Deutsche Bank Client & Creditor Presentation€¦ · Note: Throughout the presentation figures may...

Investor RelationsDeutsche Bank

Deutsche Bank – Client & Creditor PresentationMay 2020

Deutsche Bank


A German bank with a global network

EMEA26%

Americas20%

Germany41%

APAC13%

Regional revenue split(1)

Note: Throughout the presentation figures may not add up due to rounding differences(1) Source: 2019 Annual Report(2) Includes Private Bank and Asset Management, source: Q1 2020 analyst presentation

Deutsche Bank is present in 59 countries(1)

Largest bank in Germany with approx. 20m clients(1)

Managing over € 1.1tn of wealth for clients(2)

1,931 branches worldwide, of which 1,332 in Germany(1)

1


Executing on our transformation

Creditor / Counterparty

considerations

— € 109bn of total loss-absorbing capacity and the German bail-in law provide protection for depositors and counterparties of the Bank

— Senior preferred Credit Default Swap as reference risk faced by derivative clients and trading counterparties

Transformation progress

— Robust group performance with significant increase in Core Bank revenues and profitability

— Strategic transformation ahead of plan and beneficial in current environment

— 9th consecutive quarter of annual adjusted cost reductions – outperformance versus internal expectations

— Clear client-led strategy and position as Germany’s leading bank enable us to be a vital part of the solution

Balance sheet and

fundamental strength

— Strong balance sheet and conservative risk levels allow us to navigate stressed environment

— Capital and liquidity ratios well above regulatory requirements

— Credit loss provisions compare well versus peers - well diversified loan portfolio with limited exposure to focus industries

— Low risk levels reflecting conservative business model and strong risk management

2


Agenda

1

Balance sheet and fundamental strength2

Transformation progress despite COVID-19 challenges

Creditor / counterparty considerations 3

3


We have reacted quickly to the challenges

How we are supporting our clients

Asset Management

PrivateBank

Corporate Bank

Investment Bank

>5k loan applications to KfWscheme with a volume of € 4.4bn; ~15% funded in the first 2 weeks

Helped corporates and governments raise € 150bn of debt since mid-March; ~40% share of European corporate issuance

50% increase in retail inbound sales calls to DWS Direct

25% more visits on DWS websites

120% increase in securities transactions and 30% in call center interactions

Kept most branches open

Flexible resourcing across bank to manage client demand

Crisis hotline for health and mental wellbeing

Resources to help staff with closure of public services

Donated 575k protective masks

Doubled all employee contributions to our food & shelter charities

1m free meals to homeless and daily wage workers in India

Specific support for the elderly (free cash withdrawals, delivery services)

How we are working How we are helping

>70% of employees working from home with operational stability and high quality of service

4


Well positioned in this crisis as Germany’s leading bank

Source: DB Research, Bundesbank, IMF, Bruegel

5969

7582

122

155

UKITGY SUS FR

Corporate debt(% of GDP as of 2019)

Announced government measures(% of GDP)

Household debt(% of GDP as of 2019)

Government debt(% of GDP as of 2019)

39

60

85

99109

135

CH USGY ITUK FR

22

14

12

86

5

UK SGY IT FR US

41

5461

7584

132

FRIT GY SUS UK

Access point to state sponsored lending as ‘Hausbank’ to ~900k

corporate and commercial clients

Leading German corporate finance franchise – 14%

market share year-to-date

Reinforced position as leading German retail bank

Provided liquidity and solutions as the #1 domestic

retail asset manager

5


Stabilizing the Core BankIn € bn, unless stated otherwise

Exit loss making businesses

Focus on market leading businesses and more predictable revenues

Enhance client focus

Refocus

(1) Excludes transformation charges and transformation-related effects (incl. goodwill impairments, restructuring and severance). Reconciliation available under https://www.db.com/ir/en/download/Deutsche_Bank_Q1_2020_results.pdf

(0.5)(0.8)

