https://db.com/disclosures website: AG’s Deutsche on found be can details Further

(‘FCA’) as the local “host state” regulators. regulators. state” “host local the as (‘FCA’) Authority Conduct Financial and (‘PRA’)

Great Winchester Street, London EC2N 2DB. It is subject to limited regulation in the United Kingdom by the Prudential Regulat Prudential the by Kingdom United the in regulation limited to subject is It 2DB. EC2N London Street, Winchester Great 1 House, Winchester Authority Authority ion

Deutsche Bank AG, London Branch is a branch of AG with Branch Registration in England and Wales BR000005 and re and BR000005 Wales and England in Registration Branch with AG Bank Deutsche of branch a is Branch London AG, Bank Deutsche tered address at at address tered gis

bank.

Central Central European the by supervision comprehensive to subject is Bank (‘ECB’), by the BaFin and by the Deutsche Bundesbank (Bundesbank), Germany’s central central Germany’s (Bundesbank), Bundesbank Deutsche the by and BaFin the by (‘ECB’), Bank

Authority (BaFin) to carry on banking business and to provide financial services as set forth in the German Banking Act (“Kre Act Banking German the in forth set as services financial provide to and business banking on carry to (BaFin) Authority wesengesetz”). Deutsche Bank AG AG Bank Deutsche wesengesetz”). dit

Frankfurt am Main. It is registered with the district court in Frankfurt am Main under No HRB 30 000 and licensed by the Germ the by licensed and 000 30 HRB No under Main am Frankfurt in court district the with registered is It Main. am Frankfurt Federal Financial Supervisory Supervisory Financial Federal an

at at office principal with Germany of Republic Federal the of laws the under incorporated corporation stock a is AG Bank Deutsche Taunusanlage 12, 60325 60325 12, Taunusanlage

April, 2020 April,

and Benchmark Reform Benchmark and

reparing reparing P IBOR Transition Transition IBOR for How Deutsche Bank is is Bank Deutsche How

81nidZpGqzkSDMpD

Investment Bank Investment & Bank Corporate Bank Deutsche 2

This document will be issued periodically and each version supersedes all previous information. previous all supersedes version each and periodically issued be will document This

questions asked Frequently

Deutsche Bank support Bank Deutsche

What this may mean for you for mean may this What

Key market events market Key

Summarising the changes the Summarising

Key factors of each IBOR and risk and IBOR each of factors Key free reference free -

what you need to know to need you what – facts The

Deutsche Bank is looking to engage with you with engage to looking is Bank Deutsche How

Transition Transition IBOR from Dixit Joshi Dixit from message a – Contents

81nidZpGqzkSDMpD

Investment Bank Investment & Bank Corporate Bank Deutsche 3

.” rates reference alternative of system global a to transition

industry associations, and other institutions across the globe are working together on a historic historic a on together working are globe the across institutions other and banks associations, industry

Commissions (IOSCO) issued a set of guiding principles to this end. Today, regulatory authorities, authorities, regulatory Today, end. this to principles guiding of set a issued (IOSCO) Commissions

for setting interest rates across the financial industry. The International Organisation of Securities Securities of Organisation International The industry. financial the across rates interest setting for

the reliance on interbank offered rates and the adoption of safer and more transparent benchmarks benchmarks transparent more and safer of adoption the and rates offered interbank on reliance the

benchmark rates in the financial industry. Later that year, the FSB recommended a move away from from away move a recommended FSB the year, that Later industry. financial the in rates benchmark

to review the use of of use the review to (FSB) Board Stability Financial the asked governments G20 the 2013, In

is now changing. now is That

including bonds, loans, mortgages and derivative contracts whose value runs into trillions of . of trillions into runs value whose contracts derivative and mortgages loans, bonds, including

are embedded in a vast range of financial instruments instruments financial of range vast a in embedded are (), rate Offered Interbank London

a fundamental benchmark for interest rates. Today, these benchmark interest rates, such as the the as such rates, interest benchmark these Today, rates. interest for benchmark fundamental a

decades, financial markets around the world have relied on interbank offered rates, or ‘IBORs’, as as ‘IBORs’, or rates, offered interbank on relied have world the around markets financial decades, “For

watershed moment in global financial markets financial global in moment watershed A

