Deutsche Bank Ag · XETR:DBK
Deutsche Bank — Debt Investor Presentation (February 2023)
34 slides from Deutsche Bank's debt investor presentation, Feb 3, 2023
Slide 1: Q4/FY 2022 Fixed Income Investor Conference Call
Deutsche Bank Q4/FY 2022 Fixed Income Investor Conference Call February 3, 2023
Slide 2: Five decisive actions executed since July 2019 have transformed the Group
Five decisive actions executed since July 2019 have transformed the Group Create four Invest in Manage and client-centric Exit businesses Cut costs technology and liberate capital divisions growth Focus on four core Simplified setup Generated more than € 15bn of IT spend, Maintained stable
Slide 3: Delivering our transformation plan
Delivering our transformation plan 2018 to 2022 annual operating leverage1, in % Group RoTE development, in % Core Bank 2.4 (7.4) 4.0 6.4 11.3 9.4 8.5 3.8 (0.1) 0.2 5.2 5.3 4.2 3.1 (10.9) Corporate Investment Private Asset Group 2018 2019 2020 2021 2022 Bank Bank Bank Management Noninterest expenses
Slide 4: Positioned the Group for sustainable profitability, growth and greater resilience
Positioned the Group for sustainable profitability, growth and greater resilience FY 2022 Performance Profitability Resilience Revenues significantly above Progress on reducing expenses, Maintaining disciplined risk original expectations, reflecting with CIR in line with 2022 management throughout b
Slide 5: Ongoing disciplined risk management and strong balance sheet metrics
Ongoing disciplined risk management and strong balance sheet metrics 2022 Strong and stable balance sheet and sound liquidity CET1 ratio 13.4% metrics, positioned to navigate uncertainty Investments in risk framework, controls and technology Provision for credit losses as % of loans1 25bps facilitat
Slide 6: Underlying loan trend flat while deposit growth continues
Underlying loan trend flat while deposit growth continues In € bn Loan development Comments QoQ YoY — Lending reduction of € 2bn in the quarter 476 481 493 503 489 -3% 3% adjusted for FX effects due to episodic effects 94 99 105 103 -2% 11% — € 5bn reduction in Corporate Bank lending 93 from active
Slide 7: Net interest income supports revenue development
Net interest income supports revenue development In € bn, unless stated otherwise Evolution of interest-sensitive revenues at current forward rates vs. FY 2022 Gross impact Rate impact1 1.4 2.1 Funding offset2 (0.5) (1.1) Contribution to 2022 – 2025 CAGR net of Division funding impacts2 1.1 0.9 Corp
Slide 8: Strong liquidity position
Strong liquidity position Liquidity coverage ratio1 Comments High-quality liquid assets, in € bn Surplus above requirements 133% 135% 133% 136% 142% ~130% — Robust daily average LCR at 130% during the fourth quarter in line with € 52bn € 55bn € 51bn € 60bn € 64bn ~€ 50bn targeted level — LCR increas
Slide 9: CET1 ratio remains above 13%
CET1 ratio remains above 13% Period end CET1 ratio, movements in basis points Comments 2 3 13.4% 13.3% — CET1 ratio up by 3bps compared to Q3 2022: (2) — 2bps from FX movement effects — (2)bps from RWA changes, reflecting higher market risk RWA, partly offset by net reductions in credit risk RWA — 3
Slide 10: Capital ratios well above regulatory requirements
Capital ratios well above regulatory requirements In % of RWA, unless stated otherwise, period end Comments 18.4 — Buffer to CET1 requirement of 288bps or € 10bn, down 1bp quarter on quarter, reflecting T2 2.6 330bps a higher CET1 ratio and countercyclical 15.1 capital buffer requirement AT1 2.4 — B
Slide 11: Leverage ratio in line with target
Leverage ratio in line with target In € bn, except movements (in bps), period end Comments 11 4.6% 5 9 4.3% Q3 2022 FX effect Leverage Capital Q4 2022 — Leverage ratio of 4.6%, in line with 2022 exposure change target of ~4.5% and a 25bps increase vs. Q3 change 2022: Tier 1 56.5 (1.2) - 1.4 56.6 — 5
