Company: ADZCF
Filing Date: 2025-03-13
Form Type: 20-F
Source: 0001159508-25-000020
Chunk: 337

Company: DEUTSCHE BANK AKTIENGESELLSCHAFT
Filing Date: 2025-03-13
Form: 20-F
Chunk 337
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foreign exchange movements” and “model updates” reflecting an update to the determination of input parameters. Based on the CRR/CRD regulatory framework, Deutsche Bank is 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 and securities financing transactions. Deutsche Bank calculates the majority of the CVA based on our own internal model as approved by the BaFin.

| 110 |

| Deutsche Bank      |
| Annual Report 2024 |

Development of risk-weighted assets for Credit Valuation Adjustment

|                                        |     | Dec 31, 2024 |     |                     |     | Dec 31, 2023 |     |                     |
|:---------------------------------------|:----|-------------:|:----|--------------------:|:----|-------------:|:----|--------------------:|
| in € m.                                |     |      CVA RWA |     | Capitalrequirements |     |      CVA RWA |     | Capitalrequirements |
| CVA RWA balance, beginning of year     |     |        5,276 |     |                 422 |     |        6,184 |     |                 495 |
| Movement in risk levels                |     |       -1,205 |     |                 -96 |     |          170 |     |                  14 |
| Market data changes and recalibrations |     |         -640 |     |                 -51 |     |         -656 |     |                 -52 |
| Model updates                          |     |            0 |     |                   0 |     |         -683 |     |                 -55 |
| Methodology and policy                 |     |            0 |     |                   0 |     |          261 |     |                  21 |
| Acquisitions and disposals             |     |            0 |     |                   0 |     |            0 |     |                   0 |
| Foreign exchange movements             |     |            0 |     |                   0 |     |            0 |     |                   0 |
| CVA RWA balance, end of year           |     |        3,431 |     |                 274 |     |        5,276 |     |                 422 |

The development of CVA RWA is broken down into a number of categories: