DB USA Corporation US Liquidity Coverage Ratio Disclosures Q1 2026

The Liquidity Coverage Ratio (LCR) 3

U.S. Disclosure Requirements 3

U.S. Qualitative Disclosures 4

Main drivers of LCR 4

Changes in LCR 4

Composition of eligible HQLA 4

Other Liquidity Sources 5

Concentration of funding sources 5

Derivatives exposures and potential collateral calls 6

Currency mismatch in the LCR 7

Cash Inflows 7

Liquidity Management 7

Liquidity Risk Management Framework 8

Liquidity Stress Testing 8

U.S. Quantitative Disclosure Template 10

The Liquidity Coverage Ratio (LCR)

The 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 stress period. Banks are also required to account for potential maturity mismatches between contractual outflows and inflows during the 30-day stress period.

Deutsche Bank (DB), a German banking group, must comply with the Liquidity Coverage Ratio (LCR) as outlined in "Commission Delegated Regulation (EU) 2015/61," issued on October 10, 2014, which supplements Regulation (EU) No 575/2013, and a corrigendum to "Regulation (EU) No 575/2013," published on November 30, 2013.

The Basel Committee on Banking Supervision (BCBS) initially published international liquidity standards in December 2010 as part of the Basel III framework, subsequently revising these standards in January 2013. Following this, on September 3, 2014, U.S. regulators implemented a final rule establishing a quantitative liquidity requirement largely consistent with the LCR standard set by the BCBS. This U.S. LCR rule applies to top-tier U.S. Bank Holding Companies (BHCs) and their depository institution subsidiaries that meet the specified applicability criteria.

Under the Enhanced Prudential Standards for Foreign Banking Organizations (FBOs), those with non-branch assets of $50 billion or more, including DB, were mandated to establish a U.S. Intermediate Holding Company (IHC) by July 1, 2016. This IHC serves as the top-tier holding company for their non-branch U.S. subsidiaries. Deutsche Bank's U.S. IHC, known as DB USA Corporation (the Firm), became subject to the full LCR requirements starting April 1, 2017.

The Federal Reserve later enacted the Tailoring Rule, which became effective on December 31, 2019. This regulation introduced risk-based categories to define the scope, nature, and applicability of LCR requirements, systematically modifying them based on a banking organization's assigned category. The stringency of these requirements increases with various quantitative measures, including an entity's size, its cross-jurisdictional activity, the volume of its weighted short-term wholesale funding, its nonbank assets, and its off-balance sheet exposures. In line with these guidelines, DB USA Corporation is classified as a Category III bank, primarily because its assets are less than $700 billion and its cross-jurisdictional activity is less than $75 billion. This categorization results in a reduced LCR minimum requirement of 85%, which is implemented by applying a 0.85 weighting factor to the net cash outflow denominator.

U.S. Disclosure Requirements

In December 2016, the Federal Reserve adopted a rule to implement public disclosure requirements (PDR) for the LCR. Under PDR, a BHC with $50 billion or more in consolidated assets or $10 billion or more in foreign exposure is required to disclose publicly, on a quarterly basis, quantitative information about its LCR calculation and a discussion of the factors that have a significant effect on its LCR. Presently, the Firm is the only DB U.S. entity that is subject to these disclosure requirements.

The information presented in this document is calculated in accordance with the U.S. LCR rule and presented in accordance with the LCR PDR, unless otherwise stated. Table 7 (lines 1 through 33) presents the Firm's LCR in the format provided in the LCR PDR. Tables 1 through 6 present a supplemental breakdown of the Firm's LCR components.

1. Excludes excess HQLA held at subsidiaries that are not transferable.

2. The table above shows net cash outflows after the application of the 85% factor under the Tailoring Rule. Total average unadjusted net cash outflows, including the add-on for maturity mismatches was

   $13,236 million for the three months ended December 31, 2025, and $12,790 million for the three months ended March 31, 2026.

3. Excluding the adjustment for the 85% factor under the Tailoring Rule (i.e., at 100% of net outflows), the LCR for DB USA would be 140% for the three months ended December 31, 2025, and similarly 148% for the three months ended March 31, 2026.

   In the table above, HQLA is calculated after applying regulatory haircuts to eligible assets as prescribed by the LCR rule. Similarly, the Firm calculates its outflow and inflow amounts by applying the standardized set of regulatory outflow and inflow rates to various asset and liability balances, including off-balance-sheet commitments, as prescribed in the LCR rule.

   The firm's average daily LCR is largely driven by:

   • HQLA, which consists of cash with the Federal Reserve Bank, and U.S. Treasury securities sourced via reverse repurchase transactions and purchased outright.

   • Net cash outflows primarily related to operational and non-operational deposits and to a lesser degree, secured wholesale funding.

