Q2 2018 Fixed Income Investor Conference Call
Minimum Requirement for Own Funds and Eligible
Liabilities (MREL) (1)
Single Resolution Board (SRB) methodology (% RWA)
Pillar 1 minimum requirement
Pillar 2 requirement
Requirements
Combined buffer requirement (2)
Market Confidence
Charge(3)
29.27%
-
Loss Absorption Amount
8.00%
8.00%
2.75%
2.75%
4.51%
Recapitalization
Amount
3.26%
MREL requirement calculated by the Single Resolution
Board (SRB) from a % of risk-weighted assets (RWA),
currently calibrated based on year-end 2016 data
SRB translates the RWA-based requirement into a
proportion of Total Liabilities and Own Funds (TLOF) (4)
DB figures
-
DB year-end 2016 RWA: € 357bn
MREL has been calculated from 29.27% of RWA
(i.e. € 104.5bn)
DB year-end 2016 TLOF: € 1,144bn
SRB set MREL requirement of 9.14% of TLOF
(i.e. € 104.5bn MREL / € 1,144bn TLOF)
DB MREL requirement as per Q2 2018: € 101bn
(9.14% times TLOF of 1,102bn)
-
Excess of € 18bn given available MREL of € 119bn
(1)
(2)
(3)
(4)
2017 MREL Policy as published by Single Resolution Board (SRB) at the 6th Industry Dialogue (Nov 21, 2017)
Includes G-SIB buffer (2%), Capital conservation buffer (2.5%) and Countercyclical buffer (0.01%)
Defined by the SRB as the Combined buffer less 1.25%
Total Liabilities and Own Funds: Principally IFRS total liabilities with derivatives after consideration of netting and IFRS equity replaced by total regulatory capital (own funds)
Deutsche Bank
Investor Relations
Q2 2018 Fixed Income Investor Call
27 July 2018
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