Risk Rate Transition Rate Free -

Member Member Conduct Authority Senior Advisory Group for Sterling Sterling for Group Advisory Senior Authority Conduct Financial / England of Bank the of

Member of the International Swaps & Derivatives (ISDA) Board (ISDA) Derivatives & Swaps International the of Member

Deutsche Bank Group Group Bank Deutsche Treasurer

IBOR IBOR – Transition a message message a from Dixit Dixit from Joshi

81nidZpGqzkSDMpD

Investment Bank Investment & Bank Corporate Bank Deutsche 4

transition to new reference rates. reference new to transition respect of an orderly transition. transition. orderly an of respect

as we we as thrive to continues partnership benchmark reform. benchmark for prepare you in documentation legal to changes

our our ensure to you with dialogue representative as as representative Bank Deutsche your required support to and clients,

developing our our developing to forward look any conversations that you have with with have you that conversations any our you, to services and products

We greatly value your business and and business your value greatly We This guide is intended to supplement supplement to intended is guide This provide to continue to is priority Our

support our clients through all aspects of this transition. transition. this of aspects all through clients our support

task. task. the to resources significant committed have We together. change this navigate The Group’s priority is to engage with and and with engage to is priority Group’s The

global bank, Deutsche Bank is committed to serving our clients and to playing our role in the wider financial system as we we as system financial wider the in role our playing to and clients our serving to committed is Bank Deutsche bank, global large a As

be required to ensure a smooth transition and to safeguard the the safeguard to and transition smooth a ensure to required be of all parties at this time of change. change. of time this at parties all of interests

bring important benefits for all participants in financial markets. However, significant work will will work significant However, markets. financial in participants all for benefits important bring will rates free - risk new to transition This Supporting you through the transition the through you Supporting

81nidZpGqzkSDMpD

Investment Bank Investment & Bank Corporate Bank Deutsche 5

and your strategy to transition from IBOR to a new RFR. new a to IBOR from transition to strategy your and

place such as appropriate fallback language language fallback appropriate as such place in plans contingency suitable have you whether consider also should you transactions,

the consequences if such a benchmark is changed or or changed is benchmark a such if consequences the of understanding an and benchmark particular discontinued; and for existing existing for and discontinued;

risks and benefits of of benefits and risks the considered: be should following the rates benchmark referencing transactions new into entering When using a a using

What you will need to consider to need will you What

EU BMR impacts any client of an EU supervised entity no matter where they are located globally. globally. located are they where matter no entity supervised EU an of client any impacts BMR EU

happens happens what and changes materially or available be to ceases benchmark original the that event . . agreed be cannot alternative an if

is to define the steps that will be taken to identify and agree an alternative benchmark in the the in benchmark alternative an agree and identify to taken be will that steps the define to is fallback a of purpose The agreements.

performance of investment funds in the EU. It also requires that more robust fallback language exists in all relevant contrac relevant all in exists language fallback robust more that requires also It EU. the in funds investment of performance and and ts

contracts, contracts, financial in used benchmarks of integrity the ensuring at aimed is used to measure measure to used where and instruments financial

Benchmarks Regulation (EU BMR) came into full force on 1 January 2018, calling for a common framework across the industry. It industry. the across framework common a for calling 2018, January 1 on force full into came BMR) (EU Regulation Benchmarks EU

What is Benchmark Reform? Benchmark is What

. . EURIBOR and LIBOR

the use of robust, transaction robust, of use the based reference or Risk or reference based - Free Rates (RFRs) as alternatives to Interbank Offered Rates (IBORs), suc (IBORs), Rates Offered Interbank to alternatives as (RFRs) Rates Free - h as as h

have convened committees and industry working groups to bring together private together bring to groups working industry and committees convened have sector market participants to identify and promot and identify to participants market sector - e e

have been developing and identifying alternative reference rates to strengthen existing benchmarks. Across the globe, central globe, the Across benchmarks. existing strengthen to rates reference alternative identifying and developing been have nks nks ba

Due to widespread concerns about the sustainability of LIBOR and similar rates, regulators and the wider financial services i services financial wider the and regulators rates, similar and LIBOR of sustainability the about concerns widespread to Due stry stry ndu

