Deutsche Bank AG · XETR:DBK
Deutsche Bank — Debt Investor Presentation (November 2020)
51 slides from Deutsche Bank's debt investor presentation, Nov 4, 2020
Slide 1: Fixed Income Investor Update Call
Deutsche Bank Fixed Income Investor Update Call Dixit Joshi – Group Treasurer Jonathan Blake – Head of Issuance & Securitization James Rivett – Head of Investor Relations Philip Teuchner – Senior IR Officer 4 November 2020
Slide 2: Agenda
Agenda 1 Transformation progress 2 Q3 2020 update 3 Balance sheet and fundamental strength 4 Appendix Deutsche Bank Fixed Income Investor Update Call 2 Investor Relations 4 November 2020
Slide 3: Our transformation journey has been successful up to now
Our transformation journey has been successful up to now 2019/ 2018 2021+ 2020 Phase I: Stabilisation Phase II: Transformation Phase III: Focus on sustainable growth Enhance balance sheet, Radically transform our Shift gears with a clear upgrade internal controls, business model with focus on genera
Slide 4: We have delivered a series of transformation milestones
We have delivered a series of transformation milestones - 81% of transformation related effects already behind us Outperformance Integration of Agreement on Further (Re-)gaining market against financial De-risking within Corporate Bank closure of additional simplification of share in our IB plan ove
Slide 5: Investors appreciate the progress of our transformation
Investors appreciate the progress of our transformation 5 year Senior Preferred CDS spreads, in basis points 200 DB Core peers(1) 160 120 80 40 0 1 Nov 2019 1 Jan 2020 1 Mar 2020 1 May 2020 1 Jul 2020 1 Sep 2020 (1) Core peers include UBS, BNP, Société Générale, HSBC, JP Morgan, Bank of America, Cre
Slide 6: Continued progress on strategic transformation
Continued progress on strategic transformation Delivered against all targets and milestones for the 5th consecutive quarter of our strategic transformation Growing revenues under refocused strategy Reduced adjusted costs year-over-year for 11th consecutive quarter – on track to reach targets Signifi
Slide 7: Agenda
Agenda 1 Transformation progress 2 Q3 2020 Update 3 Balance sheet and fundamental strength 4 Appendix Deutsche Bank Fixed Income Investor Update Call 7 Investor Relations 4 November 2020
Slide 8: Q3 2020 Group financial highlights
Q3 2020 Group financial highlights In € m, unless stated otherwise Change in % Change in % Q3 2020 vs. Q3 2019 vs. Q2 2020 Revenues 5,938 13. (6) Revenues Revenues ex specific items(1) 5,935 9. (5) Noninterest expenses 5,183 (10) (3) Costs Adjusted costs ex. transformation charges(2) 4,816 (8) (2) P
Slide 9: Growing revenues under re-focused strategy
Growing revenues under re-focused strategy Last 12 months (LTM) revenues(1) ex. specific items, in € bn Group 23.2 23.8 ~ 0.7% ~24.5 CAGR(3) 7% 24.1 22.4 5.2 Corporate 5.3 Bank Investment 8.8 6.7 Bank Private 8.1 8.1 Bank Asset Management 2.2 2.3 LTM Q3 2019(2) LTM Q3 2020 2022 Group revenue plan as
Slide 10: Cost discipline continues for the 11th consecutive quarter
Cost discipline continues for the 11th consecutive quarter Adjusted cost ex. transformation charges(1), in € bn Bank levies Prime Finance(2) 0.7 0.6 0.5 0.1 5.7 5.6 5.5 5.4 5.3 5.3 5.2 5.0 4.9 4.7 4.7 0.1 0.1 0.1 0.1 Q1 2018 Q2 2018 Q3 2018 Q4 2018 Q1 2019 Q2 2019 Q3 2019 Q4 2019 Q1 2020 Q2 2020 Q3
