Deutsche Bank Ag · XETR:DBK
Deutsche Bank — Investor Day (December 2009)
18 slides from Deutsche Bank's investor day presentation, Dec 15, 2009
Slide 1: Capital and Risk
Capital and Risk Dr. Hugo Banziger Chief Risk Officer Investor Day Frankfurt, 15 December 2009
Slide 2: Sound risk, liquidity and capital profile further strengthened
Sound risk, risk liquidity and capital profile further strengthened 1 CRM 2 MR 3 L/F 4 Cap 1 C dit Risk Credit Ri k 2 M k t Ri Market Risk k Core portfolio on track Risk profile significantly improved, 2009 LLP impacted by IAS 39 portfolio sharplyy lower EC and VaR utilization 2010 overall L
Slide 3: Robustness of credit risk management processes proved during the crisis
Robustness of credit risk management processes proved during the crisis 1 CRM 3 2 4 Risk bucket outlook at Investor Day 2006 … … tested in reality in 2009 Loan book Provisioning level Provisioning level YTD 2009 Loan book (EUR bn)(1) (b ) (bps) (b ) (bps) (EUR bn) Jun 2006 Current Downturn Core IAS
Slide 4: Composition of loan book
Composition of loan book 1 CRM 2 In EUR bn, as of 30 Sep 2009 3 4 263 Low loan to value IAS 39 reclassified assets 35 Substantially hedged Highly diversified Short term / Fully Substantially on demand collateralised collateralised by (66) Liquid Gov’t securities collateral Additional
Slide 5: 2009 Loan loss provision
2009 Loan loss provision 1 CRM 2 Core portfolio on track, but significant LLP in IAS 39 3 4 LLP driven by IAS 39 – … and loan book is core portfolio intact … performing relatively well Loan loss provision, 9M2009, in EUR m Loan loss ratio(2), 9M2009, in bps PCAM 2,070 941 CIB/ Other Inherent 785 IAS
Slide 6: Assets reclassified under IAS 39
Assets reclassified under IAS 39 1 CRM 2 Solid credit quality – impairments on small numbers of loans drove LLP 3 4 Quality of IAS 39 portfolio Carrying value / fair value delta decline By volume In EUR bn Carrying value / fair value delta(1) Other Performing 0.5 bn 93% 7% AF Impaired 5% 5% impaired
Slide 7: Monoline update
Monoline update 1 CRM 2 Exposure materially reduced, reserve levels remain adequate 3 4 Substantial reduction since 1Q2009 peak … … and exposure adequately reserved Fair value after CVA CVA In EUR bn(1) In EUR bn Fair value after CVA CVA (35)% 9.2 vs. 1Q as of 30 Sep 2009 85 8.5 7.8 Two names moved
Slide 8: Loan loss provision: Outlook 2010
Loan loss provision: Outlook 2010 1 CRM 2 Credit cycle likely to gradually turn; overall LLP to decline 3 4 LLP forecast LLP by loan category Illustrative In bps, annualized Core portfolio IAS 39 9M2009 2010 9M2009 2010 Leveraged Finance ~75 75 ~1 1,140 140 CRE / Securitization ~465 ~410 CIB Interna
Slide 9: Market Risk: Refined framework and de-risking discipline
Market Risk: Refined framework and de-risking discipline … 1 2 MR 3 4 Market Risk Management focus Re-calibration of business model Reduce risk concentrations Highly illiquid <5% ~5% positions ~15% Adapt p pposition size to liquidity q y environment Invest in unwinding most illiquid risk positio
Slide 10: … has led to significant reduction in legacy risks
… has led to significant reduction in legacy risks … 1 2 MR 3 4 Ri k reduction Risk d ti b by ttrading di strategy t t Li it d losses Limited l in i tail t il risk i k Average percentage reduction since year-end Revenue scenarios for key risk positions assuming 2008(1) 4Q2008 market conditions, in E
Slide 11: … which is reflected in reduced VaR and EC utilisation
… which is reflected in reduced VaR and EC utilisation 1 2 MR 3 4 VaR Traded Market Risk Economic Capital (EC) Development 3Q2007 – 3Q2009, in EUR m Development Jan 2007 – Oct 2009 VaR of CIB trading units Constant VaR of CIB trading units(1) 180 5000 160 140 4000 120 100 3000 Further sell-down of l
Slide 12: Liquidity Management: Conservative liquidity risk position
Liquidity Management: Conservative liquidity risk position … 1 2 3 L/F 4 Stress testing improved based on Build-up of sizeable lessons learned from the crisis Strategic Liquidity Reserve Net liquidity position after severe downgrade(1), In EUR bn in EUR bn 40 60 30 40 20 20 10 0 0 Dec 08 Mar 09 Jun
Slide 13: … and improved funding base at cost-effective levels
… and improved funding base at cost-effective levels – well prepared for new regulatory requirements 1 3 L/F 2 4 Strongly improved … leading to modest funding unsecured funding base … requirements in 2010 In EUR bn Capital Markets issuance volume, in EUR bn 511 481 Cash C h and d liquidity li idit P
Slide 14: Capital Management: We have successfully managed a huge capital demand before
Capital Management: We have successfully managed a huge capital demand before … 1 3 2 4 Cap Substantial capital demand … was met by strong 3Q2007 – 3Q2009 ... capital generation capacity In EUR bn In EUR bn Buffer to 10% 50 5.0 BIS Tier 1 ratio 6.4 ~5.0 64 6.4 4.8 23.3 18.4 3.9 6.2 4.7 3.2 1.2 Ratin
Slide 15: … and are prepared to do so again on upcoming regulatory-driven capital demand
… and are prepared to do so again on upcoming regulatory-driven capital demand 1 3 2 4 Cap Incremental capital demand by 1Q2011 covered by current capital buffer & retained earnings Capital demand based on a 10% BIS Tier 1 ratio Illustrative Current buffer, additional Capital buffer Net impact retai
Slide 16: Capital instruments to manage RWA volatility over the cycle
Capital instruments to manage RWA volatility over the cycle 1 2 3 4 Cap … manageable through comprehensive Basel II RWA volatility … capital tool box Expected capital volatility through rating changes(1) 3 Share 2 issuance 1 Contingent capital 0 -1 RWA management Illustrative -2 Tier 1 capital buffe
Slide 17: Sound risk, liquidity and capital profile further strengthened
Sound risk, risk liquidity and capital profile further strengthened 1 CRM 2 MR 3 L/F 4 Cap 1 C dit Risk Credit Ri k 2 M k t Ri Market Risk k Core portfolio on track Risk profile significantly improved, 2009 LLP impacted by IAS 39 portfolio sharplyy lower EC and VaR utilization 2010 overall L
Slide 18: Cautionary statements
Cautionary 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 pro