Banks

www.fitchratings.com 2 March 2016

ffffffff Germany

Deutsche Bank AG Full Rating Report

Key Rating Drivers

Restructuring Weighs on Earnings: Deutsche Bank AG’s (DB) Long-Term Issuer Default

Rating (IDR) is driven by the bank’s intrinsic strength, as captured by its Viability Rating (VR).

DB’s Long-Term IDR and VR reflect our view that the restructuring of the bank will have a

greater negative impact on its earnings than we had previously expected. As two thirds of the

planned EUR3.5bn in restructuring and severance will be incurred by end-2016, we expect

DB’s earnings to be weaker than peers until at least end-2016.

Execution Risks Limit Upside: While positive in the long run, DB’s plan to reduce operating

expenses by EUR3.8bn by deconsolidating Deutsche Postbank AG, exiting products and

countries and upgrading infrastructure entails significant execution risks. These relate to the

bank’s ability to deliver cost savings, deal with operational challenges in streamlining processes

and grow revenue in the remaining businesses to offset the impact of sales and exits. Fitch

Ratings expects DB to be more vulnerable to adverse business conditions than peers.

Capitalisation to Lag Peers: We believe that front-loaded restructuring charges, asset

reduction expenses and possible further misconduct costs will have a negative impact on DB’s

Common Equity Tier 1 (CET1) and Basel III leverage ratios, resulting in DB falling behind its

peers until at least end-2016. We expect capitalisation to improve materially in 2017 from a low

base, contingent on successful deleveraging, as the bank progresses towards its 2018 targets

of having a leverage ratio greater than 4.5% and a CET1 ratio of at least 12.5%.

Sound, Diversified Franchise: DB’s VR also reflects the bank’s entrenched franchise in

domestic and European corporate banking with a leading global securities presence,

particularly in fixed income, and an improving global wealth and asset-management footprint.

We consider earnings from the securities business (49% of risk-weighted assets (RWA) at end-

2015) to be more volatile than commercial banking, which limits the VR’s upside.

High Misconduct Costs: Litigation costs have significantly depressed earnings and pressured

capitalisation over recent years and we expect this to continue as the bank deals with further

legal cases related to past misconduct. The modernisation of infrastructure should strengthen

risk management capabilities and help decrease legal costs in the long run.

Strong Liquidity and Funding: DB’s Short-Term IDR of ‘F1’ reflects our view that the bank’s

liquidity profile is strong for its rating range. Liquidity reserves are ample and funding is well

diversified by geography, product and customer base.

Rating Sensitivities

Lack of Progress on Capital: Ratings would come under pressure if DB fails to improve its

regulatory capital ratios during 2016 or if it is unable to report positive net income in 2016.

Adverse macroeconomic conditions that delay planned revenue improvements, including but

not limited to dampened client activity or continued low global interest rates well into 2016,

would also be negative for the ratings.

Loss of Franchise: Should DB’s planned leverage exposure reduction have a more significant

adverse impact on its revenue base or franchise than expected, this would be negative for the

bank’s VR and IDRs. Misconduct fines or settlement expenses whose incremental costs absorb

more than two quarters of pre-tax earnings would also be ratings negative. Ratings upside is

limited in the near term given significant execution risks in implementing the bank’s strategy.

Ratings

Foreign Currency

Long-Term IDR A- Short-Term IDR F1 Viability Rating a- Support Rating 5 Support Rating Floor NF

Sovereign Risk Foreign-Currency Long-Term IDR AAA Local-Currency Long-Term IDR AAA

Outlooks

Foreign-Currency Long-Term IDR Stable Sovereign Foreign-Currency Long-Term IDR

Stable

Sovereign Local-Currency Long-Term IDR

Stable

Financial Data

Deutsche Bank AG

30 Sep 15

31 Dec 14

Total assets (USDbn) 1,926 2,074 Total assets (EURbn) 1,719 1,709 Total equity (EURm) 64,205 68,604 Operating profit

a (EURm) 6,309 5,040

Net income (EURm) -4,647 1,691 Cost/income (%) 73.98 82.17 Operating ROAA (%) 0.48 0.30 Operating ROAE (%) 12.17 8.10 Internal capital generation (%) -11.84 2.46 Fitch Core Capital ratio (%) 12.13 12.45 CET1 ratio

b (%) 11.5 11.7

Leverage ratiob (%) 3.6 3.5

a Operating profit excludes litigation expense and debt valuation adjustments b CRR/CRD 4 fully loaded Source: Fitch

Related Research

2016 Outlook: Global Trading and Universal Banks (December 2015)

Deutsche Bank's 4Q15 Results Highlight Wide-Ranging Challenges (January 2016)

Deutsche Bank AG - Ratings Navigator (January 2016)

Analysts

Michael Dawson-Kropf +49 69 768076 113 michael.dawson-kropf@fitchratings.com Claudia Nelson +44 20 3530 1191 claudia.nelson@fitchratings.com

Banks

Deutsche Bank AG

March 2016 2

Company Profile

DB is Germany’s largest privately owned bank by total assets and benefits from a diversified

business and geographical presence in Europe, America and Asia Pacific. The bank has a

strong franchise in investment banking globally, especially in fixed income, a modest presence

in the highly fragmented German retail market, a leading position in corporate and transaction

banking, and a growing asset and wealth-management business. The importance of the

investment bank (42% of adjusted pre-tax profit in 2015), which we view as a volatile source of

earnings, effectively limits the VR’s upside.

The bank has four business divisions and a non-core operations unit (NCOU). These are

Corporate Banking & Securities (CB&S, the investment bank), Private & Business Clients

(PBC, the retail division), Global Transaction Banking (GTB) and Asset and Wealth

Management (DeAWM). Starting in 1Q16, the reporting structure will be reorganised. The retail

and wealth management businesses will be merged into a single division (Private, Wealth and

Commercial Clients) to serve affluent customers and corporates. The new Corporate and

Investment Banking division will combine the transaction banking and corporate finance

businesses. Debt and equity sales and trading will operate as a standalone Global Markets

division, similarly to asset management. The new divisional layout should not materially change

the bank’s business mix, but it should ease clients’ access to a broader range of products.

DB’s organisational structure is complex as a result of the breadth of its operations in line with

global trading and universal bank (GTUB) peers, both in terms of products and geographies,

which results in a large number of subsidiaries. As a result, the availability of capital held in

local legal entities depends on international cooperation between regulatory bodies. DB has a

meaningful presence in the US, with four material operating entities, including a broker-dealer

(DB Securities Inc, A-/F1/1) and a bank insured by the Federal Deposit Insurance Corporation

(Deutsche Bank Trust Company Americas, A-/F1/1).

The investment-banking division is geared towards debt sales and trading, which accounted for

52% of divisional revenues in 2015. This includes foreign-exchange trading, where the bank

has a leading global position. DB is also an active participant in the leveraged finance markets,

including trading leveraged loans and high-yield bonds, and has a meaningful presence in US

commercial real estate, including Commercial Mortgage-Backed Securities (CMBS) origination

and distribution and advisory. DB maintains a healthy franchise in debt capital markets, where

it ranked fifth in global debt in 2015 by total proceeds, according to Thomson Reuters.

PBC, excluding its subsidiary Deutsche Postbank, BBB+/F2/RWE, serves about 13m retail and

corporate clients predominantly in Germany and across Europe, but also in India. DB typically

targets affluent customers in its domestic retail operations to compete in a highly fragmented

market where savings banks, Landesbanken and cooperatives together capture leading market

shares in deposits and loans. The lack of a leading domestic retail franchise, especially after

the failure to integrate Postbank and utilise its strong retail deposit base, is a comparative

weakness for the bank’s earnings stability in relation to global commercial banking peers based

in other countries. DB has invested in investment and insurance products as low interest rates

have challenged the profitability of deposit products.

GTB, which includes trade finance, cash management and securities services, has been one of

the bank’s historical franchises linked to its global corporate customer base and remains core

to its new strategy. DB’s wealth and asset management businesses, which were previously

integrated in one division, DeAWM, managed about EUR1.12trn in invested assets at end-

2015, ranking among the 10 largest bank-owned asset and wealth managers globally. Invested

assets mainly relate to Germany, but are well diversified across the rest of Europe, the Middle

East, America and Asia Pacific.

Figure 1

Figure 2

Figure 3

43% 42%

27% 22%

14% 20%

16% 17%

0%

20%

40%

60%

80%

100%

Revenue Adjusted pre-taxprofit

CB&S PBC GTB DeAWM

Excl. consolidation and adjustments and the non-core operations unit. See 'earnings and profitability' for a definition of 'adjusted' pre-tax profit.Source: DB, Fitch

Earnings Contribution2015

CB&S51%

PBC21%

GTB13%

NCOU9%

Excludes consolidation and adjustments.Source: DB, Fitch

RWA by SegmentEnd-2015

DeAWM6%

0 20 40 60

TARGOBANK

UniCredit

SCBᵇ

ING-Diba

DBª

Postbank

Commerzbank

GFG

SFG

German Retail Market(1H14, million clients)

ᵃ Deutsche Bank excl. Deutsche Postbank

ᵇ Santander Consumer Bank AG

Source: Company websites, Fitch

Related Criteria

Global Bank Rating Criteria (March 2015)

Global Non-Bank Financial Institutions Rating Criteria (April 2015)

Existing Franchise

Strength in debt sales and trading,

particularly FX and rates.

Leading player in transaction banking

and corporate finance, particularly for

small and large-cap German

corporates.

Modest retail lending market share in

Germany; small operations in Italy,

Spain, Poland, Belgium and Portugal.

Banks

Deutsche Bank AG

March 2016 3

The division contributed EUR1.3bn to the group’s adjusted pre-tax profit for 2015 (19% of total)

and has increased substantially since 2012, when the business generated EUR154m in pre-tax

profit. However, DeAWM combined with GTB and PBC, DB’s more stable businesses, are still

outweighed by CB&S’s inherent volatility.

Management and Strategy

The bank outlined its strategy for the next five years in April 2015. The appointment of a new

co-chief executive effective from July 2015 highlighted the challenges faced by the previous

management team in attaining earlier financial objectives, particularly in reducing costs and

complexities against a backdrop of increasingly onerous regulatory capital requirements and

persistently high litigation costs. DB had fallen behind its GTUB peers in its preparation for

heightened regulatory and structural changes in global banking, in our view. In October 2015,

new management intensified the restructuring process and provided detailed financial targets.

In addition, the bank announced that all new divisions would be represented on the new

management board.

Regulation and Weak Earnings Limit Strategic Flexibility

DB’s 2020 strategy aims to reduce the scope and size of the business while achieving higher

capital targets, to simplify and modernise processes and to reinvest cost savings in selected

growth areas, particularly in transaction banking and asset management. Many of the planned

business reductions come from management’s assessment that higher capital requirements for

certain products have resulted in some products no longer meeting their cost of capital.

Although the revised strategy is likely to improve the bank’s creditworthiness if successfully

executed, restructuring measures will place DB’s earnings and capitalisation below peers until

at least 2017, increasing its vulnerability to adverse business conditions.

DB intends to substantially finalise asset reductions in the NCOU (EUR34bn RWA at end-2015,

17% down qoq) by end-2016, when it is aiming to reach less than EUR10bn in non-core RWA.

The unit was formally established in 4Q12 to separately manage the wind-down of non-core

businesses, largely related to the investment bank, but also including DB’s investment in the

Fairview Container Terminal and Postbank assets and liabilities. Fitch would view a capital-

accretive wind-down positively, as it would help decrease the impact of legacy assets in the

long term, despite the planned incremental EUR1bn-EUR2bn negative pre-tax income effect

related to the accelerated wind-down.

Delivering on Cost Reduction Plans Key Challenge

DB targets an absolute adjusted cost base (see Figure 4) of below EUR22bn by 2018

(EUR26.5bn for FY15), which, at the time of the strategy announcement, implied a gross cost

reduction of EUR3.8bn (17%). This will be partly offset by an increase of about EUR2.5bn in

operating expenses, mostly due to business reinvestments (about EUR0.9bn), natural cost

inflation, software amortisation and higher regulatory spend. DB plans (among other measures)

to exit higher-risk jurisdictions, modernise the technology of its core platforms and streamline

the investment bank to achieve these gross cost reductions.

