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St t Lewis
Stuart L i
Deputy Chief Risk Officer
Investor Meetings
Deutsche Bank Investor Meetings, 11 May 2010
Investor Relations
Frankfurt, 11 May 2010
Stuart Lewis, Deputy Chief Risk Officer
Financial crisis evolution
(1) iTraxx Europe Crossover, 5-year, series 11 (index of CDS credit derivatives on 50 companies rated at the threshold of investment and speculative grade; before
M h 2009
March 2009: series
i 10/9/8/7)
Source: Bloomberg, DB Research
0.0 100
90
-5.0 -10
an-08
Apr-08
Jul-08
Oct-08
an-09
Apr-09
Jul-09
Oct-09
an-10
Apr-10
Jul-10
Oct-10
an-11
Apr-11
Jul-11
Oct-11
80
-10.0 70
Ja
Ja
Ja
Ja
J
J
O
O
A
A
-15.0 60 -15
-20.0 01 03 05 07 09E 11F 01 03 05 07 09E 11F
-25.0 Greece OECD total Greece OECD total
Euro area Euro area
WORLD LatAm Europe CEE APAC
Source: OECD, DBR
Source: DB Research Source: OECD
OECD, DB Research
3 Monolines
4 Sovereign risk
Low loan
to value Lower risk bucket Moderate risk bucket Higher risk bucket
Substantially
hedged Highly
diversified
Short term / Mostly
on demand collateralise Substantially
d collateralise
Liquid Substantial Mostly d by Govt Strong
collateral collateral Gov t
Govt iti
securities d l i
underlying
gteed Additional asset
hedging quality High Substantial
mitigants Partially
margin collateral / hedged
business hedging Diversified Mostly Predominantly
mortgage secured
asset senior Diversified by asset
pools secured type and location
(11)
(13) (7)
Total PBC Inv grade GTB PWM(2) PBC Corpo- Structured Asset PBC Colla- Financing CF CF Other
loan mort- / German small rate transactions Finance con- teralised/ of Leveraged Commer-
b k
book, gages mid-cap
id corpo- Invest-
I collatera-
ll (DB h d d pipeline
sumer hedged i li Finance cial
gross rates ments(2) lised by sponsored finance structured assets Real
Govts, cash conduits) transactions Estate(3)
and own debt
Forecast 6%
4%
2%
Favourable LLP 1Q2010 LLPs almost halved to EUR 262 m vs. 1Q2009 (LLPs on IAS39 <50% of
development, 1Q2009)
particularly with Despite encouraging outcome, we leave full-year forecast unchanged given market
IAS39 assets uncertainties in a fragile economic recovery
(1) All bps annualised
(2) 31 DDec 2009 lloan b
book
k used
d tto calculate
l l t b bps
(3) Forecast based on 2010 base case
3 Monolines
4 Sovereign risk
6.7
(51)%
4.1
3.7
33
3.3
Favorable
Mar 2010 overall up/downgrade ratio of 0.85x from 0.12x (Mar 2009)
rating
g migration
g
CV / FV delta
d lt also
l continues
ti to
t decrease
d with
ith market
k t recovery and
d DB
DBs proactive
ti
& CV / FV delta restructuring efforts (down 51% since Mar 09)
development
as well as
DB significantly reduced IAS39 Lev Fin subordinated debt since 3Q2009
continued
Sold 5 positions, resulting in 40% reduction in CV of sub debt
reduction of Remaining sub debt is EUR 1.6 bn, attributable to 3 names (99% is one name)
LF sub debt
Note: CV = Carrying Value; FV = Fair Value
0.4 3 1.0 bn
Asset Finance 8.0 123 76 %
((4%)) 2.4% ((31%))
2.9 26
Total 34.0 bn 1,385 58%
(9%) (1.9%)
109bps 3.3 bn
(1) E l d E
Excludes European mortgage
t lloan portfolio
tf li with
ith 7,964
7 964 and
d student
t d t loan
l portfolio
tf li with
ith 8
8,893
893 collectively
ll ti l assessed
d assets
t
(2) Increase in LLP run rate refers to a single name EUR 2 m facility
Top 10: EUR 324 m (98%) Top 10: EUR 310 m (75%) Top 10: EUR 502 m (49%) Top 10: EUR 535 m (41%) Top 10: EUR 187 m (101%)
Delta vs. Dec 09: Delta vs. Dec 09: Delta vs. Dec 09: Delta vs. Dec 09: Delta vs. Dec 09:
CV / FV gap Over 55% of EUR 3.3 bn delta from 50 names (out of 1,135 assets)
continues to Delta continues to decline driv en primarily by reduction in LF subordinated debt (over
narrow EUR 1 bn reduction since Sep 2009)
(1) Top 10 names for each of the 5 asset classes
(2) UK homogeneous mortgage portfolio acquired on liquidation of mortgage warehouse facilities
Deutsche Bank Investor Meetings, 11 May 2010 10
Investor Relations Stuart Lewis, Deputy Chief Risk Officer
Agenda
g
3 Monolines
4 Sovereign risk
Fair value after CVA CVA Fair value after CVA CVA
(44)%
9.1
7.6
Net exposure to non-investment grade:
5.9 EUR 1.1 bn
5.2 5.1
68
6.8
5.5
4.7 4.0 3.1
3.7
1.2
1 2 0.8
