Q2 2018 Fixed Income Investor Conference Call
Level 3 assets
€ bn, as of 30 June 2018
Assets (total: € 22bn)
Mortgage backed securities
Equity securities
1
1
Other 2
Debt securities
3
6
Loans
Movements in balances
6
26
4
0
22
(11)
8 Derivative Assets
0 22
(4)
31 Dec Purchases/ Sales/
2016 Issuances Settle-
Other(1) 31 Dec Purchases/ Sales/
2017 Issuances Settle-
Other(1)
30 Jun
2018
ments
ments
—
—
Level 3 assets arise as a consequence of the bank being
active in various markets, some of which are less liquid
Assets are mainly booked in core businesses – only
€ 1.4bn are part of CIB non-strategic book
Level 3 classification is not an indicator of risk or asset
quality, but rather an accounting indicator of valuation
uncertainty due to lack of observability of at least one
valuation parameter
Variety of mitigants to valuation uncertainty:
—
Many valuation inputs are observable
Exchange of collateral with derivative
counterparties
Uncertain input often hedged – e.g. in Level 3
liabilities
Prudent valuation capital deductions (2) specific to
Level 3 balances of ~ € 0.4bn
Deferred Day 1 profit on Level 3 balances of
~ € 0.4bn
Portfolio is not static, as evidenced by significant inflows
and outflows relative to the starting balances
(1)
(2)
Transfers, mark-to-market, IFRS 9
Additional value adjustments deducted from CET 1 capital pursuant to Article 34 of Regulation (EU) No. 575/2013 (CRR)
Deutsche Bank
Q2 2018 Fixed Income Investor Call
Investor Relations
27 July 2018
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