Strategy 2020’s Key Elements

Reduce the adjusted cost base by

EUR3.8bn gross by 2018.

Deconsolidate Postbank by end-

2017, sell 19.99% stake in Hua Xia

Bank (agreed in Dec 15).

Exit selected investment banking

products.

Substantially complete non-core

unit’s wind-down by end-2016.

Exit 10 countries, reduce staff to 77k

from 103k by 2018.

Banks

Deutsche Bank AG

March 2016 4

Figure 4

Strategy 2020’s Financial Targets

Topic Target By 2018 By 2020 Actual

End-2015

Capital Basel III fully loaded CET1 ratio (%) ≥ 12.5 ≥ 12.5 11.1 Basel III fully loaded leverage ratio (%) ≥ 4.5 ≥ 5.0 3.5 Fully loaded risk-weighted assets (EURbn) ~360 ~410 397 Fully loaded risk-weighted assets excluding

regulatory inflation (EURbn) ~320 ~310 397

Fully loaded CRD4 leverage exposure (EURtn) ~1.25 ~1.25 1.40 Earnings Post-tax return on tangible equity (%) > 10 > 10 -12.3 for FY15;

3.5 for FY14 Adjusted cost base

a < 22 < 22 26.5

Cost-to-income ratio (%) ~70 ~65 115.3 for 2015 a Adjusted cost base excludes restructuring, severance, litigation, impairment of goodwill and intangibles, policyholder

benefits and claims Source: DB, Fitch

With Postbank’s Deconsolidation DB Puts Customer Focus First

We expect an initial public offering to be the most likely route for Postbank’s deconsolidation.

Following this and the sale of Hua Xia Bank, DB’s commercial and private banking operations

will include Private & Commercial Banking (PCB, DB’s domestic branch network, 43% of the

former PBC’s net revenues for 9M15), Advisory Banking International (ABI, 16% of PBC’s

revenues for 9M15), the bank’s non-domestic retail operations in Italy, Spain, Poland, Belgium

and Portugal, and the private banking and wealth-management activities. This should allow

previously underserved clients with intermediate wealth bands to be served by the same

division for retail and private-banking services, potentially increasing DB’s market share in this

segment.

DB has also decided to gradually reduce the level of broker-introduced mortgage lending, for

two reasons. First, amendments to risk weights on mortgages could result in a substantial

increase in their capital requirements. Second, domestic mortgages are typically not bundled

with other products, which hampers their profitability, particularly in an intensely competitive

environment.

DB intends to invest in wealth-management markets where better growth prospects should

deliver more sustainable returns, targeting ultra-high-net-worth individuals in Asia, America and

the Middle East. The new divisional layout should also help DB more successfully address the

needs of mid-sized German corporate clients and claim back part of its domestic competitors’

larger market shares.

CB&S Streamlined Ahead of Regulatory Revisions

Plans for the investment bank include business reductions, exits and a more efficient use of

capital resources. These should result in a decrease of EUR70bn in leverage exposure (9% of

end-2015 CB&S leverage exposure) and about EUR30bn in RWAs (15% of end-2015 CB&S

RWA) by 2018, more than a quarter of the planned gross reductions for the group. DB’s plans

factor in about EUR100bn in RWA inflation by 2020, reflecting its estimate of the impact of

regulatory developments including the fundamental review of the trading book, and revisions to

the standardised approach (counterparty credit risk and the possible inclusion of floors). Partly

anticipating these changes, DB plans to exit certain businesses whose capital treatment is

particularly punitive under revised rules, notably securitised trading and market making of

uncleared CDS, but also agency RMBS trading and various legacy rates products.

The bank plans to focus on core clients that generate the most revenue, which also implies

offering lending more selectively. In addition, reducing the scope of certain fixed-income

businesses and the number of OTC clearing relationships in rates and credit will account for

EUR40bn in leverage exposure and EUR9bn in RWA reduction. Finally, capital-efficiency

measures such as compressions, trade novations or rolling off existing long-dated positions are

expected to result in a decrease of about EUR14bn in RWA and EUR30bn in leverage

Growth Areas in New Strategy

Investment bank: Advisory, M&A and

equity capital markets.

Commercial banking: Mid-sized

domestic corporates.

Retail and private banking:

Investment & insurance products.

Wealth management: Ultra-high-net-

worth individuals, in particular in APAC.

Banks

Deutsche Bank AG

March 2016 5

exposure. These savings should be partly reinvested (EUR10bn in RWAs and EUR40bn in

leverage exposure) in capital-light activities where the bank can develop its franchise, including

M&A and equity-capital markets, but also prime brokerage where capital can be deployed and

withdrawn more flexibly.

The strategy aims to maintain DB’s historical strengths in corporate and investment banking,

including a leading position in foreign exchange, but it will also reduce and optimise balance

sheet usage while developing capabilities in advisory and less capital-intensive activities.

Successful Execution Critical

Any improvement in the bank’s creditworthiness as a result of its new strategy is contingent on

it being well executed, not least because of the bank’s poor record in achieving financial

objectives, especially cost reductions on a reported basis. The main hurdles will relate to

overhauling and streamlining DB’s IT infrastructure and processes, and implementing asset

sales and restructuring measures, all of which could be more time and resource-consumptive

than initially planned.

On 28 December 2015, DB said it had reached an agreement to sell its 19.99% stake in Hua

Xia Bank to PICC Property and Casualty Company Limited, a Chinese state-owned insurance

company. The transaction will be completed once all relevant regulatory approvals are

obtained.

Risk Appetite

Sound Underwriting Standards

DB is exposed to complex financial instruments, mainly because of its investment-banking

operations. These include structured products and leveraged loans, particularly in the US,

where DB has a good franchise and exposures can be large. The bank’s moderate risk appetite

in domestic retail banking comprises mortgage loans typically extended at low loan-to-value

ratios, and short-term uncollateralised consumer finance loans, which are riskier and

consequently drive a large proportion of the retail division’s credit costs. We do not expect DB’s

targeted growth in lending to mid-sized corporates to result in weaker underwriting standards.

Although we do not expect underwriting standards to change, the deconsolidation of Postbank

is likely to result in an increase in the relative share of corporate and institutional exposures.

US Risk Requirements Onerous

DB’s risk-management and reporting infrastructure and processes are well established and

centrally coordinated. Risk appetite is set out at management board level, while sub-

committees participate in various aspects of risk management including stress-testing design

and mitigation efforts. The risk organisation comprises dedicated chief risk officers for each

business division, each of which is also directly represented on the management board. We

expect DB to monitor its capital consumption more granularly given its RWA and leverage-

based strategy targets.

Our assessment of DB’s risk controls, which we view as sound, also factors in certain

weaknesses in trade monitoring and controls highlighted by the bank’s internal inquiry on

certain clients entering matching and opposing trades in DB’s Moscow and London offices. The

bank’s planned investment in digitalisation should help automate data production and reduce

operational risks. In addition, we understand that DB plans to implement a greater degree of

risk ownership at the first line of defence, the front desks of its operations.

In the US, the establishment of an intermediate holding company and the compliance with

foreign bank organisation as well as auditing rules, regulatory reporting and governance

structures will require incremental investment to ensure regulatory compliant systems and

processes (specific to the US operations) are in place.

Banks

Deutsche Bank AG

March 2016 6

Litigation Costs Significant Burden

Given the complexity of some of its products, processes and operations, DB is particularly

exposed to conduct and operational risk, similar to GTUB peers. Litigation costs have been

persistent and high, and we expect these to continue in the medium term. New provisions for

litigation have been particularly large in 2015, when they totalled EUR5.2bn, higher than the

already large EUR3bn recorded in 2013. After EUR1.2bn in litigation provisions added in 3Q15

related to equity trades booked in Moscow and London, DB added a further EUR1.2bn in 4Q15.

Several regulatory and legal investigations could also result in significant penalties, including

those related to the foreign-exchange market and mortgage and asset-backed securities.

In 2Q15, the bank reached a settlement in relation to the investigations into the setting of benchmark

interbank offered rates under which it agreed to pay USD2.2bn to US regulators and GBP227m to

the UK’s Financial Conduct Authority. This followed a previous EUR725m settlement with the

European Commission in 4Q13 for the same matter. Several regulatory inquiries into several

benchmark rates are continuing. In 4Q15, DB also reached a USD258m settlement with the New

York Department of Financial Services and the Federal Reserve over allegations it had breached

sanctions against certain countries, including Iran, Libya, Syria and Sudan.

Operational Risks Costs Rising

We expect operational risks to become increasingly relevant for DB, as a rising number of

industry settlements, which are captured in the bank’s advanced measurement model for

operational risk, will likely result in higher operational risk RWAs. Management estimates that

the share of operational risk RWAs may increase in the medium term to between a quarter and

a third of the total (end-3Q15: 21%). At end-3Q15, economic capital usage for operational risk

in the investment bank was 83% higher than at end-2014, at EUR6.5bn, about two thirds of the

group’s usage, which increased by 30%.

Lending Growth Varies by Business

DB’s moderate loan growth in 9M15 (5.5%) shows differing growth prospects for its business

divisions, as CB&S accounted for 65% of the growth during the period. The investment bank’s

loan book was 83% larger at end-3Q15 than it was at end-1Q14. By contrast, the lack of

profitable retail lending opportunities in a low-interest-rate environment resulted in only a small

increase in loans in PB&C, up by 1.4% in 9M15. In wealth and asset management, the loan

book grew by 13% in 9M15, consistent with the bank’s strategy to offer wealth-management

clients loans to support expansion in new markets, notably in Asia. We expect total loan growth

to stall in the short to medium term as the bank executes on its deleveraging strategy,

particularly as long as the implications of Basel’s revisions to the Standardised Approach for

credit risk for DB’s RWA remain unclear.

Material Market Risk

Market risk arises both through the investment bank’s market-making in debt and equity

securities, derivatives and foreign-exchange products, and also through non-trading market

risks, including interest-rate risk in the banking book, foreign-exchange risk, and others, such

as pension and equity compensation risks. DB’s large presence in securities markets results in

material market risk, which is also present in the bank’s equity stakes. The bank uses a variety

of measures to monitor market risk, including value-at-risk (VaR) and stressed VaR models

(99% confidence level, 10 days holding period for regulatory purposes, based on one year of

historical market data). In addition, economic capital and VaR utilisation under the bank’s

internal stress-testing scenarios are subject to board-approved limits.

DB’s average VaR continued to decline in 9M15, in line with peers, reflecting both the model

impact of less volatile markets used as an input and also DB’s lower risk positioning. However,

the undiversified sum of asset class maximum VaRs scaled up by a factor of five (“Fitch

Stressed VaR”) as a percentage of Fitch Core Capital (FCC) remained one of the highest of the

GTUB peer group, reflecting the importance of investment banking activities.

Figure 5

-15

-10

-5

0

5

10

15

20

1Q

14

2Q

14

3Q

14

4Q

14

1Q

15

2Q

15

3Q

15

4Q

15

Incremental pre-tax RoE lost to litigation

Recurring pre-tax RoE

Recurring pre-tax profit excludes charges from loan processing fees, restructuring and severance, and impairment of goodwill and intangibles.Source: DB, Fitch

Litigation Weighs on Earnings

(%)

Banks

Deutsche Bank AG

March 2016 7

Figure 6

Fitch Stressed VaR/Fitch Core Capital 9M15 2014 2013

Credit Suisse 6.3 5.5 6.8 Goldman Sachs 6.0 7.0 7.8 Morgan Stanley 4.8 4.7 7.5 Deutsche Bank 4.1 4.4 6.2 Barclays 3.0

a 4.3 6.0

UBS 3.5 3.4 5.3 Citigroup 2.5 3.1 3.3 BNP Paribas n.a. 2.8 3.5 Société Générale n.a. 2.7 n.a. Bank of America 1.6 2.4 3.7 JPMorgan 1.6 1.6 1.9 HSBC n.a. 1.3 1.6 a 1H15

Source: Banks’ financial statements and disclosure, adjusted by Fitch

Average trading VaR fell to EUR44.9m in 9M15, EUR6.7m lower than in 2014. The decrease

was largely due to a greater diversification benefit, as the average VaR increased for credit

spread, equity and foreign-exchange risk, partly driven by greater volatility. Trading market risk

consumed EUR4.7bn (14% of the group) of economic capital in 9M15, 4% lower than in 2014

due to lower foreign-exchange exposure.