2.6
0.7 0.3 0.0
1Q2009 2Q2009 3Q2009 4Q2009 1Q2010 Tier 1/ Tier 2 Tier 3 Tier 4
I
Inv. grade
d
Note:
N t Ti i is
Tiering i an iinternal
t lCCredit
dit Ri
Riskk Management
M t designation
d i ti (Ti
(Tier 1 = strongest
t t / Tier
Ti 4 = weakest)
k t) ; CVA = C
Credit
dit valuation
l ti adjustment
dj t t
(1) Excludes counterparty exposure to monoline insurers that relates to wrapped bonds
Other
0.1
Subprime
Riskier
products
>90% 2007 vintages
Alt-A 1.8 More than 20% subordination
Trups / Majority
j y on super
p senior
11
1.1 tranches with high subordination
CLOs
Student 0.6
loans
3 Monolines
4 Sovereign risk
Limited
Li it d primary/
i / Sovereign: Overall relatively small
small, except Italy
CIB: Focus on better rated clients; corporates / FIs with satisfactory diversification &
secondary
risk mitigation
portfolio PBC: Large presence in Spain and Italy, mitigated by low concentration risk and
concerns
concerns collateral
ll t l
but potential Significant spread widening could lead to losses on our illiquid GM/GB legacy
risk
i k off ttertiary
ti positions
ii
market impact Temporarily reduced liquidity in EU debt and equity markets
due to contagion European banks with significant cross border funding would exhibit renewed stress
(1) Includes exposure for CIB, PBC and PWM, excludes traded credit positions (TCP)
negative impact on CAPEX, future earnings as very small local DB franchise
HF and HNWI impacted by direct losses on PWM exposure to Greek clients manageable
Greek Sovereign/FI holdings given large AuM; overall HF portfolio net short
Greek sov debt restructuring results in ~ Funding cost increase
condary
EUR 50-75bn losses for European banks Share price under pressure
FIs with larger sovereign holdings and/or Collateral (Greek govt) held negligible;
exposure to Greek banking sector come Prime Finance exposure limited after
Sec
over into weak EU and some CEE However, contagion impact beyond PIIGS
Equities fall, financials underperform countries could be material
USD,
USD Treasuries,
Treasuries precious metals benefit Derivative exposure MTM to rise,rise driven by
T
Exposures are monitored through a framework of Country risk research group reviews:
limits: Quarterly: Ratings for the major Emerging Markets
Total counterparty, transfer risk and event risk countries
scenario limits Continuous review: Ratings for countries that we
view as particularly volatile, as well as all event risk
Country limits are reviewed: ratings
At least annually, in conjunction with the review of
country risk ratings
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 projections as they are currently available to the
management of Deutsche Bank. Forward-looking statements therefore speak only as of the date they are made,
and we undertake no obligation to update publicly any of them in light of new information or future events.
By their very nature, forward-looking statements involve risks and uncertainties. A number of important factors
could therefore cause actual results to differ materially from those contained in any forward-looking statement.
Such factors include the conditions in the financial markets in Germany, in Europe, in the United States and
elsewhere from which we derive a substantial portion of our revenues and in which we hold a substantial portion of
our assets,
assets the development of asset prices and market volatility,
volatility potential defaults of borrowers or trading
counterparties, the implementation of our strategic initiatives, the reliability of our risk management policies,
procedures and methods, and other risks referenced in our filings with the U.S. Securities and Exchange
Commission. Such factors are described in detail in our SEC Form 20-F of 16 March 2010 under the heading Risk
Factors. Copies of this document are readily available upon request or can be downloaded from www.deutsche-
bank.com/ir.
This presentation mayy also contain non-IFRS financial measures. For a reconciliation to directly y comparable
figures reported under IFRS, to the extent such reconciliation is not provided in this presentation, refer to the
1Q2010 Financial Data Supplement, which is available at www.deutsche-bank.com/ir.