entire - Deutsche Bank Annual Report 2012

Deutsche Bank 02 – Consolidated Financial Statements 312
Financial Report 2010 Additional Notes
36 – Regulatory Capital
— Tier 3 capital consists mainly of certain short-term subordinated debt.
The amount of subordinated debt that may be included as Tier 2 capital is limited to 50 % of Tier 1 capital. Total
Tier 2 capital is limited to 100 % of Tier 1 capital.
The Core Tier 1 and the Tier 1 capital ratio are the principal measures of capital adequacy for internationally
active banks. The ratios compare a bank’s regulatory Core Tier 1 and Tier 1 capital with its credit risks, market
risks and operational risks pursuant to Basel II (which the Group refers to collectively as the “risk-weighted
assets” or “RWA”). In the calculation of the risk-weighted assets the Group uses BaFin approved internal models
for all three risk types. More than 90 % of the Group’s exposure relating to asset and off-balance sheet credit
risks (excluding Postbank) is measured using internal rating models under the so-called advanced IRBA. The
vast majority of the Group’s market risk component is a multiple of its value-at-risk figure, which is calculated
for regulatory purposes based on the Group’s internal models: standard calculation approaches are used for
the remainder. For operational risk calculations, the Group uses the so-called Advanced Measurement Approach
(“AMA”) pursuant to the German Banking Act.
The following two tables present a summary of the Group’s risk-weighted assets, and the regulatory capital
excluding transitional items pursuant to section 64h (3) of the German Banking Act.
in € m.
(unless stated otherwise) Dec 31, 2010 Dec 31, 2009
Credit risk 285,218 217,003
Market risk 1 23,660 24,880
Operational risk 37,326 31,593
Total risk-weighted assets 346,204 273,476
Core Tier 1 capital 29,972 23,790
Additional Tier 1 capital 12,593 10,616
Tier 1 capital 42,565 34,406
Tier 2 capital 6,123 3,523
Tier 3 capital – –
Total regulatory capital 48,688 37,929
Core Tier 1 capital ratio 8.7 % 8.7 %
Tier 1 capital ratio 12.3 % 12.6 %
Total capital ratio 14.1 % 13.9 %
1 A multiple of the Group’s value-at-risk, calculated with a confidence level of 99 % and a ten-day holding period.
The Group’s total capital ratio was 14.1 % on December 31, 2010, compared to 13.9 % as of December 31, 2009,
both significantly higher than the 8 % minimum ratio required.