Structural foreign-exchange risk outside of the trading book arises from currency mismatches

across assets and liabilities, mainly in relation to local capital held in foreign subsidiaries.

Foreign-currency exposure resulting from capital held in local subsidiaries is hedged monthly

via forwards, except for US dollars and pounds. DB further mitigates this risk by transferring

portions of it to the trading book, and the remaining non-trading asset positions are typically

funded by the same currency. At end-2014, DB estimated that the maximum negative

sensitivity of banking book positions to a 200bp parallel shift in the yield curve was about 2% of

total regulatory capital.

Non-trading market risk should also fall following the agreed sale of DB’s 19.99% stake in Hua

Xia Bank, the deconsolidation of Postbank (including that of its investment portfolio) and the

planned disposal of other non-core investments whose value is subject to market fluctuations.

Financial Profile

Asset Quality

DB’s strong asset quality benefits from its focus on investment-grade corporate exposures and

German mortgages, which together accounted for about 67% of the total EUR433bn in gross

loans at end-3Q15. However, the bank continues to be exposed to more volatile sectors

including commercial real estate, leveraged finance and to a lesser extent shipping. Exposure

to trading assets, although typically sizeable (3.6x FCC at end-3Q15), has been well managed.

Credit exposure to OTC derivative counterparties, net of collateral and netting agreements,

amounted to EUR45.1bn.

Figure 8

Loan Quality (%) 9M15 2014 2013 2012

Growth of gross loans 5.45 7.50 -4.95 -3.51

Impaired loans/gross loans 1.87 2.28 2.65 2.57 Reserves for impaired loans/impaired loans 60.36 55.76 55.10 45.40 Impaired loans less reserves for impaired loans/ Fitch Core Capital

6.50 8.37 12.29 15.40

Loan impairment charges/average gross loans 0.18 0.29 0.53 0.42

Source: DB, Fitch

Figure 7

Credit Risk Exposure by Industry

(EURbn) 2014 2013

Banks and insurance 249.7 333.2 Households 212.2 208.3 Other 203.3 179.7 Public sector 117.2 114.3 Manufacturing 90.7 79.0 Commercial real estate activities

46.7 42.0

Wholesale and retail trade

36.6 34.2

Fund management activities

26.1 24.8

Total 982.5 1,015.4

Source: DB, Fitch

Banks

Deutsche Bank AG

March 2016 8

Supported by benign credit conditions in most of Western Europe, the volume of impaired loans

at end-2015 fell by 13% yoy to EUR8.1bn. Between end-2014 and end-3Q15, the appreciation

of the dollar relative to the euro explained more than half of the EUR23bn increase in gross

loans, while the remainder related mainly to structured finance in the investment bank, but also

to asset and wealth management and to a small EUR3bn rise in retail gross loans. The

EUR1.1bn decline in impaired loans in 2015 was largely driven by a EUR0.7bn fall in the non-

core unit, whose contribution to impaired loans has decreased since 2013 (34% of impaired

loans) but still represented around a quarter of the total at end-2015.

While the stock of impaired loans fell across all industry categories in 9M15, its composition

remained largely unchanged. Households accounted for the bulk of these (40%), while

commercial real estate had a disproportionately large share (22%) given the size of the

portfolio (9% of gross loans at end-2014). More than a third of the gross reduction in impaired

loans in 9M15 was achieved through charge-offs, partly related to assets reclassified as loans

as per the IAS39 accounting standard in the NCOU, but also including disposals in Postbank

and Italy. We expect Western Europe (excluding Germany) to continue driving asset-quality

indicators, as this region’s impaired loans accounted for 54% of the total.

Figure 9

Impaired Loans by Industry

End-2014

(EURm) Gross loans Impaired

loans

(% of total impaired

loans)

Impaired loans/gross

loans (%)

End-3Q15 Impaired

loans

Households 197,853 3,750 40 1.9 3,231 Other 82,700 2,090 22 2.5 1,920 Commercial real estate 35,743 2,047 22 5.7 1,750 Manufacturing 25,633 757 8 3.0 661 Banks and insurance 24,179 0 0 0.0 1 Public sector 16,790 50 1 0.3 12 Wholesale and retail trade 15,781 591 6 3.7 530 Fund management 12,145 64 1 0.5 8 Total 410,824 9,349 100 2.3 8,113

Source: DB, Fitch

Impaired loans decreased in all businesses in 9M15 with the exception of the investment bank,

where they rose by 4%. Higher provisions in the leveraged finance and shipping portfolios led

to an improvement in impaired loan coverage of four percentage points, which stood at 67% for

the division at end-3Q15. Overall, coverage improved to 60.4% at end-3Q15 (55.8% at end-

2014) as loan-loss reserves fell less sharply than impaired loans. This is now in line with the

median for GTUBs, but remains lower than the median coverage for Fitch-rated banks in the

US and developed European markets. This is largely due to the presence of real-estate

collateral in a material portion of DB’s loan portfolio.

Figure 10 Figure 11

-11%

-20%

-15%+4%

0.0

1.5

3.0

4.5

20

14

9M

15

20

14

9M

15

20

14

9M

15

20

14

9M

15

20

14

9M

15

PBC NCOU GTB CB&S DeAWM

Reserved Unreserved

Source: DB, Fitch. Figures as at end of period

Impaired LoansBy division

(EURbn)

3.03.6

2.12.9

0.9

1.20.4

0.6

0

2

4

6

8

10

9M152014

PBC NCOU GTB CB&S DeAWM

Source: DB, Fitch. Figures as at end of period

Unreserved Impaired Loans(% Fitch Core Capital)

(%)

Banks

Deutsche Bank AG

March 2016 9

Impairment Charges Low in Retail; Rising in the Investment Bank

In 4Q15, loan impairment charges (LICs) in the core bank rose by 52% yoy to EUR361m, the

highest level since 4Q13, largely driven by significant increases in the investment bank (4Q15:

EUR115m; 4Q14: EUR9m) and transaction banking. Overall, LICs in the securities business

more than doubled for FY15 to EUR265m (FY14: EUR103m), accounting for 29% of the core

bank’s total. We expect LICs to increase significantly from their low level, as a result of both the

planned accelerated reduction in non-core assets, which will likely result in losses on sale of

impaired loans, and of higher expected credit losses as interest rates are likely to rise over the

next two years. Nonetheless, LICs should remain manageable.

On 21 November 2015, the European Banking Authority disclosed financial data for the largest

European banks in a Transparency Exercise, including non-performing loans (NPLs). For DB,

the amount of EBA’s NPL was EUR15.6bn at 1H15, substantially higher than DB’s reported

figures. We understand that the main difference is due to loans which DB has not impaired due

to strong collateral (mainly in retail, NCOU) and loans carried at fair value, for example loans

reported under available for sale, traded loans or interest rate swaps.

Asset quality remained strong in DB’s EUR188bn retail loan book, 69% of which related to

German mortgages. DB’s German mortgage book should broadly halve after the

deconsolidation of Postbank. Loans 90 days or more past due accounted for 1.78% of gross

retail loans at end-9M15 (2.02% at end-2014). LICs, which remained highest in small business

financing outside of Germany (130bp of the exposure), also fell by 6bp to 26bp in 3Q15.

Corporate credit exposure arises mainly in the investment bank, in transaction banking and in

asset and wealth management. At end-3Q15, 72% of the exposures were to investment grade

counterparties according to the bank’s internal rating scale.

Shipping and Leveraged Finance Drive CB&S Impairment Charges

Despite its small size, the shipping portfolio (along with leveraged finance) accounted for the

bulk of the yoy increase in loan impairment charges in the investment bank (CB&S), from

EUR93m in 9M14 to EUR150m in 9M15. While the bulk of the losses relate to small exposures

to financing raised through closed-end funds (‘Kommanditgesellschaft’, private partnership), we

expect excess supply to continue putting pressure on the industry.

In leveraged finance, where DB mostly acts as an underwriter (EUR4.9bn loan book at end-

2014), deal inflows are sensitive to lower M&A activity and competition from financial

institutions not subject to the Federal Reserve’s March 2013 guidance, which states that

leverage in excess of 6x debt/EBITDA “raises concerns”. Fewer, more lumpy deals can expose

the bank’s asset quality to idiosyncratic industry shocks.

At end-2014, DB’s credit exposure to commercial real estate (CRE) amounted to EUR46.7bn, of

which EUR35.7bn were loans (11% of the loan book). Of these, EUR17.4bn were classified as

“higher risk” by the bank, up 10% yoy, as a reduction in legacy assets was more than offset by

growing risk in the core business. The latter mainly relates to secured mortgage lending, typically

concentrated in the US. While the impaired loan ratio in the core book fell to 1.8% in 2014, non-

core CRE asset quality was poor (48% of impaired loans). We expect loan impairment charges to

remain small, as non-core exposures, which contributed to most of the charges in the past,

continue to be shrunk (from EUR3.4bn at end-2013 to EUR1.0bn at end-2014).

Securitised assets in the banking book amounted to EUR55bn at end-2014, mainly related to

origination aiming to reduce risks in the loan book, which drove the EUR3bn yoy increase. The

exposures also included the bank’s role as an investor and sponsor. During 2014, DB reduced

its exposure to ABCP programmes to EUR3.7bn (2013: EUR11.3bn), as part of its funding

strategy. The bank is also active in trading securitised products: at end-2014, securitised

assets in the trading book for which DB was the originator amounted to EUR172bn (end-2013:

Figure 12

0

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20

30

40

50

60

0

500

1,000

1,500

2,000

2,500

2012 2013 2014 2015

Loan impairment charges (LHS)

% average gross loans (RHS)

Source: DB, Fitch

Loan Impairment Charges

(EURm) (bp)

Banks

Deutsche Bank AG

March 2016 10

EUR135bn). We expect the bank to exit large parts of RWA-consumptive securitised trading,

as it anticipates revisions to credit risk RWAs in 2018.

Accelerated Non-Core Reduction

The bulk of the reduction in NCOU RWAs in 9M15 was attributable to the reclassification of

operational risk RWAs to core business divisions, accounting for EUR14bn of the EUR17bn

RWA fall seen in the period. NCOU RWAs mainly related to market (42%) and credit risk

(39%), but also to credit valuation adjustments and operational risks.

DB intends to almost complete the wind-down of its non-core division by the end of 2016,

reducing tail risks in the non-core portfolio. This will be achieved largely through the settlement

or novation of long-dated derivative contracts, the de-risking of monoline exposures and

European mortgages, and the sale of the remaining “IAS 39” reclassified assets. The bank

expects non-core RWAs to fall to less than EUR10bn by end-2016, from EUR34bn at end-2015.

In view of the increased uncertainty in the capital markets in 4Q15 and January 2016, we view

DB’s wind-down plan for its NCOU as ambitious and we would not exclude the possibility that

challenging market conditions may result in greater than expected wind-down costs.

Earnings and Profitability

DB reported a EUR6.1bn pre-tax loss for 2015, mostly due to EUR5.2bn in litigation charges, of

which EUR1.2bn were incurred in 4Q15, and EUR6.6bn largely related to the 3Q15

impairments of goodwill and intangibles in PBC and CB&S (a total of EUR5.8bn) and a

EUR0.6bn impairment of DB’s stake in the Chinese bank Hua Xia. Higher expected capital

requirements, expectations regarding the deconsolidation of Postbank and DB no longer

considering the Hua Xia stake as strategic contributed to these impairments. The 12% yoy

improvement in adjusted pre-tax profit in 2015 was predominantly due to a lower drag from the

non-core unit, resulting from asset sales and positive fair value movements. Adjusted pre-tax

profit for the core bank was down 5% yoy, as progress in DeAWM and GTB was more than

offset by a EUR688m (17%) fall in CB&S.

Execution is Key

We believe DB’s performance is likely to be weaker than peers at least until 2017. To achieve

the planned EUR3.8bn gross cost reduction by 2018, DB plans to incur between EUR3.0bn

and EUR3.5bn in restructuring and severance costs. Of these, EUR965m were incurred in

2015, while the bank expects to incur a further EUR1bn in 2016. In addition, the bank expects

significant litigation expenses 2016, as well as a EUR1bn-EUR2bn pre-tax income fall arising

from the faster wind-down of the non-core unit, likely in 2016. Restructuring costs, litigation

charges and lower revenues resulted in DB reporting a EUR6.1bn pre-tax loss for 2015. It will

be challenged to report positive net income for 2016, especially in light of the difficult

environment for its CB&S business segment in January.

