Deutsche Bank Ag · XETR:DBK
Deutsche Bank — Debt Investor Presentation (August 2017)
23 slides from Deutsche Bank's debt investor presentation, Aug 2, 2017
Slide 1: Q2 2017 Fixed Income Investor Conference Call
Deutsche Bank Q2 2017 Fixed Income Investor Conference Call James von Moltke, Chief Financial Officer Dixit Joshi, Group Treasurer 2 August 2017
Slide 2: Deutsche Bank today
Deutsche Bank today CET1 ratio post capital raise amongst the highest in the peer group More than 25% of the funded balance sheet in cash or high quality liquid assets Over 70% of the balance sheet is funded by long-term, diversified sources Meaningful headway made resolving regulatory enforcement a
Slide 3: Agenda
Agenda 1 Q2 2017 results 2 Capital, funding and liquidity 3 Appendix Deutsche Bank Q2 2017 Fixed Income Investor Call 2 Investor Relations 2 August 2017
Slide 4: Group financial highlights
Group financial highlights € bn, unless otherwise stated Q2 2017 vs. H1 2017 vs. Q2 2017 Q2 2016 H1 2017 H1 2016 Q2 2016 H1 2016 Net revenues 6.6 7.4 14.0 15.5 (10)% (10)% Provision for credit losses (0.1) (0.3) (0.2) (0.6) (70)% (62)% Noninterest expenses (5.7) (6.7) (12.0) (13.9) (15)% (13)% there
Slide 5: Divisional IBIT
Divisional IBIT € bn, unless otherwise stated H1 2017 H1 2016 YoY drivers Corporate & — IBIT rose 7% despite the 10% decline in reported revenues Investment Bank 1.2 1.2 — ~50% of the revenue decline attributable to DVA charges as DB’s credit (CIB) spreads tightened and the absence of the bond tende
Slide 6: Outlook 2017
Outlook 2017 Improving economic outlook in Europe coupled with low volatility and persistent low interest rates Continue to manage adjusted costs towards € ~22bn 2018 target Litigation remains difficult to forecast but expected to be higher in H2 2017 Prior guidance on restructuring unchanged – incr
Slide 7: Agenda
Agenda 1 Q2 2017 results 2 Capital, funding and liquidity 3 Appendix Deutsche Bank Q2 2017 Fixed Income Investor Call 6 Investor Relations 2 August 2017
Slide 8: Common Equity Tier 1 Capital and Risk-weighted assets (RWA)
Common Equity Tier 1 Capital and Risk-weighted assets (RWA) CRD4, fully loaded unless otherwise stated, € bn 11.8% CET1 ratio, fully loaded 14.1% 12.6% CET1 ratio, phase-in 14.9% — Q2 2017 CET1 capital at € 50.1bn, including € 8bn gross CET1 8.2 proceeds from the capital raise and € 0.2bn from 50.1
Slide 9: Regulatory capital requirements
Regulatory capital requirements As of 30 June 2017 CET1 AT1 Tier 2 Phase-in capital ratios(1) Fully loaded capital ratios(1) Applicable 2017 19.06% Applicable 2019 18.77% 1.76% 2.44% 15.27% 3.37% 13.02% 2.00% 1.28% 12.52% 2.00% 1.50% 10.27% 2.00% 1.50% 2.00% 1.50% Financial 1.50% 14.86% 14.12% targe
Slide 10: Leverage
Leverage CRD4, fully loaded unless otherwise stated, € bn 3.4%(1) Leverage ratio, fully loaded 3.8%(2) 3.9%(1) Leverage ratio, phase-in 4.2% — Leverage exposure up € 73bn, including FX effect of € (45)bn. Leverage exposure FX neutral increase is € 119bn 52 2 — Drivers of QoQ increase are a change to
Slide 11: Liquidity
Liquidity Liquidity Coverage Ratio(1) (LCR) 148% — LCR buffer increased to € 80bn above the required 144% 2018 100% level 128% — The LCR ratio declined by 4ppts in the quarter as 119% proportionately the increase in HQLA was more than offset by higher assumed outflows on certain short-term deposits
Slide 12: External funding profile
External funding profile As of 30 June 2017, € bn Secured funding Equity, and shorts, 6%, € 67bn (1) 17%, € 177bn (4) — Funding profile well diversified: 72% of total funding from most 72% from stable sources, slightly increased versus prior quarter (71%) Unsecured most stable Capital funding wholes
