Deutsche Bank Ag · XETR:DBK
Deutsche Bank — Debt Investor Presentation (October 2023)
41 slides from Deutsche Bank's debt investor presentation, Oct 27, 2023
Slide 1: Q3 2023 Fixed Income Investor Conference Call
Deutsche Bank Investor Relations Q3 2023 Fixed Income Investor Conference Call #PositiveImpact October 27, 2023 Deutsche Bank Q3 2023 Fixed Income Investor Call Investor Relations October 27, 2023
Slide 2: 2023 YTD results reflect resilient performance
2023 YTD results reflect resilient performance In € bn, unless stated otherwise Pre-provision profit1 +5% Continued revenue growth leading to a pre-provision profit 6.0 increase in 9M 2023 5.7 20.9 22.2 +6% Operating leverage of 4% in 9M 2023 when adjusted2 for nonoperating costs and pro-rated bank
Slide 3: Balanced revenue mix and continued franchise growth
Balanced revenue mix and continued franchise growth In € bn, unless stated otherwise Net revenues Last twelve months1 Corporate Bank Investment Bank Group 26.8 28.5 27.7 28.7 ~40% increase in incremental deals won with multinational 24% Leading Financing business contributed € 2.2bn of ~ 35% 9M
Slide 4: Continued accelerated execution of strategic agenda
Continued accelerated execution of strategic agenda Revenue growth Efficiency measures 3.5-4.5% € 2.5bn Revenue CAGR 2021-2025 targeted Operational efficiencies targeted Adjusted costs kept essentially flat versus prior quarter despite 6.9% revenue CAGR1 delivered in 9M 2023 LTM vs. FY 2021 absorbin
Slide 5: Strong deposit momentum
Strong deposit momentum In € bn, unless stated otherwise Loan development1,2 Key highlights QoQ YoY 503 489 488 482 485 (0)% (1)% Loans remained essentially flat during the quarter and year on Investment Bank year adjusted for FX: 105 103 103 103 103 (0)% 5% Corporate Bank loans reduced compared
Slide 6: Stable businesses maintain deposit margins
Stable businesses maintain deposit margins Divisional NIM development Group NIM development Key highlights Net interest margin1 Average interest earnings assets2, in € bn Increase in average interest Corporate Bank earning assets driven by deposit 4.13% 4.20% growth in Q3 3.94% 1.47% 1.51% 1.51%
Slide 7: 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. 134% 130% 134% 134% 136% ~130% LCR at target level and in line with previously communicated LCR guidance LCR 136% 142% 143% 137% 132% ~130% Daily average LCR slightly in
Slide 8: CET1 ratio increase due to optimization initiatives
CET1 ratio increase due to optimization initiatives Period end CET1 ratio, movements in basis points (bps) Key highlights 28 13.9% CET1 ratio up by 19bps compared to Q2 2023: 13.8% (8) 38bps reduction from regulatory changes, predominantly (1) initial recognition of newly approved wholesale and
Slide 9: Effective capital management driving improved outlook
Effective capital management driving improved outlook Absorbing regulatory inflation Capital efficiency Basel III update (38)bps € 25-30bn 1 ~€ 15bn CET1 ratio reduction principally from model reviews RWA reductions targeted Latest estimate of Basel III impact on RWA Q3 2023 go-live impact of new
Slide 10: Capital ratios well above regulatory requirements
Capital ratios well above regulatory requirements In % of risk-weighted assets, unless stated otherwise, period end Key highlights 18.8 T2 2.5 300bps 15.8 AT1 2.4 Buffer to CET1 requirement of 278bps, up 16bps quarter on quarter: 2.7 T2 requirement2 19bps higher CET1 ratio together with 3bps red
Slide 11: Leverage ratio stable
Leverage ratio stable Movements in bps, period end Key highlights 6 4.7% 4.7% (2) (3) 3.75% 0.75% G-SIB Leverage ratio up by 1bp (including FX) compared to Q2 2023 Pillar 1 3% requirement 6bps from leverage exposure mainly driven by updated regulatory treatment of specific Q2 2023 FX effect Leve
Slide 12: Continued high loss-absorbing capacity
Continued high loss-absorbing capacity In € bn, period end Key highlights 125 Senior 8 preferred1 17 Surplus 29 33 above Q3 2023 loss-absorbing capacity significantly above all Senior requirements non-preferred 47 regulatory requirements, with MREL remaining the most binding constraint € 17bn MR
