Deutsche Bank Results Presentation Deck
Debt securities Hold-to-Collect portfolio
€ 22bn, as of September 30, 2023
Portfolio breakdown
21%
4%
32%
2%
Deutsche Bank
Investor Relations
41%
U.S. Treasury bonds
Other foreign government bonds
Maturity breakdown, in € bn
10
6
Other bonds
Corporate bonds
5
up to 1 year 1-5 years 5-10 years >10years
German government bonds
Debt securities Hold-to-Collect (HTC) amount to ~2% of the total assets of the Group
> Portfolio almost entirely consists of bonds, of which the majority are from governments, supranational
agencies and public institutions
Interest rate duration of the portfolio being managed as part of DB's interest rate risk management
strategy
Q3 2023 Fixed Income Investor Call
October 27, 2023
2
Fair Value Gap (FVG), in € bn
22
Carrying value
(2)
FVG
20
Fair value
FVG of debt securities HTC equals 61bps
on CET1 ratio as of September 30, 2023
> Mainly driven by government bonds which
are traded on the market and whose fair
value is their market price
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