Deutsche Bank Ag · XETR:DBK
Deutsche Bank — Debt Investor Presentation (July 2023)
38 slides from Deutsche Bank's debt investor presentation, Jul 28, 2023
Slide 1: Q2 2023 Fixed Income Investor Conference Call
Deutsche Bank Investor Relations Q2 2023 Fixed Income Investor Conference Call #PositiveImpact July 28, 2023 Deutsche Bank Investor Relations
Slide 2: Continued positive momentum in H1 2023
Continued positive momentum in H1 2023 In % Revenue CAGR1 H1 2023 LTM vs FY 2021 CIR development 85 73 Continued business momentum driven by 75 reported interest environment, offset by normalizing markets 25.5 10.9 67 7.5 adjusted Cost/income ratio (CIR) and return on (3.7) (5.7) tangible equity (Ro
Slide 3: Complementary business portfolio driving growth
Complementary business portfolio driving growth Net revenues, in € bn, unless stated otherwise Half-year Last twelve months1 Revenue trajectory underpinning confidence in full-year 15.1 Group 24.9 25.9 28.3 guidance of mid-point of a range between € 28-29bn in 2023, with potential for upside 28.4 14
Slide 4: CLP guidance unchanged but expected at upper end
CLP guidance unchanged but expected at upper end In € m, unless stated otherwise Key highlights Stage 1+2 Stage 3 In bps of average loans annualized1 Q2 provision moderately higher than 24 19 28 28 30 33 prior quarter as a result of increases in stage 1+2 provisions based on 351 372 401 portfolio
Slide 5: Stable deposit base
Stable deposit base In € bn, unless stated otherwise Loan development QoQ YoY 493 503 489 488 482 (1)% (2)% Lending reduction of € 5bn (-1%) in the quarter adjusted for FX: Investment Bank 99 105 103 103 103 (0)% 3% Loans in the Corporate Bank reduced by € 5bn primarily in Trade Finance & Lendin
Slide 6: Resilient NIM in PB and CB in the second quarter
Resilient NIM in PB and CB in the second quarter Divisional NIM development Group NIM development Key highlights Net interest margin1 Average interest earnings assets2, in € bn Corporate Bank 4.13% 4.20% 1.47% 1.51% 1.51% 3.36% 1.39% 1.41% Strong CB and PB NIM as rate 2.64% pass-through continues
Slide 7: Sound liquidity and funding base
Sound liquidity and funding base In € bn, unless stated otherwise Liquidity coverage ratio (LCR)1 LCR 133% 136% 142% 143% 137% ~130% High-quality 227 219 Normalization of liquidity levels in line with guidance liquid assets 207 208 204 Daily average LCR broadly stable at 134% quarter on quarter
Slide 8: CET1 ratio increase driven by earnings
CET1 ratio increase driven by earnings Period end CET1 ratio (movements in basis points (bps)) 16 13.8% 13.6% CET1 ratio up by 15bps compared to Q1 2023: 0 16bps from organic capital build of € 0.6bn, reflecting (1) strong Q2 2023 earnings net of deductions for dividends and AT1 coupons (1)bp
Slide 9: Increase in buffer above requirements
Increase in buffer above requirements In % of risk-weighted assets, unless stated otherwise, period end 18.6 T2 2.5 278bps 15.8 Buffer to CET1 requirement of 262bps, up by 11bps quarter on quarter: AT1 2.3 T2 requirement4 15bps higher CET1 ratio partially offset by (3)bps impact from 2.7 higher
Slide 10: Leverage ratio improved to 4.7%
Leverage ratio improved to 4.7% In € bn, unless stated otherwise, movements in bps, period end 5 4.7% 4.6% 1 (1) 3.75% G-SIB Leverage ratio up by 4bps compared to Q1 2023: Pillar 1 5bps Tier 1 capital build in line with CET1 3% requirement capital movement (1)bp from leverage exposure resultin
Slide 11: Continued high loss-absorbing capacity
Continued high loss-absorbing capacity In € bn, period end 121 Senior 7 Q2 2023 loss-absorbing capacity significantly above all 12 preferred1 regulatory requirements, with MREL remaining the Surplus most binding constraint 26 31 above Senior requirements non-preferred 45 € 12bn MREL surplus down
Slide 12: Issuance plan ~80% complete
Issuance plan ~80% complete In € bn, unless stated otherwise, YTD issuance as of July 14, 2023 Covered bonds Senior preferred2 Senior non-preferred AT1/T2 Issuance plan remains at € 12-15bn 26 1 24 Year-to-date issuance at € 11bn, ~80% of mid- 20 5 4 point of full-year target range 17 1 13-18 7
Slide 13: Summary and outlook
