Deutsche Bank Ag · XETR:DBK
Deutsche Bank — Investor Day (June 2020)
34 slides from Deutsche Bank's investor day presentation, Jun 18, 2020
Slide 1: Risk Deep Dive
Risk Deep Dive Stuart Lewis James von Moltke Chief Risk Officer Chief Financial Officer 18 June 2020 Deutsche Bank Confidential
Slide 2: Summary
Summary Home market in Germany is a source of strength Conservative balance sheet provides solid foundation to manage upcoming challenges Investments in risk framework, controls and technology facilitate timely and proactive risk management Well diversified loan book with strong collateral and activ
Slide 3: Our business is strongly rooted in Germany
Our business is strongly rooted in Germany Q1 2020 Revenues (FY 2019) Access point to state Loans(1) sponsored lending as ‘Hausbank’ to ~900k Other corporate and commercial Other APAC clients APAC APAC 2% 3% 9% 11% Leading German corporate finance franchise – 14% North North market share in 1Q20 Ame
Slide 4: Germany is one of the most resilient economies in this crisis
Germany is one of the most resilient economies in this crisis As a % of 2019 GDP Corporate debt Announced government COVID-19 measures 155 48 44 122 Fiscal measures 21 14 Liquidity/Guarantees 82 26 69 75 22 59 12 7 14 27 30 9 14 15 12 3 GY IT US UK S FR GY IT FR UK US CH Household debt GDP growth es
Slide 5: We have transformed the balance sheet since 2009
We have transformed the balance sheet since 2009 After netting(1), in € bn 994 891 Liquidity Reserves increased to 20% of net Liquidity 205 85 balance sheet Reserves Trading and related assets (including 267 derivatives) reduced to ~25% of net assets Trading and Primarily government bonds and short-
Slide 6: Stronger balance sheet and risk metrics
Stronger balance sheet and risk metrics 2009 Q1 2020 Common Equity Tier 1 capital ratio 8.7%(1) 12.8% Provision for credit losses as % of loans 101bps 44bps Average Value-at-Risk(2) € 127m € 24m Most Stable Funding(3) 54% 82% Liquidity Reserves € 85bn € 205bn Level 3 assets € 58bn € 28bn (1) Basel 2
Slide 7: Benefitting from investments in our control environment
Benefitting from investments in our control environment ~€ 900m investments in technology across Risk, Anti Financial Crime and Compliance in 2017 – 2019 Aggregate investments in technology and controls to increase further in 2020 Anti-Financial Crime / Liquidity Risk Credit Risk Market Risk Complia
Slide 8: Managing credit concentration risk on multiple dimensions
Managing credit concentration risk on multiple dimensions — Industry risk thresholds set for 27 corporate and financial institution portfolios — Country risk thresholds set for all EM countries (generally no country credit RWA greater than 3%) and for all countries rated iA+ and below Industry — Cou
Slide 9: Significant risk mitigation of loan book exposures
Significant risk mitigation of loan book exposures Q1 2020, in € bn 495 — Exposure at default significantly mitigated by 36 asset collateral and hedging, including: 459 — €232bn of asset collateral including property, cash & deposits and financial instruments (4) 335 — €23bn of CLOs (nominal) to hed
Slide 10: Modest vulnerability to loss in lower rated buckets
Modest vulnerability to loss in lower rated buckets Q1 2020 162 146 117 108 75 57 37 Exposure at Default (€bn) 33 41 Risk mitigation 18 45 38 38 12 10 Adjusted exposure 15 15 9 5 (LGD basis) 3 5 iAAA-iAA iA iBBB iBB iB iCCC Default Probability of default 50 - 227 – 0-4 4 - 11 11 - 50 >1,022 N/A (bps
Slide 11: Conservative approach to credit loss provisions
Conservative approach to credit loss provisions Gross charge-offs as a % of gross provisions for credit losses Realized charge-offs have been ~90% of average credit loss provisions 97% 98% 96% 82% 78% 77% 2014 2015 2016 2017 2018 2019 Deutsche Bank Stuart Lewis and James von Moltke 10 Investor Relat
Slide 12: Diversified loan portfolio