Q1 2019 Q1 2020

CapitalReleaseUnit

CoreBank0.8

1.1

Adjusted profit (loss) before tax(1)

0.4

Q1 2019

CoreBank

-0.1

Q1 2020

CapitalRelease

Unit

6.3 6.3

5.9 6.4

Revenues ex. specific items

8%

6

38%


Growing revenues in our market-leading businessesCore Bank revenues(1) excluding specific items, in € bn

Asset Management

— Net inflows in core focus areas including through strategic partners and ESG funds

— Number of funds rated 4/5 star by Morningstar increased by 40% since IPO in 2018

PrivateBank

— Wealth management revenue growth reflecting relationship manager hiring in 2019

— Net inflows of € 4bn into investment products

Corporate Bank

— Current crisis reinforces our leading domestic position

— Good momentum on strategic priorities to develop platform, FinTech and ecommerce payments solutions

Investment Bank

— Encouraging development in Rates, FX and EM businesses

— Regained market share in German and EMEA Origination & Advisory

1.3

Q1 2019

IB

Q1 2020

2.1

AM

CB

PB

1.3

6.4

5.9

0.5

2.0

0.5

2.1

2.3

+7%

(1)%

15%

3%

(1)%

(1) Revenues in Corporate & Other (Q1 2019: € (16)m, Q1 2020: € 63m) are not shown on this chart but are included in Core Bank totals

7


Improving efficiency and infrastructureIn € bn

4

ITControl

13

Preserve investments in controls and technology

Reduce adjusted cost to € 17bn in 2022

Front-to-back cost reductions reflecting business exits

5.25.3

4.9

Q4 2019Q1 2019

5.3

Q2 2019 Q3 2019 Q1 2020

5.1

Restructure

Ad

just

ed

co

st(1

)2

01

9-2

02

2 c

um

ula

tiv

e I

T &

C

on

tro

l sp

en

d(2

)

(1) Excluding transformation charges and bank levies

(2) As presented in the strategic transformation announcement on 8 July 2019

8

73% of transformation-related effects already absorbed


Agenda

1




9


Maintained strong balance sheet

CommentQ1 20202019

12.8%239bps above current regulatory

requirementsCommon Equity Tier 1 capital ratio

13.6%

€ 43bn above requirementsLiquidity Coverage Ratio 133%141%

Liquidity Reserves € 205bn€ 222bnMaintained a strong liquidity profile

while supporting client demand

€ 24m Tightly controlled market riskAverage Value at Risk € 28m

Increase reflects deteriorating macroeconomic outlook

44bpsProvision for credit losses as a % of loans

17bps

€ 112bn€ 18bn above most binding MREL

requirement Loss-absorbing capacity (MREL) € 115bn

10


23563

201459

995

267

65

205

2007

Loans(3)

LiquidityReserves

Q1 2020

1,495

994

Other

Trading and related assets(2)

(1) Net balance sheet of € 994bn is defined as IFRS balance sheet € 1,491bn adjusted to reflect the funding required after recognizing (i) legal netting agreements (€ 353bn), cash collateral received (€ 51bn) and paid (€ 43bn) and offsetting pending settlement balances (€ 51bn)

(2) Trading and related assets along with similar liabilities, includes debt and equity securities (excluding highly liquid securities), derivatives, repos, securities borrowed and lent, brokerage receivables and payables, loans measured at fair value

(3) Loans at amortized cost, gross of allowances

Significantly reduced and transformed balance sheetAfter netting(1), in € bn

20% of our balance sheet held in Liquidity Reserves

Trading assets significantly reduced to less than 30% of net balance sheet

Derivative book benefits from netting / collateral and strong stress testing capabilities

Almost half of assets in high quality loan portfolios

11


Solid capital and leverage metricsQ1 2020, in %

CET1 ratio peer comparison

Leverage ratio

12.312.6

15.3 14.612.8 12.312.8 12.7 12.1

11.2 11.1

— Sizeable buffers above future regulatory requirements

— Potential of 2022 requirement to be delayed based on proposals by the European Commission

