Deutsche Bank : DB USA Corporation Pillar 3 report Q2 2020

Deutsche Bank

DB USA Corporation

Pillar 3 Report

as of June 30, 2020

DB USA Corporation

Pillar 3 Report as of June 30, 2020

Contents
INTRODUCTION .....................................................................................................................................................	3
DISCLOSURES ACCORDING TO PILLAR 3 OF 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
RECONCILIATION OF FINANCIAL AND REGULATORY BALANCE SHEET.........................................................................................	8
CREDIT RISK EXPOSURE ................................................................................................................................................	10
CREDIT RISK AND CREDIT RISK MITIGATION .....................................................................................................................	14
IMPAIRMENTS ............................................................................................................................................................	16
SUPPLEMENTARY LEVERAGE RATIO .................................................................................................................................	18
LIQUIDITY COVERAGE RATIO ..........................................................................................................................................	20

2

DB USA Corporation	Introduction
Pillar 3 Report as of June 30, 2020	Scope of Application

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").

3

DB USA Corporation	Risk and Capital Performance
Pillar 3 Report as of June 30, 2020	Exposures and Risk-weighted Assets

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 June 30, 2020.

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 (2019YE to 2020Q2)

The June 2020 On-balance Sheet Exposures increased $5.4 billion and Off Balance Sheet Exposures decreased $(3.8) billion as compared with December 2019 while RWA decreased over the same period by $(4.7) billion.

On Balance Sheet Exposures:

• $6.4 billion increase in cash and balances due from depository institutions is driven by an increase in deposits of ($8 billion), offset by an increase in loans of ($0.4 billion), increase in Securities for ($0.2 billion) and ($0.8 billion) decrease in Eurodollar Overnight Purchase balance
• $(4.2) billion decrease in Security Repurchase Agreements ("Repo") driven by decrease in Reverse Repos with DB AG New York ("DBNY") of $1.5 billion, decrease in the Investment Bank due to lower funding requirements of $1.9 billion and lower stock borrow balances due to reduced client activity of $1.0 billion.
• $(0.8) billion decrease in trading assets driven by a reduction in corporate bonds of $1.2 billion as a result of the Investment Bank reducing corporate inventory to be better positioned for market volatility resulting from COVID-19.
• $4.2 billion increase in all other assets driven by $3.2 billion increase due to higher initial margin requirements with clearing houses in response to the market activity, $0.5 billion due to fail to deliver balances and $0.4 billion intercompany receivables.

Off Balance Sheet Exposures:

• $(5.2) billion decrease in Repo style transactions driven by the balance sheet reduction in repo and reverse repo balances.
• $0.8 billion increase in Over-the-counter derivatives driven by notional increases in mainly interest rate derivatives
• $0.7 billion increase in unsettled transactions following a rise in volumes due to market volatility.

RWA:

• The decrease in RWA was predominately driven by the reduction in the Standardized Market RWA which was down $5.1 billion due to risk and exposure reduction in the Investment Bank.

4

DB USA Corporation	Risk and Capital Performance
Pillar 3 Report as of June 30, 2020	Exposures and Risk-weighted Assets

Basel 3 Standardized Approach Exposure Amounts by Exposure Class

in USD m.						For the period ended
US Basel 3 Standardized Approach			31-Dec-19			30-Jun-20	Variance
On-balance Sheet Exposures
Cash and balances due from depository institutions		13,966		20,378			6,412
Securities: Available for Sale		243		482			239
Securities Purchased under agreements to Resell		55,570		51,343			(4,227)
Loans: Residential mortgage exposures		2,735		2,827			92
Loans: All other exposures		9,324		9,566			242
Loans: Allowance for Loan Loss		(9)		(32)			(23)
Trading Assets		18,570		17,776			(794)
All Other Assets: All Other		7,433		11,612		4,179
Securitization Exposures: Trading Assets		1,524		776			(748)
Total On-balance Sheet Exposures	109,356	114,728			5,372
Off-balance Sheet Exposures (credit equivalent amount)
Financial standby letters of credit		883		733			(150)
Performance standby letters of credit		19		17			(2)
Commercial and similar letters of credit		0		0			0
Repo style transactions		27,791		22,597			(5,194)
Unused commitments: 1 year of less		143		101		(42)
Unused commitments: exceeding 1 year		981		1,005			24
Over-the-counter derivatives		241		1,066			825
Centrally Cleared derivatives		544		624			80
Unsettled Transactions		39		725			686
Total Off-balance Sheet Exposures		30,641		26,868			(3,773)

Figures may include rounding differences.

5

DB USA Corporation	Risk and Capital Performance
Pillar 3 Report as of June 30, 2020	Exposures and Risk-weighted Assets

Basel 3 Standardized Approach Risk-weighted Assets by Exposure Class

					For the period ended
in USD m.
	31-Dec-19	30-Jun-20	Variance
On-balance Sheet Exposures		RWA		RWA			RWA
Cash and balances due from depository institutions		661			569			(91)
Securities: Available for Sale		43			52			9
Securities Purchased under agreements to Resell		0			0			0
Loans: Held for Sale		0			0			0
Loans: Residential mortgage exposures		1,417	1,464			47
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		8,960			9,361			401
Loans: Allowance for Loan Loss		0			0			0
Trading Assets		95			93			(3)
All Other Assets		4,971			5,229			258
Securitization Exposures: Trading Assets		456			199			(257)
Total On-balance Sheet Exposures		16,604			16,968			364
Off-balance Sheet Exposures		RWA		RWA			RWA
Financial standby letters of credit		580			542			(38)
Performance standby letters of credit		17			15			(2)
Commercial and similar letters of credit		0			0			0
Repo style transactions		6,292			6,268			(23)
Unused commitments: 1 year or less		63			21			(42)
Unused commitments: exceeding 1 year		865			877			12
Over-the-counter derivatives		79			254			175
Centrally Cleared derivatives		11	13			1
Unsettled Transactions		47			44			(3)
Total Off-balance Sheet Exposures		7,955			8,035			80
Total Risk Weighted Assets, excluding Market Risk		24,559			25,003			444
Standardized Market Risk Weighted Assets		12,087			6,990			(5,097)
Total Risk Weighted Assets		36,646			31,993			(4,653)

Figures may include rounding differences.

6

DB USA Corporation	Risk and Capital Performance
Pillar 3 Report as of June 30, 2020	Regulatory Capital

Regulatory Capital

The calculation of DB USA Corp's regulatory capital is pursuant to the U.S. Basel 3 Standardized Rules and includes applicable deductions and filters. The information in this section is based on the regulatory principles of consolidation.