While DB’s targeted 70% cost/income ratio by 2018 should be supportive of its VR, achieving it

is conditional on executing on cost savings, where the bank has a limited record. More than

half (EUR2.1bn) of the planned cost reductions relate to changes to the investment bank and

retail businesses, including country and product exits, which we expect the bank will be able to

execute. However, the remainder of the savings relate to technology and platform

modernisation (EUR1bn) and reducing process complexity (EUR0.7bn), where we see greater

risks of not realising all of the planned cost cuts.

Rising regulatory costs, including higher expenses in relation to setting up (EUR500m

investment by 2017) and running (EUR100m incremental expense from 2018) the intermediate

holding company in the US and bank levies, will also put pressure on the bank’s underlying

cost base in the medium term.

Figure 13

Total assets: EUR35bn at end-2Q15EUR27bn at end-2015Source: DB, Fitch

NCOU CompositionEnd-2Q15

Trading assets22%

IAS39 reclassified

assets18%

Corporate investments

16%

Ex-Postbank13%

Monolines11%

Ex-PBC7%

Other8%Other

loans5%

Adjusted pre-tax profit excludes

litigation, restructuring and

severance, impairments, and credit,

debt and funding valuation

adjustments.

Banks

Deutsche Bank AG

March 2016 11

DB’s strategy to exit 10 countries, dispose of certain businesses including Postbank and

streamline retail and investment banking operations will result in at least EUR5.3bn in revenue

loss (in 2014, Postbank made EUR3.6bn in revenues, and changes to the investment bank will

result in a gross EUR1.7bn revenue loss prior to reinvestment), before any management action

or reinvestment into the business. The majority of foregone revenues relate to the sale of

Postbank. Revenue loss in the investment bank mostly relates to business reductions, exits

and optimisation of capital consumption. This should be at least partly offset by reinvestment

into M&A, ECM and US commercial real estate, where the bank already has a leading

franchise. The bank estimates that these investments should increase revenue by EUR0.6bn.

DB’s ability to fully compensate for revenue loss in the investment bank will at least partly

depend on an improvement in business volumes, notably in foreign exchange and rates.

Eventual interest-rate increases in the eurozone, while unlikely within the next 12 months at

least, should support the profitability of DB’s retail business, but improving its product and

digital offering are likely to be more significant revenue drivers. While we expect DB to continue

growing in line with the market in asset and wealth management, materially weaker earnings

from this relatively stable source would put pressure on the bank’s ratings.

Figure 14 Performance by Division

Revenue Adjusted pre-tax profit

(EURm) 2015 2014 (%Δ) 2015 2014 (%Δ)

CB&S 14,219 13,629 4 3,278 3,966 -17 PBC 8,911 9,565 -7 1,695 1,745 -3 GTB 4,616 4,119 12 1,602 1,292 24 DeAWM 5,408 4,704 15 1,303 981 33 C&A -30 -240 -87 -421 -147 186 Core bank 33,124 31,777 4 7,458 7,837 -5 NCOU 401 172 133 -815 -1,928 -58 Total 33,525 31,949 5 6,643 5,909 12

Source: DB’s preliminary 2015 results, Fitch

Strong Franchise; Costs Remain High

Results for 2016 will be dominated by restructuring. We expect DB’s performance to improve

materially in 2017, as cost savings are realised and high restructuring, severance and litigation

costs should be behind the bank. While underlying 9M15 results demonstrated the bank’s

strength in certain fixed income franchises, including rates, credit, and emerging market debt,

4Q15 saw a sharp 16% yoy decline in debt sales and trading revenue. While we expect the

bank to be able to build on its franchise strength to improve its net profitability, 4Q15 results

nonetheless illustrate the risk that the bank’s strategy could result in higher-than-expected

revenue attrition or market share losses, which we regard as a rating sensitivity.

Controlling operating expenses will remain a challenge. In 2015, reported operating expenses

were 40% higher yoy at EUR38.7bn, driven by increases in impairments (EUR5.7bn higher)

and litigation expenses (EUR3.2bn higher). Underlying operating expenses (excluding

impairments, litigation, policyholder benefits and claims, restructuring and severance) stood at

EUR26bn, about 79% of revenue and 6% higher than in 2014. The bulk of the increase was

driven by an appreciation of the dollar against the euro, which inflated part of DB’s costs

incurred in dollars.

Figure 15

50

60

70

80

90

100

110

0

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10

15

1Q

14

2Q

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3Q

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15

3Q

15

4Q

15

Adjusting items (LHS)

Adjusted costs (LHS)

Adj. costs/revenues (RHS)

Adjusting items: impairments, litigation, charges from loan processing fees, policyholder beneifts and claims, restructuring and severance.Source: DB, Fitch

(EURbn) (%)

Operating Expenses

Banks

Deutsche Bank AG

March 2016 12

Figure 16

CB&S: One-Offs Cloud Resilient Performance

In 2015, CB&S posted a net EUR2bn pre-tax loss due to EUR2.8bn in litigation charges and

EUR2.2bn in goodwill impairment. Adjusted pre-tax profit in DB’s largest segment fell by 17%

yoy in 2015 to EUR3.3bn, mainly due a 10% increase in adjusted operating expenses, partly

offset by resilient revenue in debt (+10% yoy) and equity sales and trading (+6% yoy). Debt

sales and trading remains a material contributor to DB’s earnings, accounting for 52% of CB&S

and 22% of group revenue in 2015. The bank is therefore comparatively more exposed to

market fluctuations in this segment than many peers. While foreign exchange volatility and

higher client activity in rates supported a 14% yoy increase in debt sales and trading revenues

in 9M15, difficult trading conditions in credit and equities more than offset improved rates

revenues in 4Q15. During the quarter, a 21% yoy revenue decline in debt sales and trading

drove a 30% yoy revenue fall for the division.

Equity sales and trading revenue was up 6% in 2015, supported by a strong first half of the

year, particularly in Asia. A more challenging 2H15, partly related to losses on equity

derivatives inventory and market share losses, contributed to a 28% yoy revenue decline for

4Q15. Higher volatility in equity markets negatively affected equities origination revenue, which

was 14% lower yoy in FY15, and partly reflected a voluntary reduction in risk appetite for

certain leveraged finance transactions, according to management. Debt origination revenue

also fell by 5% yoy, as reduced client activity in 2H15 more than offset stronger performance in

the US in 1H15.

Figure 17

2.9

-2.0

1.2

-3.3

1.2 1.4 1.0 1.3

-2.9 -2.7

0.6

2.80.8 1.90.7

2.24.3

-4

-2

0

2

4

6

2014 2015 2014 2015 2014 2015 2014 2015 2014 2015

CB&S PBC GTB DeAWM NCOU

(EURbn)

Reported pre-tax profit Litigation Restructuring and severance Impairments CVA / DVA / FVA

Source: DB, Fitch. Boxes show year-on-year change in adjusted pre-tax profit

-17% -3%

+24% +33%

Adjusted Pre-Tax ProfitBy division

0

2

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6

1Q

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3Q

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2011 2012 2013 2014 2015

Fixed-income sales and trading Equity sales and trading Debt underwriting

Equity underwriting Advisory and other fees Other

Source: DB, Fitch

Securities Business Revenues2011-15

(EURbn)

Banks

Deutsche Bank AG

March 2016 13

PBC: Stable Revenues, Costs Improving

In the absence of revenue growth, the 7% yoy fall in operating expenses excluding exceptional

items could not prevent a 3% fall in adjusted pre-tax profit to EUR1.7bn (26% of the group) in

2015. Impairment charges fell by a further 20% to EUR501m in 2015, helped by certain

portfolio sales and reflecting the stable economic environment in Germany. We believe

impairment charges are unsustainably low, and expect them to increase in 2016, albeit to very

manageable levels.

Excluding exceptional items, revenues in 2015 were broadly unchanged yoy at EUR9.5bn, or

28% of the group. The low-interest-rate environment caused revenue declines in deposit

products (-9%). Investment products saw a more resilient performance (+7% yoy) but remained

a less important revenue contributor for the division (16% in 2015). These products include

securities brokerage and discretionary portfolio management, on which the bank intends to

focus over the next five years. Excluding costs to achieve and loan processing fees, we

estimate that Postbank and Hua Xia Bank together accounted for about half of PBC’s pre-tax

income for 2015. We expect further product investment to replace only a part of these foregone

earnings, although the bank projects an improved RoE for the division.

Performance in GTB was sound, as pre-tax income increased by 25% in FY15 to EUR1.4bn

despite low interest rates. We expect the bank’s strong franchise in transaction banking and

trade finance to help it continue to generate adequate profitability (12% return on average

active equity for 2015), although the decline in global trade will make 2016 a challenging year.

DB’s earnings profile also benefits from the asset and wealth management division, whose

contribution has grown rapidly. DeAWM’s adjusted pre-tax income accounted for 17% of the

core bank excluding consolidation and adjustments in 2015, compared with 12% in the

previous year. Adjusted pre-tax profit rose by 33% yoy to EUR1.3bn for FY15, as a strong 15%

revenue increase offset 10% growth in the adjusted cost base. Both the level and proportion of

recurring fee revenue rose in 2015, reaching 57% of divisional revenue. Net new money was

negative EUR4bn in 4Q15, driven by Germany and the Americas, but positive EUR29bn for

FY15 (FY14: EUR40bn), despite negative market effects and lower client activity in 3Q15.

Figure 18 Key Profitability Ratios (%) 9M15 2014 2013 2012

Net interest income/average earning assets 1.03 0.97 0.89 0.83 Non-interest expense/gross revenues 73.98 82.17 80.39 79.44 Loans and securities impairment charges/ pre-impairment operating profit

8.37 18.37 31.92 25.07

Operating profit/average total assets 0.48 0.30 0.24 0.24 Operating profit/risk-weighted assets 2.07 1.27 1.47 1.54 Net income/average equity -8.97 2.72 1.22 0.57

Non-interest expense excludes litigation expenses Operating profit excludes litigation expenses and debt valuation adjustments Source: DB, Fitch

We expect the non-core division’s drag on the group’s earnings to increase in the short term

before considerably reducing, as DB targets to materially complete the division’s wind-down by

end-2016. NCOU assets fell by 30% yoy to EUR27.1bn at end-2015 as deleveraging

continued, including the sale of Maher Prince Rupert completed in 3Q15. Negative net

revenues of EUR304m in 4Q15 were mainly driven by mark-to-market losses, which

contributed towards a high EUR1.2bn negative impact on 4Q15 pre-tax income, about half of

which related to litigation charges. Excluding litigation, impairments and restructuring, adjusted

operating expenses fell by 35% yoy to EUR1.2bn for FY15, and we expect this trend to

continue after further asset sales.

PBC: 2015 Exceptional Items Revenue

EUR649m impairment of Hua Xia

stake (3Q15); EUR49m transaction-

related negative effect (4Q15).

EUR115m exceptional dividend

(3Q15).

Noninterest expenses

EUR3.6bn impairment of PBC

goodwill (EUR2.8bn) and intangibles

(EUR0.8bn) (3Q15).

EUR669m in restructuring and

severance (4Q15).

Banks

Deutsche Bank AG

March 2016 14

Capitalisation and Leverage

Capitalisation Weaker Than Peers in the Short Term

As a result of the restructuring measures detailed in October 2015, we expect DB’s capitalisation

to stay largely unchanged during 2016. This is because capital generation is likely to be minimal,

due to incremental restructuring expenses of between EUR1bn and EUR1.3bn, discounts on

asset sales, and probable material litigation charges, which will all weigh on earnings.

We believe this will result in DB falling behind its GTUB peers’ capital ratios until at least end-

2016. A weaker capital position and small earnings buffer also expose the bank to greater than

expected restructuring, legal or business losses. We view positively that DB is foregoing

dividends in 2015 and 2016 to support its capital position. A year-on-year deterioration in

capital ratios at end-2016 would put pressure on DB’s ratings.

