Deutsche Bank

Credit Risk Overview

St t Lewis
Stuart L i
Deputy Chief Risk Officer

Investor Meetings
Deutsche Bank Investor Meetings, 11 May 2010
Investor Relations
Frankfurt, 11 May 2010
Stuart Lewis, Deputy Chief Risk Officer
Financial crisis evolution

Phase 1: Phase 2: Phase 3:

Start of crisis Escalation Recovery

200 1300 3m Euribor 3m Eonia swap rate, in bps (lhs)

90
1200 iTraxx XO
O(1) S11/10/9/8/7
S11/10/9/8/ 5y spread, in bps (lhs)
( )
180
VIX implied volatility index S&P 500, in % (rhs)
80
1100 Start series 11,
160 structural break
70
1000 Fed rate cuts
140
900 60
IKB warning Fed approves
120 800 takeover of Bear
and bailout 50
Stearns by JPM
100 700
40
80 600
UK bank
500 capital 30
60
injections
400 Hypo Real
40 20
300 Estate rescue
Takeover of AIG & Merrill Lynch,
20 Fortis state support 10
200 Lehman files for Chapter 11
announced
0 100 0
06/07 09/07 12/07 03/08 06/08 09/08 12/08 03/09 06/09 09/09 12/09 03/10

(1) iTraxx Europe Crossover, 5-year, series 11 (index of CDS credit derivatives on 50 companies rated at the threshold of investment and speculative grade; before
M h 2009
March 2009: series
i 10/9/8/7)
Source: Bloomberg, DB Research

Deutsche Bank Investor Meetings, 11 May 2010 2

Investor Relations Stuart Lewis, Deputy Chief Risk Officer
Strong
g recovery
y seen across g
global industries ...
... but sovereign risks remain
Strong recovery in industrial production ... ... but sovereign risks remain
% growth yoy
General government General government
25.0 gross debt ratio budget balance
20.0 % of GDP % of GDP
140 0
15.0 130
10.0 120
5.0 110 -5

0.0 100
90
-5.0 -10
an-08
Apr-08
Jul-08
Oct-08
an-09
Apr-09
Jul-09
Oct-09
an-10
Apr-10
Jul-10
Oct-10
an-11
Apr-11
Jul-11
Oct-11
80
-10.0 70
Ja

Ja

Ja

Ja
J

J
O

O
A

A
-15.0 60 -15
-20.0 01 03 05 07 09E 11F 01 03 05 07 09E 11F
-25.0 Greece OECD total Greece OECD total
Euro area Euro area
WORLD LatAm Europe CEE APAC
Source: OECD, DBR
Source: DB Research Source: OECD
OECD, DB Research

Strong recovery in Asia, but also in US, less pronounced in Europe

Chemicals: Major chemical companies (BASF, DuPont, Dow Chem) reported double-
Industrial
digit
g volume ggrowth ((driven by
y APAC)) and sound results in 1Q2010
Q
production
d ti Semiconductors: Strong order volumes over past 2 quarters, driving utilisation rate
up to 87% in 1Q2010 (vs. 57% in 1Q2009)

S&P and Fitch downgraded Greece to BBB+, lowest level in Eurozone

Significant market reaction driven by heightened awareness of potential for m/t
Sovereign risk sovereign default
Deutsche Bank faces limited primary / secondary order risks but potentially significant
tertiary impact from contagion effect

Deutsche Bank Investor Meetings, 11 May 2010 3

Investor Relations Stuart Lewis, Deputy Chief Risk Officer
Agenda
g

1 Loan book overview

2 Assets under IAS39 reclassification

3 Monolines

4 Sovereign risk

Deutsche Bank Investor Meetings, 11 May 2010 4

Investor Relations Stuart Lewis, Deputy Chief Risk Officer
Loan book and p
provisions by
y category
g y
In EUR bn, as of 31 Mar 2010 xx 1Q2010 LLPs(1), in EUR m
xx Thereof IAS 39 LLPs, in EUR m
IAS 39 reclassified assets, in EUR bn
262 / 104 69 115 78 / 104