What is IBOR Transition? Transition? IBOR is What

The facts facts The what you need to know to need you what –

81nidZpGqzkSDMpD

Investment Bank Investment & Bank Corporate Bank Deutsche 6

Source: Deutsche Bank and gfma gfma and Bank Deutsche Source: as at 2 April 2019 April 2 at as www.gfma.org

. . impacted be also may rates Additional rates. key the represents table above The Note:

Administration (IBA) Administration

JPY LIBOR JPY Yes

ICE Benchmark Benchmark ICE Japan

Markets

TIBOR Unsecured Yes Japan of Bank TONA July 1985 July

Money Money

Administration

EUROYEN EUROYEN

Yes

JBA TIBOR TIBOR JBA

JBA TIBOR JBA

Switzerland

Exchange

rate overnight) rate

2009 Transactions Swiss SIX and Administration (IBA) Administration

Secured Yes Yes (Swiss average average (Swiss LIBOR CHF

August August 25 Repo (SNB) ICE Benchmark Benchmark ICE

SARON

Swiss National Bank National Swiss

US

of New York (FRBNY) York New of rate) financing

Administration (IBA) Administration 2018 Transactions

USD LIBOR USD Secured Yes Yes Bank Reserve overnight (secured

ICE Benchmark Benchmark ICE 3 April April 3 Repo

Federal Federal SOFR

UK Average)

2018 Markets index overnight (IBA) Administration

Unsecured Yes Yes England of Bank LIBOR GBP

23 April April 23 Money sterling (reformed Benchmark ICE

SONIA

(EMMI)

EURIBOR

EURIBOR Markets Institute Institute Markets Partly

EU

Reformed Reformed

STR) € ( (EMMI)

European Money Money European

Markets STR) € (

Markets Institute Institute Markets 2019 2019 Unsecured

Money Money Yes

term rate) rate) term

European Money European October October

Bank (ECB) Bank

EONIA Yes - short (

European Central Central European

STR €

Transactions Unsecured rate? based? Administrator RFR Published

Administrator IR Benchmark Jurisdiction

Underlying Underlying Secured/ Overnight Transaction RFR Alternative Alternative Rates Rates

Current Benchmarks Current Free Rates Free - Risk Alternative

- risk and IBOR each of factors Key free reference rate reference free

81nidZpGqzkSDMpD

Investment Bank Investment & Bank Corporate Bank Deutsche 7

on updating the fallback provisions in master agreements and contracts. and agreements master in provisions fallback the updating on is focus initial The 2020. throughout

– reaching out to our clients in a phased approach from Q4 2019, and this will continue continue will this and 2019, Q4 from approach phased a in clients our to out reaching began we upgrades, documentation legal For

timings?

LIBOR submissions from the end of 2021, adding that from that point on, ‘the survival of LIBOR could not and would not be gua be not would and not could LIBOR of survival ‘the on, point that from that adding 2021, of end the from submissions LIBOR teed.’ ran

the the

–

Andrew Bailey, Chairman of the UK Financial Conduct Authority (FCA), has announced that the FCA would no longer compel banks banks compel longer no would FCA the that announced has (FCA), Authority Conduct Financial UK the of Chairman Bailey, Andrew make make to

When are are When

end of 2021. 2021. of end

– ion transit the complete substantially to aim their signalled have world the around jurisdictions major in authorities Regulatory process by the the by process

the circumstances in which they need to be used. be to need they which in circumstances the

ely adequat not do terms fallback that risk a is There published. not is benchmark similar a or EURIBOR, LIBOR, if selected cater for for cater

– e r e substitut or successor a how identify which provisions, fallback contain typically products financial of conditions and Terms ate will be be will ate

and how? and

economics and viability of the product. the of viability and economics

affected affected

– If a financial product references an affected benchmark then any changes to the benchmark including its discontinuation, may may discontinuation, its including benchmark the to changes any then benchmark affected an references product financial a If ect the the ect aff

Who will be be will Who

– tly differen perform may it then regulation, with comply to order in changed is methodology benchmark’s a if that risk a is There .

