Deutsche Bank Ag · XETR:DBK
Deutsche Bank — Debt Investor Presentation (February 2024)
42 slides from Deutsche Bank's debt investor presentation, Feb 2, 2024
Slide 1: Q4 / FY 2023 Fixed Income Investor Conference Call
Deutsche Bank Investor Relations Q4 / FY 2023 Fixed Income Investor Conference Call #PositiveImpact February 2, 2024 Deutsche Bank Q4 / FY 2023 Fixed Income Investor Conference Call Investor Relations February 2, 2024
Slide 2: Sharpened business model with growing revenues
Sharpened business model with growing revenues In € bn, unless stated otherwise Improving revenue mix Investing to grow our client franchise Net revenues Group 24.0 +6% 25.4 +7% 27.2 +6% 28.9 Product innovation in Corporate Bank coupled with relationship manager hiring in strategic growth areas is 2
Slide 3: Strong revenue trajectory supported by resilient and diversified franchise positioning
Strong revenue trajectory supported by resilient and diversified franchise positioning Revenue trajectory Revenue growth drivers in 2024-2025 3.5-4.5% 5.5-6.5% Growth in Corporate Bank commission and fees via enhanced coverage of existing and new clients, coupled with development of new platforms an
Slide 4: Reinforced cost execution supports operating leverage
Reinforced cost execution supports operating leverage In € bn, unless stated otherwise Noninterest expenses Cost management agenda in 2024-2025 75.1 Cost/income ratio, in % <62.5 Significant reduction in nonoperating expenses following a series of one-off items, management including € 0.2bn of goodw
Slide 5: CET1 ratio remains strong
CET1 ratio remains strong Period end CET1 ratio, movements in basis points (bps) Key highlights 13.9% 2 2 13.7% CET1 ratio down by 20bps (including FX) compared to Q3 2023 (24) CET1 capital down, with Q4 2023 earnings more than offset by dividends / AT1 deduction and DTA deduction RWA change p
Slide 6: Capital ratios well above regulatory requirements
Capital ratios well above regulatory requirements In % of risk-weighted assets, unless stated otherwise, period end Key highlights 18.6 T2 2.5 274bps 15.8 AT1 2.4 Buffer to CET1 requirement of 258bps, down by 20bps quarter on 2.7 T2 requirement2 quarter reflecting the lower CET1 ratio 258bps Cap
Slide 7: Leverage ratio slightly lower
Leverage ratio slightly lower Movements in bps, period end Key highlights 3 4.7% 4.5% (9) (7) 3.85% Leverage ratio down by 13bps (including FX) 0.75% G-SIB compared to Q3 2023 0.10% Pillar 2 requirement 9bps decrease from leverage exposure 3.00% Pillar 1 mainly driven by trading activities and r
Slide 8: Continued high loss-absorbing capacity
Continued high loss-absorbing capacity In € bn, period end Key highlights 123 Senior 9 preferred1 17 Surplus 28 30 above Senior requirements Q4 2023 loss-absorbing capacity significantly above all non-preferred 47 regulatory requirements, with MREL remaining the most binding constraint T2 € 17bn
Slide 9: Stable lending while deposit momentum continues
Stable lending while deposit momentum continues In € bn, unless stated otherwise Loan development1,2 Key highlights QoQ YoY 489 488 482 485 479 (0)% (1)% Lending remained essentially stable during the quarter and compared to last year adjusted for FX Investment Bank 103 103 103 103 101 (0)% (1)%
Slide 10: Strong interest income in key banking book segments
Strong interest income in key banking book segments In € bn, unless stated otherwise NIM / NII development of key banking book segments Group NIM / NII development 1.5% 1.5% Corporate Bank 4.1% 4.2% 3.9% 4.1% 3.4% 1.4% 1.4% 1.3% 1.1 1.3 1.3 1.2 1.3 Group NII 3.7 3.4 3.6 3.3 3.2 Q4 2022 Q1 2023 Q2 20
