Deutsche Bank publishes 2023 SREP requirements

Deutsche Bank AG has been informed by the European Central Bank (ECB) of its decision regarding prudential capital requirements to be maintained from 1 January 2023 onwards, following the 2022 Supervisory Review and Evaluation Process (SREP). The ECB’s decision requires Deutsche Bank, on a consolidated basis, to maintain a Pillar 2 requirement (P2R) of 2.70% of which at least 1.52% must be covered by Common Equity Tier 1 (CET 1) capital, and 2.03% by Tier 1 capital. Consequently, on 1 January 2023, Deutsche Bank’s Pillar 2 requirement will increase by 20bps of which 11bps need to be covered with CET 1 capital and 15bps with Tier 1 capital. The increase is driven by the ECB's newly introduced separate assessment of risks stemming from leveraged finance activities.

The ECB’s decision will require Deutsche Bank, on a consolidated basis, to maintain a Common Equity Tier 1 (CET 1) capital ratio of at least 10.55% compared to 10.43% per 30 September 2022. This new CET 1 capital requirement comprises: the minimum Pillar 1 requirement of 4.50%; the Pillar 2 requirement of 1.52%; the capital conservation buffer of 2.50%; a countercyclical buffer of 0.03% (assumed unchanged from 30 September 2022); and the requirement arising from the maximum of the buffers from Deutsche Bank’s designation as a Global Systemically Important Institution (G-SII) or as an Other Systemically Important Institution (O-SII) of 2.00%.

This requirement sets the level below which Deutsche Bank would be required to calculate a Maximum Distributable Amount (MDA). The MDA is used to determine restrictions on distributions, notably in the form of dividends on CET 1 capital, new variable remuneration and coupon payments to holders of Additional Tier 1 instruments.

The ECB has also set new minimum requirements for other capital definitions. 2023 requirements of 12.56% are set for Deutsche Bank’s Tier 1 capital ratio (vs. 12.41% per 30 September 2022) and 15.23% for the Total capital ratio (vs.15.03% per 30 September 2022). In comparison, Deutsche Bank’s last reported consolidated capital ratios were 13.33% CET 1 capital ratio, 15.29% Tier 1 capital ratio and 18.07% Total capital ratio, as of 30 September 2022.