Deutsche Bank Ag · XETR:DBK
Deutsche Bank — Goldman Sachs European Financials Conference 2010
29 slides from Deutsche Bank's conference presentation, Jun 10, 2010
Slide 1: Deutsche Bank - Dr Hugo Banziger, Chief Risk Officer
Deutsche Bank Deutsche Bank Dr Hugo Banziger Dr. Chief Risk Officer Deutsche Bank Goldman Sachs European Financials Conference Goldman Sachs European Financials Conference Investor Relations Dr. Hugo Banziger Madrid, 10 June 2010
Slide 2: 1Q2010: Improved profitability with lower risk profile
1Q2010: Improved profitability with lower risk profile 1Q2009 1Q2010 Income before income taxes (in EUR bn) 1.8 2.8 Profitability Net income (in EUR bn) 1.2 1.8 Pre-tax RoE (target definition)(1) 25% 30% 31 Dec 2009 31 Mar 2010 Tier 1 capital ratio 12.6% 11.2% Capital p Core Tier 1 capital p ratio 8
Slide 3: Management Agenda Phase 4: Well placed to deliver
Management Agenda Phase 4: Well placed to deliver Management Agenda Phase 4 2009 – 2011 Increase CIB profitability with renewed Focus on core PCAM businesses risk and balance sheet discipline and home market leadership Focus on Asia as a key driver Reinvigorate our of revenue growth performance cult
Slide 4: Phase 4: Financial goals and constraints
Phase 4: Financial goals and constraints Phase 4 potential 2011 Revenue growth p.a. ~ 8% Perrformance Income before income taxes, in EUR bn(1) ~ 10.0 R t Return E it (2) on Equity 25% over over-the-cycle the cycle Cost / income ratio ~ 65% onstraints Tier 1 ratio ≥10% Leverage(3) ≤25x Co (1) Before
Slide 5: Phase 4: On track to achieve targets
Phase 4: On track to achieve targets I Income b f before i income t taxes, i EUR bn in b Phase 4 1Q2010 potential reported 2011 Prospects / Key features — Capture client flow / market share with prudent risk Corporate Banking & 2.6 6.3 taking Securities — Record performance in traditionally traditio
Slide 6: Capital management during crisis: Supply exceeded demand
Capital management during crisis: Supply exceeded d demand d Capital demand / supply, 3Q2007 – 1Q2010 In EUR bn In EUR bn Buffer to 10% Tier 1 ratio 3.6 71 7.1 9.2 6.7 27 3 27.3 4.8 23.7 3.9 9.3 5.8 3.2 1.0 Rating FY Increase Other(1) Total Total RWA Contin- Accum. Postbank Other migration 2008 of T
Slide 7: Regulatory reforms – Basel 2.5
Regulatory reforms – Basel 2.5 Si ifi Significant tbbutt manageable bl challenges h ll New trading book rules Management action plan — Correlation trading Creation of a dedicated unit in Sales & Trading for asset disposal — Trading book securitisation Focus on Level 3 and IAS 39 assets — Stresse
Slide 8: Regulatory reforms – Basel 3.0
Regulatory reforms – Basel 3.0 C Considerable id bl level l l off uncertainty t i t New capital rules Management action plan — Capital deductions (DTA, pension plans, DTA consumption by earnings minority interests) Extensive use of central counterparties — Treatment T t t off equity it positions
Slide 9: Releasing tied-up capital
Releasing tied-up capital D i k d legacy De-risked l and d Level L l 3 assets t IAS 39 and Level 3 assets Key focus areas Actual, in EUR bn Illustrative — Loan sales — Cancellation of trades — Restructure of assets 88 — All with manageable costs to P&L 58 56 34 34 33 2008 2009 1Q2010 2010 2011 2012
Slide 10: Building Deutsche Bank's capital base
Building Deutsche Bank’s capital base Si ifi Significant t retained t i d earnings i potential t ti l Impact on Tier 1 ratio from retained earnings Salient points — Phase 4 assumptions – Environmental Illustrative — No further major market dislocation — Normalisation of valuations, interest rates —
Slide 11: Dynamic capital management
Dynamic capital management Ch ll Challenging i b butt ffeasible ibl Illustrative Current buffer, additional Capital buffer retained to 10% ratio earnings, etc. ? ‘Excess capital’ Retained Further Estimated Announced Estimated Potential Basel 1Q2010 earnings de-risking & regulatory acquisitions/ ‘exc
Slide 12: Key takeaways
Key takeaways Significant existing capital buffer Significant regulatory uncertainty especially with regards to timing makes it hard to precisely quantify impact Nevertheless, future retained earnings coupled with RWA initiatives leave DB in a strong position Fresh capital for buying new earnings st
Slide 13: Additional information
Deutsche Bank Additional information
Slide 14: Sovereign risk – Hot spots in Southern Europe
Sovereign risk – Hot spots in Southern Europe C Concerns about b t sovereign i risk i k – potential t ti l tertiary t ti effect ff t through th h contagion t i CDS spreads by country (in bps) DB exposures(1) by country, 31 Mar 2010 In EUR bn 27.6 16.5 20.6 7.5 3.2 2.5 2.6 1.1 1.4 0.7 05 0.5 14 1.4 0
Slide 15: Sovereign risk: Greece
