EFTA01377130

Derivatives exposure — headline numbers materially overstate the economic risk IFRS Derivative trading assets and the impact of netting and collateral In EUR bn, as of 30 Sept 2016 Interest Rate in Currency Equity/index Credit / Other Note: (t) (2) 542 36 IFRS Impact of Cash Financial Net amount Master Collateral Instrument Netting collateral() Agreements Figures may not add up due to rounding differences Excludes real estate and other non-financial intrument collateral Master netting agreements allow counterparties with multiple derivative contracts to settle through a single payment Comments Gross notional derivative exposure amounts are not exchanged and relate only to the reference amount of all contracts. It is no reflection of the credit or market risk run by a bank IFRS balance sheet derivatives trading assets are the present value of future cash flows owed to DB and as a result represent the credit risk to the Bank Unlike US GAAP, IFRS accounting does not allow for all master netting agreements to reduce derivative assets shown on the balance sheet Deutsche Bank Investor Relations DB's reported IFRS derivative trading assets of EUR 542bn would fall to EUR 36bn on a net basis, after considering the master netting agreements(2) in place and collateral received • 84% of DB's net exposure is to Investment grade counterparties • 64% of net exposure relates to interest-rate products, 24% related to currency, 9% related to Equity/index In addition, DB actively hedges its net derivatives trading exposure to further reduce the economic risk 8 CONFIDENTIAL - PURSUANT TO FED. R. CRIM. P. 6(e) DB-SDNY-0073702 CONFIDENTIAL SDNY_GM_00219886 EFTA01377130