Slide 13: Issuance plan almost complete
Issuance plan almost complete In € bn, unless stated otherwise, YTD issuance as of October 13, 2023 Covered bonds Senior preferred2 Senior non-preferred AT1/T2 Key highlights 26 1 24 20 5 4 17 14-16 1 13-18 7 7 4 2-4 13 4-5 2 Issuance plan close to complete with € 13bn 19 1-22 62 10 9 4 issued out
Slide 14: Summary and outlook
Summary and outlook Expect to achieve FY 2023 net revenues of € 29bn Provision for credit losses for the full year expected at the upper end of 25-30bps guidance range Deposit inflows together with stable Corporate Bank / Private Bank NIM evidence balance sheet strength Improved capital ratio and ou
Slide 15: Appendix
Appendix Deutsche Bank Q3 2023 Fixed Income Investor Call 14 Investor Relations October 27, 2023
Slide 16: Current ratings
Current ratings As of October 25, 2023 Moody‘s Investors Services S&P Global Ratings Fitch Ratings DBRS Counterparty obligations (e.g. deposits / structured notes / derivatives / swaps / A1 A-1 A AA (low) trade finance obligations) Long-term Preferred2 A1 A- A A senior unsecured Non-preferred Baa1 B
Slide 17: Conservatively managed balance sheet
Conservatively managed balance sheet Net1 in € bn, as of September 30, 2023 Key highlights Assets Liabilities & equity 1,030 1,030 Trading and Liquidity 171 245 related liabilities3 reserves2 Resilient balance sheet 48 Other liabilities5 Liquidity reserves account for around a quarter of net bal
Slide 18: Large portion of deposits in German home market
Large portion of deposits in German home market € 611bn deposit base as of September 30, 2023 Investment Bank & Treasury Term Deposits Other APAC Americas 4% Term Deposits CB 4% 6% Institutional 9% Client Services 12% Private Bank 14% Germany EMEA Private Bank excl. Germany 13% 35% 40% Retail Non-Op
Slide 19: Loan book composition
Loan book composition Q3 2023, IFRS loans: € 485bn Key highlights Other 1 Other IB2 0% Well-diversified loan portfolio Leveraged Debt Capital Markets 10% 1% YTD FX impact on loan book is € 0.78bn Asset Backed Securities German Mortgages 6% 54% of loan portfolio in Private Bank, mainly consisti
Slide 20: Provision for credit losses
Provision for credit losses In € m, unless stated otherwise Key highlights Stage 1+2 Stage 3 In bps of average loans annualized1 24 19 28 28 30 33 20 Q3 provisions lower than prior quarter as a result of reduced stage 1+2 351 372 401 provisions driven by model changes 350 245 and improved macroeco
Slide 21: 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% 2.7% 2.7% 2.6% 350 351 372 loans at 41 141 amortized 13.2 78 12.5 1
Slide 22: Debt securities Hold-to-Collect portfolio
Debt securities Hold-to-Collect portfolio € 22bn, as of September 30, 2023 Portfolio breakdown Maturity breakdown, in € bn Fair Value Gap (FVG), in € bn 10 22 (2) 4% 2% 20 21% 6 41% 5 2 32% up to 1 year 1-5 years 5-10 years > 10years Carrying value FVG Fair value U.S. Treasury bonds Other bonds Germ
Slide 23: Derivatives bridge
Derivatives bridge Q3 2023, IFRS derivative trading assets and the impact of netting and collateral, in € bn Key highlights 288 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 24: Level 3 assets and liabilities
Level 3 assets and liabilities As of September 30, 2023, in € bn Assets: € 26bn Liabilities: € 12bn Key highlights Other Other 0 4 Derivative Liabilities Level 3 is an indicator of valuation uncertainty and Derivative 9 Assets Debt Securities not of asset quality Debt 4 securities 4 The Group cl
Slide 25: Commercial Real Estate (CRE) 1 / 2
Commercial Real Estate (CRE) 1 / 2 CRE non-recourse portfolio: € 40bn € 32bn in scope of severe stress test Non-recourse € 40bn – 8% of total loans1 By region By region € 7bn deemed as lower risk, includes data APAC APAC centers and municipal social housing EU 1% 8% 22% € 32bn in scope of dedi
Slide 26: Commercial Real Estate (CRE) 2 / 2
Commercial Real Estate (CRE) 2 / 2 US CRE in scope of severe stress test: € 18bn US CRE loan risk management US CRE CLPs By types Office: € 8bn Modified loans, in € bn CLPs per quarter, in € m 5.7 74 Other 66 Other 18% Office NY 28% Miami 31% 43% Philadelphia 3% 3% 40 Boston 5% 4% 35 5% CLP impact 2