Slide 12: Significant buffer over MREL/TLAC requirements
Significant buffer over MREL/TLAC requirements Loss-absorbing capacity, in € bn, period end Comments Surplus above requirements 124 — Q4 2022 loss-absorbing capacity Senior significantly above all regulatory 8 preferred1 18 requirements, with MREL 26 remaining Senior 32 most binding constraint non-
Slide 13: Issuance plan below prior year level
Issuance plan below prior year level In € bn, unless stated otherwise Covered bonds Senior structured/preferred Senior non-preferred AT1/T2 26 1 24 4 16 20 5 16 17 3 13-18 2 7 1 7 12 3 10 4 4-5 12 4 3 2 1-23 2 19 3 3 9 10 11 6 6 10 8-9 5 6 4 3 4 5 0-2 2 1 1 Issuances Redemptions1 Issuances Redemptio
Slide 14: Summary and Outlook
Summary and Outlook Strategic objectives through Compete to win have delivered a transformed bank Continued interest rate tailwind Disciplined risk management supports guidance for provision for credit losses to be essentially flat compared to 2022 Strong CET1 ratio as step-off point to support grow
Slide 15: Appendix
Appendix Deutsche Bank Q4/FY 2022 Fixed Income Investor Call 14 Investor Relations February 3, 2023
Slide 16: Current ratings
Current ratings As of February 2, 2023 Moody‘s Investors S&P Global Fitch Ratings DBRS Services Ratings Counterparty obligations (e.g., deposits/structured notes/ A1 A-1 A- A (high) derivatives/swaps/trade finance obligations) Senior Preferred2 A1 A- A- A (low) Long- term unse- cured Non-preferred B
Slide 17: Evolution of market-implied interest rates
Evolution of market-implied interest rates In % ECB deposit facility rate Federal Reserve interest on reserve balances 5.0 5.0 4.0 4.0 3.0 3.0 2.0 2.0 1.0 1.0 0.0 0.0 04/23 07/23 10/23 01/24 04/24 07/24 10/24 01/25 04/23 07/23 10/23 01/24 04/24 07/24 10/24 01/25 EUR 10-year swap rate USD 10-year swa
Slide 18: Additional funding disclosure
Additional funding disclosure Q4 2022, capital markets issuance outstanding, in € bn By product By currency Senior Senior Capital Instruments EUR USD GBP Other non-preferred structured1 (AT1/T2) Senior Covered preferred bonds 11 21 4 53 19 120 120 60 45 17 9 1 Senior structured excludes new structur
Slide 19: Conservatively managed balance sheet
Conservatively managed balance sheet Net(1) in € bn, as of December 31, 2022 Comments Assets Liabilities & equity 1,019 1,019 Trading and 148 related liabilities3 Liquidity reserves2 256 40 Other liabilities5 — Resilient balance sheet — Liquidity reserves account for 25% of Trading and net balance s
Slide 20: TLTRO development and forecast
TLTRO development and forecast In € bn TLTRO outstanding, period end TLTRO prepayment in January 2023 TLTRO contractual maturity in period 0 0 0 0 6 4 4 3 1 10 5 45 45 34 29 23 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 Q4/FY 2022 Fixe
Slide 21: Net interest margin (NIM)
Net interest margin (NIM) Evolution of Group NIM and average interest earning assets Comments Average interest earning assets, in € bn1 Net interest margin, in %2 1.51% 1.47% — NIM continues favorable trend 1.39% driven by material EUR and USD rate 1.23% 1.22% 1.15% 1.17% 1.19% rises in Q4 2022 1.11
Slide 22: NII sensitivity shows incremental revenue upside
NII sensitivity shows incremental revenue upside Hypothetical +/-25bps shift in yield curve, in € m Net interest income (NII) sensitivity1 Comments +25bps shift in yield curve -25bps shift in yield curve ~260 ~180 ~130 — NII increases with higher rates ~(120) ~(130) — Longer term, the impact is ~(26
Slide 23: Loan book composition
Loan book composition Q4 2022, IFRS loans: € 489bn Comments Other IB2 Other1 — Well diversified loan portfolio Leveraged Debt Capital Markets 0% 9% — YTD FX impact on loan book is € 6.5bn Asset Backed Securities 1% — 54% of loan portfolio in Private Bank, German Mortgages 7% mainly consisting of ret