G-SIB

Pillar 1 requirement

4.0%

3.00%

Q1 2020 2022 target 2021 leverage ratio requirement(1)

3.0%

2022 leverage ratio requirement

~5.0%

3.75%

0.75%

(1) Based on CRR II, from 28 June 2021

12


Maintaining a sound liquidity profile

— Investments in technology and processes allow for better resource allocation

— Switch from cash towards securities, supporting revenue generation

— Reduction of overall liquidity reserves, but maintaining a ratio of ~20% of funded balance sheet

— Liquidity coverage ratio is € 43bn above 100% requirement

— Commitment to support clients may result in temporary LCR decline

— LCR will be maintained comfortably above 100%

Deutsche Bank’s liquidity reserves (in € bn)

Q1 2020 Liquidity Coverage Ratio (LCR, in %)

Highly liquid and other securitiesCash and cash equivalents

71% 67%

33%29%

Q2 2019

55%64%

Q1 2019

36%

Q3 2019

60%

40%

Q4 2019

45%

222

Q1 2020 Target

260 246 243

205 >200Temporary

operating range

13

100

182

156 155144 139 133 131 130 127

115 115 114


Conservative market and credit risk managementQ1 2020

— Value at Risk measures the potential loss of Fair Value positions due to market movements that should not be exceeded with a defined likelihood during a period of time

— Reduced Value at Risk by 2/3 since 2007, at the lower end peers

Value at Risk (in € m)(1)

Credit Loss Provisions (CLP)(2)

(1) Applying a 99% confidence level and a one day holding period

(2) Annualized, in bps vs gross loans

— Strong track record in managing credit risk evidenced by low credit loss provisions as a % of loans

— Historically good quality of credit portfolios proved resilience through the cycle, specifically versus US peers

— Macro outlook leads to CLP forecast for 2020 of 35-45bps, well below peer average

1724 26

34 3743 48 51

73

104

31 4461

114148

180

228

324

387

14


Low risk, well diversified loan portfolioLoans at amortized cost, in € bn, period end

230

87

131

459

11

Investment Bank

Q1 2020

Corporate Bank

Private Bank

Note: Loan amounts are gross of allowances for loan losses. LTV = Loan to Value(1) Mainly Corporate & Other and Capital Release Unit

(2) Based on Deutsche Bank internal rating assessment

(3) Applicable to DB SpA

Other(1)

— Trade Finance and working capital, mainly short-term to German midcaps and

global multinationals

—Commercial Banking loans to midcap and SME clients in Germany

—Concentration risk subject to strict hedging framework

—Asset backed loans (iA- median rating(2)) collateralized with diverse range of assets

—Commercial real estate loans (~60% LTV), positioned to withstand downside risks

—Conservative underwriting standards across leveraged loans

—Dynamic hedging of bridge commitments

— ~50% of total loan portfolios in the Private Bank

— ~60% of Private Bank loans in low risk German mortgages – median LTV 64%

—Wealth Management portfolio 99% collateralized

— Italian portfolio best in class with gross non-performing loans below 2.5%(3)

15


Key focusindustries:~11%

Note: Loan amounts are gross of allowances for loan losses. LTV = Loan to Values(1) Comprise of Commercial Real Estate Group and APAC Commercial Real Estate exposures in the Investment Bank as well as non-recourse Commercial Real Estate business in the Corporate Bank

(2) Net credit limits is the maximum credit risk appetite after risk mitigation, it also includes other non-loan cash, derivative and contingent exposures as well as unutilized credit facilities approved

(3) Retail industry loan exposures exclude clients in more stable Food industry subsegment

Loan book compositionLoans at amortized cost, period end

Commercial Real Estate(1)

(€ 33bn)

— Well diversified across high quality properties

— Largely first lien, 60% average loan to value

— Manageable exposure to hotels and retail mitigated by low

LTVs and strong sponsors

Oil & Gas(€ 8bn)

