EFTA01377131.pdf

Strong decline in Level 3 assets In EUR bn, at period end, unless otherwise stated NCOU disposals significant driver in recent past Comments Level 3 classification does not explicitly imply an asset is more risky % of DB Group assets 1.5% Level 3 assets are instruments where the fair value of one or more parameters cannot be determined directly by market information and where pricing techniques must be employed Level 3 assets include Commercial Real Estate loans, -71% some municipal bonds as well as OTC derivatives Level 3 assets only account for 1.5% of DB assets Sensitivity analysis around the uncertainty of 38 unobservable market parameters (consistent with 26 prevailing market evidence) shows limited downside of NCOU EUR 1.1bn (-20 bps pro-forma impact on 3Q16 CETI ratio) versus a potential increase in asset valuations of EUR 1.6bn (-30 bps pro-forma impact on 3Q16 CETI 25 Core Bank ratio) As of 30 Sept 2016, -70% of Level 3 assets are 2007 2012 3Q16 financial assets available for sale and trading securities - with the intention for sale within the next 12 months Deutsche Bank 9 Investor Relations CONFIDENTIAL - PURSUANT TO FED. R. CRIM. P. 6(e) DB-SDNY-0073703 CONFIDENTIAL SDNY_GM_00219887 EFTA01377131