Slide 11: Strategic transformation drives growth and higher profitability
Strategic transformation drives growth and higher profitability In € bn, unless stated otherwise Operating leverage(1) Last 12 months (LTM) adjusted profit (loss) before tax(2) Group Core Bank 17% 13% 11% 11% 12% 10% 7% 3.7 Core Bank 5% 55% 2.4 3% 1% 1% (1)% Capital (2)% (2.1) (2.4) Release Unit (8)
Slide 12: Driving operating leverage by improved resource efficiency
Driving operating leverage by improved resource efficiency Corporate Bank Investment Bank Operating leverage(1) Risk weighted assets, in € bn Operating leverage(1) Risk weighted assets, in € bn 15ppt (3)% 39ppt 1% 1% 59 58 40% 123 124 1% (13)% Q3 2019 Q3 2020 Q3 2019 Q3 2020 Q3 2019 Q3 2020 Q3 2019
Slide 13: Maintained strong balance sheet
Maintained strong balance sheet Q1 2020 Q2 2020 Q3 2020 Common Equity Tier 1 285bps above regulatory 12.8% 13.3% 13.3% capital ratio requirements Deposit growth and loan facility Liquidity reserves € 205bn € 232bn € 253bn repayments € 76bn above regulatory Liquidity Coverage Ratio 133% 144% 151% req
Slide 14: Agenda
Agenda 1 Transformation progress 2 Q3 2020 update 3 Balance sheet and fundamental strength 4 Appendix Deutsche Bank Fixed Income Investor Update Call 14 Investor Relations 4 November 2020
Slide 15: We have transformed the balance sheet since 2009
We have transformed the balance sheet since 2009 After Netting(1), in € bn, as of 30 September 2020 995 891 Liquidity 253 Reserves 85 Trading assets significantly reduced to ~25% of net balance sheet 249 Derivative book benefits from netting / collateral and Trading and related assets(2) 452 strong
Slide 16: Conservatively managed balance sheet
Conservatively managed balance sheet Net balance sheet(1), in € bn, as of 30 September 2020 Assets Liabilities & Equity — Resilient balance sheet to navigate current environment 995 995 — Liquidity Reserves account for 25% of net Trading and balance sheet Liquidity 158 related liabilities(2) reserve
Slide 17: Low risk, well diversified loan portfolio
Low risk, well diversified loan portfolio Loans at amortized cost, in € bn, period end — Trade Finance and working capital, mainly short-term to German midcaps and global multinationals 433 — Commercial Banking loans to midcap and SME clients in Germany — Concentration risk subject to strict hedging
Slide 18: Strong credit quality versus peers
Strong credit quality versus peers Credit loss provisions vs. peers Credit loss provisions consistent with peers given our Credit loss provisions in relation to gross loans in Q3 2020, lower unsecured retail exposure in bps In % 4,5 10 4 Loan Loss Reserves - % of total loans 13 3,5 25 3 25 2,5 30 2
Slide 19: Capital ratios
Capital ratios Movements in basis points, period end CET1 ratio 12 — CET1 capital ratio increased by 2bps in the quarter 13.3% 13.3% — 6bps due to COVID-19, notably: (4) (7) — Lower Credit Risk RWA from repayment of client credit facilities and lower derivative exposures partly offset by continued r
Slide 20: Distance to regulatory capital requirements
Distance to regulatory capital requirements(1) In %, as of 30 September 2020, phase-in view 17.6 T2 2,2 259bps 15.0 — Buffer to total capital requirement increased by ~14bps to 259bps over the quarter AT1 2,1 2.6(4) — ~2bps increase relates to higher CET1 ratio with buffer over CET1 requirement 285b