Low loan
to value Lower risk bucket Moderate risk bucket Higher risk bucket
Substantially
hedged Highly
diversified
Short term / Mostly
on demand collateralise Substantially
d collateralise
Liquid Substantial Mostly d by Govt Strong
collateral collateral Gov t
Govt iti
securities d l i
underlying
gteed Additional asset
hedging quality High Substantial
mitigants Partially
margin collateral / hedged
business hedging Diversified Mostly Predominantly
mortgage secured
asset senior Diversified by asset
pools secured type and location

(11)
(13) (7)
Total PBC Inv grade GTB PWM(2) PBC Corpo- Structured Asset PBC Colla- Financing CF CF Other
loan mort- / German small rate transactions Finance con- teralised/ of Leveraged Commer-
b k
book, gages mid-cap
id corpo- Invest-
I collatera-
ll (DB h d d pipeline
sumer hedged i li Finance cial
gross rates ments(2) lised by sponsored finance structured assets Real
Govts, cash conduits) transactions Estate(3)
and own debt

Loan book up by EUR 9 bn (3.5%)

(3 5%) vs.
vs 31 Dec 2009 driven primarily by:
Loan book Inclusion of Sal Oppenheim (PWM)
Strong growth in Trade Finance / Structured Trade Export Finance volumes (GTB)
(1) Includes provisions for off-balance sheet positions
(2) I l d lloans off EUR 3
Includes 3.2
2 bn
b in
i PWM and d EUR 1 1.8
8 bn
b in
i CI related
l t d tto S
Sal.l O
Oppenheim
h i acquisition
i iti
(3) Includes loans from CMBS securitizations

Deutsche Bank Investor Meetings, 11 May 2010 5

Investor Relations Stuart Lewis, Deputy Chief Risk Officer
LLPs stabilising
g as market shows signs
g of recovery
y

Loan loss provisions development: 2003 1Q2010

CIB loss in EUR m (lhs) DB loss annualised (rhs) 12%

Thereof IAS39 (lhs) Moodys Corp Default Rate (rhs)

10%
PCAM loss in EUR m (lhs) VIX implied vol S&P 500
8%

Forecast 6%

4%

2%

2003 2) 2004 2) 2005 2006 2007 2008 2009 2010F3)

Favourable LLP 1Q2010 LLPs almost halved to EUR 262 m vs. 1Q2009 (LLPs on IAS39 <50% of
development, 1Q2009)
particularly with Despite encouraging outcome, we leave full-year forecast unchanged given market
IAS39 assets uncertainties in a fragile economic recovery
(1) All bps annualised
(2) 31 DDec 2009 lloan b
book
k used
d tto calculate
l l t b bps
(3) Forecast based on 2010 base case

Deutsche Bank Investor Meetings, 11 May 2010 6

Investor Relations Stuart Lewis, Deputy Chief Risk Officer
Agenda
g

1 Loan book overview

2 Assets under IAS39 reclassification

3 Monolines

4 Sovereign risk

Deutsche Bank Investor Meetings, 11 May 2010 7

Investor Relations Stuart Lewis, Deputy Chief Risk Officer
Positive trends continue across the portfolio
p
As of 31 March 2010
Positive rating development also with CV / FV delta reduction
PD Up/Downgrade Ratio (internal data) In EUR bn, as of 31 Mar 2010

6.7
(51)%

4.1
3.7
33
3.3

Favorable
Mar 2010 overall up/downgrade ratio of 0.85x from 0.12x (Mar 2009)
rating
g migration
g
CV / FV delta
d lt also
l continues
ti to
t decrease
d with
ith market
k t recovery and
d DB
DBs proactive
ti
& CV / FV delta restructuring efforts (down 51% since Mar 09)
development
as well as
DB significantly reduced IAS39 Lev Fin subordinated debt since 3Q2009
continued
Sold 5 positions, resulting in 40% reduction in CV of sub debt
reduction of Remaining sub debt is EUR 1.6 bn, attributable to 3 names (99% is one name)
LF sub debt
Note: CV = Carrying Value; FV = Fair Value