Diversified loan portfolio Q1 2020 IFRS 9 loans: € 459bn Private Bank Corporate Bank Investment Bank Capital Release Unit Other Capital Release Unit Other(1) IB Other Leveraged Debt Capital Markets 1% 5% 2% 2% Asset Backed Securities German Mortgages 7% 29% IB - Commercial Real Estate 4% CB - Commer
Slide 13: Global Credit Trading Loan Portfolio: high quality & resilient
Global Credit Trading Loan Portfolio: high quality & resilient Global Credit Trading 17% Global — Short tenor: ~40% less than 2 years, ~85% less than 5 years Credit — High quality: ~50% Investment Grade , ~6% rated CCC+ or lower Trading Portfolio — Diversified: top 10 names account for 11% of portfo
Slide 14: Commercial Real Estate: high quality, tightly managed
Commercial Real Estate: high quality, tightly managed — Investment Bank (€ 24bn): weighted average LTV ~60% o High quality: 63% in the US, focused on gateway cities ~27% New York, ~16% Los Angeles, ~9% San Francisco(1) o Resilient: manageable exposure to hotels and retail with high quality sponsors
Slide 15: LDCM Loan Portfolio: well-managed risk
LDCM Loan Portfolio: well-managed risk LDCM 2% — LDCM portfolio typically reflects unfunded commitments held and not LDCM syndicated to the loan capital market; positions provide an anchor for portfolio recurring fee business with the client (€ 11bn) — Broad industry and client diversification drive
Slide 16: Underwriting pipeline
Underwriting pipeline Q1 2020: € 19bn(1) — Mainly M&A driven acquisition facilities with de-risking timelines often Corporate driven by competition authority approvals / M&A timelines Investment Grade — Includes loan syndication and bond bridges – bank loan and IG bond (€ 8.4bn) markets have been op
Slide 17: Consumer Finance – Low delinquency & high coverage ratios
Consumer Finance – Low delinquency & high coverage ratios — Principally unsecured loans to private households with limited credit card Other exposure (€ 1.5bn) Loans — Best in class with delinquency ratio (below 2%) reflecting strict lending Consumer Finance standards Portfolio — Risk-adjusted prici
Slide 18: Consistently low levels of net credit loss provisions
Consistently low levels of net credit loss provisions Net Credit Loss Provisions Net Credit Loss Provision peer(1) comparison, in bps In bps 54 28 22 33 13 13 17 35-45 In € bn 300 Peer avg Peer last 5yr avg 250 DB DB last 5yr avg 200 2.1 150 1.4 100 1.1 1.0 0.7 50 0.5 0.5 0 2013 2014 2015 2016 2017
Slide 19: Methodology
2018 EBA stress test not comparable to current environment Continuous 3 year downturn with no Severe shock with quicker recovery recovery Macro No Government support assumed Significant Government support in place Overlays for credit provisions (~20bps) and Detailed, conservative internal bottom up
Slide 20: Loan Loss Reserves - % of total loans
Loan loss reserves in-line with peers on a risk-adjusted basis 4.0% Loan Loss Reserves - % of total loans Citi 3.0% JPM BNP SAN 2.0% BARC BAML 1.0% UBS HSBC 0.0% 0% 5% 10% 15% 20% 25% Consumer credit lending - % of total loans Source: Company reports Deutsche Bank Stuart Lewis and James von Moltke 1
Slide 21: Accounting for Credit Loss Provisions (IFRS 9) Summary
Accounting for Credit Loss Provisions (IFRS 9) Summary Stage Performance Expected Credit Loss (ECL) calculation approach Stage Movements Triggered By 1 year Expected Stage 1 Performing ECL Model Credit Loss — Significant increase in lifetime probability of default / rating downgrade Performing, but
Slide 22: Stage 2 assets increase driven by low-risk clients
Stage 2 asset(1) increase driven by low-risk clients In € bn unless otherwise stated Stage 2 Gross Carrying Amount Q4 2019 Q1 2020 13 11 11 8 7 6 5 2 3 2 0 0 iAA iA iBBB iBB iB iCCC (1) Q1 2020 Stage 2 assets include loans at amortized cost of € 31bn and other financial assets at amortized cost of €
