The downgrade to one of the lowest designations occurred about a year ago and has not been previously reported, the report said.
The Financial Times also reported Thursday, citing a source, that Deutsche Bank's U.S. subsidiary was added to the Federal Deposit Insurance Corporation's list of "problem banks," or those with weaknesses that threaten their financial survival.
U.S.-traded Deutsche Bank shares closed 4.2 percent lower, off worst levels of more than 8.5 percent lower earlier in the session. The stock is down more than 40 percent this year.
"As a matter of policy, we do not comment on specific regulatory feedback," a Deutsche Bank spokesperson said in a statement. "The ultimate parent of the Deutsche Bank Group, Deutsche Bank AG, is very well capitalized and has significant liquidity reserves."
The spokesperson also said its principal U.S. banking subsidiary "has a very robust balance sheet."
A FDIC spokesperson said the agency does not comment on open and operating institutions. The Federal Reserve declined to comment, saying bank ratings are confidential.
The supervisory ratings could be misinterpreted if released publicly, Randal Quarles, vice chairman for supervision at the Fed, said Thursday afternoon in an interview with CNBC's Steve Liesman.
"I think that there's benefit when there is concrete, quantifiable information in making that information available to the public and to markets," Quarles said. "The supervisory ratings are a result of a more subjective assessment of a very broad array of factors that I think there's reasonable concern could be subject to misinterpretation if those were more open."
The Frankfurt-based bank has struggled in the last few years. It has reported three straight years of losses, and in April switched its CEO for the fourth time in six years. Last week, reports said Deutsche Bank will "sharply" reduce its U.S. presence as it cuts back on global equities trading. At the time, the bank declined CNBC's request for comment.