Deutsche Bank Investor Meetings, 11 May 2010 8

Investor Relations Stuart Lewis, Deputy Chief Risk Officer
IAS39 reclassified assets overview
As of 31 March 2010
Impaired # of CV / FV
Asset Carrying loans impaired LLP run rate LLP run rate delta
class value # of assets % inv grade (EUR bn) loans (annualised) vs. Dec 09 (% total)

Leveraged 2.1 10 0.3 bn

6.6 205 0% 377bps
Finance (32%) (4 9%)
(4.9%) (10%)

Commercial 0.2 7 0.4 bn

8.8 438 48% 126bps
Real Estate (2%) (1.6%) (12%)

0.4 3 1.0 bn
Asset Finance 8.0 123 76 %
((4%)) 2.4% ((31%))

0.4 5(1) 1.3 bn

Other 5.4 279(1) 63% 21bps
(7%) (1.8%) (40%)

Coll. / hedged 1 0.2 bn

5.2 340 94% 15bps(2)
transactions (0.3%) (6%)

2.9 26
Total 34.0 bn 1,385 58%
(9%) (1.9%)
109bps 3.3 bn

(1) E l d E
Excludes European mortgage
t lloan portfolio
tf li with
ith 7,964
7 964 and
d student
t d t loan
l portfolio
tf li with
ith 8
8,893
893 collectively
ll ti l assessed
d assets
t
(2) Increase in LLP run rate refers to a single name EUR 2 m facility

Deutsche Bank Investor Meetings, 11 May 2010 9

Investor Relations Stuart Lewis, Deputy Chief Risk Officer
Continued reduction of CV / FV delta across most
asset classes
Largest CV / FV differences by asset classes:(1) Total EUR 3.3 bn as of 31 March 2010
In EUR m

Impaired names (totalling EUR 688 m or 21% of total delta)

(2)

LF CRE Asset Finance Other Coll/Hedged

Total difference: 332 m Total difference: 414 m Total difference: 1,034 m Total difference: 1,298 m Total difference: 184 m

Thereof impaired Thereof impaired Thereof impaired Thereof impaired

Thereof impaired nil
EUR 258 m EUR 15 m EUR 119 m EUR 296 m

Top 10: EUR 324 m (98%) Top 10: EUR 310 m (75%) Top 10: EUR 502 m (49%) Top 10: EUR 535 m (41%) Top 10: EUR 187 m (101%)

Delta vs. Dec 09: Delta vs. Dec 09: Delta vs. Dec 09: Delta vs. Dec 09: Delta vs. Dec 09:

CV / FV gap Over 55% of EUR 3.3 bn delta from 50 names (out of 1,135 assets)
continues to Delta continues to decline driv en primarily by reduction in LF subordinated debt (over
narrow EUR 1 bn reduction since Sep 2009)
(1) Top 10 names for each of the 5 asset classes
(2) UK homogeneous mortgage portfolio acquired on liquidation of mortgage warehouse facilities
Deutsche Bank Investor Meetings, 11 May 2010 10
Investor Relations Stuart Lewis, Deputy Chief Risk Officer
Agenda
g

1 Loan book overview

2 Assets under IAS39 reclassification

3 Monolines

4 Sovereign risk

Deutsche Bank Investor Meetings, 11 May 2010 11

Investor Relations Stuart Lewis, Deputy Chief Risk Officer
Monoline update
p
Exposure materially reduced, reserve levels remain adequate

Substantial reduction since 1Q2009 peak and exposure adequately reserved

In EUR bn(1) In EUR bn, as of 31 Mar 2010

Fair value after CVA CVA Fair value after CVA CVA

(44)%
9.1
7.6
Net exposure to non-investment grade:
5.9 EUR 1.1 bn
5.2 5.1
68
6.8
5.5
4.7 4.0 3.1
3.7
1.2
1 2 0.8
2.6
0.7 0.3 0.0
1Q2009 2Q2009 3Q2009 4Q2009 1Q2010 Tier 1/ Tier 2 Tier 3 Tier 4
I
Inv. grade
d