Slide 13: 2017 funding plan and contractual maturities
2017 funding plan and contractual maturities € bn Funding Plan 2017 Maturity profile Senior Plain Vanilla(1) Senior Structured(2) Covered Bonds(2) Capital instruments(1) Contractual maturities 25 23 23 24 13 17 20 19 15 14 18 12 14 12 8 5 10 4 4 3 5 4 4 3 4 2 2 2 0 4 1 1 1 1 1 0 Plan 2017 Year-to-da
Slide 14: Total Loss Absorbing Capacity (TLAC)
Total Loss Absorbing Capacity (TLAC) 2019 Transitional TLAC availability and requirements(1) as of Q2 2017 € 120.9bn Plain-vanilla 54.1bn senior debt(2) € 86.6bn € 72.8bn TLAC G-SIB buffer Adjust- 2.0% 0.2bn Capital Conservation buffer ments(3) 2.5% 6.0% 16.5bn AT1/T2(4) DB has TLAC of 34.0% Additio
Slide 15: Agenda
Agenda 1 Q2 2017 results 2 Capital, funding and liquidity 3 Appendix Deutsche Bank Q2 2017 Fixed Income Investor Call 14 Investor Relations 2 August 2017
Slide 16: AT1 and Trust Preferred Securities instruments
AT1 and Trust Preferred Securities instruments(1) €6.5 bn of capital instruments called since January 2015 Original Regulatory Capital Nominal Call Next Subsequent Issuer (1) ISIN Coupon issuance treatment recognition(1) outstanding date call date call period date DB Capital Funding Trust VI DE000A0
Slide 17: Funding sources to TLAC reconciliation
Funding sources to TLAC reconciliation As of 30 June 2017, € bn 210.0 Covered bonds 23.0 (23.0) Structured notes 26.5 (26.5) (19.2) (2.7) Plain-vanilla (17.9) +0.2 120.9 76.0 senior debt Plain-vanilla 54.1 senior debt AT1/T2 18.0 TLAC adjustments 0.2 16.5 AT1/T2(5) Shareholders’ Equity 66.5 50.1 CET
Slide 18: Current Ratings
Current Ratings Counterparty obligations (e.g. Deposits / A3(cr)(1) A-(2) A(3) A(high) Derivatives / Swaps) preferred (4) A3 A- A - Senior non- unsecured preferred Baa2 BBB- A- A(low) short-term P-2 A-2 F1 R-1(low) Tier 2 Ba2 BB+ BBB+ - Legacy T1 B1 B+ BB+ - AT1 B1 B+ BB - − Rating methodologies inc
Slide 19: Rating landscape – senior unsecured and short-term ratings
Rating landscape – senior unsecured and short-term ratings Moody‘s S&P Operating company / Preferred Senior(1) Holding company / Non-preferred Senior(2) Rating scale EU Peers Swiss Peers US Peers Short-term Long-term BAR BNP HSBC SOC CS UBS BoA Citi GS JPM MS P/A-1 Aa2/AA P/A-1 Aa3/AA- P/A-1 A1/A+ P
Slide 20: Balance sheet overview
Balance sheet overview As of 30 June 2017, € bn Assets (after netting) Liabilities & equity (after netting) Comments 1,110 Included in 1,110 — Net balance sheet of € 1,110bn represents liquidity 49 Unsecured Wholesale(6) the funding required after recognizing (i) legal reserves: netting agreements,
Slide 21: Litigation update
Litigation update € bn Litigation reserves Contingent liabilities 3.2 2.5 2.4 1.8 31 Mar 2017 30 Jun 2017 31 Mar 2017 30 Jun 2017 — Further progress in resolving legacy matters: — Includes possible obligations where an estimate can be made • BSA/AML settlement reached with the Fed and outflow is mor
Slide 22: Value-at-Risk
Value-at-Risk DB Group, 99%, 1 day, € m Average VaR Stressed VaR(1) € 2.0bn Sales & Trading revenues € 1.7bn 180 160 140 120 100 80 60 40 20 ∅ 37 ∅ 28 ∅ 27 ∅ 32 ∅32 ∅ 89 ∅ 77 ∅ 78 ∅ 76 ∅ 83 Q2 2016 Q3 2016 Q4 2016 Q1 2017 Q2 2017 (1) Stressed Value-at-Risk is calculated on the same portfolio as VaR
Slide 23: Cautionary statements
Cautionary 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 on plans, estimates and pro
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