Reference Period Switch Boosts RWAs by €3.5 Billion

Deutsche Bank experienced a 12.4% increase in its modelled market risk-weighted assets (RWAs) during the fourth quarter of 2025. This rise followed a recalibration of the historical period used to calculate the bank’s stressed value-at-risk (SVAR).

According to reporting by Risk.net, market RWAs calculated under the internal models approach (IMA) rose to €17.5 billion, which is approximately $20.1 billion. This represents an increase from the €15.5 billion reported at the end of September 2025.

Impact of SVAR Recalibration

The increase was primarily driven by a sharp rise in the SVAR component. The switch in the historical reference period resulted in the stressed component bloating by €3.5 billion.

This surge in SVAR more than offset reductions seen in the incremental risk charge (IRC), leading to the overall net increase in risk-weighted assets for the period.

Regulatory and Modeling Context

The use of the internal models approach (IMA) allows banks to use their own sophisticated mathematical models to estimate the potential for losses in their trading books, rather than relying solely on standardized formulas prescribed by regulators.

Risk-weighted assets are a critical metric for global banks as they determine the amount of capital a lender must hold to protect against potential losses. An increase in RWAs typically requires a bank to hold more capital to maintain its regulatory capital ratios.

Stressed value-at-risk is a specific measure designed to capture the potential for losses during periods of significant market stress, ensuring that banks are capitalized for extreme but plausible market movements.