Deutsche Pfandbriefbank Ag · XETR:PBB
Deutsche Pfandbriefbank — Q4 2010 Earnings Presentation
69 slides from Deutsche Pfandbriefbank's earnings presentation, Mar 24, 2011
Slide 1: Preliminary Results Q4 2010: pbb de-risked, re-positioned and profitable
Analyst/Investor Presentation Preliminary Results Q4 2010: pbb de-risked, re-positioned and profitable Preliminary Results Q4 2010, March 24, 2011
Slide 2: Disclaimer
Disclaimer pbb This presentation is not an offer or invitation to subscribe for or purchase any securities. No warranty is given as to the accuracy or completeness of the information in this presentation. You must make your own independent investigation and appraisal of the business and financial co
Slide 3: Highlights
Highlights pbb re-emerged as de-risked, re-positioned and profitable specialist bank, following the asset transfer to FMS-WM as of Oct 1, 2010 pbb pbb significantly de-risked and de-leveraged Appendix 1 – pbb Balance sheet structure improved with significantly reduced impact from market volatility a
Slide 4: Overview
Overview pbb Income statement EUR 98 mio pre-tax profit in Q4 2010, reflecting the profitability of the existing portfolios after the asset transfer to FMS-WM as of Oct 1, 2010 Q4 results include the following major one-off effects Appendix 1 – pbb – EUR 10 mio gain from termination of intra-group b
Slide 5: Overview
Overview pbb Capitalisation Reduction of RWA by EUR 29.2 bn (-64%) in Q4 to EUR 16.1 bn as of 31/12/2010, primarily due to the asset transfer to FMS-WM No further capital contributions made by SoFFin in 2010 – however, pbb sufficiently Appendix 1 – pbb capitalised with EUR 2.7 bn Tier I capital Tier
Slide 6: Agenda
Agenda pbb 1. Financial Results 2. Funding & Liquidity Appendix 1 – pbb 3. Cover Pools 4. Portfolio 5. Strategic Priorities and Outlook Appendix 2 – DEPFA Appendix 3 – HRE Group Preliminary Results Q4 2010, March 24, 2011 6
Slide 7: pbb continues to be profitable in Q4 2010
pbb continues to be profitable in Q4 2010 pbb Implications from the asset transfer to FMS-WM on the income statement in Q4 2010 and going forward: EUR mio Lower income base as interest bearing assets have been transferred, but reduced volatility of PBT -188 -177 -175 119 98 income lines Appendix 1 –
Slide 8: Balance sheet as of Oct 1, 2010
Balance sheet as of Oct 1, 2010 Counter-effects resulting from the asset transfer as of Oct 1, 2010 increased the total assets by EUR 106 bn pbb Total assets (IFRS) EUR billions 226 219 -41 +106 106 Appendix 1 – pbb -76 +5 EUR +12 bn synthetically transferred cover pool assets, which remain on the b
Slide 9: Balance sheet as of Dec 31, 2010
Balance sheet as of Dec 31, 2010 Counter-effects resulting from the asset transfer declined by 22% – excluding these counter-effects, on a pro-forma basis total assets were reduced to EUR 104 bn (-54%) pbb Total assets (IFRS) Compensatory counter-effects EUR billions -54% 226 Trading assets 2 219 18
Slide 10: pbb sufficiently capitalised with Tier I ratio of 16.7%
pbb sufficiently capitalised with Tier I ratio of 16.7% pbb Pro-forma Risk-Weighted Assets (RWA) Market risk Deutsche Pfandbriefbank AG is according to the ‘Waiver Rule’ regulated in Sec. EUR billions Operational risk 2a KWG (German Banking Act) not obliged to determine the equity capital ratio 45.3
Slide 11: Agenda
Agenda pbb 1. Financial Results 2. Funding & Liquidity Appendix 1 – pbb 3. Cover Pools 4. Portfolio 5. Strategic Priorities and Outlook Appendix 2 – DEPFA Appendix 3 – HRE Group Preliminary Results Q4 2010, March 24, 2011 11
Slide 12: pbb no longer dependent on liquidity support by the German government/SoFFin
pbb no longer dependent on liquidity support by the German government/SoFFin pbb pbb no longer dependent on liquidity support by the German government/SoFFin Appendix 1 – pbb Liquidity surplus in place after asset transfer to FMS-WM to support gradual re-entrance into the Pfandbrief market and unsec