IBORs as a reference rate. reference a as IBORs

– rvi se financial of variety huge a use who institutions and companies individuals, affect will RFRs alternative to transition The ces which rely on on rely which ces

transition and the repapering of existing contracts. existing of repapering the and transition

– There are key dependencies such as: (1) development of the new RFRs and creation of term versions; and (2) the timing and seq and timing the (2) and versions; term of creation and RFRs new the of development (1) as: such dependencies key are There cing of of cing uen

change? judgement’ rather than actual transactions. actual than rather judgement’

– Why the the Why Transaction volumes in unsecured interbank markets are very low, so banks are making IBOR submissions based partly on ‘expert on partly based submissions IBOR making are banks so low, very are markets interbank unsecured in volumes Transaction

underlying markets on which IBORs are based relative to the huge volume of transactions which rely on them. them. on rely which transactions of volume huge the to relative based are IBORs which on markets underlying

– The drive for reform reflects several concerns around reliance on IBOR. One is potential systemic risk. This arises from the the from arises This risk. systemic potential is One IBOR. on reliance around concerns several reflects reform for drive The inking of of inking shr

– Deutsche Bank will work with you to bilaterally agree the required changes to legal documentation and to transition contracts transition to and documentation legal to changes required the agree bilaterally to you with work will Bank Deutsche RFRs. to

– t. t. judgemen expert than rather transactions actual on and markets underlying liquid highly robust, on based are RFRs Alternative

changing? central bank and industry groups since their inception. their since groups industry and bank central

What is is What – Deutsche Bank is a committed supporter of alternative reference rate initiatives for benchmark reform, serving as a member of member a as serving reform, benchmark for initiatives rate reference alternative of supporter committed a is Bank Deutsche levant levant re

RFRs.

– on on transiti to and IBORs on dependence system’s financial the reduce to initiatives driving now are world the around Authorities to alternative alternative to Summarising the changes the Summarising

81nidZpGqzkSDMpD

Investment Bank Investment & Bank Corporate Bank Deutsche 8

encourage SOFR liquidity liquidity SOFR encourage

this is expected to to expected is this STR market liquidity market STR €

– expected to encourage encourage to expected switch on October 17 October on switch

contracts th

value transfer. This is is This transfer. value announced intention to to intention announced registered

but not referenced in actual actual in referenced not but

will be used to account for for account to used be will Funds. CME and LCH have have LCH and CME Funds. they are compliant and and compliant are they

calculated and published published and calculated

compensation mechanism mechanism compensation discounted using Fed Fed using discounted no longer be used unless unless used be longer no

This prototype rate will be be will rate prototype This

; LCH). A A LCH). ; Eurex ( CCPs by can benchmarks critical Non for cleared swaps swaps cleared for published be to expected

to be published. published. be to expected

discounting and PAI switch PAI and discounting Rate Term switch rate live. - go requirements usage

rate rate

EU Benchmarks Regulation Regulation Benchmarks EU SOFR SOFR – Funds Fed SONIA Live Provisional discounting STR € - EONIA JPY TONA indicative Term Term indicative TONA JPY

January June October (est.) July Q1 (est.) Q1 - End

March Q3 - End (est.) Q3 .) (est June Q2 - End

issues institutions to adopt to institutions LIBOR 2021

with IBOR discontinuation IBOR with

including hedge accounting accounting hedge including swaps, in place of GBP GBP of place in swaps, mature beyond the end of of end the beyond mature infrastructure updates and and updates infrastructure

spread adjustments to deal deal to adjustments spread

from replacement of IBOR, IBOR, of replacement from for use in rate interest in use for for all cash products that that products cash all for System vendors to release release to vendors System

rates, triggers and and triggers rates, fallback

accounting issues arising arising issues accounting be the default convention default the be LIBOR issuance to cease to issuance LIBOR Treasury Management Management Treasury

Prescribes derivatives derivatives Prescribes

released. This will deal with with deal will This released. BoE recommends SONIA to to SONIA recommends BoE BoE recommends GBP GBP recommends BoE Dependency on loan and and loan on Dependency

protocol published. published. protocol

phase expected to be be to expected phase 2 syndicated loans. syndicated

nd

updated and accompanying accompanying and updated

update be ready to support SONIA SONIA support to ready be

ISDA 2006 Definitions 2006 ISDA

IASB IFRS standards standards IFRS IASB BoE target for end users to to users end for target BoE Key 2020 Events 2020 Key

