EFTA01377135.pdf

CDS spreads do not reflect Deutsche Bank's risk or funding costs CDS spreads have had limited correlation with DB's cost of funding or issuance plans Comments - DB Syr EUR-CDS in bps — DB average issuance spread, in bps)' ) Single-name CDS trading volumes are lower ■ DB debt issuance, in EUR bn than pre-crisis making movements in prices 300 more erratic The movement in Deutsche Bank CDS 250 spreads since early 2016 reflects the introduction of the German bail-in law from 1 January 2017 200 Senior unsecured debt (which CDS spreads reference) will be legally subordinated to 150 deposits and operational liabilities CDS can no longer be viewed as a proxy for the probability of default for the entire Bank As a result of the lower volumes and bail-in 4Q'15 1Q'16 ■ 20'16 2.8 3Q'16 law, there has been limited correlation between Deutsche Bank's CDS spreads and the Bank's funding costs (1) Based on the 4 week moving average issuance spread. ATI instruments excluded from spread calculation. As of January 2016. all non-Euro funding spreads rebased to a spread vs 3 month Euribor and reported accordingly. 4O15 spreads would have been on average -10bps lower a reported on that basis Deutsche Bank 14 Investor Relations CONFIDENTIAL - PURSUANT TO FED. R. CRIM. P. 6(e) DB-SDNY-0073708 CONFIDENTIAL SDNY_GM_00219892 EFTA01377135