Slide 1: Q1 2024 Fixed Income Investor Conference Call
Deutsche Bank Investor Relations Q1 2024 Fixed Income Investor Conference Call April 26, 2024 Deutsche Bank Q1 2024 Fixed Income Investor Conference Call Investor Relations April 26, 2024
Slide 2: Delivering against key objectives
Delivering against key objectives In € bn, unless stated otherwise Improving pre-provision profit1 Higher net revenues Lower adjusted costs Year-on-year By division2 Year-on-year Quarter-on-quarter +14% +11% Group 7.7 +1% 7.8 6.0% (6)% (5)% CAGR, Q1 2024 LTM 2.5 7.7 +3% 7.9 vs. FY 20213 2.2 5.4 5.3
Slide 3: Strong foundation for strategic execution
Strong foundation for strategic execution Revenue growth Efficiency measures Capital efficiency 5.5-6.5% € 2.5bn € 25-30bn 2 Revenue CAGR 2021-2025 targeted Operational efficiencies targeted RWA reductions targeted 6.0% revenue CAGR1 in Q1 2024 LTM vs. Ongoing progress on € 2.5bn target in FY 2021,
Slide 4: 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 30 33 20 41 37 Q1 2024 provisions reduced quarter on quarter benefiting from moderate Stage 1+2 releases, driven 488 439 30 by improved macroeconomic forecasts and model
Slide 5: Deposit growth path intact
Deposit growth path intact In € bn, unless stated otherwise Loan development1,2 Key highlights QoQ YoY 488 482 485 479 480 (0)% (2)% Lending remained essentially flat during the quarter adjusted for FX: Investment Bank 103 103 103 101 103 0% (1)% Macroeconomic environment remained challenging fo
Slide 6: Net interest income in line with guidance
Net interest income in line with guidance In € bn, unless stated otherwise NIM / NII development of key banking book segments Group NIM / NII development 1.5% 1.4% Corporate Bank 4.1% 4.2% 3.9% 4.1% 4.2% 1.4% 1.3% 1.3% 1.3 1.3 1.2 1.3 1.3 Group NII 3.4 3.6 3.3 3.2 3.1 Thereof: Q1 2023 Q2 2023 Q3 202
Slide 7: Limited net interest income sensitivity in 2024
Limited net interest income sensitivity in 2024 Hypothetical +/-25bps shift in yield curve, in € m Net interest income (NII) sensitivity1 +25bps shift in yield curve -25bps shift in yield curve ~15 ~110 ~60 ~(15) ~(55) ~(110) 2024 2025 2026 Breakdown of sensitivity by currency for +25bps shift in yi
Slide 8: 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 134% 134% 136% 131% 136% 1% Robust daily average and quarter-end spot LCR at 136% LCR 143% 137% 132% 140% 136% ~130% 5% Cash TLTRO
Slide 9: Strong CET1 ratio
Strong CET1 ratio As of March 31, 2024 CET1 ratio, movements in basis points (bps) Key highlights 13.7% 1 CET1 ratio down by 31bps compared to Q4 2023: (12) 13.4% 20bps CET1 capital decrease reflecting Q1 2024 earnings net of deductions for dividends / AT1 coupons more than (20) offset by ECB ap
Slide 10: Capital ratios well above regulatory requirements
Capital ratios well above regulatory requirements In % of RWA, unless stated otherwise, as of March 31, 2024 Key highlights 18.2 T2 2.4 242bps 15.8 AT1 2.4 2.7 T2 requirement4 Buffer to CET1 requirement of 229bps (equivalent to € 8bn), down 229bps 2.0 AT1 requirement3 29bps quarter on quarter Bu
Slide 11: Leverage ratio stable
Leverage ratio stable Movement in bps, as of March 31, 2024 Key highlights 4.5% 4.5% (1) (1) (5) 3.85% 0.75% G-SIB 0.10% Pillar 2 Leverage ratio down by 8bps (including FX) requirement compared to Q4 2023: Pillar 1 (5)bps Tier 1 capital change in line with 3.00% requirement CET1 capital movement