81nidZpGqzkSDMpD

Investment Bank Investment & Bank Corporate Bank Deutsche 9

agreements obtain answers to your queries your to answers obtain

ISDA ISDA - non and protocols experts (SMEs) to to (SMEs) experts matter

Benchmarks Regulation, ISDA ISDA Regulation, Benchmarks connect with our subject subject our with connect

alternative reference rates, EU EU rates, reference alternative team team outreach client The

sections including including sections specific

in in pages following the on found

can be be can questions asked Frequently

www.db.com/ibortransition

see our website at at website our see

For more information please please information more For

products and services and products

relation to Deutsche Bank Bank Deutsche to relation

[email protected] benchmark reform queries in in queries reform benchmark

be contacted on on contacted be can who team you with any any with you help to available

client outreach outreach client dedicated representative will also be be also will representative

Bank has a a has Bank Deutsche Your Deutsche Bank Bank Deutsche Your

Deutsche Bank is committed to supporting our clients through IBOR transition IBOR through clients our supporting to committed is Bank Deutsche Deutsche Bank support Bank Deutsche

81nidZpGqzkSDMpD

Investment Bank Investment & Bank Corporate Bank Deutsche 10

? agreed be cannot alternative an if happens what and changes materially or available .

agree an alternative benchmark in the event that the original benchmark ceases to be be to ceases benchmark original the that event the in benchmark alternative an agree

purpose of fallbacks is to define the steps that will be taken to identify and and identify to taken be will that steps the define to is fallbacks of purpose The agreements.

robust fallback language exists in all relevant contracts and and contracts relevant all in exists language fallback robust more that requires also It

funds in the EU. the in funds

financial contracts, financial instruments, or used to measure performance of investment investment of performance measure to used or instruments, financial contracts, financial

is aimed at ensuring the integrity of benchmarks used in in used benchmarks of integrity the ensuring at aimed is It ). (EEA Area Economic European

governing administration, contribution and and contribution administration, governing framework usage of benchmarks within the the within benchmarks of usage

a common common a introduces 2018, January 1 on force full into came which BMR, EU The

What is European Benchmarks Regulation (EU BMR)? (EU Regulation Benchmarks European is What

where neither term nor bank credit properties are required. are properties credit bank nor term neither where

in transactions as far as possible; and (2) developing alternative near risk free rates for use use for rates free risk near alternative developing (2) and possible; as far as transactions in

equivalents) to ensure they are as reflective of underlying market conditions and anchored anchored and conditions market underlying of reflective as are they ensure to equivalents)

LIBOR (and (and LIBOR reforming (1) pillars: two of composed were which recommendations,

reforming major interest rate benchmarks. In 2014 the FSB published its its published FSB the 2014 In benchmarks. rate interest major reforming

The G20 asked the Financial Stability Board (FSB) in 2013 to review and recommend recommend and review to 2013 in (FSB) Board Stability Financial the asked G20 The

Why are benchmarks being reformed? being benchmarks are Why

General (1/4) General Frequently asked questions questions asked Frequently

81nidZpGqzkSDMpD

Investment Bank Investment & Bank Corporate Bank Deutsche 11

?

free rates. free - risk alternative the with benchmarks

bodies and trade associations are working together to replace replace to together working are associations trade and bodies interest rate rate interest interbank thee

, banks, industry industry banks, , Regulators submissions. than rather data transaction on based are which

Global regulators, working groups and committee have selected alternative reference rates rates reference alternative selected have committee and groups working regulators, Global

2021. 2021. beyond LIBOR submit to banks panel

the the compel longer no would FCA the that stated and discontinuation LIBOR permanent

by the Chief Executive of the FCA Andrew Bailey Bailey Andrew FCA the of Executive Chief the by speech 2017 a In the risks of of risks the highlighted

(IBA), and regulated by the Financial Conduct Authority (FCA Authority Conduct Financial the by regulated and (IBA), Administration Benchmark ICE ). ).

from overnight to to overnight from ranging maturities seven and currencies are administered by by administered are and months 12

estimates submitted by by submitted estimates rates are calculated for five five for calculated are rates LIBOR London. in banks of panel a

(LIBOR) is is (LIBOR) Rate Offered bank - Inter London The average calculated from from calculated average rate interest an

What is the situation with LIBOR? with situation the is What

General General (2/4) Frequently asked questions questions asked Frequently

81nidZpGqzkSDMpD

Investment Bank Investment & Bank Corporate Bank Deutsche 12

before EONIA is discontinued at the end of 2021. of end the at discontinued is EONIA before

