Contents

INTRODUCTION........................................................................................................................................................................... 4

DISCLOSURES ACCORDING TOPILLAR3OF THEBASEL3 CAPITALFRAMEWORK....................................................................................... 4

ADDITIONALDISCLOSUREREQUIREMENTS FORSIGNIFICANTSUBSIDIARIES............................................................................................. 4

LOCATION OFPILLAR3DISCLOSURES.............................................................................................................................................. 5

BASIS OFPRESENTATION.............................................................................................................................................................. 6

SCOPE OFAPPLICATION................................................................................................................................................................ 6

RISKMANAGEMENTFRAMEWORK ANDGOVERNANCE....................................................................................................................... 7

RISKMANAGEMENTFRAMEWORK............................................................................................................................................... 25

RISKGOVERNANCE...................................................................................................................................................................... 8

RISKAPPETITE ANDCAPACITY...................................................................................................................................................... 25

RISK ANDCAPITALPLAN............................................................................................................................................................. 25

STRATEGIC ANDCAPITALPLAN.................................................................................................................................................... 25

INTERNALCAPITALADEQUACYASSESSMENTPROCESS..................................................................................................................... 25

STRESSTESTING........................................................................................................................................................................ 25

RISK ANDCAPITALMANAGEMENT................................................................................................................................................ 25

CAPITALMANAGEMENT............................................................................................................................................................. 25

RISKIDENTIFICATION ANDASSESSMENT......................................................................................................................................... 25

CREDITRISKMANAGEMENT........................................................................................................................................................ 25

MARKETRISKMANAGEMENT...................................................................................................................................................... 18

LIQUIDITYRISKMANAGEMENT.................................................................................................................................................... 25

NON-FINANCIALRISKMANAGEMENT........................................................................................................................................... 25

MODELRISKMANAGEMENT....................................................................................................................................................... 25

COMPLIANCERISKMANAGEMENT................................................................................................................................................ 25

ANTI-FINANCIALCRIMERISKMANAGEMENT.................................................................................................................................. 25

RISK ANDCAPITALPERFORMANCE................................................................................................................................................ 26

REGULATORYCAPITAL................................................................................................................................................................ 26

MINIMUM CAPITAL REQUIREMENTS AND ADDITIONAL CAPITAL BUFFERS............................................................................................... 27

RECONCILIATION OFFINANCIAL ANDREGULATORYBALANCESHEET.................................................................................................... 29

EXPOSURES ANDRISK-WEIGHTEDASSETS....................................................................................................................................... 31

CREDITRISKEXPOSURE.............................................................................................................................................................. 35

CREDIT RISK AND CREDIT RISK MITIGATION...................................................................................................................................... 41

IMPAIRMENTS.......................................................................................................................................................................... 44

SUPPLEMENTARYLEVERAGERATIO............................................................................................................................................... 45

REMUNERATIONPOLICY............................................................................................................................................................. 50

EMPLOYEECOMPENSATIONREPORT............................................................................................................................................. 50

OVERVIEW ONCOMPENSATIONDECISIONS FOR2019 .....................................................................ERROR! BOOKMARK NOT DEFINED.50

REGULATORYENVIRONMENT....................................................................................................................................................... 51

COMPENSATIONGOVERNANCE.................................................................................................................................................... 52

COMPENSATIONSTRATEGY......................................................................................................................................................... 53

GROUPCOMPENSATIONFRAMEWORK.......................................................................................................................................... 54

DETERMINATION OFVARIABLECOMPENSATION.............................................................................................................................. 56

VARIABLECOMPENSATIONSTRUCTURE......................................................................................................................................... 56

EX-POSTRISKADJUSTMENT OFVARIABLECOMPENSATION............................................................................................................... 57

EMPLOYEEGROUPS WITHSPECIFICCOMPENSATIONSTRUCTURES......................................................ERROR! BOOKMARK NOT DEFINED.59

MATERIALRISKTAKERCOMPENSATIONDISCLOSURE....................................................................................................................... 60

Introduction

Disclosures according to Pillar 3 of the Basel 3 Capital Framework

The purpose of this Report is to provide Pillar 3 disclosures for DB USA Corporation ("DB USA Corp") as required by the regulatory framework for capital & liquidity, established by the Basel Committee on Banking Supervision, also known as Basel 3. On a European level these are implemented in the disclosure requirements pursuant to Part Eight of the "Regulation (EU) No 575/2013 on prudential requirements for credit institutions and investment firms" (Capital Requirements Regulation, or "CRR") and the "Directive 2013/36/EU on access to the activity of credit institutions and the prudential supervision of credit institutions andinvestment firms" (Capital Requirements Directive 4, or "CRD 4"). Germany implemented these CRD 4 requirements into nationallaw in Section 26a of the German Banking Act ("Kreditwesengesetz" or "KWG"). Per regulation it is not required to have Pillar 3disclosures audited. As such the information provided in this Pillar 3 Report is unaudited.