Slide 12: Significant buffer over MREL/TLAC requirements
Significant buffer over MREL/TLAC requirements Loss-absorbing capacity, in € bn, as of March 31, 2024 Key highlights 123 Senior 12 16 preferred1 Surplus 23 26 above Senior requirements Q1 2024 loss-absorbing capacity significantly above all non-preferred 45 regulatory requirements, with MREL remai
Slide 13: Issuance plan in line with previous guidance
Issuance plan in line with previous guidance 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 1 4 3 Constructive development of DB’s credit spreads 6 7 6-8 with senior non-preferred issuances cash spreads 9 7 tigh
Slide 14: Summary and outlook
Summary and outlook Strong franchise momentum, with businesses positioned for further growth Reconfirm guidance of forward run-rate of adjusted costs of around € 5bn for subsequent quarters Full-year guidance for provision for credit losses unchanged at the higher end of the range, with solid portf
Slide 15: Appendix
Appendix Deutsche Bank Q1 2024 Fixed Income Investor Conference Call 14 Investor Relations April 26, 2024
Slide 16: Current ratings
Current ratings As of April 25, 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 A
Slide 17: Capital markets issuance outstanding
Capital markets issuance outstanding As of March 31, 2024, in € bn By product By currency Other GBP Capital Instruments (AT1/T2) 6 4 21 Senior 52 non-preferred Covered bonds 16 116 116 62 EUR USD 44 13 Senior structured1 15 Senior preferred Notes: for footnotes refer to slides 32 and 33 Deutsche Ban
Slide 18: Conservatively managed balance sheet
Conservatively managed balance sheet Net1 in € bn, as of March 31, 2024 High-quality loan portfolio Assets Liabilities & equity Stable funding mix 1,030 1,030 Investment grade Trading and 149 WAL in long-term 71% Corporate Bank Liquidity related liabilities5 7y debt portfolio exposure2 271 reserves4
Slide 19: Q1 2024 highlights
Q1 2024 highlights In € bn, unless stated otherwise Financial results Divisional revenues Key highlights Δ vs. Δ vs. Δ vs. Q1 2024 +1% +1% Q1 2023 Q4 2023 Q1 2023 Statement of income Revenues slightly up year on year Revenues 7.8 1% 17% 7.8 driven by growth in Investment 7.7 Revenues ex-specific i
Slide 20: Stable and well diversified deposit portfolio
Stable and well diversified deposit portfolio € 635bn deposit base as of March 31, 2024 Investment Bank & Treasury Term Deposits Other APAC Americas Institutional 4% Term Deposits CB 4% 10% 7% Client Services 12% Personal Banking 14% 30% EMEA Private Bank excl. Germany 14% Retail 39% Business split
Slide 21: Loan book composition
Loan book composition Q1 2024, IFRS loans: € 480bn1 Key highlights Other IB3 Other2 0% Leveraged Debt Capital Markets 10% 1% 54% of loan portfolio in Private Bank, consisting of retail Asset Backed Securities German Mortgages mortgages mainly in Personal Banking (Germany) and 6% 32% collateralized
Slide 22: 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 region3 € 7bn deemed as lower risk, includes data centers APAC EU and municipal social housing 6% 18% CRE higher risk loans € 31bn
Slide 23: 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 10 123 121 Other Other NY Office 19% 28% 30% Miami 44% 3% 74 Philadelphia 3% 66 5% 4.8% 5% Boston CLP impa
Slide 24: Leverage exposure and risk-weighted assets