Slide 27: TLTRO development and forecast
TLTRO development and forecast In € bn TLTRO outstanding, period end TLTRO prepayments, period end NSFR impact LCR impact € 30bn TLTRO repayments over last 12 months 121% - (1)% - - 132% - (2)% (1)% (2)% 45 45 34 3 26 22 15 15 12 10 0 Q2 2022 Q3 2022 Q4 2022 Q1 2023 Q2 2023 Q3 2023 Q4 2023 Q1 2024 Q
Slide 28: 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 ~100 ~145 Current observations on client ~100 pricing show a continued slower ~(100) pass-through of inte
Slide 29: Additional funding disclosure
Additional funding disclosure As of September 30, 2023, capital markets issuance outstanding, in € bn By product By currency Other Capital Instruments (AT1/T2) GBP 6 4 21 Senior 51 non-preferred Covered bonds 17 116 116 61 EUR USD 45 15 Senior structured1 12 Senior preferred Notes: for footnotes ref
Slide 30: Leverage exposure and risk-weighted assets
Leverage exposure and risk-weighted assets CRD4, in € bn, period end Leverage exposure Risk-weighted assets 354 354 59 Operational risk RWA 59 1,236 1,235 Trading assets 108 111 Market risk RWA 32 23 Credit valuation 6 Derivatives1 128 131 23 adjustments Lending 487 250 473 145 Lending commitments2
Slide 31: 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 52 47 51 44 34 80 60 40 20 0 Q3 2022 Q4 2022 Q1 2023 Q2 2023 Q3 2023 Stressed VaR, DB Group Regulatory scope, 99%, 10 days Quarterly average 173 2
Slide 32: 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 Hong Kong Branch selection of DB‘s material operating entities that, together with DB‘s global DB AG
Slide 33: Sustainability
Sustainability Q3 2023 highlights Recent achievements Sustainable Finance1 volumes Increased Sustainable Finance volumes by € 11bn to € 265bn1 (cumulative since 2020) Launched new € 400m loan portfolio in cooperation with the European Investment Bank to support mid-sized companies with their sus
Slide 34: Deutsche Bank's performance in leading ESG ratings
Deutsche Bank’s performance in leading ESG ratings As of October 25, 2023 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 (12.9%) ESG I
Slide 35: 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 36: Pre-provision profit, CAGR and operating leverage
Pre-provision profit, CAGR and operating leverage In € m, unless stated otherwise CAGR2 FY 2021 - 9M 2023 vs FY 2021 LTM Q3 2023 9M 2022 9M 2023 Q4 2022 Q1 2023 Q2 2023 Q3 2023 LTM Q3 2023 9M 2022 Net revenues Corporate Bank 5,153 1,760 1,973 1,943 1,889 7,565 24.5% 4,577 5,805 27% Investment Bank 9
Slide 37: Adjusted post-tax RoTE, CIR and operating leverage
Adjusted post-tax RoTE, CIR and operating leverage In € m, unless stated otherwise Q3 2022 Q3 2023 9M 2022 9M 2023 Profit (loss) before tax 1,615 1,723 4,820 4,980 (-) Restructuring & severance (30) (94) 16 (377) (-) Litigation (45) (105) (187) (566) Adjustments Nonoperating costs adjustment 75 199
Slide 38: Last 12 months (LTM) revenues reconciliation
Last 12 months (LTM) revenues reconciliation In € m, unless stated otherwise Q3 2022 Q3 2023 Q3 2022 Q3 2023 Q4 20211 Q1 2022 Q2 2022 Q3 2022 Q4 2022 Q1 2023 Q2 2023 Q3 2023 LTM2 LTM3 LTM %-share4 LTM %-share4 Revenues Corporate Bank 1,352 1,462 1,551 1,564 1,760 1,973 1,943 1,889 5,929 7,565 21% 26
Slide 39: Footnotes 1/2
Footnotes 1/2 Slide 1 – 2023 YTD results reflect resilient performance 3. Tier 1 capital requirement includes higher Pillar 1 requirement (6.00%) and Pillar 2 requirement (2.03%) 1. Pre-provision profit defined as net revenues less noninterest expenses; detailed on slide 36 compared to footnote 4 on
Slide 40: Footnotes 2/2
Footnotes 2/2 Slide 18 – Loan book composition Slide 29 – Leverage exposure and risk-weighted assets 1. Mainly includes Corporate & Other and Institutional Client Services in the Corporate Bank 1. Excludes any derivatives-related market risk RWA, which have been fully allocated to non-derivatives tr
Slide 41: 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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