Additional Disclosure Requirements for Significant Subsidiaries

In line with Article 13 (1) CRR significant subsidiaries and those subsidiaries which are of significance for their local market are required to disclose information to the extent applicable in respect of own funds, capital requirements, capital buffers, credit risk adjustments, remuneration policy, leverage and use of credit risk mitigation techniques on an individual or sub-consolidated basis.

In order to identify significant subsidiaries a catalogue of criteria has been developed, applied to all subsidiaries classified as"credit institution" or "investment firm" under the CRR and not qualifying for a waiver status pursuant to Section 2a KWG inconjunction with Article 7 CRR. A subsidiary is required to comply with the requirements in Article 13 CRR (as described above) if at least one criterion mentioned in the list below has been met. The criteria have been defined in relation to our business activities as well as the complexity and risk profile of the respective subsidiary. All figures referenced below are calculated on an IFRS basis, where applicable, as of December 31, 2019:

  • -Total Assetsof € 30 billion or more(on individual or sub-consolidated basis)

  • -Five percent or more of our risk-weighted assets (RWA) on group level

  • -20 percent or more of the gross domestic product in its respective country, in which the subsidiary is located, but atleast total assets of € five billion (on individual or sub-consolidated basis)

  • -Institutions directly supported by the European Stability Mechanism (ESM), European Financial Stability Facility (EFSF) or similar mechanisms

  • -Institutions belonging to the three largest institutions in their respective countries, in which the subsidiary is located (referring to the amount of total assets)

  • -Classification as "local systemically important institution" by the local competent authority

As a result of the selection process described above, DB USA Corp has been identified as "significant" for the Group and hence required to provide additional disclosure requirements in accordance with Article 13 CRR:

DB USA Corp publishes the Pillar 3 disclosure report on a quarterly basis on its website athttps://www.db.com/ir/en/reports-and-events.htm.

All financial information disclosed is presented in USD and is rounded to the nearest million, with exception to certain tables in the Remuneration section which are reported in Euro. The consolidated financial balance sheet is based on DB USA Corp financial statements prepared in accordance with U.S. generally accepted accounting principles (US GAAP). Regulatory capital and credit exposure disclosures are based on DB USA Corp Consolidated Financial Statements for Holding Companies (FR Y-9C).

Location of Pillar 3 disclosures

The following table provides an overview of the location of the required Pillar 3 disclosures in this Pillar 3 Report.

Pillar 3 requirements topic with reference to CRR-Article

Primary location in this report

Main features of the CET1, AT1 and Tier 2 instruments, and reconciliation of filters/deductions applied to own funds and balance sheet (Article 437)

  • "Regulatory Capital"

  • "Reconciliation ofFinancial and RegulatoryBalance Sheet"

Compliance to own funds requirements (Article 92)

  • "Regulatory Capital table" table

  • "Regulatory Capital Requirements and Risk-weighted Assets"table

Approach to assessing the adequacy of internal capital to support current and future activities (Article 438 (a)

  • "Internal Capital Adequacy Assessment Process" section

Risk-weighted exposure amounts (Article 438 (c)-(f)

  • "Gross exposure by assetclass and geographical region" table

  • "Gross exposure byclass and residual maturity" table

  • "Exposure values in the standardized approach by risk weight"

    table

Capital buffer (Article 440)

  • "Minimum capital requirements and additional capital buffers"

    section.

  • "Gross exposure byclass and geographical region"table

Credit risk adjustments: information regarding exposure to credit risk and dilution risk (Article. 442)

  • "Impairment loans, allowance for loan losses and coverage ratioby business divisions" table

  • "Impairment loans, allowance for loan losses and coverage ratioby industry" table

  • "Impairment loans, allowance for loan losses and coverage ratio by region" table

  • "Impaired Loans" table

Remuneration policy (Article 450)

  • "Remuneration policy" section

Leverage (Article 451)

  • "Supplemental Leverage Ratio"section

Liquidity

  • "Liquidity" section

Use of credit risk mitigation techniques (Article 453)

  • "Credit risk management" section

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Disclaimer

Deutsche Bank AG published this content on 19 June 2020 and is solely responsible for the information contained therein. Distributed by Public, unedited and unaltered, on 19 June 2020 11:06:02 UTC