Summary and outlook H1 revenue momentum underpins confidence in full-year guidance of mid-point of a range between € 28-29bn in 2023, with potential for upside Divisional NIM protected at higher levels while deposit base stabilized after volatility in Q1 Provision for credit losses for the full year
Slide 14: Appendix
Appendix Deutsche Bank Q2 2023 Fixed Income Investor Call 13 Investor Relations July 28, 2023
Slide 15: Current ratings
Current ratings As of July 28, 2023 Moody‘s Investors Services S&P Global Ratings Fitch Ratings DBRS Counterparty obligations (e.g. deposits / ↑3 ↑ ↑ structured notes / derivatives / swaps / A1 A-1 A AA (low) trade finance obligations) ↑ ↑ ↑ Long-term Preferred2 A1 A- A A senior unsecured Non-prefer
Slide 16: Conservatively managed balance sheet
Conservatively managed balance sheet Net in € bn, as of June 30, 2023 Assets Liabilities & equity 1,007 1,007 Trading and Liquidity 165 244 related liabilities2 Resilient balance sheet reserves1 46 Other liabilities4 Liquidity reserves account for 24% of net balance sheet Trading and related ass
Slide 17: Derivatives bridge
Derivatives bridge Q2 2023, IFRS derivative trading assets and the impact of netting and collateral, in € bn 259 Gross notional derivative exposure amounts are not exchanged and relate only to the reference amount of all contracts; it is no reflection of the credit or market risk run by a bank O
Slide 18: Loan book composition
Loan book composition Q2 2023, IFRS loans: € 482bn Key highlights Other 1 Other IB2 0% Well-diversified loan portfolio Leveraged Debt Capital Markets 10% 1% YTD FX impact on loan book is € (3.1)bn Asset Backed Securities German Mortgages 6% 54% of loan portfolio in Private Bank, mainly consist
Slide 19: Provision for credit losses and stage 3 loans
Provision for credit losses and stage 3 loans Provision for credit losses, in € m Stage 3 at amortized cost, in € bn Private Bank Corporate Bank Investment Bank PB (ex-POCI) CB (ex-POCI) IB (ex-POCI) POCI 401 Group stage 3 2.5% 2.5% 2.5% 2.7% 2.7% 350 351 372 loans at 41 141 amortized 13.2 78 12.2 1
Slide 20: Large portion of deposits in German home market
Large portion of deposits in German home market In € bn, unless stated otherwise, € 593bn deposit base as of June 30, 2023 Investment Bank & Treasury Term Deposits Other APAC Americas Institutional 4% Term Deposits CB 4% 9% 5% Client Services 11% Private Bank 13% Germany EMEA excl. Germany 13% 36% P
Slide 21: Stable 12-months rolling average LCR of 136%
Stable 12-months rolling average LCR of 136% In € bn 12-months average high-quality liquid assets (HQLA) 12-M rolling avg. LCR 136% 136% 12-months average HQLA securities 219 217 64 65 Robust liquidity position with 12-months rolling 4 1 5 1 average LCR unchanged at 136% 64 65 Level 2B Surplus o
Slide 22: TLTRO development and forecast
TLTRO development and forecast In € bn TLTRO outstanding, period end TLTRO contractual maturity in period 4 4 3 1 10 45 45 34 26 22 19 15 12 10 0 Q2 2022 Q3 2022 Q4 2022 Q1 2023 Q2 2023 Q3 2023 Q4 2023 Q1 2024 Q2 2024 Q3 2024 Deutsche Bank Q2 2023 Fixed Income Investor Call 21 Investor Relations Jul
Slide 23: Net interest income sensitivity
Net interest income sensitivity Hypothetical +/-25bps shift in yield curve, in € m Net interest income (NII) sensitivity1 Key highlights +25bps shift in yield curve -25bps shift in yield curve ~200 Current observations on client ~90 ~125 pricing show a slower pass-through ~(90) ~(135) of interest
Slide 24: Additional funding disclosure
Additional funding disclosure As of June 30, 2023, capital markets issuance outstanding, in € bn By product By currency Other GBP Capital Instruments (AT1/T2) 6 5 21 Senior 51 non-preferred Covered bonds 17 114 114 61 EUR USD 43 14 Senior structured1 11 Senior preferred Notes: for footnotes refer to
Slide 25: Level 3 assets and liabilities
Level 3 assets and liabilities As of June 30, 2023, in € bn Assets: € 26bn Liabilities: € 10bn Key highlights Equity securities Mortgage backed securities Other Other 1 0 2 Derivative Derivative liabilities Debt securities Level 3 is an indicator of valuation uncertainty and Debt 9 assets 3 securi
Slide 26: Leverage exposure and risk-weighted assets
Leverage exposure and risk-weighted assets CRD4, in € bn, period end Leverage exposure Risk-weighted assets 359 359 58 Operational risk RWA 58 1,238 1,236 Market risk RWA Trading assets 110 108 31 22 Credit valuation 7 Derivatives1 126 128 25 adjustments Lending 493 250 487 144 Lending commitments2