Figure 19 Figure 20

Deleveraging to Support Path to Higher Targets

DB targets a 12.5% CET1 ratio and a 4.5% Tier 1 leverage ratio by end-2018, on the path to

achieving a 5% CET1 leverage ratio by end-2020. This will be supported by further issuance of

around EUR3bn-EUR4bn in additional Tier 1 (AT1) instruments by end-2018. We view these

targets positively as they are in line with peers. While we expect DB’s capital position to

improve materially in 2017, such an improvement is conditional on successfully executing

planned savings, reducing non-recurring costs (in particular restructuring and litigation) and

deleveraging, while revenue targets also need to be achieved.

The deconsolidation of Postbank by 2017 will account for EUR140bn, or about half of the

planned EUR270bn gross leverage exposure reduction (before business growth) by end-2018,

which will help DB meet its EUR1,250bn leverage exposure target (end-3Q15: EUR1,395bn).

The NCOU wind-down will release another EUR40bn in leverage exposure by end-2016, while

leverage exposure in global markets will shrink by EUR70bn. The latter reduction is after

around EUR40bn in business growth, predominantly in prime brokerage and commercial real

estate in the US.

At end-2015, DB reported an 11.1% fully loaded CET1 ratio, a fall of 0.4 percentage points qoq,

reflecting primarily a 6% qoq fall in CET1 capital driven by the net loss in the quarter. The Basel

III fully loaded Tier 1 leverage ratio fell by 0.1 percentage point qoq to 3.5%, as material

deleveraging, largely related to derivatives, could not offset the decline in Tier 1 capital.

Stringent SREP Requirements and Tight Capital Management

On 28 January 2016, DB disclosed that the ECB requires it to maintain a minimum 10.25%

CET1 ratio in 2016 as part of the Supervisory Review and Evaluation Process. Additionally, the

bank’s G-SIB buffer is being phased to 2% by 2019 from 0.5% in 2016, bringing total CET1

requirements to 10.75% in 2016. As at 1 January 2016, the bank had a EUR7bn buffer above

these requirements. In our view, the bank’s 12.5% fully loaded CET1 ratio minimum target by

7.1

6.5

6.4

5.9

5.8

5.0

4.5

4.5

4.0

4.0

4.0

3.6

0

2

4

6

8

Citi

JP

M

BA

C

GS

MS

HS

BC

CS

BA

RC

UB

S

BN

PP

SG

DB

Leverage ratio DB 2018 target

US: Fully loaded supplementary leverage ratioEurope: Basel III fully loaded Tier 1 leverage ratioSource: Fitch, banks

(%)

LeverageEnd-2015

14.5

14.1

12.4

12.0

11.9

11.6

11.4

11.4

11.1

10.9

10.9

9.8

0

4

8

12

16

UB

S

MS

GS

Citi

HS

BC

JP

M

CS

BA

RC

DB

BN

PP

SG

BA

C

Fully loaded CET1 ratio DB 2018 target

Source: Fitch, banks

(%)

CET1 RatioEnd-2015

Banks

Deutsche Bank AG

March 2016 15

2018 represents only a limited 25bp buffer over 2019 requirements. Breaching these

requirements is likely to result in non-payment of AT1 coupons, and DB’s plan includes an

additional EUR3bn-EUR4bn in AT1 issuance by 2018.

Figure 21 Key Capitalisation Ratios (%) 9M15 2014 2013 2012

Fitch Core Capital/weighted risks 12.13 12.45 12.33 10.99

Fitch Eligible Capital/weighted risks 12.70 13.03 12.33 10.99 Tangible common equity/tangible assets 3.17 2.84 2.43 1.90 Core Tier 1 regulatory capital ratio 13.40 15.20 12.80 11.40 Internal capital generation -11.84 0.96 -0.15 -0.83

Source: DB, Fitch

Regulatory RWA Inflation to Offset Business Reductions

DB anticipates that several revisions to the current capital framework will cause RWAs to

increase by more than EUR100bn by 2020, which will be only partly offset by disposals and

deleveraging (EUR90bn). These relate to the deconsolidation of Postbank (EUR40bn), the

NCOU wind-down (EUR40bn) and a reduction in capital consumption at the investment bank

(EUR30bn), in addition to a EUR20bn increase to allow for business growth.

The bulk of RWA inflation will relate to revisions to the standardised approach for credit risk

(including the potential introduction of risk weight floors), and to the fundamental review of the

trading book (which would inflate market risk RWAs). The bank estimates that these effects will

amount to about EUR60bn and will materialise from 2019. In addition, DB expects the increase

in industry and own litigation expenses, which are an input in advanced measurement

approach operational risk models, to lead to an increase in operational risk RWAs between

now and 2018. Operational risk will be the main driver for the expected EUR40bn rise in total

RWAs for the period. As a result, we expect the proportion of operational risk RWAs to

increase (23% at end-2015) by 2018.

DB has started to manage its business to minimise the adverse impact of these changes. For

example, it intends to reduce securitised trading, which would be particularly sensitive to credit

RWA inflation under the proposed rule changes. We believe the leverage ratio is likely to be the

binding constraint for the group until end-2018, when RWA inflation will move the focus to

RWA-based ratios. Indeed, meeting a 4.5% leverage ratio with an additional EUR4bn in AT1

issuance and a targeted EUR1,250bn leverage exposure implies about EUR48bn in required

CET1 capital, more than 12.5% (CET1/RWA target) of the planned EUR360bn in group RWAs

for 2018 (implying a CET1 capital requirement of EUR45bn).

The deconsolidation of Postbank, whose loan book includes a large proportion of mortgages,

and DB’s decision to gradually reduce part of new mortgage origination will also help to

improve its regulatory leverage ratio, which is weaker than peers (see Figure 20). At end-2014,

mortgages accounted for 11% of DB’s total leverage exposure.

We expect DB to make further progress in its capital planning in the US, where it will have to

designate and capitalise an intermediate holding company (IHC). This may involve shifting

capital resources across different legal entities. The IHC will be subject to the Comprehensive

Capital Analysis and Review publicly from 2018, and on a non-public basis from 2017. DB’s

resources suggest it will comfortably comply with total loss absorbing capacity requirements of

6% of leverage exposure and 20% (16% + 2.0% G-SIB buffer + 2.5% capital conservation

buffer) by 2019, with an estimated surplus of between EUR26bn and EUR28bn.

Figure 22

Credit risk61%

Market risk12%

CVA4%

Total: EUR397bnRisk-weighted assets under CRR/CRD 4, fully loadedSource: DB, Fitch

RWA CompositionEnd-2015

Operational risk23%

Banks

Deutsche Bank AG

March 2016 16

Funding and Liquidity

Postbank Deconsolidation Impact Limited

We view DB’s funding profile as well diversified by source. At end-2015, total external funding

(excluding derivatives and settlement balances, margin and prime brokerage balances and

other non-funding liabilities) amounted to EUR976bn, 74% of which was classified by the bank

as “more stable”. This comprised retail and wealth management deposits (about 32% of the

total), transaction banking corporate deposits (20%) and capital market issuance (22%).

Figure 23

Following the deconsolidation of Postbank, DB’s external funding sources will fall by about

EUR130bn. As a result, the bank estimates that the proportion of more stable funds for the

group will fall to about 71% of total external funding (74% at end-2015). However, Postbank is

mostly self-funded, meaning that it makes no material funding contribution to the wider group,

given regulatory constraints. Postbank’s total deposits were EUR118bn at end-3Q15, 83% of

which funded loans. To compensate for the loss of Postbank’s retail deposits, DB plans to

reduce its unsecured wholesale and secured funding, and grow its transaction banking and

wealth-management deposits, in line with the group’s strategic focus in this area. This will allow

the proportion of stable external funding to return to its 2015 level by 2018.

The bank raised about EUR39bn of funding in the capital markets in 2015, in line with its

funding plan, and with an average tenor of 6.3 years. The bulk of the issuance was placed

through DB’s retail networks and through private placements. At end-2014, long-term debt

maturities were manageable and largely related to 2016 and 2017 (32%) and after 2019 (29%).

DB’s funding plan also includes a dollar issuance target, which had also been met at end-

3Q15. We expect senior debt spreads to widen slightly as the market prices in the

subordination of senior debt to other senior liabilities in insolvency, as ratified by the Bundesrat

on 16 October 2015. Although price movements in early 2016 could signal a structural change,

DB’s funding strength was demonstrated by its intention to call about EUR4.8bn in senior

unsecured notes announced on 12 February 2016.

Despite a moderate negative impact from the deconsolidation of Postbank, we expect DB to

comply with the minimum Net Stable Funding Ratio (NSFR) well before it becomes a binding

international standard on 1 January 2018. Reducing trading and lending inventory in the

investment bank would reduce funding needs and help in meeting an NSFR of 100%.

Sound Liquidity Profile

At end-2014, DB’s Liquidity Coverage Ratio stood at 119%, and we expect the bank to keep

managing this ratio to stay above 100% with a management buffer, even after the moderately

negative impact of the Postbank deconsolidation. In the European Union, the minimum level is

at 60%, rising to 70% in January 2016, 80% in 2017 and 100% in 2018.

Liquidity reserves, which include cash, government, government-guaranteed and agency

securities, and other unencumbered central bank-eligible securities, amounted to EUR219bn at

33%23%

20%

9%8%6%

1%

27%

24%22%

12%

9%

6%

Retail Capital Markets and Equity Transaction bankingSecured funding and shorts Other customers Unsecured wholesaleFinancing vehicles

Excluding derivatives and settlement balances, margin and prime brokerage balances and other non-funding liabilities. Figures are approximateSource: DB. Total: EUR976bn (at end-2015), EUR919bn (at end-2014)

Funding MixInner ring: End-2014Outer ring: End-2015(EURbn)

26% less stable

Figure 24

Figure 25

0

10

20

30

40

50

2015 2016 2017 2018 2019 >2019

Other Subordinated debt Senior debt

Source: DB, Fitch. Profile as at end-2014

(EURbn)

Maturity ProfileLong-term debt

+38%

+9%

+13%

0

20

40

60

80

100

120

Cash andequivalents

Highly liquidsecurities

Other CB-eligible

securities

2014 9M15

Source: DB, Fitch

(EURbn)

Liquidity ReservesBy type

Banks

Deutsche Bank AG

March 2016 17

end-3Q15, 19% higher than at end-2014. Most of these (79%) were held at the parent bank

(including foreign branches), with about 21% held in subsidiaries. Liquidity levels are a function

of the bank’s liquidity stress test, aiming to ensure liquid asset reserves cover actual and

contingent funding outflows. Liquidity risks are mitigated by keeping the proceeds of relatively

volatile funding sources in the form of highly liquid assets.

Operating Environment

The operating environment has a low importance for the VR, because its factor assessment is

much stronger than other factors driving DB’s VR. DB is based in Germany, where it has

material operations, particularly in retail banking. At end-3Q15, 79% of the group’s retail credit

exposure related to Germany (AAA/Stable; Macro-Prudential Indicator of 1). However, the

group’s diversified operations by geography and business line mean it is exposed to a broad

range of external economic conditions, including but not limited to the US (AAA/Stable; MPI 1),

where the group has a meaningful presence in investment banking. The group also has

strategic operations in southern Europe and exposures to emerging markets. The financial

markets in the regions where DB operates are very advanced with a high degree of financial

transparency. Banking sectors are very developed and concentrated with high barriers to entry.

The regulatory environment in Germany is developed and transparent. Since November 2014,

DB has been directly regulated by the European Central Bank (ECB) as its Single Supervisor.

The group is also subject to a host of international regulators depending on where the group

has material operations, including the US, the UK and Asia.

Support

Since May 2015, DB’s IDRs and senior debt ratings have been driven by the bank’s standalone

creditworthiness as reflected in its VR. DB’s Support Rating (SR) of ‘5’ and Support Rating

Floor (SRF) of ‘No Floor’ reflect our view that senior creditors can no longer rely on receiving

full extraordinary support from the sovereign in the event that DB becomes non-viable.

Debt Ratings

Subordinated debt and other hybrid capital issued by DB and its subsidiaries are all notched

down from DB’s VR in accordance with our assessment of each instrument's respective non-

performance and relative loss severity risk profiles.