Leverage exposure and risk-weighted assets CRD4, in € bn, period end Leverage exposure Risk-weighted assets 355 355 57 Operational risk RWA 57 1,240 1,254 Market risk RWA Trading assets 122 133 27 19 Credit valuation 5 20 adjustments Derivatives1 131 136 Lending 466 250 468 148 Lending commitments2
Slide 25: Debt securities hold-to-collect portfolio
Debt securities hold-to-collect portfolio € 21bn as of March 31, 2024 Portfolio Breakdown Maturity breakdown, in € bn Fair Value GAP (FVG), in € bn 10 5% 21 (2) 1% 25% 35% 19 5 4 2 34% up to 1 year 1 year to 5 years to more than Carrying Value FVG Fair Value 5 years 10 years 10 years Other Foreign G
Slide 26: Derivatives bridge
Derivatives bridge Q4 2023, IFRS derivative trading assets and the impact of netting and collateral, in € bn Key highlights 231 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 27: Level 3 assets and liabilities
Level 3 assets and liabilities As of March 31, 2024, in € bn Assets: € 24bn Liabilities: € 11bn Key highlights Other Other 2 0 Derivative Liabilities Derivative Level 3 is an indicator of valuation uncertainty and Debt Assets Debt Securities 8 4 not of asset quality securities 4 The Group classi
Slide 28: 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 March 31, 2024 Trading P&L1, VaR sVaR 400 160 300 124 174 162 200 120 121 100 80 0 44 44 34 34 -100 40 -200 0 -300 -400 (40) -500 (80) Q2 2023 Q3 2023 Q4 20232 Q1 2024 -600 1-
Slide 29: Sustainability
Sustainability Q1 2024 highlights Recent achievements Sustainable Finance1 volumes Increased Sustainable Finance volumes by € 21bn to € 300bn 1 (cumulative since 2020) Participated in Automotive Cells Company’s € 4.4bn non-recourse project financing, enabling the development of three gigafactori
Slide 30: Deutsche Bank's performance in leading ESG ratings
Deutsche Bank’s performance in leading ESG ratings As of April 25, 2024 Score range Rating Rating agency ESG rating criteria (weighting) Rating development (best to worst) score DB Social (50%) Governance (35%) AAA to CCC A Stable at A Environment (15%) Business Ethics (40.3%) Resilience (
Slide 31: Specific revenue items and adjusted costs – Q1 2024
Specific revenue items and adjusted costs – Q1 2024 In € m Q1 2024 Q1 2023 Q4 2023 CB IB PB AM C&O Group CB IB PB AM C&O Group CB IB PB AM C&O Group Revenues 1,878 3,047 2,378 617 (140) 7,779 1,973 2,691 2,438 589 (10) 7,680 1,911 1,837 2,395 580 (65) 6,658 revenue items Specific DVA - IB Other / Le
Slide 32: Pre-provision profit, CAGR and operating leverage
Pre-provision profit, CAGR and operating leverage In € m, unless stated otherwise CAGR2 FY 2021 – Q1 2024 vs FY 2021 Q1 2024 LTM Q1 2023 Q1 2024 Q2 2023 Q3 2023 Q4 2023 Q1 2024 Q1 2024 LTM Q1 2023 Net revenues Corporate Bank 5,153 1,943 1,889 1,911 1,878 7,622 19.0% 1,973 1,878 (5)% Investment Bank
Slide 33: Footnotes 1/2
Footnotes 1/2 Slide 1 – Delivering against key objectives Slide 9 – Capital ratios well above regulatory requirements 1. Detailed on slide 30 1. Maximum distributable amount (MDA) 2. Corporate & Other revenues (Q1 2023: € (10)m, Q1 2024: € (140)m) are not shown on these charts but are 2. Total capit
Slide 34: Footnotes 2/2
Footnotes 2/2 Slide 17 – Conservatively managed balance sheet Slide 22 – Commercial Real Estate (CRE) 2/2 1. Net balance sheet of € 1,030bn is defined as IFRS balance sheet (€ 1,331bn) adjusted to reflect the funding 1. Bespoke internal stress testing scenario on the bank’s € 31bn higher-risk non-re
Slide 35: 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