Slide 11: Structurally stable net interest income (NII)
Structurally stable net interest income (NII) In € bn, unless stated otherwise Group NII development1 Key highlights Group NII 11.2 13.7 13.6 12.9 13.2 2024 reduction of ~€ 0.6bn expected Thereof: across banking book segments and accounting asymmetry2 2.2 2.7 0.4 0.33 0.33 funding driven Reducti
Slide 12: Deposit margin offset by hedging and lending growth
Deposit margin offset by hedging and lending growth In € bn, unless stated otherwise NII drivers for banking book segments including other funding impacts1 Key highlights 13.2 13.0 1.7 0.6 Expected reduction in deposit margin as (2.5) 1.02 both deposit betas and policy rates 0.73 converge to stead
Slide 13: Interest rate hedges smooth NII path
Interest rate hedges smooth NII path In € bn, unless stated otherwise Gross hedge income1 Key highlights EUR avg yield Roll-over locked-in (EUR, USD hedges) EUR 10y swap Future roll-over (EUR, USD hedges) 3.0% 2.6% 2.6% 1.9% 1.2% 1.4% 0.7% 0.9% 0.5% Interest rate hedging offsets NII decline from n
Slide 14: Sound liquidity and funding base
Sound liquidity and funding base In € bn, unless stated otherwise Liquidity coverage ratio (LCR)1 Key highlights 3M daily avg. High-quality liquid assets (HQLA) LCR 130% 134% 134% 136% 131% Robust daily average LCR at 131% during the quarter in line 142% 143% 137% 132% 140% 1% LCR ~130% with targe
Slide 15: 2024 issuance plan at € 13-18bn
2024 issuance plan at € 13-18bn In € bn, unless stated otherwise Covered bonds Senior preferred2 Senior non-preferred AT1/T2 Key highlights 24 4 17 17 16 13-18 7 1 1 4 3 1 2023 updated issuance plan of € 14-16bn completed 11 6 7 6-8 within range, prefunding of $ 1.5bn senior non- 3 9 preferred tra
Slide 16: Summary and outlook
Summary and outlook Revenue CAGR target revised to 5.5-6.5%, supported by franchise improvements, more favorable environment and fee generation across divisions Adjusted cost run-rate expected to reduce to € 5bn due to non-repeat of one-off items and additional management actions Provision for credi
Slide 17: Appendix
Appendix Deutsche Bank Q4 / FY 2023 Fixed Income Investor Conference Call 16 Investor Relations February 2, 2024
Slide 18: Current ratings
Current ratings As of February 1, 2024 Moody‘s Investors Services S&P Global Ratings Fitch Ratings DBRS Counterparty obligations (e.g. deposits / structured notes / derivatives / swaps / A1 A1 A AA (low) trade finance obligations) Long-term Preferred2 A1 A A A senior unsecured Non-preferred Baa1 BBB
Slide 19: TLTRO development and forecast
TLTRO development and forecast In € bn TLTRO outstanding, period end NSFR impact LCR impact € 30bn TLTRO cumulative repayments 121% - - - 140% - -1% -2% 45 45 34 26 22 15 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 Q4 / FY 2023 Fixed Incom
Slide 20: Additional funding disclosure
Additional funding disclosure As of December 31, 2023, capital markets issuance outstanding, in € bn By product By currency Other GBP Capital Instruments (AT1/T2) 6 4 21 Senior 51 non-preferred Covered bonds 18 115 115 62 EUR USD 43 14 Senior structured1 11 Senior preferred Notes: for footnotes refe
Slide 21: Net interest income sensitivity
Net interest income sensitivity Hypothetical +/-25bps shift in yield curve, in € m Net interest income (NII) sensitivity1 +25bps shift in yield curve -25bps shift in yield curve ~125 ~55 ~50 ~(55) ~(50) ~(125) 2024 2025 2026 Breakdown of sensitivity by currency for +25bps shift in yield curve ~75 ~2
