Deutsche Bank Ag · XETR:DBK
Deutsche Bank — Investor Presentation (May 2010)
18 slides from Deutsche Bank's investor presentation, May 11, 2010
Slide 1: Credit Risk Overview
Deutsche Bank Credit Risk Overview St t Lewis Stuart L i Deputy Chief Risk Officer Investor Meetings Deutsche Bank Investor Meetings, 11 May 2010 Investor Relations Frankfurt, 11 May 2010 Stuart Lewis, Deputy Chief Risk Officer
Slide 2: Financial crisis evolution
Financial crisis evolution Phase 1: Phase 2: Phase 3: Start of crisis Escalation Recovery 200 1300 3m Euribor – 3m Eonia swap rate, in bps (lhs) 90 1200 iTraxx XO O(1) S11/10/9/8/7 S11/10/9/8/ 5y spread, in bps (lhs) ( ) 180 VIX implied volatility index S&P 500, in % (rhs) 80 1100 Start series 11, 1
Slide 3: Strong recovery seen across global industries ... but sovereign risks remain
Strong g recovery y seen across g global industries ... ... but sovereign risks remain Strong recovery in industrial production ... ... but sovereign risks remain % growth yoy General government General government 25.0 gross debt ratio budget balance 20.0 % of GDP % of GDP 140 0 15.0 130 10.0 120 5.
Slide 4: Agenda
Agenda g 1 Loan book overview 2 Assets under IAS39 reclassification 3 Monolines 4 Sovereign risk Deutsche Bank Investor Meetings, 11 May 2010 4 Investor Relations Stuart Lewis, Deputy Chief Risk Officer
Slide 5: Loan book and provisions by category
Loan book and p provisions by y category g y In EUR bn, as of 31 Mar 2010 xx 1Q2010 LLPs(1), in EUR m xx Thereof IAS 39 LLPs, in EUR m IAS 39 reclassified assets, in EUR bn 262 / 104 69 115 78 / 104 Low loan to value Lower risk bucket Moderate risk bucket Higher risk bucket Substantially hedged
Slide 6: LLPs stabilising as market shows signs of recovery
LLPs stabilising g as market shows signs g of recovery y Loan loss provisions development: 2003 – 1Q2010 CIB loss in EUR m (lhs) DB loss annualised (rhs) 12% Thereof IAS39 (lhs) Moodys Corp Default Rate (rhs) 10% PCAM loss in EUR m (lhs) VIX implied vol S&P 500 8% Forecast 6% 4% 2% 2003 2) 2004 2) 2
Slide 7: Agenda
Agenda g 1 Loan book overview 2 Assets under IAS39 reclassification 3 Monolines 4 Sovereign risk Deutsche Bank Investor Meetings, 11 May 2010 7 Investor Relations Stuart Lewis, Deputy Chief Risk Officer
Slide 8: Positive trends continue across the portfolio
Positive trends continue across the portfolio p As of 31 March 2010 Positive rating development … … also with CV / FV delta reduction PD Up/Downgrade Ratio (internal data) In EUR bn, as of 31 Mar 2010 6.7 (51)% 4.1 3.7 33 3.3 Favorable — Mar 2010 overall up/downgrade ratio of 0.85x from 0.12x (Mar 2
Slide 9: IAS39 reclassified assets overview
IAS39 reclassified assets overview As of 31 March 2010 Impaired # of CV / FV Asset Carrying loans impaired LLP run rate LLP run rate delta class value # of assets % inv grade (EUR bn) loans (annualised) vs. Dec 09 (% total) Leveraged 2.1 10 0.3 bn 6.6 205 0% 377bps Finance (32%) (4 9%) (4.9%) (10%)
Slide 10: Continued reduction of CV / FV delta across most asset classes
Continued reduction of CV / FV delta across most asset classes Largest CV / FV differences by asset classes:(1) Total Δ EUR 3.3 bn as of 31 March 2010 In EUR m Impaired names (totalling EUR 688 m or 21% of total delta) (2) LF CRE Asset Finance Other Coll/Hedged —Total difference: 332 m —Total differ
Slide 11: Agenda
Agenda g 1 Loan book overview 2 Assets under IAS39 reclassification 3 Monolines 4 Sovereign risk Deutsche Bank Investor Meetings, 11 May 2010 11 Investor Relations Stuart Lewis, Deputy Chief Risk Officer
Slide 12: Monoline update
Monoline update p Exposure materially reduced, reserve levels remain adequate Substantial reduction since 1Q2009 peak … … and exposure adequately reserved In EUR bn(1) In EUR bn, as of 31 Mar 2010 Fair value after CVA CVA Fair value after CVA CVA (44)% 9.1 7.6 Net exposure to non-investment grade: 5
Slide 13: Monoline exposure by asset classes
Monoline exposure p by y asset classes In EUR bn, as of 31 Mar 2010 Product Fair value prior to CVA(1) Comment Other 0.1 Subprime Riskier products — >90% 2007 vintages Alt-A 1.8 — More than 20% subordination Trups / — Majority j y on super p senior 11 1.1 tranches with high subordination CLOs — 50%
Slide 14: Agenda
Agenda g 1 Loan book overview 2 Assets under IAS39 reclassification 3 Monolines 4 Sovereign risk Deutsche Bank Investor Meetings, 11 May 2010 14 Investor Relations Stuart Lewis, Deputy Chief Risk Officer
Slide 15: Sovereign risk – Hot spots in Southern Europe
Sovereign g risk – Hot spots p in Southern Europe p Concerns about sovereign risk – potential tertiary effect through contagion CDS spreads by country (in bps) DB exposures(1) by country, 31 Mar 2010 1,000 900 800 700 600 500 400 300 200 100 Italy Spain Portugal Greece Ireland 0 Aug 08 Nov 08 Feb 09
Slide 16: Sovereign risk: Greece
Sovereign g risk: Greece Stress contagion scenario impact analysis Impact Market scenarios Potential impact on DB Risk — Hair cut on Greek sovereign debt — Limited losses from sovereign debt exposure — Shipping : Greek ship owners wealth largely — Greek FI/Sovereign exposure driven by FX mary he
Slide 17: Process of managing country risk
Process of managing g g country y risk Country risk management Country risk rating Responsible for: Key tool in management of country risk — Managing the Bank's global country risk portfolios by setting country limits Established by an independent country risk — Coordinating C di ti and d managingi
Slide 18: Cautionary statements
Cautionary y statements This presentation contains forward-looking statements. Forward-looking statements are statements that are not historical facts; they include statements about our beliefs and expectations and the assumptions underlying them. These statements are based on plans, estimates and p