Pursuant to the effective regulations on its formation date of July 1, 2016, DB USA Corp's regulatory capital comprises Tier 1 (T1) and Tier 2 (T2) capital. Tier 1 capital is subdivided into Common Equity Tier 1 (CET1) capital and Additional Tier 1 (AT1) capital.

CET1 is comprised of the common stock issued by DB USA Corp, related surplus and retained earnings. AT1 capital is comprised of Class A and Class B Preferred Stock issued by DB USA Corp; there are no Tier 2 instruments issued by DB USA Corp. The terms of the common stock within CET1 provide for the normal payment of dividends if and when declared.

The AT1 preferred stock is voting, non-cumulative, perpetual, has no maturity date and will not be subject to redemption at the option of DB USA Corp or the holders of the preferred stock. Additionally, the preferred stock will not be subject to any mandatory redemption, sinking fund or other similar provisions. Class B ranks pari passu with Class A shares. The preferred stock has a preference over the common stock in the event of liquidation and qualifies as Tier 1 capital in accordance with regulatory capital requirements. DB USA Corp. has outstanding Class A and Class B series preferred stock issued with fixed dividend coupon rates of 8.28 % and 5.31 %, respectively. This fixed rate dividend is subject to discretionary cancelation, which results in a dividend stopper in respect of common stock. The decision whether a distribution can be made is subject to the DB USA Corp Board declaring a distribution, and receiving regulatory approvals. Beginning on September 23, 2026, the preferred stock may be converted, in whole or in part, at the option of the holder thereof into shares of common stock, at the rate of one share of common stock per each share of preferred stock.

Variance Commentary (2019YE to 2020Q2)

• $519 million increase in Regulatory Capital is largely driven by the Net Income for the period of $485 million.

7

DB USA Corporation	Risk and Capital Performance
Pillar 3 Report as of June 30, 2020	Reconciliation of Financial and Regulatory Balance Sheet

Regulatory Capital and Capital Ratios according to Basel 3 Capital Rules

			31-Dec-19		30-Jun-20		Variance
in USD m.	US Basel 3	US Basel 3
Common Stock plus retained surplus, net of unearned employee stock ownership plan (ESOP) shares		23,663		23,656		(7)
Retained Earnings		(13,704)		(13,224)		480
Accumulated Other Comprehensive Income (AOCI) based on transition rules		(246)		(228)		18
Common Equity Tier 1 Capital, before adjustments and deductions		9,713		10,204		491
Common Equity Tier 1 Capital: Adjustments and Deductions						0
Less: Goodwill net of associated deferred tax liabilities (DTLs)		(50)		(50)		0
Less: Intangible Assets, net of associated DTL's		(65)		(62)		3
Less: Deferred Tax Assets (DTLs) that arise from net operating losses and tax credit carryforwards, net of valuation allowances		0		0		0
Total Regulatory Adjustments to Commeon Equity Tier 1 (CET1)		(115)	(112)	3
Common Equity Tier 1 Capital			9,598		10,092		494
Additional Tier 1 (AT1) Capital
Additional Tier 1 Capital instruments plus related surplus		4,205		4,205		0
Additional Tier 1 (AT1) Capital before adjusments		4,205		4,205		0
Total Regulatory Adjustments to Additional Tier 1 (AT1) Capital		(2)		(1)		1
Additional Tier 1 (AT1) Capital		4,203		4,204		1
Tier 1 Capital (T1 = CET1 + AT1)		13,801		14,296		495
Tier 2 (T2) Capital						0
Tier 2 Capital instruments plus related surplus		0		0		0
Allowance for loan and lease losses includable in Tier 2 capital		10		34		24
Tier 2 (T2) Capital before adjustments		10		34		24
Total Regulatory Adjustments to Tier 2 (T2) Capital		0		0		0
Tier 2 (T2) Capital		10		34		24
Total Regulatory Capital		13,811	14,330		519
Ratios
Common Equity Tier 1 Capital Ratio (as a percentage of risk-weighted assets)	26.19%		31.54%
Tier 1 Capital Ratio (as a percentage of risk-weighted assets)	37.66%		44.68%
Total Capital Ratio (as a percentage of risk-weighted assets)	37.69%		44.79%
Capital Conservation Buffer	21.69%		27.04%
Leverage Ratio (as a percentage of average total consolidated assets)	9.78%		10.45%
Supplementary Leverage Ratio	9.09%		11.99%

Reconciliation of Financial and Regulatory Balance Sheet

DB USA Corp's consolidated and combined financial statements have been prepared in accordance with US GAAP, which require management to make estimates and assumptions that affect the reported amounts of assets and liabilities and disclosure of contingencies at the date of the consolidated and combined financial statements.

The consolidated and combined financial statements of the DB USA Corp include all entities in which DB USA Corp has a controlling financial interest. DB USA Corp consolidates entities in which it has a majority voting interest when the voting interest entity is controlled through substantive voting equity interests and the equity investors bear the residual economic risks of the entity. DB USA Corp also consolidates variable interest entities (VIEs) for which DB USA Corp is deemed to be the primary beneficiary in accordance with Accounting Standards Codification (ASC) Topic 810, Consolidation. All material intercompany transactions and balances have been eliminated in consolidation. In the normal course of business, DB USA Corp's operations may include significant transactions conducted with affiliated entities. Such transactions are governed by contractual agreements between DB USA Corp and its affiliates.

DB USA Corp prepares US GAAP financial statements for both financial and regulatory reporting purposes. In certain instances, regulatory reporting instructions and guidance require that certain assets or liabilities be reported in line items that vary from those used for financial reporting purposes. In other cases, the regulatory reporting format may differ from that used for financial reporting purposes - regulatory reporting formats tend to be much more granular. In either case, when comparing

8

DB USA Corporation	Risk and Capital Performance
Pillar 3 Report as of June 30, 2020	Reconciliation of Financial and Regulatory Balance Sheet

the financial and regulatory financial statements on a line item basis there may be differences between various line items that arise from these differing requirements and reporting formats.

In the case of DB USA Corp, the balance sheet assets, liabilities and stockholder's equity line items used in this report are those represented in the FR Y-9C report as reported by DB USA Corp as of June 30, 2020. Below is a reconciliation of the balance sheet as reported in the FR Y-9C and that which is reported in the non-public audited financial statements.

