EFTA01377166.pdf

Derivatives exposure — headline numbers materially overstate the economic risk IFRS Derivative trading assets and the impact of netting and collateral Comments In EUR bn, as of 30 Sept 2016 Gross notional derivative exposure amounts are not Interest Rate in Currency Equity/index Credit / Other exchanged and relate only to the reference amount of all contracts. It is no reflection of the credit or market 542 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 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 36 counterparties • 64% of net exposure relates to interest-rate IFRS Impact of Cash Financial Net amount products, 24% related to currency, 9% related to Master Collateral Instrument Equity/index Netting collateral() In addition, DB actively hedges its net derivatives Agreements trading exposure to further reduce the economic risk Note: Figures may not add up due to rounding differences (t) Excludes real estate and other non-financial intrument collateral (2) Master netting agreements allow counterparties with multiple derivative contracts to settle through a single payment Deutsche Bank 8 Investor Relations CONFIDENTIAL - PURSUANT TO FED. R. CRIM. P. 6(e) DB-SDNY-0073756 CONFIDENTIAL SDNY_GM_00219940 EFTA01377166