Slide 22: Conservatively managed balance sheet
Conservatively managed balance sheet Net1 in € bn, as of December 31, 2023 High-quality loan portfolio Assets Liabilities & equity Stable funding mix 1,029 1,029 Investment grade Trading and 155 WAL in long-term 72% Corporate Bank Liquidity related liabilities5 7y debt portfolio exposure2 261 reserv
Slide 23: Stable and well diversified deposit portfolio
Stable and well diversified deposit portfolio € 622bn deposit base as of December 31, 2023 Investment Bank & Treasury Term Deposits Other APAC Americas 5% Term Deposits CB 5% 9% 6% Institutional Private Bank Client Services 12% Germany 13% EMEA Private Bank excl. Germany 13% 34% 40% Retail Business
Slide 24: Loan book composition
Loan book composition Q4 2023, IFRS loans: € 479bn1 Key highlights Other IB3 Other2 0% Leveraged Debt Capital Markets 10% 1% 55% of loan portfolio in Private Bank, mainly consisting of Asset Backed Securities German Mortgages retail mortgages in Private Bank Germany and 6% 32% collateralized lendi
Slide 25: Provision for credit losses
Provision for credit losses In € m, unless stated otherwise Annual development Quarterly development Key highlights IB PB In bps of average loans annualized1 Stage 1+2 In bps of average loans annualized1 CB Other Stage 3 FY provisions elevated reflecting macroeconomic environment 12 25 31 28 30 33
Slide 26: Commercial Real Estate (CRE) 1 / 2
Commercial Real Estate (CRE) 1 / 2 CRE non-recourse portfolio: €38bn € 31bn in scope of severe stress test2 Non-recourse € 38bn – 8% of total loans1 By region By region € 7bn deemed as lower risk, includes data centers APAC APAC EU 1% and municipal social housing 8% 23% CRE higher risk loans €
Slide 27: Commercial Real Estate (CRE) 2 / 2
Commercial Real Estate (CRE) 2 / 2 US CRE in scope of severe stress test1: € 17bn US CRE loan risk management US CRE CLPs By types Office: € 7bn Modified loans, in € bn CLPs per quarter, in € m 8 123 Other Other NY Office 19% 28% 29% Miami 43% 3% 74 Philadelphia 3% 66 5% 4.5% 5% Boston CLP impact Re
Slide 28: Debt securities hold-to-collect portfolio
Debt securities hold-to-collect portfolio € 22bn, as of December 31, 2023 Portfolio Breakdown Maturity breakdown, in € bn Fair Value GAP, in € bn 9.4 4% 22 (1) 2% 21% 20 39% 5.3 5.2 2.0 35% up to 1 year 1 year to 5 years to more than Carrying Value FV Gap Fair Value 5 years 10 years 10 years U.S. Tr
Slide 29: Derivatives bridge
Derivatives bridge Q4 2023, IFRS derivative trading assets and the impact of netting and collateral, in € bn Key highlights 252 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 ru
Slide 30: Level 3 assets and liabilities
Level 3 assets and liabilities As of December 31, 2023, in € bn Assets: € 26bn Liabilities: € 11bn Key highlights Other Other 4 0 Derivative Debt Securities Derivative Liabilities 8 Assets 3 Level 3 is an indicator of valuation uncertainty and Debt not of asset quality securities 4 The Group cla
Slide 31: Leverage exposure and risk-weighted assets
Leverage exposure and risk-weighted assets CRD4, in € bn, period end Leverage exposure Risk-weighted assets 350 350 57 Operational risk RWA 57 1,235 1,240 Market risk RWA Trading assets 111 122 29 22 Credit valuation 5 Derivatives1 131 131 20 adjustments Lending 473 250 466 145 Lending commitments2
Slide 32: Group Trading Book Value-at-Risk (VaR) and stressed Value-at-Risk (sVaR)
Group Trading Book Value-at-Risk (VaR) and stressed Value-at-Risk (sVaR) In € m, 99% confidence level, as of December 31, 2023 Trading P&L, VaR sVaR 400 160 300 170 174 162 200 120 124 100 80 0 51 44 34 34 -100 40 -200 0 -300 -400 (40) -500 (80) Q1 2023 Q2 2023 Q3 2023 Q4 2023 -600 1