Slide 13: Conservative funding profile with only minor funding gaps
Conservative funding profile with only minor funding gaps – funding volumes depending on new business volumes pbb Total liabilities and equity (IFRS) EUR 4.6 bn new long-term funding issued in 2010, even in a difficult market EUR billions environment for pbb 226 Liquidity support by the German gover
Slide 14: Agenda
Agenda pbb 1. Financial Results 2. Funding & Liquidity Appendix 1 – pbb 3. Cover Pools 4. Portfolio 5. Strategic Priorities and Outlook Appendix 2 – DEPFA Appendix 3 – HRE Group Preliminary Results Q4 2010, March 24, 2011 14
Slide 15: Public Sector cover pool
Public Sector cover pool Cover pool optimised – no Greece remaining, no Ireland pbb Cover funds by region Public Sector cover pool (Nominal) 30/09/2010 31/12/2010 EUR billions (Nominal) Pfandbriefe outstanding EUR 44.1 bn EUR 39.5 bn 18.9 18.9 Cover funds EUR 48.8 bn EUR 43.8 bn 30/09/2010 / Total:
Slide 16: Mortgage cover pool
Mortgage cover pool EUR 8 bn asset risk transferred synthetically, therefore assets remain within cover pool pbb Cover funds by region Mortgage cover pool (Nominal) 30/09/2010 31/12/2010 EUR billions (Nominal) Pfandbriefe outstanding EUR 18.2 bn EUR 17.4 bn 12.4 Cover funds EUR 23.8 bn EUR 22.7 bn 1
Slide 17: Agenda
Agenda pbb 1. Financial Results 2. Funding & Liquidity Appendix 1 – pbb 3. Cover Pools 4. Portfolio (EaD, excl. FMS-WM compensation claims) 5. Strategic Priorities and Outlook Appendix 2 – DEPFA Appendix 3 – HRE Group Preliminary Results Q4 2010, March 24, 2011 17
Slide 18: Non-Real Estate portfolio
Non-Real Estate portfolio Remaining exposure mainly consists of cover pool eligible assets – no Greece, no Ireland remaining pbb 1.0 Exposure by region New business EUR billions (EaD, excl. FMS-WM compensation claims) EUR billions 0.6 26.7 26.2 30/09/2010 / Total: EUR 76.9 bn New commitments 31/12/2
Slide 19: Real Estate portfolio
Real Estate portfolio Remaining exposure mainly consists of cover pool eligible assets in Germany and Europe pbb 3.1 Exposure by region New business EUR billions (EaD, excl. FMS-WM compensation claims) EUR billions 1.4 24.3 New commitments 0.8 1.7 0.6 30/09/2010 / Total: EUR 55.2 bn Extensions >1 ye
Slide 20: Exposure in selected countries
Exposure in selected countries No sovereign exposure to Ireland, Greece and Spain pbb PSF: Sovereign exposure in selected countries Sovereign exposure reduced in all selected countries, helped by the asset transfer to EUR billions (EaD, excl. FMS-WM compensation claims) FMS-WM – Only very limited ex
Slide 21: pbb significantly de-risked
pbb significantly de-risked Total restructuring loans reduced by 87%, almost no workout loans remaining pbb Total problem loans Non-REF pbb significantly de-risked after the asset transfer to FMS-WM – total restructuring EUR billions (EaD) and workout loans reduced by 86% REF 8.5 EUR 1.2 bn remainin
Slide 22: Agenda
Agenda pbb 1. Financial Results 2. Funding & Liquidity Appendix 1 – pbb 3. Cover Pools 4. Portfolio 5. Strategic Priorities and Outlook Appendix 2 – DEPFA Appendix 3 – HRE Group Preliminary Results Q4 2010, March 24, 2011 22
Slide 23: Strategic priorities and outlook
Strategic priorities and outlook pbb Regain full strength of new business origination – new business expected to increase to EUR ~8 bn in 2011, primarily Real Estate Finance Appendix 1 – pbb Set up and expand pbb‘s refinancing capabilities to optimise funding costs Support FMS-WM as portfolio manage
Slide 24: Contact details
Contact details pbb Communications Walter Allwicher +49 (0)89 2880 28787 walter.allwicher@pfandbriefbank.com Appendix 1 – pbb Investor Relations Frank Ertz +49 (0)89 2880 28776 frank.ertz@pfandbriefbank.com Michael Heuber +49 (0)89 2880 28778 michael.heuber@pfandbriefbank.com Appendix 2 – DEPFA www.
