% (42) %
Balance, end of year
Absolute (305) (320) (625) (41) (20) (60) (685)
Relative (15) % (13) % (14) % (25) % (11) % (17) % (14) %
1 Thereof ‘Transfer risk reserve’ € 5 million.
Allowance for credit losses as of December 31, 2017 amounted to € 4.2 billion compared to € 4.9 billion as of December 31,
2016. The reduction was driven by charge-offs, partly compensated by additional provision for credit losses.
As of December 31, 2017, provision for credit losses decreased by € 857 million compared to year-end 2016, driven by a de-
crease in provision for loan losses of € 795 million, as well as by a reduction in provisions for off-balance sheet positions of
€ 62 million. The decrease in our individually assessed loan portfolio mainly resulted from CIB, driven by all portfolios including
shipping. Despite the year-over-year reduction, shipping continued to be the main driver of provision for credit losses in 2017, in
part related to the re-evaluation of the respective impairment method during the year as discussed in Note 1 of this report. A
further year-over-year reduction in PCB was driven by a significant release in Postbank. The decrease in provisions for our
collectively assessed loan portfolio mainly resulted from the non-recurrence of one-off items related to assets reported under
NCOU in the prior year and further reflected the good portfolio quality and ongoing benign economic environment in PCB.
The decrease in net charge-offs of € 745 million compared to 2016 was mainly driven by non-recurrence of net charge offs
related to assets reported under NCOU in the prior year as well as in Postbank.
2016
Allowance for Loan Losses Allowance for Off-Balance Sheet Positions
in € m. assessed assessed1 Subtotal assessed assessed2 Subtotal Total
Balance, beginning of year 2,252 2,776 5,028 144 168 312 5,340
Provision for credit losses 743 604 1,347 24 12 36 1,383
thereof: (Gains)/Losses from
disposal of impaired loans 3 (16) (13) 0 0 0 (13)
Net charge-offs: (894) (870) (1,764) 0 0 0 (1,764)
Charge-offs (979) (972) (1,951) 0 0 0 (1,951)
Recoveries 85 101 187 0 0 0 187
Other changes (30) (35) (65) (5) 3 (2) (67)
Balance, end of year 2,071 2,475 1 4,546 162 183 1 346 4,892
Changes compared to prior year

Provision for credit losses
Absolute 409 56 465 (34) (4) (39) 427
Relative 123 % 10 % 53 % (59) % (27) % (52) % 45 %
Net charge-offs
Absolute (412) (258) (670) 0 0 0 (670)
Relative 85 % 42 % 61 % 0% 0% 0% 61 %
Balance, end of year
Absolute (181) (301) (482) 18 15 34 (448)
Relative (8) % (11) % (10) % 13 % 9% 11 % (8) %
117
Annual Report 2017
Allowance for credit losses as of December 31, 2016 amounted to € 4.9 billion compared to € 5.3 billion as of December 31,
2015. The reduction was driven by charge-offs, partly compensated by additional provision for credit losses.
As of December 31, 2016, provision for credit losses increased by € 427 million compared to year-end 2015, driven by an in-
crease in provision for loan losses of € 465 million partly offset by a reduction in provisions for off-balance sheet positions of
€ 39 million. The increase in our individually assessed portfolio mainly resulted from CIB reflecting the continued market weak-
ness of the shipping sector as well as lower commodity prices in the metals and mining and oil and gas sectors. The increase in
provisions for our collectively assessed loan portfolio was mainly driven by NCOU partly relating to higher charges for IAS 39
reclassified assets and partly offset by PCB, among other factors reflecting the good quality of the loan book and the benign
economic environment. The reduction in provisions for off-balance sheet positions was driven by CIB and reflects releases
caused by crystallization into cash of a few guarantee exposures leading to higher provision for loan losses.
The increase in net charge-offs of € 670 million compared to 2015 was mainly driven by NCOU caused by IAS 39 reclassified
assets along with disposals.
Our allowance for loan losses for IAS 39 reclassified assets, which were reported in NCOU, amounted to € 69 million as of
December 31, 2016, representing 2 % of our total allowance for loan losses, down 82 % from the level at the end of 2015 which
amounted to € 389 million (8 % of total allowance for loan losses). This reduction was driven by charge offs of € 355 million
along with reduction driven by foreign exchange as most IAS 39 reclassified assets are denominated in non-Euro currencies
and partly offset by additional provisions of € 66 million.
Compared to 2015, provision for loan losses for IAS 39 reclassified assets increased by € 110 million mainly related to our
European mortgage portfolios. Net charge offs increased by € 242 million mainly driven by the European mortgage portfolio and
one large single booking.
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 ac-
count 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 for OTC derivative transactions executed with our clients usually provide 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 indi-
cate a high probability of failure. We have less comfort under the rules and regulations applied by clearing CCPs, which rely
primarily on the clearing members default fund contributions and guarantees and less on the termination and close-out of con-
tracts, which will be considered only at a later point in time after all other measures failed. Considering the severe systemic
disruptions to the financial system, that could be caused by a disorderly failure of a CCP, the Financial Stability Board (“FSB”)
recommended in October 2014 to subject CCPs to resolution regimes that apply the same objectives and provisions that apply
to global systematically important banks (G-SIBs).
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.
118
Annual Report 2017 Trading Market Risk Exposures
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, excluding Postbank, had established 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 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, excluding Postbank, 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. Postbank derivative counterparty risk is immaterial to the Group and
collateral held is typically in the form of cash.
Trading Market Risk Exposures

Value-at-Risk Metrics of Trading Units of Deutsche Bank Group (excluding Post-
bank)
The tables and graph below present the value-at-risk metrics calculated with a 99 % confidence level and a one-day holding
period for our trading units. They exclude contributions from Postbank trading book which are calculated on a stand-alone basis.
Value-at-Risk of our Trading Units by Risk Type

Diversification Interest rate Credit spread Equity price Foreign exchange Commodity price
Total effect risk risk risk risk1 risk
in € m. 2017 2016 2017 2016 2017 2016 2017 2016 2017 2016 2017 2016 2017 2016
Average 29.8 32.0 (28.1) (35.0) 20.2 19.7 19.7 26.6 8.7 9.3 8.4 10.7 0.8 0.7
Maximum 38.4 59.4 (37.6) (57.6) 26.0 29.5 25.1 32.5 12.5 52.4 16.5 16.7 3.0 3.3
Minimum 20.1 20.4 (21.4) (25.6) 13.5 14.8 13.5 22.3 4.4 4.4 4.2 3.6 0.1 0.2
Period-end 29.1 30.1 (22.5) (36.9) 21.4 19.9 14.4 24.3 10.1 10.0 4.9 12.6 0.7 0.2
1 Includes value-at-risk from gold and other precious metal positions.
Development of value-at-risk by risk types in 2017
The average value-at-risk over 2017 was € 29.8 million, which is a decrease of € 2.2 million compared with the full year 2016.
The average credit spread value-at-risk decreased due to a reduction in idiosyncratic risk.
The period end value-at-risk reduction was driven by reductions across the credit spread and foreign exchange asset classes.
119
Annual Report 2017
Regulatory Trading Market Risk Measures (excluding Postbank)

