Deutsche Bank Fixed Income Presentation Deck
Derivatives bridge
Q1 2023, IFRS derivative trading assets and the impact of netting and collateral, in € bn
246
IFRS
(185)
Impact of
Master Netting
Agreements
Note: For footnotes refer to slides 35 and 36
Deutsche Bank
Investor Relations
(35)
Cash Collateral
(9)
Financial
Instrument
Collateral¹
17
Net amount
Q1 2023 Fixed Income Investor Call
April 28, 2023
/
Gross notional derivative exposure amounts are not exchanged
and relate only to the reference amount of all contracts; it is no
reflection of the credit or market risk run by a bank
> On DB's IFRS balance sheet, derivative trading assets are
reported with their positive market values, representing the
maximum exposure to credit risk prior to any credit
enhancements
> Under IFRS accounting, the conditions to be met allowing for
netting on the balance sheet are much stricter compared to US
GAAP
> DB's reported IFRS derivative trading assets of € 246bn would
fall to € 17bn on a net basis, after considering legally
enforceable Master Netting Agreements² in place and collateral
received
> In addition, DB actively hedges its net derivatives trading
exposure to further reduce the economic risk
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