						30-Jun-20
in USD m.	Financial		Presentation Differences				Regulatory
Balance Sheet					Balance Sheet
						Non-TradingNon-Trading
					Margin Loans	Equity	Interest Rate	Total
					Securities	Swaps
Assets
Cash and cash equivalents	20,378		-	-	-	-		20,378
Securities: Available for Sale	448		-	34	-	34		482
Collateralized agreements and financings		51,343		-	-	-	-		51,343
Loans, net of allow ance for loan losses		12,360		1	-	-	1		12,361
Financial instruments ow ned, at fair value		18,938		-	(34)	(352)	(386)		18,552
Other assets		11,261		(1)	-	352	351		11,612
Total assets		114,728		-	-	-	-		114,728
Liabilities and Stockholders' Equity
Deposits		22,940		-	-	-	-		22,940
Fed funds purchased		0		-	-	-	-		0
Collateralized agreements and financing:		32,840		-	-	-	-		32,840
Financial instruments sold, but not yet purchased, at fair value		9,961		-	-	(52)	(52)		9,909
Borrow ings		20,162		-	-	-	-		20,162
Other liabilities		14,413		-	-	52	52		14,465
Total liabilities		100,316		-	-	-	-		100,316
Stockholders' Equity
Preferred stock		4,205		-	-	-	-		4,205
Common stock, par value $1.00 per share. 2,000 shares		0		-	-	-	-		0
Additional paid-in capital		23,656		-	-	-	-		23,656
Accumulated deficit		(13,224)		-	-	-	-		(13,224)
Accumulated other comprehensive income (loss)		(228)		-	-	-	-		(228)
Minority Interest		3		-	-	-	-		3
Total stockholders' Equity		14,412		-	-	-	-		14,412
Total liabilities and stockholder's equity		114,728		-	-	-	-		114,728

The presentation differences noted in the above reconciliation are primarily due to:

• Margin Loans: Pursuant to the AICPA Audit and Accounting Guide for Brokers and Dealers, margin balances are captured as Receivable from, and Payables to, Broker-dealers, Clearing Organizations and Customers (See Sections 4.29 and 4.44). The FR Y9-C instructions are not explicit regarding how to report "margin loans". However, DB received a FRB exception as part of the 2007 FRB Exam of Taunus as it relates to margin lending. Margin Loans were historically being reported in Other Assets (consistent with how they are reported on the Audited financial statements), however the FRB issues DB an exception on this treatment providing guidance that margin loans should be reported as Loans and leases, net of unearned income, Line 4.b on Schedule HC.
• Equity Securities at Fair Value under 2016-01: For the US GAAP Financial Statements, under ASU 2016-01 entities are no longer able to classify equity investments as trading or available for sale (AFS) and must be measured at Fair Value through Net Income. Equity securities at Fair Value are considered Financial Instruments Owned for US GAAP financial reporting purposes. For the FR Y-9C, these non-trading equity securities held at Fair Value under ASU 2016-01 are reported separately on HC line 2.c Equity securities with readily determinable fair values not held for trading.
• Trading vs Financial Instruments Owned: For the US GAAP Financial Statements all derivative positions are considered financial instruments and are presented in the Financial Instruments Owned/Sold captions. For the FR Y-9C, the non- trading derivatives are excluded from Trading Assets/Liabilities and are included in Other Assets/Liabilities.

9

DB USA Corporation	Risk and Capital Performance
Pillar 3 Report as of June 30, 2020	Credit Risk Exposure

Credit Risk Exposure

Credit risk exposures are calculated using the US Basel 3 Standardized Approaches capital rules. These exposures represent on-balance sheet and off-balance sheet exposures of DB USA Corp on a consolidated basis.

For on-balance sheet exposures, the table below provides the exposure amount as reported on the balance sheet as well as the amount that is subject to RWA calculations. For purposes of RWA calculations, on-balance sheet assets are generally measured at their fair value amounts, except for Secured Financing Transactions (SFT) (i.e. repurchase agreements), which are measured net of collateral.

Off-balance sheet exposures are generally converted to a Credit Equivalent Amount by multiplying the exposure or notional amount by a supervisory credit conversion factor.

Gross Exposure by Asset Class and Geographical Region

in USD m.					30-Jun-20
										Amount Subject
On-balance Sheet Exposures			North America	Europe	Latin America	Caribbean	Asia	Other Countries		to RWA
Cash and balances due from depository institutions		20,081	252	2	18	25	0	20,378
Securities: Available for Sale		472	10	0	0	0	0	482
Loans		10,983	526	622	124	135	3	12,393
Trading Assets		400	3	0	11	0	0	414
Other Assets		3,225	1,066	8	1,568	48	3	5,918
Total On-balance Sheet Exposures	35,161	1,857	632	1,721	208	6	39,585
										Amount Subject
Off-balance Sheet Exposures										to RWA
Letters of credit		686	43	0	3	18	0	750
Repo style transactions		15,812	5,320	1	417	1,046	1	22,597
Unused commitments		904	114	1	72	15	0	1,106
Derivatives		218	1,457	0	11	4	0	1,690
Unsettled Transactions		715	10	0	0	0	0	725
Total Off-balance Sheet Exposures		18,335	6,944	2	503	1,083	1	26,868
Grand Total	53,496	8,801	634	2,224	1,291	7	66,453

1 Include Flexible Repurchase Agreements ("Flex Repos") which combine the security of owning U.S. Government Obligations, fixed interest rates, the withdrawal flexibility of a money market account and the high yield of a medium- or long-term investment. Flex Repos are generally long term because they are tied to construction projects for which bond proceeds need to be invested until payment is due for each stage of construction. In return for the added flexibility, investors in Flex Repos almost always receive slightly lower rates of return than investors with terms that are more traditional. Flex Repos are provided by DBSI, the U.S. broker dealer.

in USD m.				31-Dec-19
On-balance Sheet Exposures		North America	Europe	Latin America	Caribbean	Asia	Other Countries	Amount Subject
	to RWA
Cash and balances due from depository institutions		13,657	263	2	18	26	0		13,966
Securities: Available for Sale		234	9	0	0	0	0		243
Loans		10,774	551	344	187	200	3		12,059
Trading Assets		782	2	0	19	0	0		803
Other Assets		3,399	999	8	1,359	36	2		5,803
Total On-balance Sheet Exposures	28,846	1,824	354	1,583	262	5		32,874
									Amount Subject
Off-balance Sheet Exposures									to RWA
Letters of credit		827	47	0	9	19	0		902
Repo style transactions		16,054	10,027	959	420	312	19		27,791
Unused commitments		942	126	0	40	16	0		1,124
Derivatives		404	366	0	9	6	0		785
Unsettled Transactions		27	7	0	5	0	0		39
Total Off-balance Sheet Exposures		18,254	10,573	959	483	353	19		30,641
Grand Total		47,100	12,397	1,313	2,066	615	24		63,515