The table below presents the stressed value-at-risk metrics calculated with a 99 % confidence level and a one-day holding
period for our trading units. It excludes contributions from Postbank’s trading book which are calculated on a stand-alone basis
Average, Maximum and Minimum Stressed Value-at-Risk by Risk Type

Diversification Interest rate Credit spread Equity price Foreign exchange Commodity price
Total effect risk risk risk risk1 risk
in € m. 2017 2016 2017 2016 2017 2016 2017 2016 2017 2016 2017 2016 2017 2016
Average 76.7 85.2 (88.4) (78.2) 69.8 51.9 62.1 74.9 18.8 20.6 12.6 14.8 1.8 1.3
Maximum 125.0 143.7 (115.8) (150.0) 92.0 82.5 73.2 99.3 66.8 144.5 28.0 30.4 6.1 3.9
Minimum 42.0 60.4 (73.0) (53.4) 48.3 37.4 54.3 59.0 1.5 2.4 6.9 3.4 0.3 0.4
Period-end 85.6 75.8 (81.0) (91.3) 67.8 51.9 64.3 63.0 19.9 29.6 12.6 22.1 1.9 0.5
1 Includes value-at-risk from gold and other precious metal positions.
The average stressed value-at-risk was € 76.7 million over 2017, a decrease of € 8.5 million compared with the full year 2016.
The reduction in the average was driven by a decrease in credit spread stressed value-at-risk due to a reduction in idiosyncratic
risk as well as a small reduction coming from a model enhancement to the credit spread component. This has been partly offset
by an increase in interest rate stressed value-at-risk due to a change in directional exposure on average over 2017.
The following graph compares the development of the daily value-at-risk with the daily stressed value-at-risk and their 60 day
averages, calculated with a 99 % confidence level and a one-day holding period for our trading units. Amounts are shown in
millions of euro and exclude contributions from Postbank’s trading book which are calculated on a stand-alone basis.
Development of value-at-risk and stressed value-at-risk in 2017
120
Annual Report 2017 Trading Market Risk Exposures
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,
Non-Core Global Credit Fixed Income & Emerging
Total Operations Unit Trading Core Rates Currencies APAC Markets - Debt Other
in € m. 2017 2016 2017 2016 2017 2016 2017 2016 2017 2016 2017 2016 2017 2016
Average 802.1 840.2 0.0 52.0 544.6 393.0 107.1 200.4 168.1 188.6 37.2 116.8 (54.8) (110.5)
Maximum 899.3 944.4 0.0 57.3 597.4 405.8 172.5 229.6 229.0 243.0 62.9 128.0 (20.4) (65.6)
Minimum 754.8 693.0 0.0 44.5 503.7 368.0 48.7 173.7 92.4 119.6 (1.4) 111.6 (90.0) (141.8)
Period-end 789.6 693.0 0.0 51.8 540.1 368.0 133.2 173.7 142.3 119.6 19.9 121.8 (45.9) (141.8)
1
Amounts show the bands within which the values fluctuated during the 12-weeks preceding December 31, 2017 and December 31, 2016, respectively.
2
Business line breakdowns have been updated for 2017 reporting to better reflect the current business structure.
3
All liquidity horizons are set to 12 months.
The incremental risk charge as at the end of 2017 was € 790 million an increase of € 97 million (14 %) compared with year end
2016. The 12-week average of the incremental risk charge as at the end of 2017 was € 802 million and thus € 38 million (5 %)
lower compared with the average for the 12-week period ended December 31, 2016. The decreased average incremental risk
charge is driven by a decrease in credit exposures in the Core Rates and Emerging Markets Debt business areas when com-
pared to the full year 2016.
For regulatory reporting purposes, the comprehensive risk measure for the respective reporting dates represents the higher of
the internal spot value at the reporting dates, their preceding 12-week average calculation, and the floor, where the floor is
equal to 8 % of the equivalent capital charge under the standardized approach securitization framework.
Average, Maximum and Minimum Comprehensive Risk Measure of Trading Units (with a 99.9 % confidence level and one-year
capital horizon)1,2,3
in € m. 2017 2016
Average 5.4 31.3
Maximum 6.3 39.8
Minimum 4.5 21.9
Period-end 4.4 17.9
1 Regulatory Comprehensive Risk Measure calculated for the 12-week period ending December 29.
2 Period end is based on the internal model spot value.
3 All liquidity horizons are set to 12 months.
The internal model comprehensive risk measure as at the end 2017 was € 4.4 million a decrease of € 13.5 million (-75 %) com-
pared with year end 2016. The 12-week average of our regulatory comprehensive risk measure as at the end of 2017 was
€ 5.4 million and thus € 25.8 million (83 %) lower compared with the average for the 12-week period ending December 31, 2016.
The reduction was due to continued de-risking on this portfolio.
Market Risk Standardized Approach

As of December 31, 2017, the securitization positions, for which the specific interest rate risk is calculated using the market risk
standardized approach, generated capital requirements of € 379.5 million corresponding to risk weighted-assets of € 4.7 billion.
As of December 31, 2016 these positions generated capital requirements of € 278.4 million corresponding to risk weighted-
assets of € 3.5 billion.
For nth-to-default credit default swaps the capital requirement decreased to € 2.8 million corresponding to risk weighted-assets
of € 35 million compared with € 6.4 million and € 80 million as of December 31, 2016.
The capital requirement for Collective Investment Undertakings under the market risk standardized approach was € 45 million
corresponding to risk weighted-assets of € 556 million as of December 31, 2017, compared with € 39 million and € 487 million
as of December 31, 2016.
The capital requirement for longevity risk under the market risk standardized approach was € 32 million corresponding to risk-
weighted assets of € 395 million as of December 31, 2017, compared with € 46 million and € 570 million as of December 31,
2016.
121
Annual Report 2017
Value-at-Risk at Postbank
The value-at-risk of Postbank’s trading book calculated with a 99 % confidence level and a one-day holding period amounted to
zero as of December 31, 2017. Postbank’s current trading strategy does not allow any new trading activities with regard to the
trading book. Therefore, Postbank’s trading book did not contain any positions as of December 31, 2017. Nevertheless, Post-
bank will remain classified as a trading book institution.
Results of Regulatory Backtesting of Trading Market Risk

In 2017 we observed three global outliers, where our loss on a buy-and-hold basis exceeded the value-at-risk of our Trading
Books, compared with one outlier in 2016. The outliers in 2017 all occurred in the fourth quarter. The first was driven by an
idiosyncratic event that led to losses in our Non-Strategic and Emerging Markets Debt business areas. The second was an
idiosyncratic event primarily impacting our Equities business. The final outlier was at the year end and was caused by losses
across a number of business areas. The first and third of these events also led to an outlier on an Actual Backtesting basis,
which compares the VaR to Total Income less Fees & Commissions, and excluding Debt Valuation Adjustments. There were
two Actual Backtesting outliers in 2017 compared to four in 2016.
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 presents trading units’ daily comparison of the VAR measure as of the
close of the previous business day with both hypothetical (buy-and-hold income, i.e. one-day change in portfolio’s value) and
the actual backtesting outcomes (as defined above), in order to highlight the frequency and the extent of the backtesting excep-
tions. The value-at-risk is presented in negative amounts to visually compare the estimated potential loss of our trading posi-
tions with the buy and hold income. The chart shows that our trading units achieved a positive buy and hold income for 57 % of
the trading days in 2017 (versus 54 % in 2016), as well as displaying the global outliers experienced in 2017.
The capital requirements for the value-at-risk model, for which the backtesting results are shown here, accounts for 1.3% of the
total capital requirement for the Group.
EU MR4 – Comparison of VAR estimates with gains/losses
122
Annual Report 2017 Nontrading Market Risk Exposures
Daily Income of our Trading Units