Slide 21: Loss absorbing capacity well above all requirements
Loss absorbing capacity well above all requirements In € bn, as of 30 September 2020 109 109 Available MREL — Available loss absorbing capacity comfor- Senior 4 preferred tably above all regulatory requirements Available TLAC / 105 subordinated MREL — MREL is the most binding constraint with our buf
Slide 22: Sound liquidity profile
Sound liquidity profile Liquidity Reserves, € bn Cash and cash equivalents(1) Highly liquid and other securities(2) 243 253 222 232 205 200 67% 66% 61% 55% 67% — Liquidity Reserves and Liquidity Coverage Ratio increased in the quarter, driven by: 39% 45% 34% — Reductions in loan balances as clients
Slide 23: Growth in liquidity reserves mainly due to low-cost TLTRO
Growth in liquidity reserves mainly due to low-cost TLTRO In € bn Long-term debt 136 150 — Growth in year-to-date surplus liquidity driven by 16 37 21 TLTRO increase in stable and low cost TLTRO funding 120 113 — Benefiting from favourable TLTRO-III funding (7) Debt issuances rates Q4 2019 Q3 2020 —
Slide 24: 2020 Issuance plan
2020 Issuance plan In € bn Issuance plan Contractual maturity profile(1) Covered Bonds Senior Structured / Preferred Senior Non-Preferred AT1 / Tier 2 23 15-20 17 4 3-5 10-15 14 2 0.5 4 13 1 13 3-4 3.5 2 4 4 1 10 9 4 4 16 1 3 8-10 4-7 7 8 4 2 5 7 3 3 2 4 4 3 1 2020 Original Plan Revised 2020 Plan 9M
Slide 25: Summary & Outlook
Summary & Outlook Resilient and low-risk balance sheet with high portion from stable funding sources Strong capital position to support clients and navigate challenging environment Excess liquidity to be prudently managed towards targets over time Provision for credit losses still expected to be 35-
Slide 26: Agenda
Agenda 1 Transformation progress 2 Q3 2020 update 3 Balance sheet and fundamental strength 4 Appendix Deutsche Bank Fixed Income Investor Update Call 26 Investor Relations 4 November 2020
Slide 27: AT1 and Trust Preferred Securities outstanding
AT1 and Trust Preferred Securities outstanding(1) Regulatory Original Current Nominal Next call Subsequent Issuer Type capital ISIN issuance coupon outstanding date call period treatment(1) date Postbank Funding Trust I Legacy AT1 / -(2) DE000A0DEN75 0.000% € 300m 02-Dec-04 02-Dec-20 Semi-annually P
Slide 28: Current Ratings
Current Ratings Moody‘s Investors S&P Global Fitch Ratings DBRS Services Ratings Counterparty obligations (e.g. Deposits / Structured Notes / A3 BBB+(1) BBB+ A (high) Derivatives / Swaps / Trade Finance obligations/ LOC‘s) Senior Preferred(2) A3 BBB+ BBB+ A (low) Long- term unse- cured Non-preferred
Slide 29: Simplified legal entity structure
Simplified legal entity structure Issuing Deutsche Bank AG Germany entities Americas EMEA APAC DWS DB AG DB AG DB AG DB AG DB AG New London York Branch Singapore Hong Kong Sydney Branch Branch Branch Branch USA Great Britain Singapore Hong Kong Australia Deutsche Bank, DB USA Deutsche Bank Polska De
Slide 30: COVID-19 impact on financials
COVID-19 impact on financials(1) COVID-19 impact Q1 2020 Q2 2020 Q3 2020 Drivers — Still elevated level of COVID-19 related new Provision for defaults € (260)m € (410)m € (76)m credit losses — Improved macro-economic outlook with partial reversal of provisions for performing assets — Lower Credit Ri