Slide 25: Appendix – pbb
Appendix 1 – pbb Preliminary Results Q4 2010 Preliminary Results Q4 2010, March 24, 2011
Slide 26: Agenda
pbb Deutsche Pfandbriefbank (sub-group) Agenda pbb Financial Results Non-Real Estate Portfolio Appendix 1 – pbb Real Estate Portfolio Public Sector Cover Pool Mortgage Cover Pool Appendix 2 – DEPFA Appendix 3 – HRE Group Preliminary Results Q4 2010, March 24, 2011 26
Slide 27: Servicing of profit participation certificates and Tier I issues
pbb Deutsche Pfandbriefbank (IFRS) Servicing of profit participation certificates and Tier I issues pbb Deutsche Pfandbriefbank will not service profit-participation rights issued by former Westfälische and Württembergische Hypothekenbank (WestHyp, WürttHyp) – Deutsche Pfandbriefbank AG has posted a
Slide 28: Servicing of profit participation certificates and Tier I issues (cont'd)
pbb Deutsche Pfandbriefbank (IFRS) Servicing of profit participation certificates and Tier I issues (cont’d) pbb According to the modified terms, interest on profit-participation certificates issued by former DEPFA Deutsche Pfandbriefbank AG will be serviced in full for 2010. Original issuer ISIN Co
Slide 29: Agenda
pbb Deutsche Pfandbriefbank (sub-group) Agenda pbb Financial Results Non-Real Estate Portfolio Appendix 1 – pbb Real Estate Portfolio Public Sector Cover Pool Mortgage Cover Pool Appendix 2 – DEPFA Appendix 3 – HRE Group Preliminary Results Q4 2010, March 24, 2011 29
Slide 30: Non-Real Estate portfolio
pbb Deutsche Pfandbriefbank (sub-group) Non-Real Estate portfolio pbb Non-Real Estate exposure by counterparty type EUR billions (EaD, excl. FMS-WM compensation claims) 23.3 30/09/2010 / Total: EUR 76.9 bn 19.2 31/12/2010 / Total: EUR 59.9 bn 16.9 Appendix 1 – pbb 14.7 14.9 13.9 12.3 9.9 4.1 3.43 1.
Slide 31: Non-Real Estate portfolio
pbb Deutsche Pfandbriefbank (sub-group) Non-Real Estate portfolio pbb Non-Real Estate exposure by PD class PD class S&P rating scale EUR billions (EaD, excl. FMS-WM compensation claims) 1-7 AAA to A- 65.8 8-10 BBB+ to BBB- 11-13 BB+ to BB- 58.1 30/09/2010 / Total: EUR 76.9 bn 14-22 B+ to B- 31/12/20
Slide 32: Agenda
pbb Deutsche Pfandbriefbank (sub-group) Agenda pbb Financial Results Non-Real Estate Portfolio Appendix 1 – pbb Real Estate Portfolio Public Sector Cover Pool Mortgage Cover Pool Appendix 2 – DEPFA Appendix 3 – HRE Group Preliminary Results Q4 2010, March 24, 2011 32
Slide 33: Real Estate portfolio
pbb Deutsche Pfandbriefbank (sub-group) Real Estate portfolio pbb Real Estate exposure by loan type EUR billions (EaD, excl. FMS-WM compensation claims) 45.8 30/09/2010 / Total: EUR 55.2 bn 31/12/2010 / Total: EUR 26.4 bn Appendix 1 – pbb 25.0 5.7 0.8 1.7 0.6 2.1 0.1 Appendix 2 – DEPFA Investment lo
Slide 34: Real Estate portfolio
pbb Deutsche Pfandbriefbank (sub-group) Real Estate portfolio pbb Real Estate exposure by property type EUR billions (EaD, excl. FMS-WM compensation claims) 22.5 30/09/2010 / Total: EUR 55.2 bn 31/12/2010 / Total: EUR 26.4 bn Appendix 1 – pbb 11.6 10.7 10.3 6.7 5.9 4.9 3.0 2.9 1.8 1.3 0.2 Office Ret
Slide 35: Real Estate portfolio
pbb Deutsche Pfandbriefbank (sub-group) Real Estate portfolio pbb Real Estate exposure by EL classes EL class S&P rating scale EUR billions (EaD, excl. FMS-WM compensation claims) 1-5 AAA to A- 6-8 BBB+ to BBB- 6.9 7.0 9-11 BB+ to BB- 6.2 30/09/2010 / Total: EUR 55.2 bn 12-15 B+ to B- 31/12/2010 / T
Slide 36: Agenda