The following histogram shows the distribution of daily income of our trading units (excluding Postbank). 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.
Distribution of daily income of our trading units in 2017
Our trading units achieved a positive revenue for 93 % of the trading days in 2017 compared with 87 % in the full year 2016.
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

Economic capital usage
in € m. Dec 31, 2017 Dec 31, 2016
Interest rate risk 1,743 1,921
Credit spread risk 722 1,419
Equity and Investment risk 1,431 1,834
Foreign exchange risk 1,509 2,485
Pension risk 1,174 1,007
Guaranteed funds risk 49 1,699
Total nontrading market risk portfolios 6,628 10,364
123
Annual Report 2017
The economic capital figures do take into account diversification benefits between the different risk types.
Economic Capital Usage for Nontrading Market Risk totaled € 6.6 billion as of December 31, 2017, which is € 3.7 billion below
our economic capital usage at year-end 2016. The decrease in economic capital usage driven by the quantile change from
99.98 % to 99.90 % including reductions in capital supply items due to going concern adjustments amounted to approximately
half of the total decrease, or € 1.8 billion.
‒ 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, 2017 was € 1,743 million, compared to € 1,921 million for December 31, 2016.
The decrease in economic capital contribution was mainly driven by the quantile change from 99.98 % to 99.90 %.
‒ Credit spread risk. Economic capital charge for portfolios in the banking book subject to material credit spread risk. Eco-
nomic capital usage was € 722 million as of December 31, 2017, versus € 1,419 million as of December 31, 2016. The de-
crease in economic capital contribution was mainly driven by the quantile change from 99.98 % to 99.90 %.
‒ 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 our
equity compensation plans. The economic capital usage was € 1,431 million as of December 31, 2017, compared with
€ 1,834 million as of December 31, 2016, predominately driven by the quantile change from 99.98 % to 99.90 %.
‒ 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 € 1,174 million and € 1,007 million as of December 31,
2017 and December 31, 2016 respectively. The increase in Pension economic capital is mainly related to an increase in in-
terest rate and credit risk.
‒ Foreign exchange risk. Foreign exchange risk predominately arises from our structural position in unhedged capital and
retained earnings in non-euro currencies in certain subsidiaries. Our economic capital usage was € 1,509 million as of De-
cember 31, 2017 versus € 2,485 million as of December 31, 2016. The decrease in economic capital contribution was mainly
driven by reductions in capital supply items due to going concern adjustments and the quantile change from 99.98 % to
99.90 %.
‒ Guaranteed funds risk. Economic capital usage was € 49 million as of December 31, 2017, versus € 1,699 million as of
December 31, 2016. The decrease in economic capital contribution was largely driven by redesign of the economic capital
model for guaranteed retirement accounts and the removal of conservative placeholders.
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 eco-
nomic value for the banking book positions from interest rate changes under the six standard scenarios defined by Basel Com-
mittee on Banking Supervision (BCBS):
Economic value & net interest income interest rate risk in the banking book by scenario
Delta EVE Delta NII1
in € bn. Dec 31, 2017 Dec 31, 2016 Dec 31, 2017 Dec 31, 2016
Parallel up (0.4) (0.3) 2.8 2.1
Parallel down (1.1) (0.4) (0.8) (0.6)
Steepener 0.2 0.4 (0.6) N/A
Flattener (0.6) (0.5) 2.7 N/A
Short rate up (0.5) (0.6) 3.5 N/A
Short rate down 0.0 (0.0) (0.7) N/A
Maximum (1.1) (0.6) (0.8) (0.6)
in € bn. Dec 31, 2017 Dec 31, 2016

Tier 1 Capital 57.6 55.5
N/A – Not applicable
1 Delta Net Interest Income (NII) reflects the difference between projected NII in the respective scenario with shifted rates vs. unchanged rates. Sensitivities are based on a
static balance sheet at constant exchange rates, excluding trading positions and Deutsche Asset Management. Figures do not include Mark to Market (MtM) / Other
Comprehensive Income (OCI) effects on centrally managed positions not eligible for hedge accounting.
A sudden parallel increase in the yield curve would positively impact the Group’s earnings (net interest income) from the bank-
ing book positions. Deutsche Bank estimates that the total one-year net interest income change resulting from parallel yield
curve shifts of +200 and (200) basis points (floored by a rate of zero) would be € 2.8 billion and € (0.8) billion, respectively, at
December 31, 2017.
124
Annual Report 2017 Operational Risk Exposure
The maximum Economic Value of Equity (EVE) loss was € (1.1) billion as of December 2017, compared to € (0.6) billion as of
December 2016. The increase in EVE loss was mainly driven by an increased interest rate risk position in Deutsche Bank’s
Pension portfolio. As per December 2017 the maximum EVE loss represents 1.9 % of Tier 1 Capital.
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

Dec 31, 2017
in € bn. -200 bp1 +200 bp
EUR (1.3) (0.3)
GBP (0.0) (0.0)
USD 0.3 (0.2)
JPY (0.0) 0.1
Other 0.0 0.0
Total (1.1) (0.4)
1 Floored at zero
The estimated change in the economic value resulting from the impact of the BCBS parallel yield curve shifts of -200 bp (floored
by a rate of zero) and +200 bp would be € (1.1) billion and € (0.4) billion, respectively, at December 31, 2017. Both scenarios,
downward and upward shock, lead to a decrease in the economic value mainly due to a negative convexity in Deutsche Bank’s
Pension portfolio and the impact of the applied zero floor on portfolios with offsetting positions in the long and short tenors.
Operational Risk Exposure

Operational Risk – Risk Profile
Operational Risk Losses by Event Type (Profit and Loss view)
in € m. 2017 20161
Clients, Products and Business Practices 309 2,512
Internal Fraud 38 397
External Fraud 15 18
Execution, Delivery and Process Management 223 119
Others 30 25
Group 615 3,072
1 Changed 2016 loss figures due to subsequent capture of losses and reclassification.
As of December 31, 2017, profit and loss based operational losses decreased by € 2.5 billion or 80 % compared to year-end
2016. The decrease was driven by the event types “Clients, Products and Business Practices” and “Internal Fraud”, due to
settlements reached and increased litigation reserves for unsettled cases in 2016.
Operational Losses by Event Type occurred in the period 2017 (2012-2016) 1
1 Percentages in brackets correspond to loss frequency respectively to loss amount for losses occurred in 2012-2016 period. Frequency and amounts can change
subsequently.
125
Annual Report 2017
The above left chart “Frequency of Operational Losses” summarizes Operational Risk events which occurred in 2017 compared
to the five-year period 2012-2016 in brackets based on the period in which a loss was first recognized for that event. For exam-
ple, for a loss event that was first recognized in 2010 with an additional profit/loss event recognized in 2017, the frequency chart
would not include the loss event, but the loss distribution chart would include the profit/loss recognized in the respective period.
Frequencies are driven by the event types “External Fraud” with a frequency of 48 % and the event type “Clients, Product and
Business Practices” with 40 % of all observed loss events. “Execution, Delivery and Process Management” contributes 9 %.
“Others” are stable at 2 %. The event type “Internal Fraud” has a low frequency, resulting in less than 1 % of the loss events in
the period 2017.
The above right chart “Distribution of Operational Losses” summarizes Operational Risk loss postings recognized in the prof-
it/loss in 2017 compared to the five-year period 2012-2016. The event type “Clients, Product and Business Practices” domi-
nates the operational loss distribution with a share of 50 % and is determined by outflows related to litigation, investigations and
enforcement actions. “Execution, Delivery and Process Management” has the second highest share (36 %) which is related to
one large event in 2017. The absolute loss amount of this event type only shows a small increase, but the relative increase is
high, given the smaller basis of the total Operational Risk Losses. Finally, the event types “Internal Fraud” (6 %), “Others” (5 %)
and “External Fraud” (2 %) are minor, compared to other event types.
Liquidity Risk Exposure