10

DB USA Corporation	Risk and Capital Performance
Pillar 3 Report as of June 30, 2020	Credit Risk Exposure

Gross Exposure by Asset Class and Residual Maturity

					30-Jun-20
in USD m
		Over 1 month to not	Over 1 year and not	Over 2 years and not			Amount
	Up to one month	Over 5 years	Subject to
	more than 1 year		more than 2 years	more than 5 years
					RWA
Cash and balances due from depository institutions	20,354	24		-	-		-	20,378
Securities: Available for Sale	-	89		188	193		12	482
Loans	567	3,057		2,097	3,544		3,128	12,393
Trading Assets	1	90		164	88		71	414
Other Assets	4,427	175		11	1,253		52	5,918
Total On-balance Sheet Exposures	25,349	3,435		2,460	5,078		3,263	39,585
Letters of credit	3	168		14	489		76	750
Repo-Style transactions (1)	19,622	2,554		163	10		248	22,597
Unused Commitments	201	184		155	485		81	1,106
Derivatives	15	827		486	251		111	1,690
Unsettled	724	1		-	-		-	725
Total Off-balance Sheet Exposures	20,565	3,734		818	1,235		516	26,868
Grand Total	45,914	7,169	3,278	6,313	3,779	66,453

1 Include Flexible Repurchase Agreements ("Flex Repos") which combine the security of owning U.S. Government Obligations, fixed interest rates, the withdrawal flexibility of a money market account and the high yield of a medium- or long-term investment. Flex Repos are generally long term because they are tied to construction projects for which bond proceeds need to be invested until payment is due for each stage of construction. In return for the added flexibility, investors in Flex Repos almost always receive slightly lower rates of return than investors with terms that are more traditional. Flex Repos are provided by DBSI, the U.S. broker dealer.

					31-Dec-19
in USD m
		Over 1 month to not	Over 1 year and not	Over 2 years and not			Amount
	Up to one month	Over 5 years	Subject to
	more than 1 year		more than 2 years	more than 5 years
					RWA
Cash and balances due from depository institutions	13,966	-		-	-		-	13,966
Securities: Available for Sale	1	97		72	62		11	243
Loans	985	3,112		1,685	3,302		2,975	12,059
Trading Assets	200	211		115	160		117	803
Other Assets	4,217	319		13	1,188		66	5,803
Total On-balance Sheet Exposures	19,369	3,739		1,885	4,712		3,169	32,874
Letters of credit	-	282		19	524		77	902
Repo-Style transactions (1)	23,423	3,818		415	16		119	27,791
Unused Commitments	246	377		130	211		160	1,124
Derivatives	4	525		101	79		76	785
Unsettled	11	-		-	27		1	39
Total Off-balance Sheet Exposures	23,684	5,002		665	857		433	30,641
Grand Total	43,053	8,741	2,550	5,569	3,602	63,51

11

DB USA Corporation	Risk and Capital Performance
Pillar 3 Report as of June 30, 2020	Credit Risk Exposure

Gross Exposure by Asset Class and Industry

				30-Jun-20
in USD m
	Public	Banks and				Amount
	other financial	Corporations	Retail	Other	Subject to
	institutions
	institutions				RWA
Cash and balances due from depository institutions	17,589	2,788	-	-	1	20,378
Securities: Available for Sale	413	39	18	-	12	482
Loans	318	2,631	2,253	3,599	3,592	12,393
Trading Assets	287	45	15	1	66	414
Other Assets	518	3,072	545	14	1,769	5,918
Total On-balance Sheet Exposures	19,125	8,575	2,831	3,614	5,440	39,585
Letters of credit	6	545	50	147	2	750
Repo-Style transactions	3,298	19,095	6	-	198	22,597
Unused Commitments	-	801	148	102	55	1,106
Derivatives	545	1,145	-	-	-	1,690
Unsettled	-	35	688	1	1	725
Total Off-balance Sheet Exposures	3,849	21,621	892	250	256	26,868
Grand Total	22,974	30,196	3,723	3,864	5,696	66,453

1 Include Flexible Repurchase Agreements ("Flex Repos") which combine the security of owning U.S. Government Obligations, fixed interest rates, the withdrawal flexibility of a money market account and the high yield of a medium- or long-term investment. Flex Repos are generally long term because they are tied to construction projects for which bond proceeds need to be invested until payment is due for each stage of construction. In return for the added flexibility, investors in Flex Repos almost always receive slightly lower rates of return than investors with terms that are more traditional. Flex Repos are provided by DBSI, the U.S. broker dealer.

				31-Dec-19
in USD m
	Public	Banks and				Amount
	other financial	Corporations	Retail	Other	Subject to
	institutions
	institutions				RWA
Cash and balances due from depository institutions	10,741	3,221	-	-	4	13,966
Securities: Available for Sale	179	46	9	-	9	243
Loans	288	2,492	2,625	3,450	3,204	12,059
Trading Assets	628	84	62	1	28	803
Other Assets	609	3,020	486	7	1,681	5,803
Total On-balance Sheet Exposures	12,445	8,863	3,182	3,458	4,926	32,874
Letters of credit	6	560	164	170	2	902
Repo-Style transactions (1)	4,103	23,363	8	-	317	27,791
Unused Commitments	-	715	233	162	14	1,124
Derivatives	449	336	-	-	-	785
Unsettled	-	28	11	-	-	39
Total Off-balance Sheet Exposures	4,558	25,002	416	332	333	30,641
Grand Total	17,003	33,865	3,598	3,790	5,259	63,515

12

DB USA Corporation	Risk and Capital Performance
Pillar 3 Report as of June 30, 2020	Credit Risk Exposure