Note:
N t Ti i is
Tiering i an iinternal
t lCCredit
dit Ri
Riskk Management
M t designation
d i ti (Ti
(Tier 1 = strongest
t t / Tier
Ti 4 = weakest)
k t) ; CVA = C
Credit
dit valuation
l ti adjustment
dj t t
(1) Excludes counterparty exposure to monoline insurers that relates to wrapped bonds

Deutsche Bank Investor Meetings, 11 May 2010 12

Investor Relations Stuart Lewis, Deputy Chief Risk Officer
Monoline exposure
p by
y asset classes
In EUR bn, as of 31 Mar 2010
Product Fair value prior to CVA(1) Comment

Other
0.1
Subprime
Riskier
products
>90% 2007 vintages
Alt-A 1.8 More than 20% subordination

Trups / Majority
j y on super
p senior
11
1.1 tranches with high subordination
CLOs

50% 2007 & 50% 2006 vintages

CMBS 0.9

Student 0.6
loans

Safer Other 0.6

products

Exposure No exposure to ABS CDO or RMBS with Tier 2, 3 & 4 players

profile ~50% reserve level for direct exposure to Tier 2, 3 & 4 payers

(1) Credit valuation adjustments

Deutsche Bank Investor Meetings, 11 May 2010 13

Investor Relations Stuart Lewis, Deputy Chief Risk Officer
Agenda
g

1 Loan book overview

2 Assets under IAS39 reclassification

3 Monolines

4 Sovereign risk

Deutsche Bank Investor Meetings, 11 May 2010 14

Investor Relations Stuart Lewis, Deputy Chief Risk Officer
Sovereign
g risk Hot spots
p in Southern Europe
p
Concerns about sovereign risk potential tertiary effect through contagion
CDS spreads by country (in bps) DB exposures(1) by country, 31 Mar 2010
1,000
900
800
700
600
500
400
300
200
100 Italy Spain Portugal Greece Ireland
0
Aug 08 Nov 08 Feb 09 May 09 Aug 09 Nov 09 Feb 10 May 10
Total exposure (gross)
Greece Portugal Spain Ireland Italy Exposure after hedging and collateral (net) Thereof sovereign(net)

Limited
Li it d primary/
i / Sovereign: Overall relatively small
small, except Italy
CIB: Focus on better rated clients; corporates / FIs with satisfactory diversification &
secondary
risk mitigation
portfolio PBC: Large presence in Spain and Italy, mitigated by low concentration risk and
concerns
concerns collateral
ll t l

but potential Significant spread widening could lead to losses on our illiquid GM/GB legacy
risk
i k off ttertiary
ti positions
ii
market impact Temporarily reduced liquidity in EU debt and equity markets
due to contagion European banks with significant cross border funding would exhibit renewed stress

(1) Includes exposure for CIB, PBC and PWM, excludes traded credit positions (TCP)

Deutsche Bank Investor Meetings, 11 May 2010 15

Investor Relations Stuart Lewis, Deputy Chief Risk Officer
Sovereign
g risk: Greece
Stress contagion scenario impact analysis
Impact Market scenarios Potential impact on DB Risk
Hair cut on Greek sovereign debt Limited losses from sovereign debt exposure
Shipping : Greek ship owners wealth largely Greek FI/Sovereign exposure driven by FX
mary

held in domestic assets (e.g. stakes in and Rates derivatives to double

banks); losses and tighter liquidity with Immediate liquidity and P&L impact negligible
Prim

negative impact on CAPEX, future earnings as very small local DB franchise
HF and HNWI impacted by direct losses on PWM exposure to Greek clients manageable
Greek Sovereign/FI holdings given large AuM; overall HF portfolio net short
Greek sov debt restructuring results in ~ Funding cost increase
condary

