Deutsche Bank Fixed Income Presentation Deck
Level 3 assets and liabilities
As of June 30, 2023, in € bn
Assets: € 26bn
Equity securities Mortgage backed securities
Other
2
Debt
securities 4
27
10
Loans
9
Derivative
assets
Movements in balances
4
(3)
(1)
Notes: for footnotes refer to slides 35 and 36
Deutsche Bank
Investor Relations
26
Dec 31, Purchases/ Sales/ Others² Jun 30,
2022 Issuances¹Settlements
2023
Liabilities: € 10bn
Debt securities
11
3
Other
0
Q2 2023 Fixed Income Investor Call
July 28, 2023
7
Derivative liabilities
Movements in balances
1
(1)
Dec 31, Issuances¹ Settlements Others²
2022
10
Jun 30,
2023
Key highlights
>
/
Level 3 is an indicator of valuation uncertainty and
not of asset quality
The Group classifies financial instruments as
Level 3 if an unobservable element impacts the
fair value by 5% or more
The movements in Level 3 assets reflect that the
portfolios are not static with significant turnover
during the period
Variety of mitigants to valuation uncertainty:
>
Uncertain inputs often hedged, e.g. in Level 3
liabilities
Exchange of collateral with derivative
counterparties
Prudent Valuation capital deductions³ specific
to Level 3 balances of ~€ 0.8bn
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