— Focused on Oil majors and national players

— More than 80% net credit limits(2) to Investment Grade names

— Limited exposure to higher cost US shale producers following

reductions over last years

Retail industry(3)

(€ 5bn)

— Focused on strong global names

— More than 70% net credit limits to Investment Grade names

— Limited exposure to non-food, apparel and textiles retailers

Aviation(€ 4bn)

— 2/3rds secured aircraft financing, 70% average LTV, biased

towards newer / liquid aircrafts

— Unsecured portfolio focused on developed market flag

carriers

Leisure(€ 2bn)

— Focused portfolio on industry leaders in hotels and casinos

— Limited exposure to cruise lines and tour operators

16


(1) Latest EU-wide stress test from 2018(2) For banks that did not disclose loan split details for Q1 2020, assumption that loan mix equals Q4 2019(3) Unsecured retail loans defined as retail loans excluding mortgages and excluding loans collateralized by securities

Strong credit quality versus peers

Loan Loss Reserves(2) consistent with peers given our lower unsecured retail exposureIn %

Stressed credit losses vs. European peersEBA/ECB stress test(1) net credit losses in adverse scenario. Impact on CET1 ratio, in bps

220

307

334

339

459

495

511

573

767

17

0,0%

0,5%

1,0%

1,5%

2,0%

2,5%

3,0%

3,5%

0,0% 5,0% 10,0% 15,0% 20,0% 25,0% 30,0% 35,0%L

oa

n lo

ss r

ese

rve

s /

Gro

ss lo

an

s

Unsecured retail loans(3) / Gross loans


IFRS

(345)

Impact of Master Netting

Agreements

30

(50)

Financial Instrument Collateral

Cash Collateral

(9)

Net amount

434

IFRS derivative trading assets and the impact of netting and collateral

(1)

(1) Excludes real estate and other non-financial instrument collateral (2) Master Netting Agreements allow counterparties with multiple derivative contracts to settle through a single payment

— 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 run by a bank

— IFRS balance sheet derivatives trading assets are the present value of future cash flows owed to DB and as a result represent the credit risk to the Bank

— Unlike US GAAP, IFRS accounting does not allow for all Master Netting Agreements(2) to reduce derivative assets shown on the balance sheet

— DB’s reported IFRS derivative trading assets of € 434bn would fall to € 30bn on a net basis, after considering the Master Netting Agreements in place and collateral received

— In addition, DB actively hedges its net derivatives trading exposure to further reduce the economic risk

Derivatives exposure – headline numbers materially overstate the economic risk31 March 2020, in %

18


Level 3 assets – a small but natural part of our business € bn, Q1 2020

Level 3 asset composition

— Increase in the quarter almost all related to higher derivative market values driven by market volatility, expected to largely reverse over time

— The Capital Release Unit accounted for approx. € 8bn of the Level 3 Asset balance

— Level 3 classification is an accounting indicator of valuation uncertainty due to lack of observability of at least one valuation parameter

— Variety of mitigants to valuation uncertainty (e.g. exchange of collateral, prudent valuation capital deductions, hedging of uncertain input)

— A significant portion of the portfolio is turning over on a regular basis

1,493

28

Total assets

1.9% oftotal

assets

13 DerivativeAssets

8

1

4

Loans

Debtsecurities

2Other

Equity securities

0

Mortgage backed securities

19


Agenda

1




20


Depositors and counterparties are protected by € 109bn loss-absorbing capacity(1)

44

13

52

€ 109bn of TLAC

Loss participation

only if TLAC is exhausted

Plain-vanillasenior non-preferrednotes and other(5)

AT1 / Tier 2 / Adjustments

CET1

Other deposits(3), operating liabilities, senior preferred notes and other(4)

Deposits ≤ €100k / short-term liabilities(2)

