Deutsche Bank Fixed Income Presentation Deck
Footnotes 2/2
Slide 18 Derivatives bridge
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
Slide 19 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, including APAC Commercial Real Estate
3. Includes Strategic Corporate Lending and recourse & non-recourse Commercial Real Estate business
Slide 21 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 (€ 488bn as of March
31, 2023)
3. IFRS 9 Stage 3 allowance for credit losses for assets at amortized cost excluding POCI divided by Stage 3
assets at amortized cost excluding POCI
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 March 31,
2023
Slide 24 - Net interest income sensitivity
1. Based on a static balance sheet per February 2023 vs. current market-implied forward rates as of March 31,
2023
Slide 26 - Additional funding disclosure
1. Senior structured excludes new structured issuance off the FIC platform
Deutsche Bank
Investor Relations
Q1 2023 Fixed Income Investor Call
April 28, 2023
Slide 27 - 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 28 - 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 31 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
2. Affected divisions under the Sustainable Finance Framework are: Investment Bank, Corporate Bank and
International Private Bank lending (part of the Private Bank organization)
Slide 34 - Pre-provision profit, CAGR and operating leverage
1. Pre-provision profit defined as net revenues less non-interest expenses
2. Compound annual growth rates of the total of net revenues of the last twelve months over the 15 months
between FY 2021 and Q1 2023
3. Operating leverage defined as the difference between the year-on-year growth rates of revenues and non-
interest expenses
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