Basel 3 Standardized Approach Exposure Amounts and Risk-weighted Assets by Exposure Class and Risk Weight

	in USD m.																	30-Jun-20
	US Basel 3 Standardized Approach																	US Basel 3																	Exposure		by risk weighting
																																			Balance	Amount
																																			Sheet	Subject to																Other	Other
	On-balance Sheet Exposures																	RWA																	Amount	RWA	0%	2%	4%	10%	20%	50%	100%	150%	250%	300%	400%	600%	625%	937.5%	1250%	Amount	RWA
	Cash and balances due from depository institutions		569	20,378	20,378	17,545	0	0	0	2,828	3	2	0	0	0	0	0	0	0	0	0	0
	Securities: Available for Sale		52	482	482	404	0	0		32	0	46	0	0	0		0	0	0	0	0	0
	Securities Purchased under agreements to Resell		0	51,343	0	0	0	0	0	0	0	0	0	0	0	0	0	0	0	0	0	0
	Loans: Residential mortgage exposures	1,464	2,827	2,827	7	0	0	0	0	2,712	108	0	0	0	0	0	0	0	0	0	0
	Loans: High volatility commercial real estate exposures		0		0	0	0	0	0	0	0	0	0	0	0	0	0	0	0	0	0	0	0
	Loans: All other exposures	9,361	9,566	9,566	359	0	0	0	170	11	8,436	590	0	0	0	0	0	0	0	0	0
	Loans: Allow ance for Loan Loss		0	32	0	0	0	0	0	0	0	0	0	0	0	0	0	0	0	0	0	0
	Trading Assets		93	17,776	375	285	0	0	0	0	25	62	0	0	0	0	3	0	0	0	0	0
	All Other Assets: All Other	5,229	11,612	5,918	160	0	0	0	2,374	1	2,184	13	1,005	0	0	0	0	0	0	181	38
	Securitization Exposures: Trading Assets		199	776	39	0	0	0	0	0	0	0	0	0	0	0	0	0	0	0	39	199
	Total On-balance Sheet Exposures	16,968	114,728	39,585	18,760	0	0	0	5,404	2,752	10,838	603	1,005	0	0	3	0	0	0	220	237
																																			Credit	Amount
																																			Equivalent	Subject to																Other	Other
	Off-balance Sheet Exposures																																		Amount	RWA	0%	2%	4%	10%	20%	50%	100%	150%	250%	300%	400%	600%	625%	937.5%	1250% Exposure	RWA
	Financial standby letters of credit		542	733	733	46	0	0	0	181	0	506	0	0	0	0	0	0	0	0	0	0
	Performance standby letters of credit		15	17	17	2	0	0	0	0	0	15	0	0	0	0	0	0	0	0	0	0
	Commercial and similar letters of credit		0		0	0	0	0	0	0	0	0	0	0	0	0	0	0	0	0	0	0	0
	Repo style transactions	6,268	22,597	22,597	10,031	1,155	0	0	5,753	1,127	4,531	0	0	0	0	0	0	0	0	0	0
	Unused commitments: 1 year of less		21	101	101	0	0	0	0	100	0	1	0	0	0	0	0	0	0	0	0	0
	Unused commitments: exceeding 1 year		877	1,005	1,005	86	0	0	0	7	74	838	0	0	0	0	0	0	0	0	0	0
	Over-the-counter derivatives		254	1,066	1,066	0	0	0	0	1,015	0	51	0	0	0	0	0	0	0	0	0	0
	Centrally Cleared derivatives		13	624	624	0	605	19	0	0	0	0	0	0	0	0	0	0	0	0	0	0
	Unsettled Transactions		44	725	725	703	0	0	0	0	0	19	0	0	0	0	0	2	0	1	0	0
	Total Off-balance Sheet Exposures	8,035	26,868	26,868	10,868	1,760	19	0	7,056	1,201	5,961	0	0	0	0	0	2	0	1	0	0
	Total Risk Weighted Assets, excluding Market Risk	25,003																		25,003	0	35	1	0	2,492	1,977	16,799	905	2,513	0	0	18	13	0	13	0	237
	Standardized Market Risk Weighted Assets	12,087
	Total Risk Weighted Assets	37,090
	in USD m.																	31-Dec-19
	US Basel 3 Standardized Approach																	US Basel 3																	Exposure		by risk weighting
																																			Balance	Amount
																																			Sheet	Subject to																Other	Other
	On-balance Sheet Exposures																	RWA																	Amount	RWA	0%	2%	4%	10%	20%	50%	100%	150%	250%	300%	400%	600%	625%	937.5%	1250%	Amount	RWA
	Cash and balances due from depository institutions		661		13,966	13,966	10,686	0	0	0	3,272	3	5	0	0	0	0	0	0	0	0	0	0
	Securities: Available for Sale		43		243	243	162	0	0	0	47	0	34	0	0	0	0	0	0	0	0	0	0
	Securities Purchased under agreements to Resell		0		55,570	0	0	0	0	0	0	0	0	0	0	0	0	0	0	0	0	0	0
	Loans: Residential mortgage exposures		1,417		2,735	2,735	6	0	0	0	0	2,624	105	0	0	0	0	0	0	0	0	0	0
	Loans: High volatility commercial real estate exposures		0		0	0	0	0	0	0	0	0	0	0	0	0	0	0	0	0	0	0	0
	Loans: All other exposures		8,960		9,324	9,324	316	0	0	0	251	11	8,429	317	0	0	0	0	0	0	0	0	0
	Loans: Allow ance for Loan Loss		0		9	0	0	0	0	0	0	0	0	0	0	0	0	0	0	0	0	0	0
	Trading Assets		95		18,570	721	627	0	0	0	0	18	74	0	0	0	0	2	0	0	0	0	0
	All Other Assets: All Other		4,971		7,433	5,803	470	0	0	0	1,951	2	2,155	10	924	0	0	0	0	0	0	291	100
	Securitization Exposures: Trading Assets		456		1,524	0	0	0	0	0	0	0	0	0	0	0	0	0	0	0	0	0	456
	Total On-balance Sheet Exposures	16,604	109,356	32,792	12,267	0	0	0	5,521	2,658	10,802	327	924	0	0	2	0	0	0	291	556
																																			Credit	Amount
																																			Equivalent	Subject to																Other	Other
	Off-balance Sheet Exposures																																		Amount	RWA	0%	2%	4%	10%	20%	50%	100%	150%	250%	300%	400%	600%	625%	937.5%	1250% Exposure	RWA
	Financial standby letters of credit		580		883	883	150	0	0	0	191	0	542	0	0	0	0	0	0	0	0	0	0
	Performance standby letters of credit		17		19	19	2	0	0	0	0	0	17	0	0	0	0	0	0	0	0	0	0
	Commercial and similar letters of credit		0		0	0	0	0	0	0	0	0	0	0	0	0	0	0	0	0	0	0	0
	Repo style transactions	6,292	27,791	27,791	15,742	1,474	0	0	4,836	888	4,851	0	0	0	0	0	0	0	0	0	0
	Unused commitments: 1 year of less			63		143	143	0	0	0	0	100	0	43	0	0	0	0	0	0	0	0	0	0
	Unused commitments: exceeding 1 year		865	981	981	85	0	0	0	1	60	835	0	0	0	0	0	0	0	0	0	0
	Over-the-counter derivatives		79	241	241	0	0	0	0	202	0	39	0	0	0	0	0	0	0	0	0	0
	Centrally Cleared derivatives		11	544	544	0	514	30	0	0	0	0	0	0	0	0	0	0	0	0	0	0
	Unsettled Transactions		47	39	39	13	0	0	0	0	0	22	0	0	0	0	0	4	0	0	0	0
	Total Off-balance Sheet Exposures	7,955	30,641	30,641	15,992	1,988	30	0	5,330	948	6,349	0	0	0	0	0	4	0	0	0	0
	Total Risk Weighted Assets, excluding Market Risk	24,559																		24,559	0	40	1	0	2,170	1,803	17,151	491	2,310	0	0	12	25	0	0	0	556
	Standardized Market Risk Weighted Assets	12,087
	Total Risk Weighted Assets	36,646