Slide 31: Supporting clients through COVID-19
Supporting clients through COVID-19 Loan # Customers Amount — More than 90% to Private Bank clients Legislative & voluntary ~104k € 9bn(2) — 80% relates to expired moratoria industry-driven moratoria(1) — Represents 2% of Group loan portfolio Voluntary bilateral — Bilateral forbearance mainly in the
Slide 32: Provision for credit losses
Provision for credit losses In € m Total COVID-19 impact: 76 273 197 215 — Provisions declined in the quarter but remain (139) elevated compared to pre COVID-19 levels — Decline driven by releases in COVID-19 related Stage 1 and 2 provisions reflecting positive changes in macro-economic outlook sinc
Slide 33: Provision for credit losses and stage 3 loans
Provision for credit losses and stage 3 loans Provision for credit losses, € m Stage 3 at amortised cost, € 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) IB (ex-POCI) Group Stage 3 2.3% 2.2%
Slide 34: Loan exposure by rating buckets
Loan exposure by rating buckets Preliminary 158 142 116 105 Exposure at Default 69 (EAD) (€ bn)(1) 46 37 36 Risk mitigation(2) 21 35 10 12 Adjusted exposure 34 42 37 (LGD basis) 17 11 7 6 6 3 iAAA-iAA iA iBBB iBB iB iCCC Default Probability of default 227 – 0-4 4 - 11 11 - 50 50 - 227 >1,022 N/A (bp
Slide 35: Trading book Value at Risk
Trading book Value at Risk DB Group, in € m, unless stated otherwise Monte Carlo Stressed Value at Risk(1), Trading, 99% confidence level, 1-day Monte Carlo Value at Risk, Trading, 99% confidence level, 1-day Quarterly average ∅ 86 ∅ 79 ∅ 72 ∅ 73 ∅ 69 ∅ 30 ∅ 25 ∅ 24 ∅ 43 ∅ 42 120 100 80 60 40 20 0 Q
Slide 36: Value at Risk – Historical Simulation vs Monte Carlo
Value at Risk – Historical Simulation vs Monte Carlo DB Group, in € m Historical Simulation, Value at Risk Historical Simulation, Value at Risk + Stressed Value at Risk(2) Monte Carlo, Value at Risk Monte Carlo Value at Risk + Stressed Value at Risk(2) Trading, 99% confidence level, 1-day Regulatory
Slide 37: Level 3 assets
Level 3 assets As of 30 September 2020, in € bn Assets (total: € 23bn) Equity securities Mortgage backed securities Other 1 — Level 3 is an indicator of valuation uncertainty and 2 not of asset quality 0 Debt Derivative — The slight decrease in Level 3 assets reflects: securities 4 9 Assets — Portfo
Slide 38: Net interest income sensitivity
Net interest income sensitivity Hypothetical +100bps parallel shift impact, in € bn First year Second year 1.4 1.0 0.9 0.6 0.5 0.4 Retail Non-retail Group Retail Non-retail Group Maturity Maturity > 3M 0.3 0.1 0.3 > 3M 0.5 0.1 0.6 EUR EUR ≤ 3M 0.4 0.3 0.7 ≤ 3M 0.4 0.3 0.7 > 3M 0.0 0.0 0.1 > 3M 0.0 0
Slide 39: Litigation update
Litigation update In € bn, period end Litigation provisions(1) 1,1 1,1 1,1 ― Provisions decreased by € 0.1bn in the quarter 1,0 1,0 predominantly due to settlement payments, mainly in connection with the New York Department of Financial Services settlement in Q3 2019 Q4 2019 Q1 2020 Q2 2020 Q3 2020
Slide 40: Definition of adjustments
Definition of adjustments 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 specific divisi
Slide 41: Transformation-related effects
Transformation-related effects In € bn 2019 – 2019 – 2022 Q3 2020 expected % of total cumulative cumulative 2019 – Q3 2020 expenses expenses Q3 2020 Deferred tax Deferred Tax Asset 2,8 (0.0) 2.8 3.4 83% asset valuation valuation adjustment adjustment Nonoperating Goodwill impairment - 1.0 1.0 100% c