Slide 23: Limited impact on RWA from rating downgrades in Q1 2020
Limited impact on RWA from rating downgrades in Q1 2020 Risk weighted assets, in € bn Jan & Feb 2020 Mar-20 5 2 1 0 0 1 -1 Rating Downgrade Rating Upgrade Drawdown Automotive Leisure Transportation Consumer Goods Commercial Real Estate Healthcare Other Automotives Technology Leisure Aerospace & Defe
Slide 24: Volatility to drive higher Market RWA
Volatility to drive higher Market RWA In € bn Market Risk Weighted Assets 341 38 Operational Risk 21% 33 31 31 30 29 Market Risk 26 25 25 7% Credit Valuation 1% Adjustments Credit Risk 70% Q1 Q2 Q3 Q4 Q1 Q2 Q3 Q4 Q1 Q2 2018 2018 2018 2018 2019 2019 2019 2019 2020 2020 Q1 2020 Value at Risk Deutsche
Slide 25: Strong capital position to weather the crisis
Strong capital position to weather the crisis CET1 ratio drivers Q1 2020: 12.8% — COVID-19 related Credit Loss Provisions COVID-19 — Ratings migration impact on credit risk RWA impacts — Committed facilities repayment / extension (~40) bps — Market risk weighted assets — Benefit from Prudential Valu
Slide 26: Improved distance to regulatory capital requirements
Improved distance to regulatory capital requirements In %, as of 31 March 2020, phase-in view, pro forma reflecting recent Tier 2 issuance(1) 16.96 T2 2.12 192bps 15.04 AT1 2.01 155bps (4) 2.63 239bps 1.97(3) CET1 12.83 10.44(2) Available pro forma capital Q1 2020 Capital requirement Note: Figures m
Slide 27: Key conclusions
Key conclusions Germany, our home market, is a source of strength Robust controls continue to demonstrate their effectiveness Tightly managed credit risk across portfolios In-depth review of most affected portfolios indicates manageable downside, validated by internal stress testing Capital buffers
Slide 28: Appendix
Appendix Deutsche Bank Confidential
Slide 29: Level 3 Assets: Diversified portfolio
Level 3 Assets: Diversified portfolio Total assets: € 28bn Movements in balances Equity securities Mortgage backed securities 2 28 1 0 2 2 Other 2 24 (2) Debt Core COVID-19 effects 20 securities 4 on derivative Bank 13 Derivative Level 3 assets [8] Assets 8 CRU 31 Dec Purchases/ Sales/ Net Increased
Slide 30: Derivatives exposure risk materially smaller than headline
Derivatives exposure risk materially smaller than headline Q1 2020, in € bn EU accounting standards inflate disclosed derivative assets 434 (404) 30 IFRS Netting / Collateral Net amount (US (EU standards) GAAP equivalent) Net derivative assets are a function of market share 88 74 68 48 52 30 Source:
Slide 31: Liquidity risk: Sound liquidity profile maintained
Liquidity risk: Sound liquidity profile maintained Liquidity Reserves, € bn Cash and cash equivalents(1) Highly liquid and other securities(2) 260 246 243 222 205 >200 Temporary 71% operating range 64% 67% 60% 55% — Reduced excess Liquidity Reserves and Liquidity Coverage Ratio (LCR), mainly reflect
Slide 32: Speaker biography
Speaker biography Stuart Wilson Lewis became a member of our Management Board on June 1, 2012 and is our Chief Risk Officer. On July 7, 2019 he assumed responsibility for Compliance, Anti-Financial Crime and the Business Selection and Conflicts Office. He joined Deutsche Bank in 1996. Prior to assum
Slide 33: Speaker biography
Speaker biography James von Moltke has been Chief Financial Officer and Member of the Management Board of Deutsche Bank AG since July 2017. Prior to joining Deutsche Bank, he was Treasurer of Citigroup. In this capacity he was responsible for capital and funding as well as liquidity and interest rat
Slide 34: Cautionary statements
Cautionary statements Non-IFRS Financial Measures This document contains non-IFRS financial measures. For a reconciliation to directly comparable figures under IFRS, to the extent not provided herein, please refer to the Financial Data Supplement which can be downloaded from www.db.com/ir. Forward-L