Changes in LCR

As shown above in Table 1, the Firm's average LCR for three months ended March 31, 2026, was 174% which represents an average LCR position well above the required minimum. In comparison to the average LCR of 164% for the quarter ended December 31, 2025, the Firm's LCR increased by 10 percentage point. This change in LCR was driven by a $0.5 billion decrease in average net outflows ($0.4 billion after the application of the 85% factor under the Tailoring Rule), primarily from operational and non-operational deposits, as well as a $0.4 billion increase in average HQLA.

Composition of eligible HQLA

HQLA represents the sum of eligible Level 1 liquid assets, Level 2A liquid assets, and Level 2B liquid assets, eligible for inclusion in the LCR after prescribed haircuts and asset composition

limits. Eligible HQLA must also meet specific operational and general requirements, as prescribed under the LCR rule.

The table below presents the average weighted amount of the Firm's HQLA segmented into its cash and eligible securities components for the three months ended December 31, 2025, and the three months ended March 31, 2026, respectively.

Table 2: High Quality Liquid Assets

1. Comprises deposits with the Federal Reserve Bank.

2. Represents U.S. Treasury Securities and 0% risk-weighted Sovereigns.

3. Represents qualifying Sovereigns and Supranationals with risk-weights greater than 0% and Agencies.

4. Comprises both Reserve Bank Balances and Treasury Securities.

   Other Liquidity Sources

   In addition to the above, for the three months ended March 31, 2026, the Firm, on average, had approximately $9.7 billion of HQLA held at subsidiaries that are not transferable but are available to raise liquidity at the subsidiaries if required.

   Even though the Firm has significant holdings in other LCR asset classes (primarily level 2B), these assets are generally not considered under the control of the Firm's liquidity management function, which is one of the criteria for HQLA inclusion set forth in the LCR rule. Hence, such asset holdings are not currently considered part of the liquidity buffer. These assets can also be sold or lent as collateral for secured funding to generate liquidity.

   Concentration of funding sources

   The Firm has a range of funding sources, including retail and institutional deposits, secured wholesale funding, and funding from DB Group. The Firm's most stable funding sources come from transaction banking clients.

   Below is a summary of the average weighted amount of deposit related cash outflows in accordance with the LCR rule.

   Table 3: Deposits

   Average Weighted Amounts	3 mos. ended	3 mos. ended
   ($ in millions)	Dec. 31, 2025	Mar. 31, 2026
   Cash outflows from: Non-Operational deposits	9,907	9,789
   Operational deposits	2,709	2,405
   Brokered deposit	0	0
   Retail deposit	72	84
   Total deposit cash outflows	12,688	12,278

   The Firm manages liquidity and funding, in accordance with its specific risk appetite approved by the entities' Boards of Directors across a range of relevant metrics and utilizes several tools to monitor these and ensure compliance.

   The following table summarizes the average weighted amount of cash outflows excluding outflows from deposits and derivatives.

   Table 4: Other Outflows

   Average Weighted Amounts	3 mos. ended	3 mos. ended
   ($ in millions)	Dec. 31, 2025	Mar. 31, 2026
   Cash outflows from:
   Secured funding	4,298	4,180
   Off Balance sheet commitments	442	632
   Other	863	745
   Total other cash outflows	5,603	5,558

   Derivatives exposures and potential collateral calls

   A derivative transaction constitutes a financial contract whose value is intrinsically tied to, or "derived from," the values of one or more underlying assets, reference rates, or indices of asset values or reference rates. This category encompasses a broad range of contracts, including interest rate derivatives, exchange rate derivatives, commodity derivatives, credit derivatives, and forward contracts, alongside any other financial instrument that presents analogous counterparty credit risks.

   The Firm utilizes derivative transactions for two main strategic objectives: market making and the proactive management of its proprietary risk exposures. These derivative instruments are entered into with both independent third parties and affiliated entities within the DB group that fall outside the IHC consolidated group's scope. The Firm is subject to potential requirements for posting initial or variation margin in relation to these derivative exposures. Moreover, a reduction in DB's external credit ratings may necessitate additional collateral calls.

   The following table summarizes the average weighted amount of derivatives related net cash outflows for the three months ended December 31, 2025, and the three months ended March 31, 2026, respectively.

   Table 5: Derivatives

   Average Weighted Amounts	3 mos. ended	3 mos. ended
   ($ in millions)	Dec. 31, 2025	Mar. 31, 2026
   Outflows from derivative exposures and other collateral requirements	318	487
   Less: Inflows from derivatives	50	61
   Net derivatives cash outflows	268	426

   Currency mismatch in the LCR

   In the U.S., HQLA and net outflows are primarily in U.S. dollars, however a nominal portion of cash flows (less than 2% of cash flows overall) relate to currencies other than U.S. dollars. These non-U.S. dollar-based cash flows give rise to currency mismatches. Such exposures are closely monitored, and hedging strategies are adopted to minimize the potential impact of such exposures.