Funding Markets and Capital Markets Issuance
Credit markets in 2017 were affected by continued political uncertainties and the ongoing low interest rate environment. Our
5 year CDS traded within a range of 71 to 166 basis points, substantially lower compared to 2016.The peak was observed in
the beginning of January, since then, the spread has declined significantly and as of year-end was trading at 73 basis points, at
the low end of the range for the year. The spreads on our bonds exhibited similar behavior. For example, our 1.5 % EUR
benchmark maturing in January 2022 traded in a range of 43 to 150 basis points, closing at 49 basis points at year end 2017.
Our 2017 funding plan of up to € 25 billion, comprising debt issuance with an original maturity in excess of one year, was com-
pleted and we concluded 2017 having raised € 24.8 billion in term funding. This funding was broadly spread across the follow-
ing funding sources: Senior unsecured plain-vanilla issuance, including benchmarks (€ 14.7 billion), Tier 2 benchmark issuance
(€ 0.8 billion), covered bond issuance (€ 1.1 billion), and other unsecured structured issuance (€ 8.2 billion). The € 24.8 billion
total is divided into Euro (€ 9.2 billion), US dollar (€ 13.2 billion), British Pound (€ 0.9 billion) and other currencies aggregated
(€ 1.5 billion). In addition to direct issuance, we use long-term cross currency swaps to manage our funding needs outside of
EUR. Our investor base for 2017 issuances comprised retail customers (29 %), banks (6 %), asset managers and pension
funds (38 %), insurance companies (8 %) and other institutional investors (19 %). The geographical distribution was split be-
tween Germany (21 %), rest of Europe (28 %), US (31 %), Asia/Pacific (16 %) and Other (3 %). Of our total capital markets
issuance outstanding as of December 31, 2017, approximately 93 % was issued on an unsecured basis.
The average spread of our issuance over 3-months-Euribor (all non-Euro funding spreads are rebased versus 3-months Euri-
bor) was 71 basis points for the full year, substantially lower compared to 129 basis points average spread in 2016. The aver-
age tenor was 6.7 years. Our issuance activities were slightly higher in the first half of the year. We issued the following
volumes over each quarter: Q1: € 8.5 billion, Q2: € 4.8 billion, Q3: € 6.0 billion and Q4: € 5.5 billion, respectively.
In 2018, our funding plan is € 30 billion which we plan to cover by accessing the above sources, without being overly dependent
on any one source. 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 approximate-
ly € 16 billion in 2018.
126
Annual Report 2017 Liquidity Risk Exposure
Funding Diversification
In 2017, total external funding increased by € 38.0 billion from € 976.8 billion at December 31, 2016 to € 1,014.8 billion at De-
cember 31, 2017. This is primarily driven by increased balances in Retail deposits by € 24.9 billion (8.5 %), Transaction Banking
by € 16.5 billion (8.3 %), secured funding and shorts by € 11.8 billion (7.1 %) and other customers by € 3.5 billion (6.6 %). The
total increase is slightly offset by reduction in unsecured wholesale funding by € 9.7 billion (17.6 %) and Capital Markets and
Equity volume by € 8.9 billion (4.2 %).
The overall proportion of our most stable funding sources (comprising capital markets and equity, retail, and transaction banking)
remained constant at 72 %.
Composition of External Funding Sources

In € bn.
317
300
292
225
210 217
201 200
177
165
150
75
53 56 55
45
0 2 2
21% 20% 30% 31% 20% 21% 5% 6% 6% 4% 17% 17% 0% 0%
Capital Markets Retail Transaction Other Unsecured Secured Funding Financing
and Equity Banking Customers1 Wholesale and Shorts Vehicles
December 31, 2016: total € 976.8 billion

December 31, 2017: total € 1,014.8 billion
1Other includes fiduciary, self-funding structures (e.g. X-markets), margin / Prime Brokerage cash balances (shown on a net basis)
Reference: Reconciliation to total balance sheet: Derivatives & settlement balances € 369.4 billion (€ 503.6 billion), add-back for netting effect for Margin & Prime Brokerage
cash balances (shown on a net basis) € 59.2 billion (€ 67.9 billion), other non-funding liabilities € 31.3 billion (€ 42.2 billion) for December 31, 2017 and
December 31, 2016 respectively; figures may not add up due to rounding.
Maturity of unsecured wholesale funding, ABCP and capital markets issuance 1

Dec 31, 2017
Over Over Over Over
1 month 3 months 6 months 1 year
Not more but not but not but not Sub-total but not
than more than more than more than less than more than Over
in € m. 1 month 3 months 6 months 1 year 1 year 2 years 2 years Total
Deposits from banks 9,709 3,477 2,196 1,172 16,554 721 54 17,330
Deposits from other
wholesale customers 3,451 5,884 4,112 3,974 17,421 483 525 18,429
CDs and CP 1,579 2,595 2,381 2,873 9,427 6 82 9,516
ABCP 0 0 0 0 0 0 0 0
Senior unsecured
plain vanilla 405 4,038 3,231 3,288 10,961 16,009 44,399 71,368
Senior unsecured
structured notes 345 868 1,654 2,952 5,818 3,044 16,893 25,756
Covered bonds/ABS 90 194 1,711 737 2,731 2,190 17,248 22,169
Subordinated liabilities 50 234 5,265 700 6,250 135 11,694 18,079
Other 4 0 0 0 4 0 0 4
Total 15,632 17,289 20,550 15,695 69,167 22,588 90,895 182,650
thereof:
Secured 90 194 1,711 737 2,731 2,190 17,248 22,169
Unsecured 15,542 17,096 18,840 14,959 66,436 20,398 73,647 160,481
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
date. No assumption is made as to whether such calls would be exercised.
The total volume of unsecured wholesale liabilities, ABCP and capital markets issuance maturing within one year amount to
€ 69 billion as of December 31, 2017, and should be viewed in the context of our total Liquidity Reserves of € 280 billion.
127
Annual Report 2017
Dec 31, 2016

