DB USA Corporation U.S. Net Stable Funding Ratio Disclosures June 30 2023

DB USA Corporation

U.S. NET STABLE FUNDING RATIO DISCLOSURES

For the quarter ended June 30, 2023

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Net Stable Funding Ratio (NSFR)

The NSFR is intended to promote the resilience of banks by requiring them to fund their activities with stable, longer-term funding sources rather than relying heavily on short-term funding, which is prone to increased withdrawals in times of liquidity stress. By encouraging banks to maintain a more balanced and sustainable funding structure, the NSFR seeks to enhance the overall stability and safety of the banking system. The ratio is defined as the amount of Available Stable Funding (ASF) divided by the amount of Required Stable Funding (RSF). ASF includes funding sources that are considered less sensitive to changes in market conditions and are less likely to be withdrawn or reduced quickly, even in times of financial turbulence. These funding sources often have a defined medium- or long-term tenor. Examples of funding sources that contribute to ASF include retail deposits from individuals, long-term wholesale funding and equity capital. RSF represents the amount of stable funding that a bank is required to maintain to supports its balance sheet assets and its off-balance sheet exposures. Assets or exposures that are perceived to be less liquid or more susceptible to funding risk would require a higher amount of stable funding and, therefore, will be assigned a higher percentage weighting in determining the RSF amount. Conversely, assets and / or exposures that are more liquid and more easily funded or converted to cash would require a lower amount of stable funding and receive a lower percentage weighting for determining RSF. A bank is required to maintain an NSFR of 100% or higher, meaning that its ASF is higher than its RSF. If a bank’s NSFR falls below the regulatory minimum, it may be required to take corrective actions to improve its funding profile and overall stability.

Deutsche Bank (DB), a banking group domiciled in Germany1, is currently required to be compliant with the NSFR as outlined in the “Capital Requirements Regulations II (CRR II)” which was published in the European Union (EU) Official Journal on June 7, 2019. CRR II was entered into force on June 27, 2019, and became a binding minimum regulatory metric two years later on June 27, 2021.

The history of the NSFR requirement for Foreign Banking Operations (FBOs) in the United States can be traced to the aftermath of the global financial crisis of 2007-2008. The crisis exposed vulnerabilities in the global financial system, particularly around liquidity risk management practices of banks. To address these concerns and strengthen the regulatory framework, the Basel Committee on Banking Supervision developed Basel III, a comprehensive set of reforms aimed at enhancing the resilience of banks and the global banking system. The NSFR was introduced alongside the Liquidity Coverage Ratio (LCR). While the LCR focuses and short-term liquidity, the NSFR is designed to measure the longer-term stability of the bank’s funding sources.

In the United States, the NSFR requirement was adopted by the Federal Reserve as part of its implementation of the Basel III framework. The Enhanced Prudential Standards for FBOs required FBOs, including DB, with non-branch assets of $50 billion or more to form a U.S. Intermediate Holding Company (IHC) by July 01, 2016, to serve as the top-tier holding company for their non- branch U.S. subsidiaries. DB’s U.S. IHC, namely DB USA Corporation (the Firm), became subject to the full NSFR requirements effective July 1, 2021. Further to that, the Federal Reserve expanded the scope of the FR2052a Report to include products and data required for calculating the NSFR. The expanded FR2052a, or “6G,” went live for qualifying FBOs operating in the U.S.

• Deutsche Bank (DB) AG is a financial conglomerate as designated by the BaFin

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on October 3, 2022. DB USA Corporation employs the FR2052a and the entirety of the prescribed rules in Appendix VIII of the Instructions to calculate NSFR daily.

Subsequently to the Enhanced Prudential Standards, the Federal Reserve adopted the Tailoring Rule that introduced risk-based categories for determining the scope, nature, and applicability of requirements under the Federal Reserve’s Liquidity Risk Management Standards, which resulted in a modification of the NSFR requirements based on the category of the banking organizations. Under the Tailoring Rule, the stringency of requirements increases based on measures of size, cross-jurisdictional activity, weighted short-term wholesale funding, nonbank assets, and off- balance sheet exposures, with Category I banks required to adhere to the most stringent standards. Based on the Tailoring Rule guidelines, which became effective December 31, 2019, the Firm is categorized as a Category III bank and therefore is currently required to adhere to an effectively reduced NSFR minimum requirement of 85% by virtue of applying an 85% factor to its RSF denominator.

U.S. Disclosure Requirements

As part of the NSFR Final Rule issued October 20, 2020, with an effective date of July 1, 2021, the Federal Reserve implemented public disclosure requirements (PDR) for the NSFR. Under PDR, a BHC with $50 billion or more in consolidated assets or $10 billion or more in foreign exposure is required to disclose publicly, on a semi-annual basis, quantitative information about its average NSFR calculation for the prior two quarters and to discuss the factors that have significantly impacted its NSFR. Presently, the Firm is the only DB U.S. entity that is subject to these disclosure requirements.

The information presented in this document is calculated in accordance with the U.S. NSFR Rule, which was subsequently renamed the Liquidity Risk Management Standards for NSFR, and presented in accordance with the NSFR PDR, unless otherwise stated. Table 6 presents the Firm’s NSFR in the format provided in the NSFR PDR. Tables 1 through 5 present a supplemental breakdown of the Firm’s NSFR components.

U.S. Qualitative Disclosures

Main drivers of NSFR

The table below summarizes the Firm’s average weighted NSFR for the three months ended March 31, 2023 (1Q 2023) and the three months ended June 30, 2023 (2Q 2023)

1. Excludes excess ASF held at subsidiaries that is not transferable.
2. After application of the 85% factor under the Tailoring Rule. Before application of the 85% factor, total average RSF for 1Q 2023 was 22,321 and 22,866 for 2Q 2023.
3. Unadjusted for the 85% factor under the Tailoring Rule, the 1Q 2023 NSFR was 139%. For 2Q 2023 NSFR was 130%.

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In the table above, the Firm calculates its ASF and RSF amounts by applying the standardized set of regulatory weightings to various asset and liability balances, including off-balance-sheet exposures, as prescribed in the NSFR rule.

The firm’s average daily NSFR for the three months ended March 31, 2023 (1Q 2023) was 163%, and for the three months ended June 30, 2023 (2Q 2023) was 153%. The firm’s NSFR is primarily driven by:

• ASF is comprised primarily of the firm’s equity capital, long-term intercompany borrowings and wholesale funding, primarily operational deposits.
• RSF is comprised primarily of loans and other assets. The main components of the Firm’s other assets are receivables from other DB Group entities and deferred tax assets.

Changes in NSFR

The Firm’s average NSFR declined by 10 percentage points between 1Q 2023 and 2Q 2023, primarily driven by a $1.28 billion decrease in ASF, pertaining to a $1.5 billion decrease in average wholesale funding. The main driver was wholesale deposit outflows that occurred in mid-March 2023 in conjunction with U.S. banking system stresses. The deposit outflows stabilized soon thereafter, although the total balances remained at the lower levels throughout 2Q 2023. Thus, the reduction in deposits observed impacted the average for the entirety of 2Q 2023 and impacted only a portion of 1Q 2023 (see Tables 2 and 3 below). There was also a $0.46 billion increase in RSF from an increase in loans and other assets (see Tables 4 and 5 below).

(1) Primarily comprised of long-term funding from Deutsche Bank related parties.

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