Deutsche Bank : DB USA Corporation Pillar 3 report Q1 2022

Deutsche Bank

DB USA Corporation

Pillar 3 Report

as of March 31, 2022

DB USA Corporation

Pillar 3 Report as of March 31, 2022

Contents
INTRODUCTION..................................................................................................................................................................	3
DISCLOSURES ACCORDING TO PILLAR 3OF THE BASEL 3 CAPITAL FRAMEWORK .......................................................................................	3
BASIS OF PRESENTATION ..............................................................................................................................................................	3
SCOPE OF APPLICATION................................................................................................................................................................	3
RISK AND CAPITAL PERFORMANCE ....................................................................................................................................	4
EXPOSURES AND RISK-WEIGHTED ASSETS.........................................................................................................................................	4
REGULATORY CAPITAL..................................................................................................................................................................	7
DISCLOSURE OF LIQUIDITY REQUIREMENTS ......................................................................................................................................	9

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DB USA Corporation

Pillar 3 Report as of March 31, 2022

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. Per regulation it is not required to have Pillar 3 disclosures audited. As such the information provided in this Pillar 3 Report is unaudited.

Basis of Presentation

DB USA Corp Pillar 3 Report has been prepared in accordance with U.S. Generally Accepted Accounting Principles ("U.S. GAAP"), while Regulatory Capital and Risk Weighted Assets ("RWA") calculations are based on U.S. Basel 3 Standardized Approach ("U.S. Basel 3") capital rules. In this regard RWA, Regulatory Capital and associated disclosures are based on U.S. regulatory reporting requirements as defined by the Federal Reserve Bank FR Y-9C Consolidated Financial Statements for Bank Holding Companies ("FR Y-9C") and in conjunction with U.S. Basel 3 rules. Quantitative Pillar 3 disclosures, in the Pillar 3 Report follow the classification and segmentation required by the FR Y-9C reporting requirements and U.S. Basel 3 guidelines. Where appropriate, we have introduced and modified disclosure tables required by the European Banking Authority ("EBA"), in order to present information consistent with the reporting made in the FR Y-9C and the DB USA Corp audited financial statements, also prepared on a U.S. GAAP basis.

Scope of Application

DB USA Corp is the US Intermediate Holding Company ("IHC") of Deutsche Bank AG ("DB Group") that is implemented pursuant to Regulation YY: Enhanced Prudential Standards for Bank Holding Companies and Foreign Banking Organizations, codified in 12 C.F.R. Part 252, and, in particular, Subpart O - Enhanced Prudential Standards for Foreign Banking Organizations with Total Consolidated Assets of $100 Billion or More and Combined U.S. Assets of $100 Billion or More" (the "FBO EPS Rule"). The FBO EPS Rule requires that a foreign banking organization ("FBO") having combined US assets of $100 billion or more and US non-branch assets of $50 billion or more establish in the US an IHC for its US subsidiaries that must be organized under the applicable US laws and operate under all applicable US regulatory requirements, including leverage and risk-based capital standards, stress testing, risk management and liquidity requirements. DB USA Corp consolidates all of DB Group subsidiaries in the U.S. which include Deutsche Bank Trust Corporation ("DBTC"), Deutsche Bank Trust Company Americas ("DBTCA"), Deutsche Bank Securities Inc. ("DBSI"), Deutsche Bank US Financial Markets Holding Corp. ("DBUSH"), Deutsche Bank Americas Holding Corp. ("DBAH") and German American Capital Corp. ("GACC").

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DB USA Corporation

Pillar 3 Report as of March 31, 2022

Risk and Capital Performance

Exposures and Risk-weighted Assets

DB USA Corp RWA are calculated based on the U.S. Basel 3 Standardized Rules.

The information in the schedules below presents DB USA Corp distribution of RWA by exposure categories as reported in DB USA Corp's FR Y-9C, Schedule HC-R Regulatory Capital for the period ended March 31, 2022.

Operational Risk RWA is not applicable for banks calculating RWA under the U.S. Basel 3 Standardized Rules.

