Deutsche Bank Ag · XETR:DBK
Deutsche Bank — Investor Day (September 2012)
22 slides from Deutsche Bank's investor day presentation, Sep 12, 2012
Slide 1: Risk
Deutsche Bank Risk Stuart Lewis, Chief Risk Officer Investor Day, Frankfurt, 12 September 2012 Deutsche Bank Stuart Lewis financial transparency. 0 Investor Relations Investor Day, Frankfurt, 12 September 2012
Slide 2: Risk Management at Deutsche Bank
Risk Management at Deutsche Bank A glossary of terms used in this presentation is available at our website www.db.com/ir Agenda Page Improved risk — Strong key risk ratios, profile & 2-7 DB among best in class discipline Holistic cross-Risk portfolio management — Proactive de-risking of MRM/CRM hots
Slide 3: Improved risk profile via reduced market risk indicators and higher quality loan book
Improved risk profile via reduced market risk indicators and higher quality loan book Key market risk indicators(1) Loan book(2) In EUR m In EUR bn In EUR bn VaR VaR60-day / SVaRrolling avg.(lhs) RWA contribution € bn (rhs) (rs) (rhs) Higher risk Lower risk VaR VaR/60-d SVarrolling RWA contribution
Slide 4: Strong risk discipline: Among best in class loss history
Strong risk discipline: Among best in class loss history Overall crisis-related losses(1) Credit loss provisions(2) In % of average assets Add-on for acquired entities In bps Peer avg DB excl IAS 39 DB Peer 5yr avg Citi 7.3% 300 DB 5yr avg BoA 5.7% 7.2% 250 UBS 4.2% JPM 3.7% 5.7% 200 MS 2.9% BARC 2.
Slide 5: Credit risk RWA: Efficient RWA consumption based on early implementation of internal models
Credit risk RWA: Efficient RWA consumption also based on early and continuous implementation of internal models Internal model implementation status development IRBA coverage ratio in % Based on EAD Based on RWA German minimum regulatory — High advanced model (EAD) coverage requirement target by YE2
Slide 6: Market risk RWA: Meaningful peer analysis requires adjustments
Market risk RWA: Meaningful peer analysis requires adjustments to align different regulatory and accounting regimes Market risk RWA comparison – absolute levels Deutsche Bank view In EUR bn, 31 Dec 2011 — Reported market risk RWA not directly Securitization positions (1) 27 185 180 62 comparable to
Slide 7: Lower risk profile drives efficient RWA / total assets ratio
Lower risk profile, best in class loss history and consequent Basel 2 application drive efficient RWA / total assets ratio ... RWA divided by total assets adjusted for netting 30 June 2012, in % Based on Basel 1 58 Based on Basel 2.5 55 51 Based on Basel 3 (pro forma)(1) 46 45 42 41 39 37 32 28 37 3
Slide 8: ... and result in robust Risk Bearing Capacity
... and result in robust Risk Bearing Capacity Risk Bearing Capacity What it means Peer averages have been calculated by DB based on data points from public disclosures (1) — Tier 1 Capital divided by 230% economic capital 220% Definition — Amount of Tier 1 capital 210% available to absorb a severe
Slide 9: Strong market risk discipline continued during recent European crisis
Strong market risk discipline continued during recent European crisis Significant reduction in key risk metrics(1) in past year In EUR m VaR (lhs) Adj.Trading EC (rhs) — 2009: Focus on reducing first order and tail 160 10,500 140 Active de-risking across risk post Lehman crisis 120 trading portfolio
Slide 10: Market risk: Delivering improved earnings stability in volatile markets
Market risk: Delivering improved earnings stability in volatile markets Improved risk management framework has reduced P&L volatility 3-month CIB Sales & Trading P&L 3mnth volatility volatility (lhs) (lhs) In EUR m In % eStoxx 3-month realized 3M realised volatility volatility (rhs) (rhs) — Sep 2011
Slide 11: Market risk: Credit trading – Significant de-risking of inventory and basis risks