   Cash Inflows

   Allowable inflow amounts are capped at 75% of aggregate cash outflows to ensure that banks hold a minimum HQLA amount equal to 25% of total cash outflows for availability during stress periods. However, there are certain exceptions which include:

   • Certain foreign currency exchange derivative cash flows are to be treated on a net basis and have therefore effectively been removed from the gross inflow cap calculation, and

   • The inflow cap does not apply to the calculation of the maturity mismatch add-on.

The total cash inflows averaged $5.5 billion for the three months ended March 31, 2026, excluding derivative inflows included in Table 5, which is the lesser of the cumulative cash inflows and 75% cap of the cumulative cash outflows. Given that inflows are well below 75% of cumulative cash outflows, the inflow cap is not currently binding for the Firm.

The following table summarizes cash inflows excluding retail lending and derivatives.

Table 6: Cash Inflows

(1) Total cash inflows does not include the $50mn of inflows for the three months ended December 31, 2025, and the $61mn of inflows for the three months ended March 31, 2026, from derivatives included in Table 5 above.

Liquidity Management

Liquidity risk is the risk arising from the potential inability to meet all payment obligations when they come due. The Americas Liquidity Management (LM) function of the Firm is responsible for

ensuring that the Firm can fulfill its payment obligations and can manage liquidity and funding risks within its risk appetite. The framework considers relevant drivers of liquidity risk, whether on-balance sheet or off-balance sheet.

To meet the stated objectives, the Firm executes upon its liquidity risk management framework. The framework is composed of six work streams - risk appetite & supporting metrics, risk identification, risk measurement, risk reporting & monitoring, risk management, and governance and oversight. These six work streams of the liquidity management framework provide LM the processes, tools, and oversight to effectively manage the liquidity position of the Firm to meet its day-to-day payment obligations.

Treasury manages its funding and liquidity risk through the implementation of risk appetite limits, legal entity thresholds and early warning indicators. In addition, Treasury works closely with Liquidity Risk Management (LRM), and the business, to identify the relevant inherent liquidity risks and looks to ensure that they are measured and managed through the liquidity risk management framework. These parties are continuously engaged in understanding changes in the Firm's position arising from business activities and market conditions.

Liquidity Risk Management Framework

LRM is an independent oversight function operating as part of the second line of defense within the context of liquidity risk and is responsible for overseeing and evaluating the effectiveness of the liquidity management activities performed by Treasury and the lines of business. LRM directly supports the Americas Chief Risk Officer in overseeing the liquidity risk management framework for the Americas region.

Treasury is responsible for proactive management of liquidity risks within the Firm. At least annually, LRM reviews and evaluates the adequacy and effectiveness of DB's liquidity risk management practices.

As part of ongoing monitoring of liquidity risk, LRM reviews liquidity metrics such as the Internal Liquidity Stress Test results, LCR, Net Stable Funding Ratio (NSFR), and HQLA and overall liquidity buffer levels, and provides commentary to Enterprise Risk Management (ERM), as part of the Weekly Risk Report that is sent to members of the DB USA Risk Committee.

Liquidity Stress Testing

Within the risk measurement work stream of the liquidity management framework, liquidity stress testing is a core tool for measuring liquidity risk and evaluating the Firm's liquidity position. The Firm uses both regulatory, (e.g., LCR) and internal liquidity stress tests. The Firm uses stress testing as an integral part of the liquidity risk framework to quantify the Firm's liquidity position over a time horizon up to one (1) year, measure and analyze expected cash inflows and outflows in stress, determine whether the current and future stressed net liquidity position is in line with the relevant risk appetite, set the liquidity buffer requirements and efficiently manage the liquidity position of the Firm.

The Internal Liquidity Stress Test measures the net liquidity position of the Firm under different scenarios by applying validated liquidity risk assumptions to the Firm's assets, liabilities, and off-balance sheet items, which are identified to have liquidity risk. The Internal Liquidity Stress Test is run daily and is produced for a 12-month forward looking time horizon, with risk-appetite limit

setting inside of three months for the idiosyncratic and combined stress scenarios and inside 12 months for the market-wide stress scenario.

U.S. Quantitative Disclosure Template

The following table presents the Firm's average LCR, and average unweighted and weighted amount of HQLA, cash outflows and cash inflows, for the quarter ended March 31, 2026.

Table 7: Liquidity Coverage Ratio

HIGH-QUALITY LIQUID ASSETS (1)

1. HQLA figures have been adjusted for the trapped HQLA at the U.S. subsidaries

2. The total cash outflow amount does not match the calculation using component amounts due to the application of 85% as prescribed by the Tailoring Rule

3. Numbers may not add due to rounding