Legacy Tier 1 securities are rated four notches below the VR, made up of two notches for high

loss severity relative to average recoveries, and two further notches for non-performance risk,

reflecting that coupon omission is partly discretionary.

Base III-compliant AT1 instruments are rated five notches below the VR. The issues are

notched down twice for loss severity, reflecting poor recoveries as the instruments can be

partly and temporarily written down well ahead of resolution. In addition, they are also notched

down three times for very high non-performance risk, reflecting fully discretionary coupon

omission.

The ability to pay coupons on AT1 securities depends on sufficient distributable items,

calculated under German GAAP for the parent bank, being available to meet coupon

payments. DB’s sizeable goodwill impairment in 3Q15 (under IFRS) does not have a significant

impact on the available distributable items required to ensure payment of coupons on AT1

securities. Available distributable items are disclosed annually by the bank.

On 4 February 2016, DB said it expects its AT1 coupon payment capacity to be about EUR1bn,

sufficient to cover the EUR0.35bn 30 April 2016 coupon payment. This is despite a net loss

booked at the parent bank under German GAAP (HGB), offset by the use of EUR1.1bn of

available HGB reserves. DB expects remaining HGB reserves of EUR1.9bn, together with a

positive EUR1.6bn effect arising from the sale of Hua Xia Bank (accounted for at amortised

Figure 26

0.79

1.97 2.020.79

0.76 0.85

0.0

0.5

1.0

1.5

2.0

2.5

3.0

3.5

2012 2013 2014

ADIs Interest expense on Tier 1instruments

Source: DB, Fitch

Available Distributable Items

(EURbn)

Banks

Deutsche Bank AG

March 2016 18

cost under HGB, having therefore ignored equity pick-ups), to result in an improved AT1

coupon payment capacity of around EUR4.3bn for 2017.

In addition, we believe that breaching minimum capital requirements, as set by the ECB as part

of the SREP process, would likely result in coupon omission. At 1 January 2016, the bank had

a EUR7bn buffer over its minimum 10.75% CET1 requirement, consisting of a 10.25% SREP

requirement and a 0.5% G-SIB buffer component. The ECB expects minimum CET1

requirements for DB to stand at 12.25% in 2019. Were DB’s CET1 ratio to be close to its 12.5%

2018 target in 2019, coupon omission risk would in our view likely increase.

Any setbacks on capital targets that do not result in a VR downgrade could lead us to widen

our notching for non-performance risk on AT1 instruments and therefore, downgrade these

instruments.

Rated Subsidiaries

Deutsche Postbank AG (BBB+, Rating Watch Evolving/F2/2) is rated one notch below DB’s

Long-Term IDR reflecting the latter’s intention to deconsolidate Postbank, announced in April

2015. However, there remains a high likelihood in our opinion that DB would support Postbank

if needed, despite the initiated sale process, as long as DB remains the majority owner.

Postbank's role in the group has become less strategic since the announced disposal, but we

believe that a default would constitute a huge reputational risk to DB and damage its franchise.

The IDRs of the other rated subsidiaries are equalised with DB’s to reflect their core role within

the group and their integration with the parent bank. We do not assign a VR to any of these

subsidiaries as they lack a meaningful franchise outside of their role in the DB group, and their

operations are highly integrated within the wider group. These subsidiaries include Deutsche

Bank Securities, the group’s US broker-dealer; Deutsche Bank Trust Company Americas

(DBTCA), the group’s New York state-chartered and FDIC-insured bank; Deutsche Bank Trust

Corporation, DBTCA’s parent and the group’s main holding company in the US until the IHC is

set up.

Banks

Deutsche Bank AG

March 2016 19

Peer Analysis

Figure 27 Peer Group Analysis

Deutsche Bank AG Barclays plc Credit Suisse Group AG UBS Group AG Société Générale BNP Paribas

9M15 2014 9M15 2014 9M15 2014 9M15 2014 9M15 2014 9M15 2014

Profitability (%) Operating ROE 12.2 8.1 9.2 10.3 10.4 13.2 11.3 4.0 12.5 10.0 11.2 11.2 ROE -9.0 2.7 6.1 1.5 8.6 5.2 13.3 7.1 8.7 5.9 9.0 0.6 Adjusted pre-tax ROE 6.7 5.2 7.8 3.9 8.9 6.9 11.5 4.7 12.0 10.6 13.6 4.5 Cost/income ratio 74.0 82.2 69.9 69.0 79.7 75.8 80.4 92.4 64.3 68.2 67.2 67.0 Credit risk & asset quality (%) Net loans/assets 24.9 23.7 35.1 31.5 32.0 29.6 31.9 29.7 30.0 27.2 31.5 31.6 Impaired loans/total gross loans 1.9 2.3 1.8 2.2 0.7 0.5 0.4 0.4 0.0 6.9 0.0 6.3 LICs/average gross loans 0.2 0.3 0.5 0.5 0.1 0.1 0.0 0.0 0.7 0.7 0.6 0.6 Loan loss coverage ratio 60.4 55.8 n.a. 58.4 45.3 54.5 58.1 57.7 n.a. 62.3 n.a. 61.6 Capitalisation & leverage Total equity (USDbn) 71,930 83,288 89,123 89,739 46,743 45,497 57,565 54,967 68,900 60,391 110,749 105,684 Fitch Core Capital (USDbn) 55,429 59,961 74,592 76,037 35,500 33,437 44,206 40,875 46,831 46,243 80,947 82,554 Fitch Core Capital/RWA 12.1 12.5 12.9 12.1 11.9 11.3 19.5 18.3 11.8 10.8 11.6 11.0 Fitch Core Capital/Basel III look-through RWA 12.1 12.5 12.9 12.1 12.1 11.6 19.9 18.7 11.8 10.8 11.5 11.0 Fully applied Basel III CET1 ratio 11.5 11.7 11.1 10.3 10.2 10.1 14.3 13.4 10.6 10.1 10.7 10.3 Leverage ratio 3.6 3.5 4.2 3.7 3.9 3.5 3.9 4.1 3.9 3.8 3.8 3.6 Long-Term IDR/Outlook A-/Stable A/Stable A/Stable A/Positive A/Stable A+/Stable Viability Rating a- a a a a a+

Operating ROE and cost/income exclude litigation expenses and debt valuation adjustments Source: Banks’ financial statements, Fitch

Banks

Deutsche Bank AG

March 2016 20

Deutsche Bank AG

Income Statement30 Sep 2015 31 Dec 2014 31 Dec 2013 31 Dec 2012

9 Months - 3rd Quarter9 Months - 3rd Quarter As % of Year End As % of Year End As % of Year End As % of

USDm EURm EURm EURm EURm

Unaudited Unaudited Unqualified Unqualified Unqualified

1. Interest Income on Loans n.a. n.a. - 11,820.0 0.78 11,941.0 0.82 13,658.0 0.74

2. Other Interest Income 22,467.0 20,054.0 1.77 13,084.0 0.86 13,579.0 0.93 17,794.0 0.97

3. Dividend Income n.a. n.a. - 97.0 0.01 81.0 0.01 141.0 0.01

4. Gross Interest and Dividend Income 22,467.0 20,054.0 1.77 25,001.0 1.64 25,601.0 1.75 31,593.0 1.72

5. Interest Expense on Customer Deposits n.a. n.a. - 3,210.0 0.21 3,360.0 0.23 4,946.0 0.27

6. Other Interest Expense 8,995.1 8,029.0 0.71 7,519.0 0.49 7,407.0 0.51 10,672.0 0.58

7. Total Interest Expense 8,995.1 8,029.0 0.71 10,729.0 0.70 10,767.0 0.74 15,618.0 0.85

8. Net Interest Income 13,471.9 12,025.0 1.06 14,272.0 0.94 14,834.0 1.02 15,975.0 0.87

9. Net Gains (Losses) on Trading and Derivatives 4,131.7 3,688.0 0.32 3,058.0 0.20 2,435.0 0.17 4,118.0 0.22

10. Net Gains (Losses) on Other Securities 332.7 297.0 0.03 242.0 0.02 394.0 0.03 301.0 0.02

11. Net Gains (Losses) on Assets at FV through Income Statement 662.1 591.0 0.05 (108.0) (0.01) 155.0 0.01 409.0 0.02

12. Net Insurance Income n.a. n.a. - (148.0) (0.01) (270.0) (0.02) (195.0) (0.01)

13. Net Fees and Commissions 11,019.5 9,836.0 0.87 12,409.0 0.81 12,308.0 0.84 11,809.0 0.64

14. Other Operating Income 546.7 488.0 0.04 1,425.0 0.09 1,248.0 0.09 185.0 0.01

15. Total Non-Interest Operating Income 16,692.8 14,900.0 1.31 16,878.0 1.11 16,270.0 1.11 16,627.0 0.90

16. Personnel Expenses 11,415.0 10,189.0 0.90 12,512.0 0.82 12,329.0 0.84 13,490.0 0.73

17. Other Operating Expenses 10,900.7 9,730.0 0.86 13,083.0 0.86 12,674.0 0.87 12,410.0 0.67

18. Total Non-Interest Expenses 22,315.7 19,919.0 1.76 25,595.0 1.68 25,003.0 1.71 25,900.0 1.41

19. Equity-accounted Profit/ Loss - Operating (135.6) (121.0) (0.01) 619.0 0.04 369.0 0.03 163.0 0.01

20. Pre-Impairment Operating Profit 7,713.4 6,885.0 0.61 6,174.0 0.41 6,470.0 0.44 6,865.0 0.37

21. Loan Impairment Charge 645.3 576.0 0.05 1,134.0 0.07 2,065.0 0.14 1,721.0 0.09

22. Securities and Other Credit Impairment Charges n.a. n.a. - n.a. - n.a. - n.a. -

23. Operating Profit 7,068.1 6,309.0 0.56 5,040.0 0.33 4,405.0 0.30 5,144.0 0.28

24. Equity-accounted Profit/ Loss - Non-operating n.a. n.a. - n.a. - n.a. - n.a. -

25. Non-recurring Income 0.0 0.0 0.00 18.0 0.00 4.0 0.00 41.0 0.00

26. Non-recurring Expense 6,499.0 5,801.0 0.51 244.0 0.02 478.0 0.03 2,280.0 0.12

27. Change in Fair Value of Own Debt 88.5 79.0 0.01 (127.0) (0.01) (22.0) (0.00) 516.0 0.03

28. Other Non-operating Income and Expenses (4,458.9) (3,980.0) (0.35) (1,571.0) (0.10) (2,453.0) (0.17) (2,607.0) (0.14)

29. Pre-tax Profit (3,801.3) (3,393.0) (0.30) 3,116.0 0.20 1,456.0 0.10 814.0 0.04

30. Tax expense 1,404.9 1,254.0 0.11 1,425.0 0.09 775.0 0.05 498.0 0.03

31. Profit/Loss from Discontinued Operations n.a. n.a. - n.a. - n.a. - n.a. -

32. Net Income (5,206.1) (4,647.0) (0.41) 1,691.0 0.11 681.0 0.05 316.0 0.02

33. Change in Value of AFS Investments (536.6) (479.0) (0.04) 1,825.0 0.12 (249.0) (0.02) 1,710.0 0.09

34. Revaluation of Fixed Assets n.a. n.a. - n.a. - n.a. - n.a. -

35. Currency Translation Differences 2,603.6 2,324.0 0.20 2,958.0 0.19 (949.0) (0.06) (532.0) (0.03)

36. Remaining OCI Gains/(losses) (69.5) (62.0) (0.01) (372.0) (0.02) (627.0) (0.04) (882.0) (0.05)

37. Fitch Comprehensive Income (3,208.6) (2,864.0) (0.25) 6,102.0 0.40 (1,144.0) (0.08) 612.0 0.03

38. Memo: Profit Allocation to Non-controlling Interests 30.2 27.0 0.00 28.0 0.00 n.a. - 53.0 0.00

39. Memo: Net Income after Allocation to Non-controlling Interests (5,236.4) (4,674.0) (0.41) 1,663.0 0.11 681.0 0.05 263.0 0.01

40. Memo: Common Dividends Relating to the Period 1,165.1 1,040.0 0.09 n.a. - n.a. - 764.0 0.04

41. Memo: Preferred Dividends Related to the Period n.a. n.a. - n.a. - n.a. - n.a. -

Exchange rate USD1 = EUR0.89260 USD1 = EUR0.82370 USD1 = EUR0.72510 USD1 = EUR0.75790