Market Risk RWA is only applicable to banks that are subject to the Market Risk Final Rule. This rule applies to US banking organizations that have significant trading activity ("Market Risk Banking Organizations"). US Market Risk Banking Organizations have aggregated trading assets and liabilities of at least $1 billion or 10% of total assets. DB USA Corp does meet the definition of a Market Risk Banking Organization and therefore is subject to the Market Risk RWA.

Variance Commentary (2021Q4 to 2022Q1)

The March 2022 On-balance Sheet Exposures decreased $1.2 billion and Off-balance sheet increased $1.3 billion as compared with December 2021 with corresponding impact on RWA increased $2.4 billion. RWA increased despite the net decrease in balance sheet exposures. This was due to the decrease in cash being at 0% risk weight offset mainly by an increase in loans in the 100% and 150% risk weighted buckets and Market Risk RWA due to higher securitized debt exposures.

On -balance Sheet Exposures (decreased $1.2 billion to $120.4 billion):

• ($7.1) billion decrease in cash and balances due from depository institutions is largely driven by a decrease in deposits of ($6.1 billion) and an increase in loans ($1.2 billion).
• $3.0 billion increase in security financing transactions driven by an increase in stock borrow balances of $2.5 billion and higher reverse repo balances of $0.5 billion, both within the Investment Bank due to increased client activity.
• $2.2 billion increase in all other assets driven by higher Fail-to-Deliver balances within the Investment Bank due to a shortage of particular stocks in the market in order to deliver on short sales.

Off -balance Sheet Exposures (increased $1.3 billion to $25.5 billion):

• $0.7 billion increase in Repo style transactions largely due to the increase in gross balances being with nettable counterparties.
• $0.7 increase in unsettled transactions driven by an increase in fail to deliver balances.

RWA (increased $2.4 billion to $41.6 billion):

• $1.4 billion due to higher loans with Private Bank customers ($0.7 billion) and Corporate Bank customers ($0.4 billion) all at 100% risk weight and higher loans with foreign banks ($0.2 billion) at 150% risk weight.
• $0.2 billion increase from repo style transactions driven by the higher balance sheet.
• $0.4 billion increase due to unsettled transactions driven by the increase in fail to deliver balances.
• $0.5 billion increase in Standardized Market RWA is due to higher securitized debt exposures.

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DB USA Corporation

Pillar 3 Report as of March 31, 2022

Basel 3 Standardized Approach Exposure Amounts by Exposure Class

in USD m.
US Basel 3 Standardized Approach			31-Dec-21		31-Mar-22		Variance
			At the end of the	At the end of the
On-balance Sheet Exposures			period	period
Cash and balances due from depository institutions		28,692			21,584			(7,108)
Securities: Available for Sale		1,026			999			(27)
Securities Purchased under agreements to Resell		48,378			51,380			3,002
Loans: Held for Sale		0			0			0
Loans: Residential mortgage exposures		2,598			2,484			(114)
Loans: High volatility commercial real estate exposures		0			0			0
Loans: Exposures past due 90 days or more or on nonaccrual		0			0			0
Loans: All other exposures		10,005			11,353	1,348
Loans: Allowance for Loan Loss		(13)			(15)			(2)
Trading Assets		17,739			17,147	(592)
All Other Assets: All Other
	12,341	14,501	2,160
Securitization Exposures: Trading Assets		903			996			93
Total On-balance Sheet Exposures	121,669			120,429			(1,240)
Off-balance Sheet Exposures (credit equivalent amount)
Financial standby letters of credit		691			678			(13)
Performance standby letters of credit		48			46			(2)
Commercial and similar letters of credit		5			0			(5)
Repo style transactions		20,341			20,999			658
Unused commitments: 1 year of less		20			20			0
Unused commitments: exceeding 1 year		2,414			2,148			(266)
Over-the-counter derivatives		229			267			38
Centrally Cleared derivatives		185			301			116
Unsettled Transactions		262			1,018	756
Total Off-balance Sheet Exposures			24,195			25,477			1,282

Figures may include rounding differences.

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