Over Over Over Over
1 month 3 months 6 months 1 year
Not more but not but not but not Sub-total but not
than more than more than more than less than more than Over
in € m. 1 month 3 months 6 months 1 year 1 year 2 years 2 years Total
Deposits from banks 15,626 5,294 6,961 1,588 29,469 40 659 30,168
Deposits from other
wholesale customers 4,164 5,712 3,992 4,111 17,979 703 422 19,104
CDs and CP 1,117 1,379 1,973 1,060 5,529 4 1 5,534
ABCP 0 0 0 0 0 0 0 0
Senior unsecured
plain vanilla 626 4,111 4,735 11,825 21,296 8,085 49,993 79,374
Senior unsecured
structured notes 430 696 858 1,715 3,698 3,578 20,217 27,494
Covered bonds/ABS 0 482 678 1,284 2,445 2,718 18,601 23,764
Subordinated liabilities 0 8 1,576 972 2,556 4,620 11,712 18,887
Other 0 0 0 0 0 0 0 0
Total 21,963 17,682 20,773 22,555 82,973 19,749 101,605 204,326
thereof:
Secured 0 482 678 1,284 2,445 2,718 18,601 23,764
Unsecured 21,963 17,199 20,094 21,271 80,528 17,031 83,004 180,563
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)
Dec 31,2017 Dec 31,2016
in other in other
in € m. in EUR in USD in GBP CCYs Total in EUR in USD in GBP CCYs Total
Deposits from
banks 2,310 11,096 2,423 1,502 17,330 3,554 22,122 3,649 843 30,168
Deposits from
other whole-
sale customers 14,109 3,743 233 344 18,429 15,396 2,964 541 203 19,104
CDs and CP 6,401 1,942 310 863 9,516 4,456 259 259 560 5,534
ABCP 0 0 0 0 0 0 0 0 0 0
Senior unsecured
plain vanilla 36,407 27,482 864 6,616 71,368 39,510 33,504 8 6,352 79,374
Senior unsecured
structured notes 9,937 12,301 31 3,487 25,756 11,037 12,697 133 3,626 27,494
Covered bonds/
ABS 22,142 25 0 2 22,169 23,745 16 0 2 23,764
Subordinated
liabilities 7,940 8,960 801 378 18,079 8,540 9,196 799 353 18,887
Other 0 4 0 0 4 0 0 0 0 0
Total 99,245 65,552 4,662 13,192 182,650 106,239 80,758 5,390 11,940 204,326
thereof:
Secured 22,142 25 0 2 22,169 23,745 16 0 2 23,764
Unsecured 77,103 65,527 4,662 13,190 160,481 82,494 80,742 5,390 11,938 180,563
128
Liquidity Reserves
Composition of our liquidity reserves by parent company (including branches) and subsidiaries
Dec 31, 2017 Dec 31, 2016
in € bn. Carrying Value Liquidity Value Carrying Value Liquidity Value
Available cash and cash equivalents (held primarily at central banks) 222 222 178 178
Parent (incl. foreign branches) 189 189 136 136
Subsidiaries 33 33 42 42
Highly liquid securities (includes government, government
guaranteed and agency securities) 39 37 27 25
Other unencumbered central bank eligible securities 19 13 14 9
Total liquidity reserves 280 272 219 212
As of December 31, 2017, our liquidity reserves amounted to € 280 billion compared with € 219 billion as of December 31, 2016.
The increase of € 61 billion comprised a € 44 billion increase in cash and cash equivalents, a € 12 billion increase in highly
liquid securities and a € 5 billion increase in other unencumbered securities. The development was largely driven by a steady
growth of stable funding sources, as well as an adaption of internal and regulatory liquidity models that resulted in an increase
in the requirement for liquidity buffers. Our average liquidity reserves during the year were € 269.3 billion compared with
€ 212.4 billion during 2016. In the table above the carrying value represents the market value of our liquidity reserves while the
liquidity value reflects our assumption 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.
The liquidity value (weighted) of our Liquidity Reserves of € 272 billion exceeds the liquidity value (weighted) of our High Quality
Liquid Assets (HQLA) of € 247 billion. The major drivers of this difference are that Liquidity Reserves include central bank eligi-
ble, but otherwise less liquid securities (for example traded loans, other investment grade corporate bonds and ABS) which are
not recognized in HQLA. Additionally, HQLA includes major index equities, but excludes cash balances deposited with central
banks to satisfy minimum cash requirements as well as cash balances deposited with non EU Central Banks rated below AA-
which are included in the LCR but not as part of the HQLA.
Liquidity Coverage Ratio

The final EBA guidelines on LCR disclosure released on March 8, 2017 (EBA/GL/2017/01) requires us to disclose the average
of month-end observations over twelve months preceding the end of each quarter instead of the year-end LCR. Therefore, this
year’s disclosed LCR for 2016 will differ slightly from the disclosed LCR in the previous year. For reference, we have additional-
ly included the year-end LCR numbers below.
Our weighted average LCR of 144 % (twelve months average) has been calculated in accordance with the Commission Dele-
gated Regulation (EU) 2015/61 and the EBA Guidelines on LCR disclosure to complement the disclosure of liquidity risk man-
agement under Article 435 CRR. Due to changes of the calculation method in October 2016, the December 2016 weighted
average LCR of 121 % includes 3 data points (October – December 2016) whereas the December 2017 LCR includes 12 data
points (January – December 2017).
The year-end LCR as of December 31, 2017 stands at 140 % compared to 128 % as of December 31, 2016
LCR components
Dec 31, 2017 Dec 31, 2016
Total adjusted Total adjusted
weighted value weighted value
in € bn. (unless stated otherwise) (average) (average)
Number of data points used in the calculation of averages 12 3
Liquidity buffer 247 191
Total net cash outflows 172 158
Liquidity Coverage Ratio (LCR) in % 144 % 121 %
129
Annual Report 2017
Funding Risk Management

Structural Funding
All funding matrices (the aggregate currency, the U.S. dollar and the GBP funding matrix) were in line with the respective risk
appetite as of year ends 2017 and 2016.
Stress Testing and Scenario Analysis

During 2017, our stressed Net Liquidity Position remained well above the risk appetite and finished 2017 with a surplus of
€ 33 billion.
Global All Currency Daily Stress Testing Results

Dec 31, 2017 Dec 31, 2016
Funding Gap Net Liquidity Funding Gap Net Liquidity
in € bn. Gap1 Closure2 Position3 Gap1 Closure2 Position3
Systemic market risk 121 284 163 64 204 141
Emerging markets 28 228 200 10 190 180
1 notch downgrade (DB specific) 79 252 173 43 195 152
Severe downgrade (DB specific) 287 331 43 178 224 46
Combined4 318 351 33 206 242 36
1 Funding gap caused by impaired rollover of liabilities and other projected outflows.
2 Based on liquidity generation through Liquidity Reserves and other countermeasures.
3 2017 scenario shows the minimum net liquidity position over the stress period, whereas 2016 shows the net liquidity position at the end of the stress period.
4 Combined impact of systemic market risk and severe downgrade.
Global EUR Daily Stress Testing Results 5

Dec 31, 2017 Dec 31, 2016
in € Gap1 Closure2 Position3 Gap1 Closure2 Position3
Combined4 157 172 15 - - -
1
Funding gap caused by impaired rollover of liabilities and other projected outflows.
2
Based on liquidity generation through Liquidity Reserves and other countermeasures.
3
2017 scenario shows the minimum net liquidity position over the stress period.
4
Combined impact of systemic market risk and severe downgrade.
5
Standalone EUR Stress test has been implemented in 2017, therefore no comparison to 2016.
Global USD Daily Stress Testing Results