Earning Assets

Earning

Assets

Earning

Assets

Earning

Assets

Banks

Deutsche Bank AG

March 2016 21

Deutsche Bank AG

Balance Sheet30 Sep 2015 31 Dec 2014 31 Dec 2013 31 Dec 2012

9 Months - 3rd Quarter9 Months - 3rd Quarter As % of Year End As % of Year End As % of Year End As % of

USDm EURm Assets EURm Assets EURm Assets EURm Assets

AssetsA. Loans

1. Residential Mortgage Loans n.a. n.a. - 153,140.0 8.96 148,076.0 9.19 141,601.0 7.00

2. Other Mortgage Loans n.a. n.a. - 35,764.0 2.09 34,259.0 2.13 45,306.0 2.24

3. Other Consumer/ Retail Loans n.a. n.a. - 44,839.0 2.62 45,440.0 2.82 39,373.0 1.95

4. Corporate & Commercial Loans n.a. n.a. - 25,619.0 1.50 21,406.0 1.33 23,203.0 1.15

5. Other Loans 485,361.9 433,234.0 25.20 151,462.0 8.86 132,990.0 8.25 152,586.0 7.55

6. Less: Reserves for Impaired Loans 5,486.2 4,897.0 0.28 5,212.0 0.31 5,589.0 0.35 4,692.0 0.23

7. Net Loans 479,875.6 428,337.0 24.91 405,612.0 23.74 376,582.0 23.37 397,377.0 19.65

8. Gross Loans 485,361.9 433,234.0 25.20 410,824.0 24.04 382,171.0 23.72 402,069.0 19.88

9. Memo: Impaired Loans included above 9,089.2 8,113.0 0.47 9,348.0 0.55 10,143.0 0.63 10,335.0 0.51

10. Memo: Loans at Fair Value included above n.a. n.a. - n.a. - n.a. - n.a. -

B. Other Earning Assets

1. Loans and Advances to Banks 84,342.4 75,284.0 4.38 63,518.0 3.72 77,984.0 4.84 120,637.0 5.97

2. Reverse Repos and Cash Collateral 128,777.7 114,947.0 6.69 104,103.0 6.09 164,997.0 10.24 161,557.0 7.99

3. Trading Securities and at FV through Income 282,296.7 251,978.0 14.66 252,493.0 14.78 277,903.0 17.25 316,499.0 15.65

4. Derivatives 640,388.8 571,611.0 33.25 629,958.0 36.87 504,590.0 31.31 768,353.0 37.99

5. Available for Sale Securities 79,641.5 71,088.0 4.13 64,297.0 3.76 48,326.0 3.00 49,400.0 2.44

6. Held to Maturity Securities n.a. n.a. - n.a. - 0.0 0.00 0.0 0.00

7. Equity Investments in Associates 4,573.2 4,082.0 0.24 4,143.0 0.24 3,581.0 0.22 3,577.0 0.18

8. Other Securities n.a. n.a. - n.a. - n.a. - 24,013.0 1.19

9. Total Securities 1,135,677.8 1,013,706.0 58.96 1,054,994.0 61.74 999,397.0 62.02 1,323,399.0 65.44

10. Memo: Government Securities included Above n.a. n.a. - 49,187.0 2.88 33,343.0 2.07 27,297.0 1.35

11. Memo: Total Securities Pledged n.a. n.a. - 57,216.0 3.35 71,296.0 4.42 95,456.0 4.72

12. Investments in Property n.a. n.a. - n.a. - n.a. - n.a. -

13. Insurance Assets n.a. n.a. - n.a. - n.a. - n.a. -

14. Other Earning Assets 151.2 135.0 0.01 180.0 0.01 6,670.0 0.41 107.0 0.01

15. Total Earning Assets 1,700,047.1 1,517,462.0 88.26 1,524,304.0 89.21 1,460,633.0 90.64 1,841,520.0 91.06

C. Non-Earning Assets

1. Cash and Due From Banks 30,560.2 27,278.0 1.59 20,055.0 1.17 17,155.0 1.06 27,877.0 1.38

2. Memo: Mandatory Reserves included above n.a. n.a. - n.a. - n.a. - n.a. -

3. Foreclosed Real Estate n.a. n.a. - n.a. - n.a. - n.a. -

4. Fixed Assets 3,242.2 2,894.0 0.17 2,909.0 0.17 4,419.0 0.27 4,963.0 0.25

5. Goodwill n.a. n.a. - 11,944.0 0.70 9,074.0 0.56 9,297.0 0.46

6. Other Intangibles 11,127.0 9,932.0 0.58 3,007.0 0.18 4,858.0 0.30 4,922.0 0.24

7. Current Tax Assets 9,408.5 8,398.0 0.49 1,819.0 0.11 2,322.0 0.14 2,389.0 0.12

8. Deferred Tax Assets n.a. n.a. - 6,865.0 0.40 7,071.0 0.44 7,712.0 0.38

9. Discontinued Operations n.a. n.a. - n.a. - n.a. - n.a. -

10. Other Assets 171,868.7 153,410.0 8.92 137,800.0 8.06 105,868.0 6.57 123,595.0 6.11

11. Total Assets 1,926,253.6 1,719,374.0 100.00 1,708,703.0 100.00 1,611,400.0 100.00 2,022,275.0 100.00

Liabilities and Equity

D. Interest-Bearing Liabilities

1. Customer Deposits - Current 638,833.7 570,223.0 33.16 298,699.0 17.48 290,284.0 18.01 278,958.0 13.79

2. Customer Deposits - Savings n.a. n.a. - 109,885.0 6.43 109,679.0 6.81 126,245.0 6.24

3. Customer Deposits - Term n.a. n.a. - 124,347.0 7.28 127,787.0 7.93 172,007.0 8.51

4. Total Customer Deposits 638,833.7 570,223.0 33.16 532,931.0 31.19 527,750.0 32.75 577,210.0 28.54

5. Deposits from Banks n.a. n.a. - n.a. - n.a. - n.a. -

6. Repos and Cash Collateral 39,022.0 34,831.0 2.03 34,279.0 2.01 89,327.0 5.54 118,411.0 5.86

7. Commercial Paper and Short-term Borrowings 33,827.0 30,194.0 1.76 65,260.0 3.82 61,873.0 3.84 72,794.0 3.60

8. Total Money Market and Short-term Funding 711,682.7 635,248.0 36.95 632,470.0 37.01 678,950.0 42.13 768,415.0 38.00

9. Senior Unsecured Debt (original maturity > 1 year) 139,955.2 124,924.0 7.27 96,983.0 5.68 101,199.0 6.28 118,715.0 5.87