EUR 50-75bn losses for European banks Share price under pressure
FIs with larger sovereign holdings and/or Collateral (Greek govt) held negligible;
exposure to Greek banking sector come Prime Finance exposure limited after
Sec

under pressure collateral

Credit spreads rise sharply as financials Further loss potential on illiquid legacy assets
widen & liquidity
q y dries up
p for riskier assets Aggregate
gg g short TCP p position in Spain,
p ,
Severe contagion globally, initially with spill Portugal and Ireland
Tertiary

over into weak EU and some CEE However, contagion impact beyond PIIGS
Equities fall, financials underperform countries could be material
USD,
USD Treasuries,
Treasuries precious metals benefit Derivative exposure MTM to rise,rise driven by
T

from flight to safety; USD strengthening falling EUR, spread widening

leads to currency volatility in EMs (e.g. Capital hedged against EUR depreciation
LatAM, less impact on Asia)
N t
Note: Scenario
S i b
basedd on h
holistic
li ti overview
i (t
(tertiary
ti risks
i k over 10 d
day period);
i d) effects
ff t may nott necessary b
be sequential
ti l or iin d
described
ib d order
d
Traffic lights denote overall downside scenario impact on Deutsche Bank. TCP = Traded credit positions

Deutsche Bank Investor Meetings, 11 May 2010 16

Investor Relations Stuart Lewis, Deputy Chief Risk Officer
Process of managing
g g country
y risk

Country risk management Country risk rating

Responsible for: Key tool in management of country risk
Managing the Bank's global country risk portfolios
by setting country limits Established by an independent country risk
Coordinating
C di ti and d managingi th
the country
t risk
i k researchh function
f ti within
ithi C
Credit
dit Ri
Risk
kMManagementt
process and include:
Sovereign rating
Country limits are set by: Transfer risk rating
Management
M t Board
B d or CCross Ri
Risk
kRReview
i Event
E t risk
i k rating
ti
Committee
All sovereign and transfer risk ratings are
DB specifically limits and monitors its exposure to reviewed, at least annually, by:
Emerging Markets: Cross Risk Review Committee
Non-Japan Asia, EEMEA and Latin America Sub-committee of Risk ExCo

Exposures are monitored through a framework of Country risk research group reviews:
limits: Quarterly: Ratings for the major Emerging Markets
Total counterparty, transfer risk and event risk countries
scenario limits Continuous review: Ratings for countries that we
view as particularly volatile, as well as all event risk
Country limits are reviewed: ratings
At least annually, in conjunction with the review of
country risk ratings

Deutsche Bank Investor Meetings, 11 May 2010 17

Investor Relations Stuart Lewis, Deputy Chief Risk Officer
Cautionary
y statements

This presentation contains forward-looking statements. Forward-looking statements are statements that are not
historical facts; they include statements about our beliefs and expectations and the assumptions underlying them.
These statements are based on plans, estimates and projections as they are currently available to the
management of Deutsche Bank. Forward-looking statements therefore speak only as of the date they are made,
and we undertake no obligation to update publicly any of them in light of new information or future events.

By their very nature, forward-looking statements involve risks and uncertainties. A number of important factors
could therefore cause actual results to differ materially from those contained in any forward-looking statement.
Such factors include the conditions in the financial markets in Germany, in Europe, in the United States and
elsewhere from which we derive a substantial portion of our revenues and in which we hold a substantial portion of
our assets,
assets the development of asset prices and market volatility,
volatility potential defaults of borrowers or trading
counterparties, the implementation of our strategic initiatives, the reliability of our risk management policies,
procedures and methods, and other risks referenced in our filings with the U.S. Securities and Exchange
Commission. Such factors are described in detail in our SEC Form 20-F of 16 March 2010 under the heading Risk
Factors. Copies of this document are readily available upon request or can be downloaded from www.deutsche-
bank.com/ir.

This presentation mayy also contain non-IFRS financial measures. For a reconciliation to directly y comparable
figures reported under IFRS, to the extent such reconciliation is not provided in this presentation, refer to the
1Q2010 Financial Data Supplement, which is available at www.deutsche-bank.com/ir.

Deutsche Bank Investor Meetings, 11 May 2010 18

Investor Relations Stuart Lewis, Deputy Chief Risk Officer