SEC Form 20-F - Deutsche Bank Annual Report 2012

Deutsche Bank Additional Notes F-147
Annual Report 2010 on Form 20-F 33 – Employee Benefits
The nominal increase for pensions in payment assumptions are developed separately, where relevant, for each
plan, reflecting a building block approach from the price inflation assumption and reflecting relevant local
statutory and plan-specific requirements.
The expected rate of return on assets is developed separately for each funded plan, using a building block
approach recognizing each plan’s target asset allocation at the measurement date and the assumed return on
assets for each asset category. The general principle is to use a risk-free rate as a benchmark, with adjustments
for the effect of duration and specific relevant factors for each major category of plan assets where appropriate.
For example, the expected rate of return for equities and property is derived by adding a respective risk
premium to the risk-free rate.
Mortality assumptions can be significant in measuring the Group’s obligations under its defined benefit plans.
These assumptions have been set in accordance with current best practice in the respective countries. Future
longevity improvements have been considered and included where appropriate.
In determining expenses for post-employment medical plans, an annual weighted-average rate of increase of
8.2 % in the per capita cost of covered health care benefits was assumed for 2011. The rate is assumed to
decrease gradually to 4.9 % by the end of 2017 and to remain at that level thereafter.
Pension Fund Investments
The Group’s primary investment objective is to immunize broadly the Group to large swings in the funded status
of its retirement benefit plans, with some limited amount of risk-taking through duration mismatches and asset
class diversification to reduce the Group’s costs of providing the benefits to employees in the long term. The
aim is to maximize returns within the Group’s risk tolerance.
The weighted-average asset allocation of the Group’s funded retirement benefit plans as of December 31,
2010 and 2009, as well as the target allocation by asset category are as follows.
Percentage of plan assets
Target allocation Dec 31, 2010 Dec 31, 2009
Asset categories:
Equity instruments 11 % 9 % 8 %
Debt instruments (including Cash and Derivatives) 85 % 88 % 90 %
Alternative Investments (including Property) 4 % 3 % 2 %
Total asset categories 100 % 100 % 100 %
The actual return on plan assets for the years ended December 31, 2010, and December 31, 2009, was
€ 714 million and € 495 million, respectively.
Plan assets as of December 31, 2010, include derivative transactions with Group entities with a negative market
value of € 2 million. In addition, there are € 99 million of securities issued by the Group included in the plan assets.