Deutsche Bank Fixed Income Presentation Deck
Level 3 assets and liabilities
As of March 31, 2023, in € bn
Assets: € 26bn
Equity securities Mortgage backed securities
Other 3 0
Debt
securities
27
5
9
Loans
Derivative
9 Assets
Movements in balances
2
Note: For footnotes refer to slides 35 and 36
Deutsche Bank
Investor Relations
1
26
31 Dec Purchases/ Sales/ Others² 31 Mar
2022 Issuances¹ Settlements
2023
Liabilities: € 11bn
Debt Securities
11
3
Other
0
8
Q1 2023 Fixed Income Investor Call
April 28, 2023
Derivative Liability
Movements in balances
0 (0)
0
31 Dec Issuances¹ Settlements Others²
2022
11
31 Mar
2023
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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