Dec 31, 2017 Dec 31, 2016
in € bn. Gap1 Closure2 Position3 Gap1 Closure2 Position3
Combined4 114 127 13 94 164 69
1
Funding gap caused by impaired rollover of liabilities and other projected outflows.
2
Based on liquidity generation through Liquidity Reserves and other countermeasures.
3
2017 scenario shows the minimum net liquidity position over the stress period, whereas 2016 shows the net liquidity position at the end of the stress period.
4
Combined impact of systemic market risk and severe downgrade.
Global GBP Daily Stress Testing Results

Dec 31, 2017 Dec 31, 2016
Net Liquidity Funding Gap Net Liquidity
in € bn. Funding Gap1 Gap Closure2 Position 3
Gap1 Closure2 Position3
Combined4 14 18 4 10 20 10
1 Funding gap caused by impaired rollover of liabilities and other projected outflows.
2 Based on liquidity generation through Liquidity Reserves and other countermeasures.
3 2017 scenario shows the minimum net liquidity position over the stress period, whereas 2016 shows the net liquidity position at the end of the stress period.
4 Combined impact of systemic market risk and severe downgrade.
The following table presents the amount of additional collateral required in the event of a one- or two-notch downgrade by rating
agencies for all currencies.
Additional Contractual Obligations

Dec 31, 2017 Dec 31, 2016
One-notch Two-notch One-notch Two-notch
in € m. downgrade downgrade downgrade downgrade
Contractual derivatives funding or margin requirements 1,024 1,577 1,470 1,982
Other contractual funding or margin requirements 317 1,459 317 1,459
130
Asset Encumbrance
This section refers to asset encumbrance in the group of institutions consolidated for banking regulatory purposes pursuant to
the German Banking Act. Thereunder not included are insurance companies or companies outside the finance sector. Assets
pledged by our insurance subsidiaries are included in Note 22 “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 40 “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 the EBA technical standards on regulato-
ry asset encumbrance reporting, we consider as encumbered 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. 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 readi-
ly available.
The readily available value represents the current balance sheet carrying 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 ready 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

Dec 31, 2017
Carrying value
Unencumbered assets
in € bn. Encumbered Readily
(unless stated otherwise) Assets assets available Other
Debt securities 148 65 84 0
Equity instruments 86 63 23 0
Other assets:
Cash and due from banks & Interest earning deposits with Banks 234 11 223 0
Securities borrowed or purchased under resale agreements 1 27 0 0 27
Financial assets at fair value through profit and loss 2
Trading assets 11 0 11 0
Positive market value from derivative financial instruments 363 0 0 363
Other financial assets at fair value through profit or loss 5 0 5 0
Financial assets available for sale2 3 0 3 0
Loans 417 70 15 332
Other assets 108 42 0 66
Total 1,480 251 363 866
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).
Dec 31, 2017

Fair value of collateral received
Unencumbered assets
Collateral received: 365 307 58 0
Other collateral received 0 0 0 0
131
Annual Report 2017
Dec 31, 20163

Carrying value
Unencumbered assets
Other assets:
Cash and due from banks & Interest earning deposits with Banks 191 12 179 0
Financial assets at fair value through profit and loss 2
Trading assets 14 0 14 0
Positive market value from derivative financial instruments 488 0 0 488
Other financial assets at fair value through profit or loss 7 0 7 0
Financial assets available for sale2 3 0 3 0
Loans 419 72 17 329
Other assets 139 55 0 84
Total 1,591 270 315 1,005
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).
3 Prior period results have been restated due to a refined approach to determine assets pledged.
Dec 31, 20161

Fair value of collateral received
Unencumbered assets
Collateral received: 322 260 62 0
Other collateral received 0 0 0 0
1 Prior period results have been restated due to a refined approach to determine collateral received and collateral re-pledged.
The above tables set out a breakdown of on- and off-balance sheet items, broken down between encumbered, readily available
and other. Any securities borrowed or purchased under resale agreements are shown based on the fair value of collateral re-
ceived.
The above tables of encumbered assets include 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 due to local connected lending
requirements or similar regulatory restrictions. In this situation it is not feasible to identify individual balance sheet items that
cannot be transferred.
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 stabil-
ity 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 posi-
tions > 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 exercisable
maturity as of December 31, 2017 and 2016, respectively.
132
Analysis of the earliest contractual maturity of assets

Dec 31, 2017
On
demand Over Over Over Over Over Over
(incl. 1 month 3 months 6 months 9 months 1 year 2 years
Overnight to no but no but no but no but no but no
and Up to more more more more more more
one day one than than than than than than Over
in € m. notice) month 3 months 6 months 9 months 1 year 2 years 5 years 5 years Total
Cash and central bank
balances 222,082 1,173 106 94 29 2,053 118 0 0 225,655
Interbank balances
(w/o central banks) 4,737 2,613 305 215 116 696 122 0 463 9,265
Central bank funds sold 0 0 0 0 0 0 0 0 0 0
Securities purchased under
resale agreements 29 4,625 1,220 1,277 1,448 617 561 89 105 9,971
With banks 21 3,758 585 735 1,400 443 468 0 0 7,409
With customers 8 867 635 542 48 175 94 89 105 2,562
Securities borrowed 15,786 553 49 0 323 0 22 0 0 16,732
With banks 1,889 283 0 0 0 0 0 0 0 2,172
With customers 13,896 270 49 0 323 0 22 0 0 14,560
Financial assets at fair value
through profit or loss – trading 565,632 40,074 14,269 1,914 731 455 1,805 3,047 9,043 636,970
Trading assets 184,661 0 0 0 0 0 0 0 0 184,661
Fixed-income securities
and loans 98,140 0 0 0 0 0 0 0 0 98,140
Equities and other variable-
income securities 85,932 0 0 0 0 0 0 0 0 85,932
Other trading assets 590 0 0 0 0 0 0 0 0 590
Positive market values from
derivative financial instru-
ments 361,032 0 0 0 0 0 0 0 0 361,032
Financial assets designated
at fair
value through profit or loss 19,938 40,074 14,269 1,914 731 455 1,805 3,047 9,043 91,276
resale agreements 5,364 36,195 12,160 1,115 662 125 1,066 903 253 57,843
Securities borrowed 14,540 3,786 1,928 0 0 0 0 0 0 20,254
and loans 34 93 182 799 68 17 720 2,144 8,216 12,273
income securities 0 0 0 0 0 132 20 0 573 725
Other financial assets
designated at fair value
through profit or loss 0 0 0 0 0 181 0 0 1 182
derivative financial instruments
qualifying for hedge accounting 0 40 191 26 139 9 119 1,029 1,601 3,153
Financial assets available for
sale 47 1,175 1,257 2,934 1,728 2,742 5,469 15,438 18,608 49,397
Fixed-income securities and
loans 24 969 1,253 2,934 1,728 2,021 5,404 15,418 18,016 47,766
income securities 23 206 4 0 0 721 64 20 592 1,630
Loans 17,334 27,284 27,229 17,442 9,273 14,628 27,053 62,232 199,225 401,699
To banks 787 2,163 2,832 1,979 1,253 821 1,103 670 1,230 12,838
To customers 16,546 25,121 24,397 15,463 8,021 13,807 25,950 61,562 197,995 388,862
Retail 4,291 4,725 4,645 1,632 1,721 1,313 4,720 15,216 151,449 189,712
Corporates and other
customers 12,256 20,395 19,752 13,831 6,300 12,493 21,230 46,346 46,546 199,149
Securities held to maturity 0 0 0 0 0 0 0 1,652 1,518 3,170
Other financial assets 85,083 352 179 135 92 143 21 433 74 86,513
Total financial assets 910,728 77,889 44,804 24,037 13,878 21,343 35,290 83,920 230,636 1,442,525
Other assets 20,451 0 0 0 0 0 0 0 11,756 32,207
Total assets 931,178 77,889 44,804 24,037 13,878 21,343 35,290 83,920 242,392 1,474,732
133
Annual Report 2017
Analysis of the earliest contractual maturity of assets