Deposits > €100k of natural persons / SMEs

(1) Total loss-absorbing capacity (TLAC) is the amount of equity and bail-in debt available to absorb losses in order to protect counterparties and depositors

(2) Insured deposits and deposits by credit institutions and investment firms with original maturity <7 days are excluded from bail-in

(3) Deposits >€ 100k of large caps, all remaining deposits of financial institutions and the public sector

(4) Other includes structured notes money market instruments and LOC’s

(5) Other includes Schuldscheine >1 year (unless qualified as preferred deposits)

47

41

33 32 31 3128

25 24 2422

Loss absorbing capacity as a % of RWA Q1 2020

Q1 2020

21


Tier 2

Counterparty obligations (e.g. Deposits / Structured Notes /

Derivatives / Swaps / Trade Finance obligations/ LOC‘s)

AT1

Legacy T1

Senior unse-cured

Preferred(2)

Non-preferredLo

ng

-te

rm

BBB+(1) BBB+A3 A (high)

Ba2

A3

B1

B1

BB+

BBB+

B+

B+

BB+

BBB+

BB-

B+

-

A (low)

-

-

Baa3 BBB- BBB BBB (high)

Short-term P-2 A-2 F2 R-1 (low)

Outlook Negative Negative Negative Negative

Moody‘s Investors Services

S&P Global Ratings

Fitch Ratings DBRS

Current Ratings

Note: Ratings as of 29 May 2020

(1) The Issuer Credit Rating (ICR) is S&P‘s view on an obligor‘s overall creditworthiness. It does not apply to any specific financial obligation, as it does not take into account the nature of and provisions of the obligation, its standing in bankruptcy or liquidation, statutory preferences, or the legality and enforceability of the obligation

(2) Defined as senior unsecured debt rating at Moody‘s and S&P, as preferred senior debt rating at Fitch and as senior debt at DBRS

22


Holding company / Non-preferred Senior(2)

Moody‘s S&P

Operating company / Preferred Senior(1)

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/A-1 A2/A

P/A-2 A3/A-

P/A-2 Baa1/BBB+

P/A-2 Baa2/BBB

P/A-3 Baa3/BBB-

Rating landscape – senior debt ratings

Note: Data from company information / rating agencies, as of 29 May 2020. Outcome of short-term ratings may differ given agencies have more than one linkage between long-term and short-term rating

(1) Senior debt instruments that are either issued out of the Operating Company (US, UK and Swiss banks) or statutorily rank pari passu with other senior bank claims like deposits or money market instruments

(2) Senior debt instruments that are either issued out of the Holding Company (US, UK and Swiss banks) or statutorily rank junior to other senior claims against the bank like deposits or money market instruments (e.g. junior senior unsecured debt classification from Moody’s and senior subordinated from S&P)

23


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 projections as they are currently available to the management of

Deutsche Bank. Forward-looking statements therefore speak only as of the date they are made, and we undertake no

obligation to update publicly any of them in light of new information or future events.

By their very nature, forward-looking statements involve risks and uncertainties. A number of important factors could

therefore cause actual results to differ materially from those contained in any forward-looking statement. Such factors

include the conditions in the financial markets in Germany, in Europe, in the United States and elsewhere from which

we derive a substantial portion of our revenues and in which we hold a substantial portion of our assets, the

development of asset prices and market volatility, potential defaults of borrowers or trading counterparties, the

implementation of our strategic initiatives, the reliability of our risk management policies, procedures and methods,

and other risks referenced in our filings with the U.S. Securities and Exchange Commission. Such factors are described

in detail in our SEC Form 20-F of 20 March 2020 under the heading “Risk Factors.” Copies of this document are

readily available upon request or can be downloaded from www.db.com/ir.

This presentation also contains non-IFRS financial measures. For a reconciliation to directly comparable figures

reported under IFRS, to the extent such reconciliation is not provided in this presentation, refer to the Q1 2020

Financial Data Supplement, which is accompanying this presentation and available at www.db.com/ir.

24

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