Slide 24: 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 Investment Bank PB (ex-POCI) CRU (ex-POCI) Corporate Bank Capital Release Unit CB (ex-POCI) Purchased or Originated Credit Impaired (POCI) 1,226 IB (ex-POCI) Group stage
Slide 25: Leverage exposure and risk-weighted assets
Leverage exposure and risk-weighted assets CRD4, in € bn, period end Leverage exposure Risk-weighted assets 360 360 58 Operational risk RWA 58 1,310 1,240 92 Market risk RWA Trading assets 110 35 26 Credit valuation 6 Derivatives1 154 130 adjustments 24 Lending 508 494 144 Lending 250 commitments2 C
Slide 26: 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 34 30 47 52 47 80 60 40 20 0 Q4 2021 Q1 2022 Q2 2022 Q3 2022 Q4 2022 Stressed VaR, DB Group Regulatory scope, 99%, 10 days Quarterly average 188 223
Slide 27: Sustainability at Deutsche Bank
Sustainability at Deutsche Bank Q4 2022 highlights Our key focus areas Recent achievements — Increase of cumulative volumes in sustainable financing and investment by € 18bn to € 215bn1, reaching our three-year-target, announced 2020 — Deal highlights: Deutsche Bank acted as structuring advisor and
Slide 28: Sustainable Finance volume target for 2022 exceeded
Sustainable Finance volume target for 2022 exceeded In € bn, cumulative since 2020 Sustainable Finance1 volumes vs. target Key sustainability highlights 215 >200 Importance of sustainability continues to 157 grow in management and businesses’ agenda 46 Overachieved Sustainable Finance volume YE 2020
Slide 29: Deutsche Bank's performance in leading ESG ratings
Deutsche Bank’s performance in leading ESG ratings Overview of core ESG ratings as of December 31, 2022 Score range Rating Rating ESG rating criteria (weighting) (best to Rating development agency score DB worst) − Environment (15%) − Social (50%) AAA to CCC A Stable at A − Governance (35%) − Corpor
Slide 30: Definition of certain financial measures
Definition of certain financial measures Revenues excluding specific items are calculated by adjusting net revenues under IFRS for specific revenue items which Revenues generally fall outside the usual nature or scope of the business and are likely to distort an accurate assessment of the excluding
Slide 31: Specific revenue items and adjusted costs – Q4 2022
Specific revenue items and adjusted costs – Q4 2022 In € m Q4 2022 Q4 2021 Q3 2022 Core Core Core CB IB PB AM C&O CRU Group CB IB PB AM C&O CRU Group CB IB PB AM C&O CRU Group Bank Bank Bank Revenues 1,760 1,675 2,507 609 (225) 6,326 (12) 6,315 1,352 1,913 2,040 789 (199) 5,895 5 5,900 1,564 2,372 2
Slide 32: Specific revenue items and adjusted costs – FY 2022
Specific revenue items and adjusted costs – FY 2022 In € m FY 2022 FY 2021 Core Core CB IB PB AM C&O CRU Group CB IB PB AM C&O CRU Group Bank Bank Revenues 6,335 10,016 9,155 2,608 (877) 27,238 (28) 27,210 5,151 9,631 8,234 2,708 (340) 25,384 26 25,410 DVA - IB Other / CRU - 49 - - - 49 (6) 43 - (28
Slide 33: Pre-provision profit, CAGR and operating leverage
Pre-provision profit, CAGR and operating leverage In € m, unless stated otherwise FY 20182 FY 20192 FY 2020 FY 2021 FY 2022 CAGR3 2018 - 2022 Net revenues Corporate Bank 5,278 5,247 5,146 5,151 6,335 4.7% Investment Bank 7,561 7,023 9,286 9,631 10,016 7.3% Private Bank 8,520 8,239 8,126 8,234 9,155
Slide 34: Cautionary statements
Cautionary statements The figures in this presentation are preliminary and unaudited. Our Annual Report 2022 and SEC Form 20-F are scheduled to be published on March 17, 2023. Forward-looking statements This presentation contains forward-looking statements. Forward-looking statements are statements
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