SEC Form 20-F - Deutsche Bank Annual Report 2012

Deutsche Bank Additional Notes F-168
Annual Report 2010 on Form 20-F 39 – Insurance and Investment Contracts
Other Assumptions
The take-up rate of guaranteed annuity rate options on pension business is assumed to be 64 % for the year
ended December 31, 2010 and 60 % for the year ended December 31, 2009.
Key Assumptions impacting Value of Business Acquired (VOBA)
The opening VOBA arising on the purchase of Abbey Life Assurance Company Limited was determined by
capitalizing the present value of the future cash flows of the business over the reported liability at the date of
acquisition. If assumptions were required about future mortality, morbidity, persistency and expenses, they were
determined on a best estimate basis taking into account the business’s own experience. General economic
assumptions were set considering the economic indicators at the date of acquisition.
The rate of VOBA amortization is determined by considering the profile of the business acquired and the expected
depletion in future value. At the end of each accounting period, the remaining VOBA is tested against the future
net profit expected related to the business that was in force at the date of acquisition.
If there is insufficient net profit, the VOBA will be written down to its supportable value.
Key Changes in Assumptions
Upon acquisition of Abbey Life Assurance Company Limited in October 2007, liabilities for insurance contracts
were recalculated from a regulatory basis to a best estimate basis in line with the provisions of IFRS 4. The
non-economic assumptions set at that time have not been changed but the economic assumptions have been
reviewed in line with changes in key economic indicators. For annuity contracts, the liability was valued using
the locked-in basis determined at the date of acquisition.
Sensitivity Analysis (in respect of Insurance Contracts only)
The following table presents the sensitivity of the Group’s profit before tax and equity to changes in some of the
key assumptions used for insurance contract liability calculations. For each sensitivity test, the impact of a
reasonably possible change in a single factor is shown with other assumptions left unchanged.
Impact on profit before tax Impact on equity
in € m. 2010 2009 2
2010 2009 2
Variable:
Mortality 1 (worsening by ten percent) (12) (11) (9) (8)
Renewal expense (ten percent increase) (2) (2) (1) (1)
Interest rate (one percent increase) 14 7 (112) (108)
1 The impact of mortality assumes a ten percent decrease in annuitant mortality and a ten percent increase in mortality for other business.
2 Prior year amounts have been adjusted.
For certain insurance contracts, the underlying valuation basis contains a Provision for Adverse Deviations
(“PADs”). For these contracts any worsening of expected future experience would not change the level of
reserves held until all the PADs have been eroded while any improvement in experience would not result in an
increase to these reserves. Therefore, in the sensitivity analysis, if the variable change represents a worsening
of experience, the impact shown represents the excess of the best estimate liability over the PADs held at the
balance sheet date. As a result, the figures disclosed in this table should not be used to imply the impact of a
different level of change, and it should not be assumed that the impact would be the same if the change occurred
at a different point in time.