13

DB USA Corporation	Risk and Capital Performance
Pillar 3 Report as of June 30, 2020	Credit Risk and Credit Risk Mitigation

Credit Risk and Credit Risk Mitigation

The majority of credit risk mitigation techniques are applied to secured financing transactions (SFT) and derivatives. Credit risk mitigation techniques for the other products are not significant. DB USA Corp takes advantage of credit-risk mitigation benefits, as permitted under U.S. Basel III Rule, in its computation of risk-weighted assets.

For derivatives, DB USA Corp receives cash and non-cash collateral which, subject to the U.S. Basel III Rules, are applied against the computed gross credit exposures. For SFTs, DB USA Corp is frequently able to use the collateral haircut approach to recognize credit risk mitigation benefits of financial collateral. The collateral haircut approach allows DB USA Corp to only consider liquid, eligible collateral. Where the collateral haircut approach is not viable, DB USA Corp may still obtain the credit- risk mitigation benefits of the collateral simple approach, which permits DB USA Corp to substitute the risk weight of the collateral for the risk weight of the counterparty.

Netting of Secured Financing Transactions (SFT)

						30-Jun-20
						Net Amount
				Amount		Presented
				Offset in the		in the
				Statement		Statement
				of		of		Collateral
		Gross		Financial		Financial		Received or		Net
in USD m.		Amount		Condition (1)		Condition		Pledged (2)		Amount (3)
Assets:
Collateralized agreements and financings:
Securities purchased under agreements to resell		79,564	(49,265)	30,299	(30,299)	-
Securities borrow ed		21,752	(708)	21,044	(21,044)	-
Total	$	101,316	(49,973)	51,343	(51,343)	-
Liabilities:
Collateralized agreements and financings:
Securities sold under agreements to repurchase		78,006	(49,265)	28,741	(28,741)	-
Securities loaned		4,807	(708)	4,099	(4,253)	(155)
Total	$	82,813		(49,973)		32,840		(32,994)		(155)

1. Amounts relate to master netting agreements and collateral agreements which have been determined by DB USA Corp to be legally enforceable in the event of default and where certain other criteria are met in accordance with applicable offsetting accounting guidance. There are no amounts which were eligible for netting pursuant to ASC 210-20 that DB USA Corp did not net.
2. Securities collateral is reflected at its fair value, but has been limited to the net exposure in the consolidated statement of financial condition in order to exclude any over- collateralization. These amounts do not reflect any cash collateral.
3. Includes amounts subject to enforceable master netting agreements that have not met the requirements for offsetting in accordance with applicable accounting guidance but are eligible for offsetting to the extent an event of default has occurred.

						31-Dec-19
						Net Amount
				Amount		Presented
				Offset in the		in the
				Statement		Statement
				of		of		Collateral
		Gross		Financial		Financial		Received or		Net
in USD m.		Amount		Condition (1)		Condition		Pledged (2)		Amount (3)
Assets:
Collateralized agreements and financings:
Securities purchased under agreements to resell		74,071	(39,897)	34,174	(34,174)	-
Securities borrow ed		23,753	(2,357)	21,396	(20,795)	601
Total	$	97,824	(42,254)	55,570	(54,969)	601
Liabilities:
Collateralized agreements and financings:
Securities sold under agreements to repurchase		64,679	(39,897)	24,782	(27,333)	(2,551)
Securities loaned		8,619	(2,357)	6,262	(6,262)	-
Total	$	73,298	(42,254)	31,044	(33,595)	(2,551)

14

DB USA Corporation	Risk and Capital Performance
Pillar 3 Report as of June 30, 2020	Credit Risk and Credit Risk Mitigation

Netting of Derivatives Transactions

									30-Jun-20
		Fair value								Notional Amount
									Exchange -
in USD m.	Assets			Libilities					traded			OTC			Total
Contract type
Interest rate contracts		487			103			4,786		22,670		27,456
Credit contracts		-			-			-		-		-
Equity contracts		23			7			250		-		250
Other contracts		-			-		-	14,574	14,574
Total gross derivatives								5,036		37,244		42,280
	510			110
		-			-
Less: Counterparty netting (1)		(49)			(49)
Net amounts presented in statement of financial condition		461			61
Less: Cash collateral received/posted		(13)			-
Net derivative		448			61

1. Amounts relate to master netting agreements and collateral agreements which have been determined by DB USA Corp to be legally enforceable in the event of default and where certain other criteria are met in accordance with applicable offsetting accounting guidance.

													31-Dec-19
							Fair value						Notional Amount
													Exchange -
in USD m.	Assets			Libilities				traded		OTC					Total
Contract type
Interest rate contracts		191			54		4,689	27,199	31,888
Credit contracts		-			-			-
					2
						2
Equity contracts			16			-			99
						-
							99
Other contracts				-			-			-
							6,186
								6,186
Total gross derivatives					207			54			4,788
								33,387
									38,175
Less: Counterparty netting (1)		(12)			(12)
Net amounts presented in statement of financial condition						195			42
Less: Cash collateral received/posted							(95)			(42)
Net derivative							100			-

15

DB USA Corporation	Risk and Capital Performance
Pillar 3 Report as of June 30, 2020	Impairments

Impairments

The allowance for credit losses represents management's estimate of probable losses that have occurred in the loan portfolio and off balance sheet positions, which comprise contingent liabilities and lending related commitments as of the date of the consolidated and combined financial statements. The allowance for credit losses of funded lending related commitments is reported as a reduction of loans on the consolidated statement of financial condition. The allowance for credit losses of undrawn lending related commitments is reported in other liabilities on the consolidated statement of financial condition.

To allow management to determine the appropriate level of the allowance for credit losses, all significant counterparty relationships are reviewed periodically, as are loans under special supervision, such as impaired loans. This review encompasses current information and events related to the counterparty, such as past due status and collateral recovery values, as well as industry, geographic, economic, political, and other environmental factors. This process results in an allowance for credit losses which consists of a specific loss component and an inherent loss component.