Dec 31, 2016
On
demand Over Over Over Over Over Over
(incl. 1 month 3 months 6 months 9 months 1 year 2 years
Overnight to no but no but no but no but no but no
and Up to more more more more more more
Cash and central bank
balances 177,648 539 131 121 334 2,591 0 0 0 181,364
Interbank balances
(w/o central banks) 5,841 3,578 596 83 65 834 115 26 469 11,606
Central bank funds sold 0 0 0 0 0 0 0 0 0 0
resale agreements 631 4,204 5,852 3,170 1,368 532 449 15 67 16,287
With banks 604 2,534 5,026 2,077 1,217 461 0 0 0 11,918
With customers 27 1,670 826 1,093 152 71 449 15 67 4,370
Securities borrowed 19,548 532 0 0 0 0 0 0 0 20,081
With banks 2,459 52 0 0 0 0 0 0 0 2,511
With customers 17,089 480 0 0 0 0 0 0 0 17,570
Financial assets at fair value
through profit or loss – trading 677,696 33,314 9,577 1,752 776 1,983 2,995 2,803 12,884 743,781
Trading assets 171,044 0 0 0 0 0 0 0 0 171,044
and loans 94,486 0 0 0 0 0 0 0 0 94,486
income securities 75,633 0 0 0 0 0 0 0 0 75,633
Other trading assets 924 0 0 0 0 0 0 0 0 924
derivative financial instru-
ments 485,150 0 0 0 0 0 0 0 0 485,150
Financial assets designated
at fair
value through profit or loss 21,502 33,314 9,577 1,752 776 1,983 2,995 2,803 12,884 87,587
resale agreements 7,154 28,691 6,810 914 110 1,256 995 608 866 47,404
Securities borrowed 14,227 4,561 2,348 0 0 0 0 0 0 21,136
and loans 120 62 419 838 666 232 1,992 2,195 11,399 17,923
income securities 0 0 0 0 0 146 0 0 590 736
Other financial assets
through profit or loss 1 0 0 0 0 350 7 0 29 387
qualifying for hedge accounting 0 61 201 39 52 30 257 1,030 1,846 3,516
Financial assets available for
sale 471 1,154 2,344 1,031 1,915 2,298 9,210 18,778 19,028 56,228
Fixed-income securities and
loans 251 1,008 2,341 1,031 1,915 1,334 9,210 18,733 18,452 54,275
income securities 219 146 3 0 0 964 0 45 575 1,953
Loans 18,364 23,666 26,185 29,223 9,128 9,107 28,787 66,383 198,067 408,909
To banks 937 1,978 3,043 2,425 650 641 1,529 1,298 775 13,276
To customers 17,427 21,688 23,142 26,798 8,477 8,467 27,258 65,085 197,292 395,633
Retail 6,446 3,872 5,436 2,397 1,630 2,055 5,634 17,450 157,616 202,536
customers 10,980 17,816 17,706 24,401 6,847 6,412 21,624 47,635 39,676 193,097
Securities held to maturity 0 0 0 0 0 0 0 1,515 1,691 3,206
Other financial assets 104,400 475 1,052 221 240 135 58 671 2,878 110,131
Total financial assets 1,004,599 67,523 45,937 35,640 13,878 17,510 41,870 91,221 236,931 1,555,109
Other assets 23,492 0 0 0 0 0 0 0 11,944 35,437
Total assets 1,028,091 67,523 45,937 35,640 13,878 17,510 41,870 91,221 248,875 1,590,546
134
The following tables present a maturity analysis of our total liabilities based on carrying value and upon earliest legally exercisa-
ble maturity as of December 31, 2017 and 2016, respectively.
Analysis of the earliest contractual maturity of liabilities

Dec 31, 2017
On Over Over Over Over Over Over
demand 1 month 3 months 6 months 9 months 1 year 2 years
(incl. Over- to no but no but no but no but no but no
night and Up to more more more more more more
Deposits 359,619 34,022 111,695 23,800 12,196 9,416 9,133 9,175 11,757 580,812
Due to banks 58,070 5,618 10,520 4,464 1,081 1,345 2,744 5,277 8,921 98,041
Due to customers 301,549 28,404 101,174 19,336 11,115 8,071 6,389 3,898 2,836 482,771
Retail 120,110 10,308 73,883 3,014 2,011 1,264 948 859 271 212,669
customers 181,439 18,095 27,291 16,323 9,103 6,806 5,441 3,038 2,565 270,102
Trading liabilities 414,189 0 0 0 0 0 0 0 0 414,189
Trading securities 71,148 0 0 0 0 0 0 0 0 71,148
Other trading liabilities 314 0 0 0 0 0 0 0 0 314
Negative market values from
derivative financial
instruments 342,726 0 0 0 0 0 0 0 0 342,726
Financial liabilities designed at
fair value through profit or loss
(without loan commitments and
financial guarantees) 16,018 29,236 6,080 1,574 548 5,520 665 1,091 3,134 63,866
Securities sold under repur-
chase agreements 14,722 28,857 4,167 1,089 5 4,897 62 24 18 53,840
Long-term debt 256 33 582 323 345 427 603 889 2,980 6,439
Other financial liabilities
through
profit or loss 1,040 346 1,332 161 199 196 1 178 136 3,587
Investment contract liabilities 0 0 0 0 0 574 0 0 0 574
qualifying for hedge accounting 0 11 58 230 65 41 423 249 218 1,294
Central bank funds purchased 174 83 0 0 0 0 0 0 0 257
chase agreements 14,143 353 1,497 409 94 837 476 16 23 17,849
Due to banks 11,459 266 1,453 327 43 736 476 11 0 14,772
Due to customers 2,684 87 44 82 52 102 0 5 23 3,077
Securities loaned 6,684 3 1 0 0 0 0 0 1 6,688
Due to banks 2,253 3 0 0 0 0 0 0 1 2,256
Due to customers 4,432 0 1 0 0 0 0 0 0 4,433
Other short term borrowings 11,831 848 1,542 1,227 738 2,226 0 0 0 18,411
Long-term debt 0 886 5,029 16,419 9,931 14,137 21,218 49,923 42,172 159,715
Debt securities - senior 0 626 4,266 3,481 5,873 3,334 19,392 45,546 26,978 109,496
Debt securities - subordi-
nated 0 0 189 267 67 11 48 1,096 5,554 7,232
Other long-term debt - senior 0 210 529 12,496 3,886 10,722 1,685 3,230 9,362 42,120
Other long-term debt -
subordinated 0 50 45 176 105 70 93 50 278 868
Trust Preferred Securities 0 0 1,644 2,723 274 183 666 0 0 5,491
Other financial liabilities 112,960 1,254 2,228 180 197 177 204 163 4 117,367
Total financial liabilities 935,618 66,696 129,775 46,562 24,044 33,110 32,785 60,616 57,308 1,386,513
Other liabilities 20,112 0 0 0 0 0 0 0 0 20,112
Total equity 0 0 0 0 0 0 0 0 68,099 68,099
Total liabilities and equity 955,730 66,696 129,775 46,562 24,044 33,110 32,785 60,616 125,407 1,474,724
Off-balance sheet commitments
given 6,290 8,484 10,418 16,261 8,234 15,928 27,732 84,121 28,996 206,464
Banks 238 406 1,398 1,591 557 733 952 346 216 6,437
Retail 352 253 389 247 108 205 223 445 8,483 10,706
customers 5,700 7,825 8,630 14,423 7,569 14,990 26,557 83,330 20,297 189,320
135
Annual Report 2017
Analysis of the earliest contractual maturity of liabilities