Slide 33: Sustainability
Sustainability Q4 2023 highlights Recent achievements Sustainable Finance1 volumes Increased Sustainable Finance volumes by € 14bn to € 279bn1 (cumulative since 2020) Completed a deal-contingent interest rate hedge and a tailored financing for Hai Long, Taiwan’s largest offshore wind project to
Slide 34: Deutsche Bank's performance in leading ESG ratings
Deutsche Bank’s performance in leading ESG ratings As of February 1, 2024 Score range Rating Rating agency ESG rating criteria (weighting) Rating development (best to worst) score DB Environment (15%) Social (50%) AAA to CCC A Stable at A Governance (35%) Corporate Governance (12.8%) ESG I
Slide 35: Q4 2023 highlights
Q4 2023 highlights In € bn, unless stated otherwise Financial results Divisional revenues Key highlights Δ vs. Δ vs. Δ vs. Q4 2023 +5% Q4 2022 Q3 2023 +5% Q4 2022 Revenues higher year on year, Statement of income driven by continued momentum in Revenues 6.7 5% (7)% 6.7 Corporate Bank and Private B
Slide 36: FY 2023 highlights
FY 2023 highlights In € bn, unless stated otherwise Financial results Divisional revenues Δ vs. Δ vs. FY 2023 FY 2022 +6% +6% FY 2022 FY 2022 Statement of income Revenues 28.9 27.2 6% 28.9 27.2 Revenues ex-specific items1 28.9 26.7 8% Provision for credit losses 1.5 1.2 23% Noninterest expenses 21.7
Slide 37: Specific revenue items and adjusted costs – Q4 2023
Specific revenue items and adjusted costs – Q4 2023 In € m Q4 2023 Q4 2022 Q3 2023 CB IB PB AM C&O Group CB IB PB AM C&O Group CB IB PB AM C&O Group Revenues 1,911 1,837 2,395 580 (65) 6,658 1,760 1,675 2,506 609 (236) 6,315 1,889 2,271 2,343 594 35 7,132 1 DVA - IB Other / Legacy portfolios - (28)
Slide 38: Specific revenue items and adjusted costs – FY 2023
Specific revenue items and adjusted costs – FY 2023 In € m FY 2023 FY 2022 CB IB PB AM C&O Group CB IB PB AM C&O Group Revenues 7,716 9,160 9,575 2,383 45 28,879 6,337 10,016 9,153 2,608 (904) 27,210 revenue items DVA - IB Other / Legacy portfolios1 - (47) - - 5 (42) - 49 - - (6) 43 Specific Sal. Op
Slide 39: Pre-provision profit, CAGR and operating leverage
Pre-provision profit, CAGR and operating leverage In € m, unless stated otherwise CAGR2 FY 2021 - FY 2023 vs FY 2021 FY 2023 FY 2022 FY 2023 Q1 2023 Q2 2023 Q3 2023 Q4 2023 FY 2023 FY 2022 Net revenues Corporate Bank 5,153 1,973 1,943 1,889 1,911 7,716 22.4% 6,337 7,716 22% Investment Bank 9,631 2,6
Slide 40: Footnotes 1/2
Footnotes 1/2 Slide 1 – Sharpened business model with growing revenues Slide 10 – Structurally stable net interest income 1. Includes revenues from Corporate Bank, Private Bank, Asset Management and Investment Bank FIC Financing 1. 2024 and 2025 based on market-implied forward rates as of January 26
Slide 41: Footnotes 2/2
Footnotes 2/2 Slide 19 – Additional funding disclosure Slide 28 – Derivatives Bridge 1. Senior structured excludes structured notes issued by the Investment Bank 1. Excludes real estate and other non-financial instrument collateral Slide 20 – Net interest income sensitivity 2. Master netting agreeme
Slide 42: Cautionary statements
Cautionary statements The figures in this presentation are preliminary and unaudited. Our Annual Report 2023 and SEC Form 20-F are scheduled to be published on March 14, 2024. Forward-looking statements This presentation contains forward-looking statements. Forward-looking statements are statements
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