Slide 27: Value-at-Risk / stressed Value-at-Risk (VaR / sVaR)
Value-at-Risk / stressed Value-at-Risk (VaR / sVaR) In € m, unless stated otherwise VaR, DB Group Trading book, 99%, 1 day Quarterly average 47 52 47 51 44 80 60 40 20 0 Q2 2022 Q3 2022 Q4 2022 Q1 2023 Q2 2023 Stressed VaR, DB Group Regulatory scope, 99%, 10 days Quarterly average 256 1
Slide 28: Simplified legal entity structure of Deutsche Bank AG
Simplified legal entity structure of Deutsche Bank AG America EMEA APAC DWS Notes DB AG DB AG DB AG DWS Group New York Branch London Branch Singapore Branch GmbH & Co. KGaA This chart shows a DB AG selection of DB‘s material Hong Kong Branch operating entities that, together with DB‘s global DB AG
Slide 29: Sustainability
Sustainability Q2 2023 highlights Recent achievements Sustainable Finance1 volumes Increased Sustainable Finance volumes by € 17bn to € 254bn1 (cumulative since 2020) Received awards in May 2023 as “Best bank for ESG 2023” for its ESG-related trade and supply chain finance Sustainable programs a
Slide 30: Definition of certain financial measures
Definition of certain financial measures Revenues Revenues excluding specific items are calculated by adjusting net revenues under IFRS for specific revenue items which generally fall outside the usual nature or scope of the business and are likely to distort an accurate assessment of the divisional
Slide 31: Specific revenue items and adjusted costs – Q2 2023
Specific revenue items and adjusted costs – Q2 2023 In € m Q2 2023 Q2 2022 Q1 2023 CB IB PB AM C&O Group CB IB PB AM C&O Group CB IB PB AM C&O Group Revenues 1,943 2,361 2,400 620 85 7,409 1,551 2,646 2,160 656 (363) 6,650 1,973 2,691 2,438 589 (10) 7,680 1 DVA - IB Other / Legacy portfolios - (71)
Slide 32: Specific revenue items and adjusted costs – H1 2023
Specific revenue items and adjusted costs – H1 2023 In € m H1 2023 H1 2022 CB IB PB AM C&O Group CB IB PB AM C&O Group Revenues 3,916 5,052 4,838 1,209 75 15,089 3,013 5,969 4,380 1,338 (722) 13,977 revenue items DVA - IB Other / Legacy portfolios1 - (24) - - 2 (22) - 4 - - (5) (1) Specific Sal. Opp
Slide 33: Pre-provision profit, CAGR and operating leverage
Pre-provision profit, CAGR and operating leverage In € m, unless stated otherwise CAGR2 FY 2021 - H1 2023 vs H1 FY 2021 LTM Q2 2023 H1 2022 H1 2023 Q3 2022 Q4 2022 Q1 2023 Q2 2023 LTM Q2 2023 2022 Net revenues Corporate Bank 5,153 1,564 1,760 1,973 1,943 7,240 25.5% 3,013 3,916 30% Investment Bank 9
Slide 34: Adjusted post-tax RoTE, CIR and operating leverage
Adjusted post-tax RoTE, CIR and operating leverage Q2 2022 Q2 2023 H1 2022 H1 2023 Profit (loss) before tax 1,547 1,405 3,205 3,258 (-) Restructuring & severance 14 (260) 47 (283) (-) Litigation (116) (395) (142) (461) Adjustments Nonoperating costs adjustment 102 655 95 744 (-) Bank levies reported
Slide 35: Last 12 months (LTM) revenues reconciliation
Last 12 months (LTM) revenues reconciliation In € m, unless stated otherwise Q2 2021 Q2 2022 Q2 2023 Q2 2023 Q3 20201 Q4 20201 Q1 20211 Q2 20211 Q3 20211 Q4 20211 Q1 2022 Q2 2022 Q3 2022 Q4 2022 Q1 2023 Q2 2023 LTM2 LTM3 LTM4 LTM %-share5 Revenues Corporate Bank 1,255 1,226 1,314 1,230 1,255 1,352 1
Slide 36: Footnotes 1/2
Footnotes 1/2 Slide 1 – Continued positive momentum in H1 2023 Slide 9 – Continued high loss-absorbing capacity 1. Compound annual growth rates (CAGRs); detailed on slide 32 1. Plain vanilla instruments and structured notes eligible for MREL 2. Throughout this presentation post-tax return on average
Slide 37: Footnotes 2/2
Footnotes 2/2 Slide 17 – Loan book composition Slide 32 – Pre-provision profit, CAGR and operating leverage 1. Mainly includes Corporate & Other and Institutional Client Services in the Corporate Bank 1. Pre-provision profit defined as net revenues less noninterest expenses 2. Other businesses with
Slide 38: Cautionary statements
Cautionary statements Forward-looking statements This presentation contains forward-looking statements. Forward-looking statements are statements that are not historical facts; they include statements about our beliefs and expectations and the assumptions underlying them. These statements are based
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