Deutsche Bank : DB USA Corporation Pillar 3 Report Q1 2023

Deutsche Bank

DB USA Corporation

Pillar 3 Report

as of March 31, 2023

DB USA Corporation

Pillar 3 Report as of March 31, 2023

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	8
DISCLOSURE OF LIQUIDITY REQUIREMENTS	10

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DB USA Corporation

Pillar 3 Report as of March 31, 2023

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, 2023

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, 2023.

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 (2022Q4 to 2023Q1)

The March 2023 On-balance Sheet Exposures increased $24.9 billion and Off-balance sheet increased $2.3 billion as compared with December 2022 with corresponding impact on RWA decreased $3.1 billion.

Regulatory Capital:

• Regulatory Capital of $13.6 billion remains relatively unchanged as compared to Q4 2022.
• The Common Equity Tier 1 Capital Ratio for March 2023 is 29.03%, up 289bps from December 2022. This is largely attributable to the reduction in RWA quarter over quarter and small increase in CET1 capital balance due to the net income during Q1.

On -balance Sheet Exposures (increased $24.9 billion to $128 billion):

• $22 billion increase in security financing transactions driven by higher reverse repo balances of $23 billion largely with affiliates offset by an decrease in stock borrow balances of $1 billion within the Investment Bank.
• $4.9 billion increase in trading assets within the Investment Bank driven by higher US Treasury balances of $4.8 billion driven by client demand and hedging activity.
• Offset by, ($3.5) billion decrease in cash and balances due from depository institutions largely driven by a lower deposits of ($3.2 billion) and an increase in loans ($0.7 billion).

Off -balance Sheet Exposures (increased $2.3 billion to $29.7 billion):

• $0.9 billion increase in Repo style transactions largely due to the increase in gross balances.
• $1.3 billion exposure increase in derivatives, primarily driven by new equity options and equity index options against affiliates cleared through the Options Clearing Corporation (OCC).

RWA (decreased $3.1 billion to $35.7 billion):

• $(3.7) billion decrease in Standardized Market RWA driven by lower SVaR mainly from the reduction in 60-day average which reflects the addition of interest rate hedges within the Investment Bank and reduction in exposures during 60-day averaging period.

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DB USA Corporation

Pillar 3 Report as of March 31, 2023

• Offset by, $0.7 billion increase due to higher loans with Private Bank customers ($0.3 billion) and Corporate Bank customers ($0.4 billion) all at 100% risk weight.

Liquidity Coverage Ratio:

The Firm's average LCR for three months ended March 31, 2023 was 147% which represents an average LCR position well above the required minimum. In comparison to the average LCR of 141% for the quarter ended December 31, 2022, this represents an increase of 6 percentage points. This change in LCR was primarily driven by a $0.4 billion net increase in HQLA and a $0.3 billion decrease in net outflows.

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