pbb Deutsche Pfandbriefbank (sub-group) Agenda pbb Financial Results Non-Real Estate Portfolio Appendix 1 – pbb Real Estate Portfolio Public Sector Cover Pool Mortgage Cover Pool Appendix 2 – DEPFA Appendix 3 – HRE Group Preliminary Results Q4 2010, March 24, 2011 36
Slide 37: Public Sector cover pool
pbb Deutsche Pfandbriefbank Public Sector cover pool pbb Cover funds by counterparty type EUR billions (Nominal) 18.1 18.0 30/09/2010 / Total: EUR 47.0 bn1 31/12/2010 / Total: EUR 41.9 bn1 14.8 Appendix 1 – pbb 12.2 12.6 10.0 1.9 1.3 Regional authorities Central governments Local authorities Other d
Slide 38: Public Sector cover pool
pbb Deutsche Pfandbriefbank Public Sector cover pool pbb Maturity profile1 30/09/2010: EUR millions (Nominal) 14,000 Pfandbriefe outstanding / Total: EUR 44.1 bn2 12,000 Cover funds / Total: EUR 48.8 bn Appendix 1 – pbb 10,000 8,000 6,000 4,000 2,000 0 <1y >1-2y >2-3y >3-4y >4-5y >5-10y >10y Appendi
Slide 39: Agenda
pbb Deutsche Pfandbriefbank (sub-group) Agenda pbb Financial Results Non-Real Estate Portfolio Appendix 1 – pbb Real Estate Portfolio Public Sector Cover Pool Mortgage Cover Pool Appendix 2 – DEPFA Appendix 3 – HRE Group Preliminary Results Q4 2010, March 24, 2011 39
Slide 40: Mortgage cover pool
pbb Deutsche Pfandbriefbank Mortgage cover pool pbb Cover funds by property type EUR billions (Nominal) 8.8 8.2 30/09/2010 / Total: EUR 22.3 bn1 31/12/2010 / Total: EUR 20.8 bn1 Appendix 1 – pbb 5.4 5.1 5.1 4.7 3.0 2.8 Office Residential Retail/Shopping Others2 Appendix 2 – DEPFA 30/09/2010 31/12/20
Slide 41: Mortgage cover pool
pbb Deutsche Pfandbriefbank Mortgage cover pool pbb Maturity profile1 30/09/2010: EUR millions (Nominal) 6,000 Pfandbriefe outstanding / Total: EUR 18.2 bn2 5,000 Cover funds / Total: EUR 23.8 bn Appendix 1 – pbb 4,000 3,000 2,000 1,000 0 <1y >1-2y >2-3y >3-4y >4-5y >5-10y >10y Appendix 2 – DEPFA 31
Slide 42: Appendix – DEPFA
Appendix 2 – DEPFA Preliminary Results Q4 2010 Preliminary Results Q4 2010, March 24, 2011
Slide 43: Disclaimer
Disclaimer pbb I This presentation is not an offer or invitation to subscribe for or purchase any securities. I No warranty is given as to the accuracy or completeness of the information in this presentation. You must make your own independent investigation and appraisal of the business and financia
Slide 44: Agenda
DEPFA (sub-group) Agenda pbb Financial Results Appendix 1 – pbb Total Portfolio ACS Cover Pool HPBI Cover Pool Appendix 2 – DEPFA Appendix 3 – HRE Group Preliminary Results Q4 2010, March 24, 2011 44
Slide 45: Income statement
DEPFA (sub-group) Income statement pbb Implications from the asset transfer to FMS-WM on the income statement in Q4 2010 and going forward: EUR mio PBT -304 -117 -228 -424 89 Lower income base as interest bearing assets have been transferred 101 Appendix 1 – pbb LLPs 20 32 Reduced volatility of inco
Slide 46: Balance sheet effects from the asset transfer to FMS-WM as of Oct 1, 2010
DEPFA (sub-group) Balance sheet effects from the asset transfer to FMS-WM as of Oct 1, 2010 pbb Total assets (IFRS) EUR billions 250 218 Appendix 1 – pbb -132 +101 101 -1 EUR +1 bn loan-loss provisions 117 EUR -2 bn derivatives Actual Transfer of Transfer of Counter- Pro-forma 30/09/2010 loans/bonds
Slide 47: Balance sheet as of Dec 31, 2010
DEPFA (sub-group) Balance sheet as of Dec 31, 2010 pbb Total assets (IFRS) Total assets declined to EUR 144 bn as of 31/12/2010 EUR billions In Q4 2010, counter-effects resulting from the transfer reduced 250 – As of 31/12/2010, total assets include EUR 37 bn reverse repo transactions with Trading a
