Company: ADZCF
Filing Date: 2025-03-13
Form Type: 20-F
Source: 0001159508-25-000020
Chunk: 336

Company: DEUTSCHE BANK AKTIENGESELLSCHAFT
Filing Date: 2025-03-13
Form: 20-F
Chunk 336
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868 |     |               1,589 |

Organic changes in the Group´s 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 and netting coverage activities. “Model updates” include model refinements and advanced model roll out. RWA movements resulting from externally, regulatory-driven changes, e.g., applying new regulations, are considered in the “methodology and policy” section. “Acquisition and disposals” 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”. RWA for credit risk increased by € 11.2 billion, or 4.2%, since December 31, 2023, which is mainly driven by the categories “foreign exchange movements”, “book size”, “model updates”, “methodology and policy” as well as “other” and was partly offset by category “book quality”. The increase in category “book size” is reflecting Deutsche Bank´s business growth in 2024 and increased equity shares in guaranteed funds, partly offset by capital efficiency measures in the form of synthetic securitizations in the Corporate Bank, the Private Bank and the Investment Bank. Furthermore, credit risk RWA increased in the category “model updates” compared to 2023, mainly driven by a refinement of internal model for loss given default calculation and a margin of conservatism applied on a key model input. The category “methodology and policy” mainly reflects impacts from the introduction of new models due to regulatory changes, including impacts from an early adoption of rules as per CRR3, which was partly offset by impacts from the remediation of regulatory obligations. Additionally, the increase in category “other” reflects higher RWA for deferred tax assets and investments in financial sector entities. The aforementioned increases were partly offset by decreases in category “book quality” which is mainly driven by RWA reductions from capital efficiency measures, partly offset by counterparty rating deteriorations. RWA for counterparty credit risk decreased by € 0.4 billion, or 2.0%, since December 31, 2023, mainly driven by the decrease in category “book size” reflecting a change in the derivative portfolio with reduced risk weights, which more than compensated the increase in exposures. Additionally, exposures for SFTs decreased. These decreases were partly offset by increases in categories “