The specific loss component represents the allowance for impaired loans. Impaired loans represent loans for which, based on current information and events, management believes it is probable that DB USA Corp will not be able to collect all principal and interest amounts due in accordance with the contractual terms of the loan agreement. The specific loss component of the allowance is measured by the excess of the recorded investment in the loan, including accrued interest, over either the present value of expected future cash flows, including cash flows that may result from foreclosure less costs for obtaining or selling the collateral, or the market price of the loan, discounted at the loan's effective interest rate. Impaired loans are generally placed on nonaccrual status.

The inherent loss component is principally for all other loans not deemed to be impaired, but that, on a portfolio basis, are believed to have some inherent loss, which is probable of occurring and is reasonably estimable. The inherent loss allowance represents an estimate of losses inherent in the portfolio that has not yet been individually identified and reflects the imprecision and uncertainties in estimating the allowance for loan loss. This estimate of inherent losses excludes those exposures that have already been considered when establishing the allowance for smaller balance standardized homogeneous loans.

Amounts determined to be uncollectible are charged to the allowance. Subsequent recoveries, if any, are credited to the allowance. The provision for credit losses, which is charged to income, is the amount necessary to adjust the allowance for credit losses to the level determined through the process described above.

The allowance for off balance sheet positions, which is established through charges to other expenses, is determined using the same measurement techniques as the allowance for credit losses.

Variance Commentary (2019YE to 2020Q2)

Impaired loans decreased by $5 million as of June 30, 2020 compared with December 31, 2019. The decrease is primarily attributed to residential real estate loans with Private Bank and Corporate Bank clients. Past due loans reported by DB USA Corp as of June 2020 are immaterial.

The Loan Loss Allowance increased $23 million as of June 30, 2020 compared with December 31, 2019. The reason for the increase was in part due to the adoption of Current Expected Credit Losses (CECL - ASU 2016-13) as of January 1, 2020. The first time adoption impact was $6 million. There was a further increase to the allowance during the period of $17 million as a result of the impact of COVID-19 on the global economy.

Following new reporting guidelines issued by the Federal Reserve Bank (FRB), DB USA is taking the option to account for eligible loan modifications under Section 4013 of the CARES Act. This means DB USA is not required to apply ASC Subtopic 310-40 to the section 4013 loans for the term of the loan modification and as such do not have to report section 4013 loans as TDRs in regulatory reports. Eligible loans are defined as those which meet the definition of a TDR and the reporting guidance of the CARES Act. However, DB USA had no loan modifications that met these requirements and as such did not report any loan modifications under Section 4013 of the CARES Act.

16

DB USA Corporation	Risk and Capital Performance
Pillar 3 Report as of June 30, 2020	Impairments

Impaired loans, allowance for loan losses and coverage ratio by industry

			31-Dec-19						30-Jun-20
					Impaired loan					Impaired loan
			Loan Loss		coverage ratio				Loan Loss	coverage ratio
in USD m.		Impaired Loans	Allow ance		(%)			Impaired Loans	Allow ance	(%)
Commercial and residential real estate activities			59	9	15%		54	32	59%
Other			3	-	0%		3	-	0%
Total			62	9	15%		57	32	56%

Impaired loans, allowance for loan losses and coverage ratio by region

			31-Dec-19					30-Jun-20
					Impaired loan				Impaired loan
			Loan Loss		coverage ratio			Loan Loss	coverage ratio
in USD m.	Impaired Loans	Allow ance		(%)		Impaired Loans	Allow ance	(%)
North America		62	9	15%		57	32	56%
Total			62	9	15%		57	32	56%

Development of impaired loans

in USD m.

Balance, beginning of the period

Classified as impaired during the period

Transferred to not impaired during the period

Charge Offs

Disposal of impaired loans

Paydow ns

Balance, end of the period

31-Dec-19

(12 Months)

Impaired loans Individually assessed

71

23

5

-

26

1

62

30-Jun-20 (6 months)

Impaired loans Individually assessed

62

2

1

2

4

-

57

Development of specific loan loss allowance

in USD m.

Balance, beginning of the period

Recoveries

Charge Offs

Provision for loan and lease losses

Other

Balance, end of the period

31-Dec-19

(12 Months)

Specific loan loss allowance

3

-

2

2

-

3

30-Jun-20 (6 months)

Specific loan loss allowance

3

-

-

-

-

3

17

DB USA Corporation	Risk and Capital Performance
Pillar 3 Report as of June 30, 2020	Supplementary Leverage Ratio

Supplementary Leverage Ratio

Per U.S. regulatory reporting requirements and in compliance with the FRB's Regulation YY (12 CFR 252.153), IHCs with consolidated total on-balance sheet foreign exposures in excess of USD $10 billion are required to comply with Supplemental Leverage Ratio (SLR) requirements starting in 2018. The SLR is designed to require a banking organization to hold a minimum amount of capital against total assets and off-balance sheet exposures, regardless of the riskiness of the individual assets. Thus, all categories of assets, including cash, U.S. Treasuries, and deposits at the Federal Reserve, are included in the determination of the SLR. The SLR is the ratio of an IHC's Tier 1 capital as of a quarter-end to total leverage exposure, the latter of which is calculated as the sum of:

(A)The average on-balance sheet assets calculated as of each day of the reporting quarter;

and

1. The average off-balance sheet exposures calculated as of the last day of each of the most recent three months, minus the applicable deductions from Tier 1 capital.

The main components of total leverage exposure are:

• On-balancesheet exposures;
• Derivative exposures;
• Repo-styletransactions and
• Other off-balance sheet exposures.

The SLR reporting requirements follow the classification and segmentation required by Schedule A of the FFIEC 101 report.

Variance Commentary (2019YE to 2020Q2)

The Supplementary Leverage Ratio for June 2020 is 11.99%, 291bps increase from December 2019. The significant driver of this increase was due to a new requirement issued by the Federal Reserve Bank that Category III IHC such as DB USA must temporarily exclude U.S. Treasury Securities and Deposits at Federal Reserve Banks from the SLR denominator, leverage exposure. The amount of U.S. Treasury Securities and Deposits at Federal Reserve Banks excluded from the leverage exposure as at June 30, 2020 was $30.3 billion and contributed to a 2.43 % increase in the SLR.

Total SLR exposures decreased $(32.7) billion to $119.2 billion as compared with December 2019.