Slide 48: Capitalisation
DEPFA (sub-group) Capitalisation pbb Risk-weighted Assets (RWA) Market risk In Q4 2010, reduction of RWA by EUR 42.3 bn (-85%) to EUR 7.2 bn, primarily due EUR billions Operational risk to transfer of assets to FMS-WM Counterparty risk Tier I capital stable 49.5 1.7 Within the framework of the trans
Slide 49: Servicing of Tier I issues
DEPFA (sub-group) Servicing of Tier I issues pbb DEPFA BANK plc did not make payments on its Tier I issuing vehicle DEPFA Funding IV LP on the last distribution date (March 21, 2011) A decision regarding the payment of coupons on its other subordinated Tier I instruments, DEPFA Funding II LP and DEP
Slide 50: Agenda
DEPFA (sub-group) Agenda pbb Financial Results Appendix 1 – pbb Total Portfolio ACS Cover Pool HPBI Cover Pool Appendix 2 – DEPFA Appendix 3 – HRE Group Preliminary Results Q4 2010, March 24, 2011 50
Slide 51: Total portfolio
DEPFA (sub-group) Total portfolio pbb Total exposure by region EUR billions (EaD, excl. FMS-WM compensation claims) 43.5 30/09/2010 / Total: EUR 224.6 bn 31/12/2010 / Total: EUR 63.1 bn 31.8 Appendix 1 – pbb 29.3 20.1 15.0 13.7 9.8 9.7 11.0 10.8 11.5 9.6 8.9 8.7 4.3 4.3 5.9 4.6 4.7 4.0 3.0 3.8 3.2 3
Slide 52: Total portfolio
DEPFA (sub-group) Total portfolio pbb Total exposure by counterparty type EUR billions (EaD, excl. FMS-WM compensation claims) 59.7 57.7 30/09/2010 / Total: EUR 224.6 bn 31/12/2010 / Total: EUR 63.1 bn Appendix 1 – pbb 36.9 30.0 21.6 16.5 15.2 15.1 10.9 9.9 7.7 3.9 1.8 0.6 PSE1 Sovereign2 Financial
Slide 53: Total portfolio
DEPFA (sub-group) Total portfolio pbb Total exposure by PD class PD class S&P rating scale EUR billions (EaD, excl. FMS-WM compensation claims) 1-7 AAA to A- 8-10 BBB+ to BBB- 195.2 11-13 BB+ to BB- 30/09/2010 / Total: EUR 224.6 bn 14-22 B+ to B- 31/12/2010 / Total: EUR 63.1 bn 23-27 CCC+ to CCC- Ap
Slide 54: Exposure in selected countries
DEPFA (sub-group) Exposure in selected countries pbb Sovereign exposure in selected countries Sovereign exposure reduced in all selected countries, helped by the asset transfer to EUR billions (EaD, excl. FMS-WM compensation claims) FMS-WM Avg maturity in years – No Portugal exposure 30/09/2010 XX –
Slide 55: Total problem loans
DEPFA (sub-group) Total problem loans pbb Total problem loans Workout1 DEPFA significantly de-risked after the asset transfer to FMS-WM – total problem EUR billions (EaD) 2 loans reduced by 86% Restructuring EUR 0.1 bn remaining problem loans consist of 5 individual cases, which are 0.8 adequately c
Slide 56: Agenda
DEPFA (sub-group) Agenda pbb Financial Results Appendix 1 – pbb Total Portfolio ACS Cover Pool HPBI Cover Pool Appendix 2 – DEPFA Appendix 3 – HRE Group Preliminary Results Q4 2010, March 24, 2011 56
Slide 57: ACS cover pool
DEPFA ACS Bank ACS cover pool pbb Cover funds by region ACS cover pool (Nominal) 30/09/2010 31/12/2010 EUR billions (Nominal) Public Sector ACS outstanding EUR 47.2 bn EUR 34.3 bn 11.8 Cover funds EUR 51.3 bn EUR 37.7 bn 10.9 30/09/2010 / Total: EUR 51.3 bn Over-collateralisation (Nominal/NPV) 8.7%
Slide 58: ACS cover pool
DEPFA ACS Bank ACS cover pool pbb Cover funds by counterparty type EUR billions (Nominal) 30.3 30/09/2010 / Total: EUR 51.3 bn 25.9 31/12/2010 / Total: EUR 37.7 bn Appendix 1 – pbb 14.9 6.3 4.1 4.1 2.0 1.4 PSE1 Local Authorities Sovereign Others Appendix 2 – DEPFA 30/09/2010 31/12/2010 Others Others
