Deutsche Bank Ag · XETR:DBK
Deutsche Bank — Investor Presentation (November 2011)
21 slides from Deutsche Bank's investor presentation, Nov 22, 2011
Slide 1: Risk Overview
Deutsche Bank Risk Overview Stuart Lewis Deputy Chief Risk Officer Investor Meeting Deutsche Bank London, 22 November 2011 financial transparency. 1 Investor Relations London, 22 November Stuart Lewis, Deputy Chief Risk Officer 2011
Slide 2: Agenda
Agenda 1 Market risk developments 2 Loan book composition & focus portfolios i) Overview ii) Sovereign risk iii) Assets under IAS39 reclassification iv) Monolines 3 Level 3 assets 4 Executive summary Deutsche Bank London, 22 November 2011 financial transparency. 2 Investor Relations Stuart Lewis, De
Slide 3: Trading market risk economic capital significantly reduced
Trading market risk economic capital significantly reduced Trading MR EC development In EUR bn — Several model refinements implemented into trading market risk EC over the last (14)% years 6.4 6.4 6.5 — Pronounced underlying de-risking achieved and continuing in 4Q2011 (core trading component ~(70)%
Slide 4: Risk reductions similarly reflected in other key metrics
Risk reductions similarly reflected in other key metrics VaR of CIB trading units (99%, 1 day, in EUR m) DB Group VaR reduced by 13% EUR 2.9 bn Sales & Trading revenues EUR 1.9 bn — Main driver is reductions in inventory in credit trading across flow credit & securitisation (13)% — Some increase has
Slide 5: Agenda
Agenda 1 Market risk developments 2 Loan book composition & focus portfolios i) Overview ii) Sovereign risk iii) Assets under IAS39 reclassification iv) Monolines 3 Level 3 assets 4 Executive summary Deutsche Bank London, 22 November 2011 financial transparency. 5 Investor Relations Stuart Lewis, De
Slide 6: Composition of loan book and provisions by category
Composition of loan book and provisions by category In EUR bn, as of 30 September 2011 ... DB 3Q2011 provision for credit losses(1) ex. PB, in EUR m ... Postbank (PB) 3Q2011 provision for credit losses(1)(2), in EUR m 268 IAS 39 reclassified assets Postbank 463 195 150 68 50 416 (23) (69) (144) (31)
Slide 7: Provision for credit losses
Provision for credit losses Despite fragile capital markets benign LLP due to robust and resilient underlying portfolio Provision for credit losses (in EUR m) — 1Q – 3Q2011 net LLP overview(1) 464 463 1,300 — 1Q2011 (EUR 256 m) exceptionally low, in 373 82 111 311 79 23 particular due to sale of a n
Slide 8: CIB rating migration
CIB rating migration Portfolio stabilised in 2011; impact from EU crisis muted to date Rating migration CIB(1) Rating migration GIIPS(1)(2) In EUR bn 5% 30 2 Upgrade 20 0% 1 10 -5% 0 0 Downgrade - 10 -10% - 20 -1 -30 -15% -2 -20% H2-08 2009 2010 2011 Upgrade Gross Util. (LHS) Downgrade Gross Util. (
Slide 9: Agenda
Agenda 1 Market risk developments 2 Loan book composition & focus portfolios i) Overview ii) Sovereign risk iii) Assets under IAS39 reclassification iv) Monolines 3 Level 3 assets 4 Executive summary Deutsche Bank London, 22 November 2011 financial transparency. 9 Investor Relations Stuart Lewis, De
Slide 10: Net sovereign exposure on selected countries
Net sovereign exposure on selected countries In EUR bn Key features Net sovereign exposure — Net exposure to GIIPS sovereigns 31 Dec 2010 30 Jun 2011 significantly reduced since 31 Dec 2010 12.1 30 Sep 2011 — Quarter-on-quarter movement driven by an increase in Italy (trading book-related exposures)
Slide 11: Agenda
Agenda 1 Market risk developments 2 Loan book composition & focus portfolios i) Overview ii) Sovereign risk iii) Assets under IAS39 reclassification iv) Monolines 3 Level 3 assets 4 Executive summary Deutsche Bank London, 22 November 2011 financial transparency. 11 Investor Relations Stuart Lewis, D
Slide 12: IAS39 reclassified assets overview
IAS39 reclassified assets overview As of 30 September 2011 Impaired CV / FV(2) Asset Carrying loans # of impaired LLP run rate LLP run rate delta class Value (EUR bn) # of assets(1) % inv grade (EUR bn) loans(1) (annualised) vs. Dec 10 (% total) Leveraged 0.09 3 (197)bps 0.2 bn 1.0 86 0% 217bps Fina
Slide 13: IAS39 reclassified assets: carrying value development
IAS39 reclassified assets: carrying value development In EUR bn CV reduced by 39% since March 2010 In EUR bn EUR (15) bn 38 (39)% 34 27 23 Mar-09 Dec-09 Dec-10 Sep-11 — Total CV down EUR 15 bn since March 2009 due largely due to redemptions / maturities (EUR 6.5 bn), restructuring (EUR 5.3 bn) and a
Slide 14: IAS39 reclassified assets: difference CV / FV further reduced
IAS39 reclassified assets: difference CV / FV further reduced, satisfactory credit quality CV(1) / FV(1) delta development — Initial ―money good‖ assessment In EUR bn Leveraged Finance Asset Finance Commercial Real Estate Other Assets(2) accurate (#31 defaults out of 1,136 assets) 6.7 EUR (4.4) bn —
Slide 15: Agenda
Agenda 1 Market risk developments 2 Loan book composition & focus portfolios i) Overview ii) Sovereign risk iii) Assets under IAS39 reclassification iv) Monolines 3 Level 3 assets 4 Executive summary Deutsche Bank London, 22 November 2011 financial transparency. 15 Investor Relations Stuart Lewis, D
Slide 16: Monolines
Monolines Exposure significantly reduced – exposure adequately reserved Reduction since 1Q2009 peak Exposure adequately reserved In EUR bn(1) In EUR bn, as of 30 Sep 2011 Fair value after CVA(2) CVA(2) Fair value after CVA(2) CVA(2) 9.1 7.6 (54)% 5.9 5.6 Net exposure to non-investment grade: 5.2 5.1
Slide 17: Agenda
Agenda 1 Market risk developments 2 Loan book composition & focus portfolios i) Overview ii) Sovereign risk iii) Assets under IAS39 reclassification iv) Monolines 3 Level 3 assets 4 Executive summary Deutsche Bank London, 22 November 2011 financial transparency. 17 Investor Relations Stuart Lewis, D
Slide 18: Level 3 assets
Level 3 assets Fair Value Assets as at 30 Sep 11 — Valuation of Financial instruments carried at Fair Level 1 Level 2 Level 3 Value (FV) is determined as follows: In EUR bn 140 1,221 50 — Level 1 - Quoted prices in active markets In % 10% 86% 4% — Level 2 - Valuation techniques based on observable p
Slide 19: Agenda
Agenda 1 Market risk developments 2 Loan Book composition & focus portfolios i) Overview ii) Sovereign risk iii) Assets under IAS39 reclassification iv) Monolines 3 Level 3 assets 4 Executive summary Deutsche Bank London, 22 November 2011 financial transparency. 19 Investor Relations Stuart Lewis, D
Slide 20: Executive summary
Executive summary Significant market risk reductions reflected in traded market risk and various other key metrics Early and proactive risk management with strict adherence to credit principles and underwriting standards ensures robust portfolio during the crisis Benign LLP over the last years demon
Slide 21: 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
Deutsche Bank — Investor Presentation (November 2011) on 6ix