Dec 31, 2016
On Over Over Over Over Over Over
demand 1 month 3 months 6 months 9 months 1 year 2 years
(incl. Over- to no but no but no but no but no but no
night and Up to more more more more more more
Deposits 329,776 36,590 110,606 17,562 15,756 12,595 8,532 8,041 10,746 550,204
Due to banks 64,438 9,602 13,129 2,279 6,175 4,220 1,885 5,372 8,993 116,094
Due to customers 265,337 26,988 97,477 15,283 9,581 8,375 6,647 2,669 1,752 434,110
Retail 109,943 10,761 75,517 3,191 1,744 902 785 911 279 204,033
customers 155,395 16,227 21,960 12,093 7,837 7,472 5,862 1,758 1,473 230,077
Trading liabilities 520,887 0 0 0 0 0 0 0 0 520,887
Trading securities 56,592 0 0 0 0 0 0 0 0 56,592
Other trading liabilities 437 0 0 0 0 0 0 0 0 437
derivative financial
instruments 463,858 0 0 0 0 0 0 0 0 463,858
Financial liabilities designed at
fair value through profit or loss
(without loan commitments and
financial guarantees) 1,992 38,633 8,123 2,212 744 3,745 1,031 1,004 2,969 60,452
chase agreements 1,587 36,128 7,584 1,791 2 2,739 566 0 0 50,397
Long-term debt 201 73 329 384 640 859 398 949 2,640 6,473
Other financial liabilities
through
profit or loss 203 2,432 210 37 102 147 68 55 329 3,582
Investment contract liabilities 0 0 0 0 0 592 0 0 0 592
qualifying for hedge accounting 0 249 324 194 312 231 943 1,484 856 4,593
Central bank funds purchased 353 0 0 0 0 0 0 0 0 353
chase agreements 19,957 1,510 844 1,191 0 1,178 434 271 0 25,387
Due to banks 14,934 1,510 844 1,191 0 1,178 292 271 0 20,222
Due to customers 5,023 0 0 0 0 0 142 0 0 5,165
Securities loaned 3,587 10 1 0 0 0 0 0 0 3,598
Due to banks 1,488 4 0 0 0 0 0 0 0 1,492
Due to customers 2,099 6 1 0 0 0 0 0 0 2,106
Other short term borrowings 13,216 921 1,073 265 1,292 529 0 0 0 17,295
Long-term debt 0 1,037 5,275 8,143 10,113 4,190 43,315 56,444 43,799 172,316
Debt securities - senior 0 989 5,085 7,476 9,772 3,534 13,284 51,704 30,162 122,006
Debt securities - subordi-
nated 0 0 0 0 0 231 140 1,124 5,293 6,788
Other long-term debt - senior 0 43 190 582 284 384 29,507 3,496 8,063 42,549
Other long-term debt -
subordinated 0 5 0 85 56 42 384 120 281 974
Trust Preferred Securities 0 0 0 730 1,054 413 4,176 0 0 6,373
Other financial liabilities 128,398 976 1,665 221 201 161 295 112 3,246 135,274
Total financial liabilities 1,018,165 79,926 127,911 30,518 29,473 23,635 58,726 67,356 61,616 1,497,325
Other liabilities 28,362 0 0 0 0 0 0 0 0 28,362
Total equity 0 0 0 0 0 0 0 0 64,819 64,819
Total liabilities and equity 1,046,527 79,926 127,911 30,518 29,473 23,635 58,726 67,356 126,435 1,590,506
Off-balance sheet commitments
given 6,061 9,569 8,896 13,765 8,708 14,794 30,609 98,024 27,978 218,404
Banks 305 688 1,501 1,671 602 587 1,185 958 192 7,688
Retail 253 124 95 226 283 387 757 538 8,875 11,540
customers 5,503 8,757 7,300 11,868 7,823 13,820 28,667 96,528 18,911 199,176
136

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Risk Report

Disclosures in line with IFRS 7 and IAS 1

Disclosures according to Pillar 3 of the Basel 3 Capital Frame-

Disclosures according to principles and recommendations of

Risk and Capital Overview

Key Risk Metrics

Common Equity Tier 1 Ratio Total Risk-Weighted Assets

Internal Capital Adequacy Ratio 1 Total Economic Capital2

Leverage Ratio Leverage Exposure

Liquidity Coverage Ratio Stressed Net Liquidity Position (sNLP)

Overall Risk Assessment

Overall risk position as measured by economic capital usage by risk type

Risk profile of our business divisions as measured by economic capital

Dec 31, 20161

Risk and Capital Framework

Risk Management Principles

‒ Risk is taken within a defined risk appetite;

Several layers of management provide cohesive risk governance:

Risk Management Governance Structure of the Deutsche Bank Group

‒ Specific risk types

The key risk management committees of Postbank are:

Risk Appetite and Capacity

Risk and Capital Plan

‒ Balanced risk adjusted performance across business areas and units;

The Strategic and Capital Planning process allows us to:

Internal Capital Adequacy Assessment Process

Stress Testing Framework of Deutsche Bank Group

Risk Reporting and Measurement Systems

Recovery and Resolution Planning

MREL and TLAC

Risk and Capital Management

Resource Limit Setting

Risk Identification and Assessment

Credit Risk Management

Measuring Credit Risk

Managing and Mitigation of Credit Risk

Mitigation of Credit Risk on Counterparty Level

We segregate collateral received into the following two types:

Concentrations within Credit Risk Mitigation

Managing Credit Risk on Portfolio Level

Industry Risk Management

Country Risk Management

Product/Asset Class specific Risk Management

Market Risk Management

We distinguish between three substantially different types of market risk:

Market Risk Measurement

Trading Market Risk

Internally developed Market Risk Models

Incremental Risk Charge

Comprehensive Risk Measure

Market Risk Standardized Approach

Market Risk Stress Testing

Trading Market Risk Economic Capital (TMR EC)

Traded Default Risk Economic Capital (TDR EC)

Trading Market Risk Reporting

Regulatory prudent valuation of assets carried at fair value

Nontrading Market Risk

Interest Rate Risk in the Banking Book

Credit Spread Risk in the Banking Book