Company: ADZCF
Filing Date: 2025-03-13
Form Type: 20-F
Source: 0001159508-25-000020
Chunk: 396

Company: DEUTSCHE BANK AKTIENGESELLSCHAFT
Filing Date: 2025-03-13
Form: 20-F
Chunk 396
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0.6 |     |          0.8 |     |         -0.6 |     |         -0.1 |
| Maximum          |     |         -5.8 |     |         -5.1 |     |         -0.7 |     |         -0.3 |
| in € bn.         |     | Dec 31, 2024 |     | Dec 31, 2023 |     |              |     |              |
| Tier 1 Capital   |     |         60.8 |     |         56.4 |     |              |     |              |

1 Delta Net Interest Income (NII) reflects the difference between projected NII in the respective scenario with shifted rates vs. market implied rates. Sensitivities are based on a static balance sheet at constant exchange rates, excluding trading positions and DWS. Figures do not include Mark-to-Market (MtM) / Other Comprehensive Income (OCI) effects on centrally managed positions not eligible for hedge accounting The maximum economic value of equity loss was € (5.8) billion as of December 2024, compared to € (5.1) billion as of December 2023. As per December 2024 the maximum EVE loss represents 9.6 % of Tier 1 Capital. The maximum economic value of equity (EVE) loss due to a +200 basis points parallel shift of the yield curve across all currencies as defined by the BaFin was € (5.8) billion as of December 2024, representing 8.4 % of Total Capital. The change in economic value of equity loss for the “Parallel up” interest rate scenario was driven by model changes and by additional risk positions to stabilize and protect net interest income as well as rebalancing activities related to the interest rate risk positions within the Bank’s Treasury portfolio. The maximum one-year loss in net interest income for the “Parallel down” interest rate scenario was € (0.7) billion as of December 2024, compared to € (0.3) billion as of December 2023. The increase in the maximum net interest income loss in the “Parallel down” scenario was mainly driven by additional downside risk arising from the behavioral model assumptions applied to Deutsche Bank’s Private Bank and Corporate Bank deposits, changes in the interest rate environment as well as a result of Deutsche Bank’s net interest income risk hedge strategy. The following table shows the variation of the economic value for Deutsche Bank’s banking book positions