Slide 42: Core Bank financial highlights
Core Bank financial highlights Q3 2020, in € bn, unless stated otherwise Core Change vs. Change vs. Capital Release Bank Q3 2019 Q2 2020 Unit Revenues 6.0 9% (6)% (0.0) Revenues ex. specific items 6.0 7% (5)% (0.0) Noninterest expenses 4.8 (4)% (1)% 0.4 Adjusted costs ex. transformation charges(1) 4
Slide 43: Core Bank financial highlights
Core Bank financial highlights 9M 2020, in € bn, unless stated otherwise Core Change vs. Capital Release Bank 9M 2019 Unit Revenues 18.7 8% (0.2) Revenues ex. specific items 18.6 7% (0.2) Noninterest expenses 14.6 (9)% 1.6 Adjusted costs ex. transformation charges(1) 13.8 (4)% 1.4 Profit (loss) befo
Slide 44: Specific revenue items and adjusted costs – Q3 2020
Specific revenue items and adjusted costs – Q3 2020 In € m Q3 2020 Q3 2019 Q2 2020 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 1,254 2,365 2,033 563 (240) 5,974 (36) 5,938 1,324 1,658 2,041 543 (84) 5,483 (220) 5,262 1,336 2,67
Slide 45: Specific revenue items and adjusted costs – 9M 2020
Specific revenue items and adjusted costs – 9M 2020 In € m 9M 2020 9M 2019 Core Core CB IB PB AM C&O CRU Group CB IB PB AM C&O CRU Group Bank Bank Revenues 3,915 7,396 6,144 1,631 (350) 18,735 (159) 18,575 3,958 5,494 6,203 1,662 103 17,420 396 17,816 DVA - IB Other / CRU - 29 - - - 29 (1) 28 - (126
Slide 46: Adjusted costs excluding transformation charges
Adjusted costs excluding transformation charges In € m, unless otherwise stated Q3 2020 Q3 2019 YoY Q2 2020 QoQ Compensation and benefits 2,602 2,762 (6)% 2,579 1% Adjusted costs excluding transformation IT costs 894 1,014 (12)% 905 (1)% Professional service fees 232 298 (22)% 243 (5)% Occupancy, fu
Slide 47: Adjusted profit (loss) before tax (PBT)
Adjusted profit (loss) before tax (PBT) In € m Q3 2020 Q3 2019 Transfor- Transfor- Specific Goodwill Restructuring Specific Goodwill Restructuring Reported PBT mation Adjusted PBT Reported PBT mation Adjusted PBT revenue items impairments & severance revenue items impairments & severance charges(1)
Slide 48: Last 12 months (LTM) reconciliation
Last 12 months (LTM) reconciliation In € m Q3 2019 Q3 2020 Q4 2018(1) Q1 2019 Q2 2019 Q3 2019 Q4 2019 Q1 2020 Q2 2020 Q3 2020 LTM(2) LTM(3) Revenues Core Bank 5,280 5,955 5,982 5,483 5,528 6,407 6,353 5,974 22,700 24,263 CRU 294 396 221 (220) (180) (57) (66) (36) 691 (339) Group 5,575 6,351 6,203 5,
Slide 49: Operating leverage
Operating leverage(1) In € m, unless stated otherwise Q1 Q2 Q3 Q4 Q1 Q2 Q3 2019 2019 2019 2019 2020 2020 2020 Q1 Q2 Q3 Q4 Q1 Q2 Q3 Q4 Q1 Q2 Q3 Q1 Q2 Q3 Q4 Q1 Q2 Q3 vs. vs. vs. vs. vs. vs. vs. 2018(2) 2018(2) 2018(2) 2018(2) 2019 2019 2019 2019 2020 2020 2020 2019 2019 2019 2019 2020 2020 2020 Q1 Q2
Slide 50: Core Bank adjusted post-tax RoTE
Core Bank adjusted post-tax RoTE In € m, unless stated otherwise Q3 2019 Q3 2020 9M 2019 9M 2020 Profit (loss) (102) 617 (2,116) 1,719 Profit (loss) attributable to noncontrolling interests (27) (31) (90) (87) Profit (loss) attributable to additional equity components (67) (85) (196) (249) Profit (l
Slide 51: 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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