Deutsche Bank Results Presentation Deck
Derivatives bridge
Q3 2023, IFRS derivative trading assets and the impact of netting and collateral, in € bn
288
IFRS
(211)
Impact of
master netting
agreements
Notes: for footnotes refer to slides 38 and 39
Deutsche Bank
Investor Relations
(40)
Cash collateral
(13)
Financial
instrument
collateral¹
23
Net amount
Q3 2023 Fixed Income Investor Call
October 27, 2023
/
Key highlights
> 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 € 288bn would
fall to € 23bn 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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