Sovereign risk: Greece St Stress contagion t i scenario i iimpactt analysis l i Impact Market scenarios Potential impact on DB Risk — Hair cut on Greek sovereign g debt — Limited losses from sovereign g debt exposure p — Shipping : Greek ship owners wealth largely — Limited net shipping exposure (
Slide 16: Tier 1 capital remains well above target
Tier 1 capital remains well above target Tier 1 ratio: (117) bps(1) 12.6 11.7 11.2 11 0 11.0 11.2 10.2 Target: ≥10% 8.7 7.8 8.1 7.5 7.1 7.5 RWA: EUR 17 bn 316 295 288 292 273 1Q 2Q 3Q 4Q 1Q 2009 2010 Tier 1 ratio, in % Core Tier 1 ratio, in % RWA, in EUR bn Sal. Oppenheim Group impact Note: Core Tie
Slide 17: Tier 1 capital and RWA development
Tier 1 capital and RWA development I EUR bn In b Tier 1 capital RWA 14.4 0.7 1.8 292.5 (6.7) (1.3) 6.5 34.4 1.5 3.3 32 8 32.8 273 5 273.5 (2.1) (0.1) (0.5) 31 Dec 1Q10 FX Sal. Capital Equity Other(2) 31 Mar 31 Dec Market Opera- FX Sal. Other 31 Mar 2009 net effects Oppen- de- com- 2010 2009 risk((3)
Slide 18: Modest reliance on shorter term wholesale funding
Modest reliance on shorter term wholesale funding I EUR bn In b Funding sources overview Liquidity position 31 Dec 2009 (Total: EUR 777 bn) — Secured funding increase mainly 31 Mar 2010 (Total: EUR 856 bn) 211 against highly liquid trading assets 173 165 164 — Incremental discretionary 153 158 whole
Slide 19: Reduced provisioning for credit losses
Reduced provisioning for credit losses I EUR m In Related to IAS 39 reclassified assets (50)% 1,000 526 544 560 262 492 308 329 249 159 1Q 2Q 3Q 4Q 1Q 2009 2010 Thereof: CIB 357 779 323 357 90 169 221 214 201 173 Thereof: PCAM Note: Divisional figures do not add up due to omission of Corporate Inves
Slide 20: LLPs stabilising as market shows signs of recovery
LLPs stabilising as market shows signs of recovery 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) 2005 20
Slide 21: Composition of loan book and provisions by category
Composition of loan book and provisions by category I EUR bn, In b as off 31 Mar M 2010 xx 1Q2010 provision for credit losses(1), in EUR m IAS 39 reclassified assets 262 69 115 78 – Low loan 270 to value 34 – Substantially hedged – Highly diversified d e s ed – Mostly – Substantially – Short term /
Slide 22: Impaired loans
Impaired loans I EUR bn In b xx IAS 39 impact - IFRS impaired loans 7.2 7.4 6.7 6.8 45 4.5 1.1 2.6 2.6 2.8 2.9 50% 46% 47% 46% 47% 31 Mar 30 Jun 30 Sep 31 Dec 31 Mar 2009 2010 IFRS impaired loans(1) IFRS impaired loans coverage ratio(2) (1) IFRS impaired loans include loans which are individually im
Slide 23: Pro-forma impact of IAS 39 reclassifications
Pro-forma impact of IAS 39 reclassifications I EUR m In FY2008 - 2Q2009 - Total Total 1Q2010 1Q2009 4Q2009 FY08-FY09 FY08-1Q10 Incremental reported income(1) (162) (1,188) (1,350) (128) (1,478) Fair value P&L impact of reclassified 4,653 (231) 4,422 (279) 4,143 assets Net pro-forma impact on reporte
Slide 24: IAS 39 reclassified assets overview
IAS 39 reclassified assets overview A off 31 M As March h 2010 Impaired Asset Carrying loans # of impaired LLP run rate LLP run rate CV / FV delta class value(3) # of assets % inv grade (EUR bn) loans (annualised) vs. Dec 09 (% total) Leveraged 6.6 2.1 10 0.3 bn Finance 205 0% 377bps (32%) (4.9%) (1
Slide 25: Monoline update
Monoline update E Exposure materially t i ll reduced, d d reserve llevels l remain i adequate d t Substantial reduction since 1Q2009 … and exposure adequately peak … reserved In EUR bn(1) In EUR bn, as of 31 Mar 2010 Fair value after CVA CVA Fair value after CVA CVA 9.1 (44)% 7.6 Net exposure to non
Slide 26: Value of Level 3 assets
Value of Level 3 assets(1) Asset classes 1Q2010 development In EUR bn — Key changes: (6)% — Reduction mainly due to transfer of assets into level 2 as a result of 60 58 2 3 56 increased observability 4 3 8 33 11 6 28 25 26 Financial assets AfS / Other 16 16 17 Financial assets(2) Other trading asset
Slide 27: Global Markets 1Q2010 vs. 1Q2007: A tale of two cities
Global Markets 1Q2010 vs. 1Q2007: A tale of two cities Similar top line revenue performance . . . p . . . using g significantly g y lower resources S&T revenues, in EUR m 1Q2010 vs. 1Q2007 (2) (26%) U.S. GAAP pro-forma 1Q2010 vs. Peak (47%) assets n.a. (38%) Level 3 assets 5,068 4 746 4,746 3% RWA (
Slide 28: VaR of CIB trading units; higher revenues with lower risk
VaR of CIB trading units; higher revenues with lower risk 99% 1 day, 99%, d in i EUR m VaR of CIB trading units Constant VaR of CIB trading units(1) EUR 4.0 bn Sales & Trading revenues EUR 4.7 bn 180 160 140 120 100 80 60 40 20 141 145 114 108 116 45 44 35 36 47 1Q2009 2Q2009 3Q2
Slide 29: Cautionary statements
Cautionary statements This presentation contains forward forward-looking looking statements. Forward Forward-looking 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 b
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