Market risk: Credit trading – Significant de-risking of inventory and basis risks Key reductions after 2Q2011(1) Credit trading cash inventory Non-agency securitisation cash inventory — Sep 2011 de-risking push focused on (21%) (33%) basis and inventory with Credit — Previous poor performance in str
Slide 12: Credit risk: Strong risk mitigation for loan book
Credit risk: Strong risk mitigation for loan book Resulting in highly diversified and strong portfolio Loans In EUR bn, 30 Jun 2012 Risk mitigated Highly Remaining EUR 49 bn comprises rated mainly clients 149 — EUR 23 bn highly granular Consumer Finance portfolio — EUR 12 bn diversified and 88 415 d
Slide 13: Credit risk: Strong risk mitigation for derivatives
Credit risk: Strong risk mitigation for derivatives Resulting in highly diversified and strong portfolio Derivatives (as per balance sheet) In EUR bn, 30 Jun 2012 Risk mitigated Highly — Gross derivative risk rated clients position significantly Risk mitigated by netting mitigations — Further mitiga
Slide 14: GIIPS risks contained; well prepared if crisis escalates
GIIPS risks contained; well prepared if crisis escalates Development of net credit risk exposure to GIIPS (Risk Management view) In EUR bn (32%) 49.1 Retail 59% 35% 8.3 Corporates 18% 27% Postbank 20.1 6.1 1.4 33.3 Covered bonds 14% 6.9 29.0 26.3 17.8 12.2 0.6 1.6 1.1 31 Dec Sovereign FI Others 30 J
Slide 15: Market risk hotspots: Credit trading – Correlation
Market risk hotspots: Credit trading – Correlation Credit correlation risks significantly reduced Credit correlation book Reductions in outstanding notional Associated reductions in key risk metrics to current In EUR bn stable levels, in EUR m 100 1,000 200 >60% 80 800 60 600 40 400 20 - 200 Outstan
Slide 16: Credit risk deep dive – Monolines
Credit risk deep dive – Monolines Portfolio significantly reduced, remaining exposure adequately reserved Reduction since 2008 Exposure adequately reserved In EUR bn(1) CVA Fair value after CVA In EUR bn, CVA Fair value after CVA as of 30 Jun 2012 (53%) 22% CVA 31% CVA 8.3 2.7 2.2 Net exposure 0.6 t
Slide 17: Credit risk deep dive – IAS 39 reclassified assets (1/2)
Credit risk deep dive – IAS 39 reclassified assets (1/2) Portfolio significantly reduced, higher risk areas manageable CV of IAS 39 development Higher risk portfolio (CV) by assets In EUR bn Total CV/FV gap In EUR bn In % 2.4 (42%) (vs. peak of EUR 6.7 bn in Mar 2009) Leverage Finance 0.7 13 Commerc
Slide 18: Credit risk deep dive – IAS 39 reclassified assets (2/2)
Credit risk deep dive – IAS 39 reclassified assets (2/2) Active de-risking of higher risk assets results in diversified portfolio Top 5 assets (by carrying values, CVs) in each of the higher risk asset classes In EUR bn, as per 30 Jun 2012 Position (partially) sold post 30 Jun 2012 0.7 0.6 Highly di
Slide 19: Credit risk deep dive – Selected Postbank portfolios (1/2)
Credit risk deep dive – Selected Postbank portfolios (1/2) Capital optimization ongoing but satisfactory underlying risk profile Asset composition Postbank Postbank B/S composition In EUR bn per 30 Jun 2012 — Financial markets (~40% of B/S): >95% OECD Low risk; largely liquidity reserves (mainly sov
Slide 20: Credit risk deep dive – Selected Postbank portfolios (2/2)
Credit risk deep dive – Selected Postbank portfolios (2/2) Capital optimization ongoing but satisfactory underlying risk profile Structured Credit Portfolio In EUR bn Carrying value Delta-to-notional AAA-A range BBB range Non-IG — Substantially reduced 4.0 1.8 — Improved rating profile (55)% 58% 47%
Slide 21: Risk culture – Building on solid foundations
Risk culture – Building on solid foundations Strengthened 1st line of defense to further improve front office risk culture ― Behavioral expectations defined & 1st line of communicated to all staff defense Set out ― Expectations translated into qualitative & expectations quantitative risk tolerance l
Slide 22: Cautionary statements
Cautionary statements A glossary of terms used in this presentation is available at our website www.db.com/ir 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