Slide 59: ACS cover pool
DEPFA ACS Bank ACS cover pool pbb Maturity profile1 ACS bonds outstanding 30/09/2010: EUR millions (Nominal) Cover funds 25,000 20,000 Appendix 1 – pbb 15,000 10,000 5,000 0 <1y >1-5y >5-10y >10y Appendix 2 – DEPFA 31/12/2010: EUR millions (Nominal) ACS bonds outstanding Cover funds 20,000 15,000 10
Slide 60: Agenda
DEPFA (sub-group) Agenda pbb Financial Results Appendix 1 – pbb Total Portfolio ACS Cover Pool HPBI Cover Pool Appendix 2 – DEPFA Appendix 3 – HRE Group Preliminary Results Q4 2010, March 24, 2011 60
Slide 61: HPBI cover pool
Hypo Pfandbrief Bank International (HPBI) HPBI cover pool pbb Cover funds by region LdG cover pool 30/09/2010 31/12/2010 EUR billions (Nominal) Lettres de Gage outstanding EUR 4,041 mio EUR 3,276 mio Cover funds EUR 4,588 mio EUR 3,509 mio 1.14 30/09/2010 / Total: EUR 4,588 mio Over-collateralisatio
Slide 62: HPBI cover pool
Hypo Pfandbrief Bank International (HPBI) HPBI cover pool pbb Cover funds by counterparty type EUR billions (Nominal) 1.7 1.5 30/09/2010 / Total: EUR 4,588 mio 1.3 31/12/2010 / Total: EUR 3,509 mio Appendix 1 – pbb 1.0 0.9 0.9 0.3 0.2 0.1 0.1 Agency Bank Region Government Other Appendix 2 – DEPFA 30
Slide 63: HPBI cover pool
Hypo Pfandbrief Bank International (HPBI) HPBI cover pool pbb Maturity profile1 30/09/2010: EUR millions (Nominal) 1,200 Lettres de Gage outstanding 1,000 Cover funds Appendix 1 – pbb 800 600 400 200 0 <1y >1-2y >2-3y >3-4y >4-5y >5-10y >10-20y >20y Appendix 2 – DEPFA 31/12/2010: EUR millions (Nomin
Slide 64: Appendix – HRE Group
Appendix 3 – HRE Group Preliminary Results Q4 2010 Preliminary Results Q4 2010, March 24, 2011
Slide 65: Disclaimer
Disclaimer pbb I This presentation is not an offer or invitation to subscribe for or purchase any securities. I No warranty is given as to the accuracy or completeness of the information in this presentation. You must make your own independent investigation and appraisal of the business and financia
Slide 66: Income statement
HRE Group Income statement pbb Income statement (IFRS) FY 2009 Q1 2010 Q2 2010 Q3 2010 Q4 2010 FY 2010 EUR millions EUR mio Operating revenues 419 51 -66 -244 348 89 PBT -442 -324 -395 -408 268 Net interest and similar income 1,396 291 248 197 104 840 Net commission income -642 -100 -98 -125 4 -319
Slide 67: Balance sheet effects from the asset transfer to FMS-WM as of Oct 1, 2010
HRE Group Balance sheet effects from the asset transfer to FMS-WM as of Oct 1, 2010 pbb Total assets (IFRS) EUR billions 425 384 Appendix 1 – pbb +210 210 -173 +3 EUR +12 bn synthetically transferred cover pool assets, which remain on the balance sheet 215 EUR +3 bn loan-loss provisions EUR -12 bn d
Slide 68: Balance sheet as of Dec 31, 2010
HRE Group Balance sheet as of Dec 31, 2010 pbb Total assets (IFRS) Total assets declined to EUR 328 bn as of 31/12/2010 EUR billions In Q4 2010, counter-effects resulting from the transfer reduced 384 – As of 31/12/2010, total assets include EUR 97 bn reverse repo transactions with Trading assets 17
Slide 69: Capitalisation
HRE Group Capitalisation pbb Risk-weighted assets (RWA) Market risk Reduction of RWA by EUR 55.1 bn (-73%) to EUR 20.4 bn, primarily due to transfer EUR billions Operational risk of assets to FMS-WM 75.5 Counterparty risk Tier I capital stable – increase due to significantly lower EL short-fall in t
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