• On-balanacesheet exposures reduced by $(26.2) billion primarily due to the deductions of qualifying central bank deposits as mentioned above of $(30.3) billion. This was offset by an increase in on-balance sheet carrying values of $4.1 billion.
• Exposures from Repo-style transactions decreased $(8.2) billion (post FIN41 netting). This was largely due to an increase in netting benfit of $6.4 billion, but also due to decreased gross repo balances of $2.0 billion. The increase in netting benefit is mainly driven by a proportional increase in balances with nettable counterparties such as DB London.
• Other off balance sheet exposures increased $1.7 billion driven by higher average forward starting reverse repos balances.

18

DB USA Corporation	Risk and Capital Performance
Pillar 3 Report as of June 30, 2020	Supplementary Leverage Ratio

in USD m.

The balance sheet carrying value of all on-balance sheet assets (excluding on-balance sheet assets for derivative transactions and repo-style transactions, but including collateral)

Deductions from common equity tier 1 capital and additional tier 1 capital (report as a positive amount)

Adjustments for deductions of qualifying central bank deposits for custodial banking organisations

Total on-balance sheet exposures (item 2.1 minus item 2.2)

Replacement cost for all derivative transactions

Add-on amounts for potential future exposure (PFE) for all derivative transactions

Gross-up for collateral posted in derivative transactions if collateral is deducted from on-balance sheet assets

Deduction of receivable assets for qualifying cash variation margin posted in derivative transactions (report as a positive amount)

Exempted exposures to central counterparties (CCPs) in cleared transactions (report as a positive amount)

Adjusted effective notional principal amount of sold credit protection

Adjusted effective notional principal amount offsets and PFE deductions for sold credit protection (report as a positive amount)

Total derivative exposures (sum of items 2.4, 2.5, 2.6 and 2.9, minus items 2.7, 2.8, and 2.10)

Gross assets for repo-style transactions, with no recognition of netting

Reduction of the gross value of receivables in reverse repurchase transactions by cash payables in repurchase transactions (report as a positive value)

Counterparty credit risk for all repo-style transactions

Exposure amount for repo-style transactions where an institution acts as an agent

Total exposures for repo-style transactions (sum of items 2.12, 2.14, and 2.15, minus item 2.13)

Off-balance sheet exposures at gross notional amounts

Adjustments for conversion to credit equivalent amounts (report as a positive amount)

Total off-balance sheet exposures (item 2.17 minus item 2.18)

Tier 1 capital (from Schedule A, item 45)

Total leverage exposure (sum of items 2.3, 2.11, 2.16, and 2.19)

Supplementary leverage ratio (item 2.20 divided by item 2.21)

31-Dec-1930-Jun-20

58,04662,099

117113

030,292

57,92931,694

90			143
3,594			4,095
0			0
0			0
1,486			2,007
0			0
0			0
2,198			2,231
138,473			136,432
55,372			61,734
1,179	1,411
0			0
84,280			76,109
23,001			30,436
15,509			21,228
7,492			9,208
13,801			14,296
151,899			119,242
9.0856%			11.9891%

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DB USA Corporation	Risk and Capital Performance
Pillar 3 Report as of June 30, 2020	Liquidity Coverage Ratio

Liquidity Coverage Ratio

The Liquidity Coverage Ratio (LCR) is intended to promote the short-term resilience of a bank's liquidity risk profile over a 30 day stress scenario. The ratio is defined as the amount of High Quality Liquid Assets (HQLA) that could be used to raise liquidity, measured against the total volume of net cash outflows, arising from both actual and contingent exposures, projected over a 30 calendar-day period of significant stress. Banks are also required to take into account potential maturity mismatches between contractual outflows and inflows during the 30 day stress period.

The following table presents DB USA Corp's average LCR, and average unweighted and weighted amounts of HQLA, cash outflows and cash inflows, for June 30, 2020 compared to December 31, 2019.

For details please refer to DB USA Corp's quarterly U.S. LCR Disclosures publicly disclosed on DB's website.

						Average Unweighted			Average Weighted
						Amount				Amount
		in USD m.	For the quarter ended		31-Dec-19	30-Jun-20			31-Dec-19	30-Jun-20
		HIGH-QUALITY LIQUID ASSETS (1)
1	Total eligible high-quality liquid assets (HQLA), of which:	22,637	19,644	22,637	19,644
2	Eligible level 1 liquid assets	22,637	19,644	22,637	19,644
3	Eligible level 2A liquid assets	-	-	-	-
4	Eligible level 2B l iquid assets	-	-	-	-
		CASH OUTFLOW AMOUNTS
5	Deposit outflow from retail customers and counterparties, of which:	556	530	99	90
6	Stable retail deposit outflow	61	73	2	2
7	Other retail funding outflow	333	318	33	32
8	Brokered deposit outflow	162	139	64	56
9	Unsecured wholesale funding outflow, of which:	23,182	22,724	12,124	11,368
10	Operational deposit outflow	12,835	13,493	3,206	3,371
11	Non-operational funding outflow	10,347	9,231	8,918	7,997
12	Unsecured debt outflow	-	-	-	-
13	Secured wholesale funding and asset exchange outflow	107,336	112,042	5,471	6,795
14	Additional outflow requirements, of which:	5,133	4,051	1,805	1,304
15	Outflow related to derivative exposures and other collateral requirements	1,148	1,191	548	505
16	Outflow related to credit and liquidity facilities including unconsolidated structured
			transactions and mortgage commitments	3,985	2,860	1,257	799
17	Other contractual funding obligation outflow	32	4	32	4
18	Other contingent funding obligations outflow	-	-	-	-
19	TOTAL CASH OUTFLOW	136,239	139,351	19,531	19,561
		CASH INFLOW AMOUNTS
20	Secured lending and asset exchange cash inflow	119,568	125,163	5,394	7,099
21	Retail cash inflow	118	62	62	28
22	Unsecured wholesale cash inflow	1,294	1,130	1,207	1,125
23	Other cash inflows, of which:	67	57	67	57
24	Net derivative cash inflow	4	1	4	1
25	Securities cash inflow	63	56	63	56
26	Broker-dealer segregated account inflow	-	-	-	-
27	Other cash i nflow	-	-	-	-
		TOTAL CASH INFLOW	121,047	126,412	6,730	8,309
29	HQLA AMOUNT (1)					22,637	19,644
30	TOTAL NET CASH OUTFLOW AMOUNT EXCLUDING THE MATURITY MISMATCH ADD-ON			12,801	11,252
31	MATURITY MISMATCH ADD-ON			123	76
32	TOTAL NET CASH OUTFLOW AMOUNT			12,924	11,328
33	LIQUIDITY COVERAGE RATIO (%)			175%	173%
	HQLA figures have been adjusted for the trapped HQLA at the U.S. subsidaries
		(1)
	Numbers may not add due to rounding
		(2)

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