10. Subordinated Borrowing 8,141.4 7,267.0 0.42 5,047.0 0.30 7,579.0 0.47 8,785.0 0.43

11. Covered Bonds n.a. n.a. - n.a. - n.a. - n.a. -

12. Other Long-term Funding 32,483.8 28,995.0 1.69 20,344.0 1.19 22,047.0 1.37 29,779.0 1.47

13. Total LT Funding (original maturity > 1 year) 180,580.3 161,186.0 9.37 122,374.0 7.16 130,825.0 8.12 157,279.0 7.78

14. Derivatives 609,948.5 544,440.0 31.67 610,202.0 35.71 483,428.0 30.00 752,652.0 37.22

15. Trading Liabilities 88,000.2 78,549.0 4.57 66,444.0 3.89 80,333.0 4.99 90,274.0 4.46

16. Total Funding 1,590,211.7 1,419,423.0 82.55 1,431,490.0 83.78 1,373,536.0 85.24 1,768,620.0 87.46

E. Non-Interest Bearing Liabilities

1. Fair Value Portion of Debt n.a. n.a. - 134.0 0.01 151.0 0.01 79.0 0.00

2. Credit impairment reserves n.a. n.a. - n.a. - n.a. - n.a. -

3. Reserves for Pensions and Other 9,099.3 8,122.0 0.47 6,677.0 0.39 4,524.0 0.28 5,110.0 0.25

4. Current Tax Liabilities 2,891.6 2,581.0 0.15 1,608.0 0.09 1,600.0 0.10 1,589.0 0.08

5. Deferred Tax Liabilities n.a. n.a. - 1,175.0 0.07 1,101.0 0.07 1,447.0 0.07

6. Other Deferred Liabilities n.a. n.a. - n.a. - n.a. - n.a. -

7. Discontinued Operations n.a. n.a. - n.a. - n.a. - n.a. -

8. Insurance Liabilities n.a. n.a. - n.a. - n.a. - n.a. -

9. Other Liabilities 239,119.4 213,438.0 12.41 183,823.0 10.76 163,596.0 10.15 179,099.0 8.86

10. Total Liabilities 1,841,322.0 1,643,564.0 95.59 1,624,907.0 95.10 1,544,508.0 95.85 1,955,944.0 96.72

F. Hybrid Capital

1. Pref. Shares and Hybrid Capital accounted for as Debt 7,765.0 6,931.0 0.40 10,573.0 0.62 11,926.0 0.74 12,091.0 0.60

2. Pref. Shares and Hybrid Capital accounted for as Equity 5,236.4 4,674.0 0.27 4,619.0 0.27 0.0 0.00 0.0 0.00

G. Equity

1. Common Equity 67,351.6 60,118.0 3.50 66,428.0 3.89 57,177.0 3.55 55,295.0 2.73

2. Non-controlling Interest 286.8 256.0 0.01 253.0 0.01 247.0 0.02 239.0 0.01

3. Securities Revaluation Reserves 1,560.6 1,393.0 0.08 1,693.0 0.10 356.0 0.02 468.0 0.02

4. Foreign Exchange Revaluation Reserves 2,627.2 2,345.0 0.14 151.0 0.01 (2,713.0) (0.17) (1,593.0) (0.08)

5. Fixed Asset Revaluations and Other Accumulated OCI 104.2 93.0 0.01 79.0 0.00 (101.0) (0.01) (169.0) (0.01)

6. Total Equity 71,930.3 64,205.0 3.73 68,604.0 4.01 54,966.0 3.41 54,240.0 2.68

7. Total Liabilities and Equity 1,926,253.6 1,719,374.0 100.00 1,708,703.0 100.00 1,611,400.0 100.00 2,022,275.0 100.00

8. Memo: Fitch Core Capital 55,428.9 49,475.8 2.88 49,389.8 2.89 37,050.1 2.30 36,653.9 1.81

9. Memo: Fitch Eligible Capital 58,048.2 51,813.8 3.01 51,699.3 3.03 37,050.1 2.30 36,653.9 1.81

USD1 = EUR0.89260 USD1 = EUR0.82370 USD1 = EUR0.72510 USD1 = EUR0.75790

Exchange rate

Banks

Deutsche Bank AG

March 2016 22

Deutsche Bank AG

Summary Analytics30 Sep 2015 31 Dec 2014 31 Dec 2013 31 Dec 2012

9 Months - 3rd Quarter Year End Year End Year End

A. Interest Ratios

1. Interest Income on Loans/ Average Gross Loans n.a. 3.00 3.04 3.33

2. Interest Expense on Customer Deposits/ Average Customer Deposits n.a. 0.60 0.61 0.83

3. Interest Income/ Average Earning Assets 1.72 1.70 1.54 1.65

4. Interest Expense/ Average Interest-bearing Liabilities 0.73 0.77 0.68 0.84

5. Net Interest Income/ Average Earning Assets 1.03 0.97 0.89 0.83

6. Net Int. Inc Less Loan Impairment Charges/ Av. Earning Assets 0.98 0.89 0.77 0.74

7. Net Interest Inc Less Preferred Stock Dividend/ Average Earning Assets 1.03 0.97 0.89 0.83

B. Other Operating Profitability Ratios

1. Non-Interest Income/ Gross Revenues 55.34 54.18 52.31 51.00

2. Non-Interest Expense/ Gross Revenues 73.98 82.17 80.39 79.44

3. Non-Interest Expense/ Average Assets 1.51 1.54 1.34 1.21

4. Pre-impairment Op. Profit/ Average Equity 13.29 9.92 11.56 12.33

5. Pre-impairment Op. Profit/ Average Total Assets 0.52 0.37 0.35 0.32

6. Loans and securities impairment charges/ Pre-impairment Op. Profit 8.37 18.37 31.92 25.07

7. Operating Profit/ Average Equity 12.17 8.10 7.87 9.24

8. Operating Profit/ Average Total Assets 0.48 0.30 0.24 0.24

9. Operating Profit / Risk Weighted Assets 2.07 1.27 1.47 1.54

C. Other Profitability Ratios

1. Net Income/ Average Total Equity (8.97) 2.72 1.22 0.57

2. Net Income/ Average Total Assets (0.35) 0.10 0.04 0.01

3. Fitch Comprehensive Income/ Average Total Equity (5.53) 9.80 (2.04) 1.10

4. Fitch Comprehensive Income/ Average Total Assets (0.22) 0.37 (0.06) 0.03

5. Taxes/ Pre-tax Profit (36.96) 45.73 53.23 61.18

6. Net Income/ Risk Weighted Assets (1.52) 0.43 0.23 0.09

D. Capitalization

1. Fitch Core Capital/ Risk Weighted Assets 12.13 12.45 12.33 10.99

2. Fitch Eligible Capital/ Risk Weighted Assets 12.70 13.03 12.33 10.99

3. Tangible Common Equity/ Tangible Assets 3.17 2.84 2.20 1.90

4. Tier 1 Regulatory Capital Ratio 15.00 16.10 16.90 15.10

5. Total Regulatory Capital Ratio 16.70 17.20 18.50 17.10

6. Core Tier 1 Regulatory Capital Ratio 13.40 15.20 12.80 11.40

7. Equity/ Total Assets 3.73 4.01 3.41 2.68

8. Cash Dividends Paid & Declared/ Net Income (22.38) n.a. n.a. 241.77

9. Internal Capital Generation (11.84) 2.46 1.24 (0.83)

E. Loan Quality

1. Growth of Total Assets 0.62 6.04 (20.32) (6.55)

2. Growth of Gross Loans 5.45 7.50 (4.95) (3.51)

3. Impaired Loans/ Gross Loans 1.87 2.28 2.65 2.57

4. Reserves for Impaired Loans/ Gross Loans 1.13 1.27 1.46 1.17

5. Reserves for Impaired Loans/ Impaired Loans 60.36 55.76 55.10 45.40

6. Impaired loans less Reserves for Impaired Loans/ Fitch Core Capital 6.50 8.37 12.29 15.40

7. Impaired Loans less Reserves for Impaired Loans/ Equity 5.01 6.03 8.29 10.40

8. Loan Impairment Charges/ Average Gross Loans 0.18 0.29 0.53 0.42

9. Net Charge-offs/ Average Gross Loans 0.27 0.38 0.27 0.26

10. Impaired Loans + Foreclosed Assets/ Gross Loans + Foreclosed Assets 1.87 2.28 2.65 2.57

F. Funding and Liquidity

1. Loans/ Customer Deposits 75.98 77.09 72.42 69.66

2. Interbank Assets/ Interbank Liabilities n.a. n.a. n.a. n.a.

3. Customer Deposits/ Total Funding (excluding derivatives) 65.17 64.89 59.29 56.81

4. Liquidity Coverage Ratio n.a. n.a. n.a. n.a.

5. Net Stable Funding Ratio n.a. n.a. n.a. n.a.

Banks

Deutsche Bank AG

March 2016 23

Deutsche Bank AG

Reference Data30 Sep 2015 31 Dec 2014 31 Dec 2013 31 Dec 2012

9 Months - 3rd Quarter9 Months - 3rd Quarter As % of Year End As % of Year End As % of Year End As % of

USDm EURm Assets EURm Assets EURm Assets EURm Assets

A. Off-Balance Sheet Items

1. Managed Securitized Assets Reported Off-Balance Sheet n.a. n.a. - n.a. - n.a. - n.a. -

2. Other off-balance sheet exposure to securitizations n.a. n.a. - n.a. - n.a. - n.a. -

3. Guarantees n.a. n.a. - n.a. - n.a. - n.a. -

4. Acceptances and documentary credits reported off-balance sheet n.a. n.a. - n.a. - n.a. - n.a. -

5. Committed Credit Lines 192,568.9 171,887.0 10.00 154,446.0 9.04 126,660.0 7.86 129,657.0 6.41

6. Other Contingent Liabilities 64,961.9 57,985.0 3.37 62,087.0 3.63 65,630.0 4.07 68,358.0 3.38

7. Total Assets under Management n.a. n.a. - n.a. - n.a. - n.a. -

B. Average Balance Sheet

Average Loans 478,371.9 426,994.8 24.83 394,653.6 23.10 392,789.2 24.38 410,556.6 20.30

Average Earning Assets 1,749,220.6 1,561,354.3 90.81 1,471,587.6 86.12 1,667,396.4 103.48 1,917,475.2 94.82

Average Assets 1,982,332.0 1,769,429.5 102.91 1,666,255.2 97.52 1,872,843.0 116.22 2,143,298.6 105.98

Average Managed Securitized Assets (OBS) n.a. n.a. - n.a. - n.a. - n.a. -

Average Interest-Bearing Liabilities 1,641,872.4 1,465,535.3 85.24 1,389,078.8 81.29 1,585,235.0 98.38 1,857,390.2 91.85

Average Common equity 72,834.4 65,012.0 3.78 62,787.4 3.67 57,236.4 3.55 56,454.8 2.79

Average Equity 77,620.8 69,284.3 4.03 62,234.8 3.64 55,956.8 3.47 55,694.2 2.75

Average Customer Deposits 629,988.6 562,327.8 32.71 531,541.6 31.11 554,259.8 34.40 596,053.8 29.47

C. Maturities

Asset Maturities:

Loans & Advances < 3 months n.a. n.a. - n.a. - n.a. - n.a. -

Loans & Advances 3 - 12 Months n.a. n.a. - n.a. - n.a. - n.a. -

Loans and Advances 1 - 5 Years n.a. n.a. - n.a. - n.a. - n.a. -

Loans & Advances > 5 years n.a. n.a. - n.a. - n.a. - n.a. -

Debt Securities < 3 Months n.a. n.a. - n.a. - n.a. - n.a. -

Debt Securities 3 - 12 Months n.a. n.a. - n.a. - n.a. - n.a. -

Debt Securities 1 - 5 Years n.a. n.a. - n.a. - n.a. - n.a. -

Debt Securities > 5 Years n.a. n.a. - n.a. - n.a. - n.a. -

Loans & Advances to Banks < 3 Months n.a. n.a. - n.a. - n.a. - n.a. -

Loans & Advances to Banks 3 - 12 Months n.a. n.a. - n.a. - n.a. - n.a. -

Loans & Advances to Banks 1 - 5 Years n.a. n.a. - n.a. - n.a. - n.a. -

Loans & Advances to Banks > 5 Years n.a. n.a. - n.a. - n.a. - n.a. -

Liability Maturities:

Retail Deposits < 3 months n.a. n.a. - n.a. - n.a. - n.a. -

Retail Deposits 3 - 12 Months n.a. n.a. - n.a. - n.a. - n.a. -

Retail Deposits 1 - 5 Years n.a. n.a. - n.a. - n.a. - n.a. -

Retail Deposits > 5 Years n.a. n.a. - n.a. - n.a. - n.a. -

Other Deposits < 3 Months n.a. n.a. - n.a. - n.a. - n.a. -

Other Deposits 3 - 12 Months n.a. n.a. - n.a. - n.a. - n.a. -

Other Deposits 1 - 5 Years n.a. n.a. - n.a. - n.a. - n.a. -

Other Deposits > 5 Years n.a. n.a. - n.a. - n.a. - n.a. -

Deposits from Banks < 3 Months n.a. n.a. - n.a. - n.a. - n.a. -

Deposits from Banks 3 - 12 Months n.a. n.a. - n.a. - n.a. - n.a. -

Deposits from Banks 1 - 5 Years n.a. n.a. - n.a. - n.a. - n.a. -

Deposits from Banks > 5 Years n.a. n.a. - n.a. - n.a. - n.a. -

Senior Debt Maturing < 3 months n.a. n.a. - n.a. - n.a. - n.a. -

Senior Debt Maturing 3-12 Months n.a. n.a. - n.a. - n.a. - n.a. -

Senior Debt Maturing 1- 5 Years n.a. n.a. - n.a. - n.a. - n.a. -

Senior Debt Maturing > 5 Years n.a. n.a. - n.a. - n.a. - n.a. -

Total Senior Debt on Balance Sheet n.a. n.a. - n.a. - n.a. - n.a. -

Fair Value Portion of Senior Debt n.a. n.a. - n.a. - n.a. - n.a. -

Subordinated Debt Maturing < 3 months n.a. n.a. - n.a. - n.a. - n.a. -

Subordinated Debt Maturing 3-12 Months n.a. n.a. - n.a. - n.a. - n.a. -

Subordinated Debt Maturing 1- 5 Year n.a. n.a. - n.a. - n.a. - n.a. -

Subordinated Debt Maturing > 5 Years n.a. n.a. - n.a. - n.a. - n.a. -

Total Subordinated Debt on Balance Sheet 8,141.4 7,267.0 0.42 5,047.0 0.30 7,579.0 0.47 8,785.0 0.43

Fair Value Portion of Subordinated Debt n.a. n.a. - n.a. - n.a. - n.a. -

D. Risk Weighted Assets

1. Risk Weighted Assets 456,934.8 407,860.0 23.72 396,648.0 23.21 300,369.0 18.64 333,605.0 16.50

2. Fitch Adjustments to Risk Weighted Assets n.a. n.a. - n.a. - n.a. - n.a. -

3. Fitch Adjusted Risk Weighted Assets 456,934.8 407,860.0 23.72 396,648.0 23.21 300,369.0 18.64 333,605.0 16.50

E. Equity Reconciliation

1. Equity 71,930.3 64,205.0 3.73 68,604.0 4.01 54,966.0 3.41 54,240.0 2.68

2. Add: Pref. Shares and Hybrid Capital accounted for as Equity 5,236.4 4,674.0 0.27 4,619.0 0.27 n.a. - n.a. -

3. Add: Other Adjustments n.a. n.a. - n.a. - n.a. - n.a. -

4. Published Equity 77,166.7 68,879.0 4.01 73,223.0 4.29 54,966.0 3.41 54,240.0 2.68

F. Fitch Eligible Capital Reconciliation

1. Total Equity as reported (including non-controlling interests) 71,930.3 64,205.0 3.73 68,604.0 4.01 54,966.0 3.41 54,240.0 2.68

2. Fair value effect incl in own debt/borrowings at fv on the B/S- CC only (561.3) (501.0) (0.03) (544.0) (0.03) 151.0 0.01 79.0 0.00

3. Non-loss-absorbing non-controlling interests 0.0 0.0 0.00 0.0 0.00 0.0 0.00 0.0 0.00

4. Goodwill 0.0 0.0 0.00 9,518.0 0.56 9,074.0 0.56 9,297.0 0.46

5. Other intangibles 11,127.0 9,932.0 0.58 5,433.0 0.32 4,858.0 0.30 4,922.0 0.24

6. Deferred tax assets deduction 3,581.7 3,197.0 0.19 2,620.0 0.15 2,300.0 0.14 1,802.0 0.09

7. Net asset value of insurance subsidiaries 1,231.5 1,099.2 0.06 1,099.2 0.06 889.9 0.06 691.1 0.03

8. First loss tranches of off-balance sheet securitizations 0.0 0.0 0.00 0.0 0.00 945.0 0.06 953.0 0.05

9. Fitch Core Capital 55,428.9 49,475.8 2.88 49,389.8 2.89 37,050.1 2.30 36,653.9 1.81

10. Eligible weighted Hybrid capital 2,619.3 2,338.0 0.14 2,309.5 0.14 0.0 0.00 0.0 0.00

11. Government held Hybrid Capital 0.0 0.0 0.00 0.0 0.00 0.0 0.00 0.0 0.00

12. Fitch Eligible Capital 58,048.2 51,813.8 3.01 51,699.3 3.03 37,050.1 2.30 36,653.9 1.81

Exchange Rate USD1 = EUR0.89260 USD1 = EUR0.82370 USD1 = EUR0.72510 USD1 = EUR0.75790

Banks

Deutsche Bank AG

March 2016 24

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