Deutsche Bank Fixed Income Presentation Deck
Footnotes 2/2
Slide 17 Loan book composition
1. Mainly includes Corporate & Other and Institutional Client Services in the Corporate Bank
2. Other businesses with exposure less than 2% each
3. Includes Strategic Corporate Lending
Slide 18-Provision for credit losses and stage 3 loans
1. Quarterly provision for credit losses annualized as basis points of average loans gross of allowance at
amortized cost
2. IFRS 9 Stage 3 assets at amortized cost including POCI as % of loans at amortized cost (€ 482bn as of June
30, 2023)
3. IFRS 9 Stage 3 allowance for credit losses for assets at amortized cost excluding POCI divided by Stage 3
amortized cost excludi POCI
assets
4. IFRS 9 stage 1 coverage ratio for assets at amortized cost (excluding country risk allowance) is 0.1% and IFRS 9
stage 2 coverage ratio for assets at amortized cost (excluding country risk allowance) is 1.3% as of June 30, 2023
Slide 22-Net interest income sensitivity
1. Based on a static balance sheet per May 2023 vs. current market-implied forward rates as of June 30, 2023
Slide 23 - Additional funding disclosure
1. Senior structured excludes new structured issuance off the FIC platform
Slide 24 Level 3 assets and liabilities
1. Issuances include cash amounts paid on the primary issuance of a loan to a borrower
2. Includes other transfers into / out of Level 3, including methodology refinements on opening balance and
mark-to-market adjustments
3. Additional value adjustments deducted from CET1 capital pursuant to Article 34 of Regulation (EU) No.
2019/876 (CRR)
Slide 25 -Leverage exposure and risk-weighted assets
1. Excludes any derivatives-related market risk RWA, which have been fully allocated to non-derivatives trading
assets
2. Includes contingent liabilities
Slide 28 Sustainability
1. Cumulative figures include sustainable financing and investment activities as defined in DB's Sustainable
Finance Framework and related documents, which are published on our website
Slide 30- Specific revenue items and adjusted costs - Q2 2023
1. Legacy portfolios previously reported as the Capital Release Unit until Q4 2022
Slide 31 Specific revenue items and adjusted costs - H1 2023
1. Legacy portfolios previously reported as the Capital Release Unit until Q4 2022
Deutsche Bank
Investor Relations
Q2 2023 Fixed Income Investor Call
July 28, 2023
Slide 32 - Pre-provision profit, CAGR and operating leverage
1. Pre-provision profit defined as net revenues less noninterest expenses
2. Compound annual growth rates of the total of net revenues of the last twelve months over the 18 months
between FY 2021 and Q2 2023
3. Operating leverage defined as the difference between the year-on-year growth rates of revenues and
noninterest expenses
Slide 33- Adjusted post-tax RoTE, CIR and operating leverage
1. Adjusted profit (loss) before tax estimated as the reported profit (loss) before tax excluding the impact of
nonoperating costs and pro rating the impact of bank levies
Slide 34 - Last 12 months (LTM) revenue reconciliation
1. 2020 figures based on reporting structure as disclosed in Annual Re : 2021; 2021 figures based on
reporting structure as disclosed in Annual Report 2022
2. Q2 2021 LTM figures refer to the sum of Q3 2020, Q4 2020, Q1 2021 and Q2 2021
3. Q2 2022 LTM figures refer to the sum of Q3 2021, Q4 2021, Q1 2022 and Q2 2022
4. Q2 2023 LTM figures refer to the sum of Q3 2022, Q4 2022, Q1 2023 and Q2 2023
5. Estimated as percentage share of individual operating business revenues to the total of operating businesses
6. Group revenues include C&O revenues, and prior to 2022 the then CRU revenues
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