€ with them replace and EONIA, to references remove to order in amended be to need STR, STR,

EONIA as the EUR cash collateral remuneration rate, then the terms of this agreement will will agreement this of terms the then rate, remuneration collateral cash EUR the as EONIA

If you have a CSA (Credit Support Annex) in place with Deutsche Bank that references references that Bank Deutsche with place in Annex) Support (Credit CSA a have you If

. 2019 October in publication commenced and ECB

? the by administered is rate The EONIA. for replacement and rate free - risk euro alternative

In 2018 the euro working group recommended the euro short euro the recommended group working euro the 2018 In STR) as the the as STR) € ( rate term -

from 1 January 2020 as it is classed as a critical benchmark). critical a as classed is it as 2020 January 1 from

underlying methodology, its use will not be permitted beyond the end of 2021 (extended (extended 2021 of end the beyond permitted be not will use its methodology, underlying

with EU BMR and with no plans to change the the change to plans no with and BMR EU with compliant - non deemed been has it construct,

of overnight rates for unsecured interbank lending in the euro the in lending interbank unsecured for rates overnight of zone. Under its current current its Under zone. -

rate is EONIA which is the daily weighted average average weighted daily the is which EONIA is rate reference free - risk current The

is the situation with EONIA? with situation the is What

the hybrid methodology will be implemented by the end of 2019. of end the by implemented be will methodology hybrid the

compliant with the EU EU the with compliant deemed is methodology EURIBOR BMR and EMMI has stated that that stated has EMMI and BMR

benchmark in order to anchor it to transactions instead of quotes. The reformed hybrid hybrid reformed The quotes. of instead transactions to it anchor to order in benchmark

Over the past few years EMMI has been developing a plan to gradually reform the existing existing the reform gradually to plan a developing been has EMMI years few past the Over

to lend unsecured funds to other banks in the the in banks other to funds unsecured lend to interbank market. market. interbank

on the averaged interest rates at which Eurozone banks offer offer banks Eurozone which at rates interest averaged the on based is and ) (EMMI Institute

submissions from a panel of banks. It is administered administered is It banks. of panel a from submissions the the by Money Markets Markets Money European

is is (EURIBOR) Rate Offered Interbank Euro The a daily reference rate derived from quote quote from derived rate reference daily a

EURIBOR? with situation the is What

General General (3/4) Frequently asked questions questions asked Frequently

81nidZpGqzkSDMpD

Investment Bank Investment & Bank Corporate Bank Deutsche 13

period. the of end the at known

this would would this however calculation) term the for methodology mean that payments would only be be only would payments that mean

be derived by compounding the over the term (indeed this is ISDAs fallback fallback ISDAs is this (indeed term the over rate overnight the compounding by derived be

forward looking distinction is important, as backward backward as important, is distinction looking forward The rates. such RFR rates can can rates RFR term looking

? loans/mortgages retail and FRNs securitizations, , markets lending demand for for demand a have to likely are

working group consultation on term rates notes that corporate corporate that notes rates term on consultation group working sterling The necessary. where

The FSB have indicated that the use of term rates should be limited for use in products only only products in use for limited be should rates term of use the that indicated have FSB The

credit spread. credit embedded

however, is a forward looking term rate, with an an with rate, term looking forward a is however, LIBOR methodology. calculation overnight

are based on a backward looking looking backward a on based are chosen been have that rates free risk alternative The

Will term rates be developed? developed? be rates term Will

are representing. representing. are

administrator has chosen secured or unsecured rates which are suitable for the market they they market the for suitable are which rates unsecured or secured chosen has administrator

. markets money underlying of features structural and liquidity the of basis the on Each Each

between unsecured and secured overnight RFRs have to a large extent been made made been extent large a to have RFRs overnight secured and unsecured between Choices

secured and others unsecured? others and secured RFRs some are Why

therefore generally represent a higher risk. risk. higher a represent generally therefore

are collateralized by an asset. Unsecured transactions transactions Unsecured asset. an by collateralized are not secured by a specific asset and and asset specific a by secured not are

free rates are based on underlying financial financial underlying on based are rates free - risk Secured the securities securities the where transactions

What is the difference between secured and unsecured? and secured between difference the is What

General General (4/4) Frequently asked questions questions asked Frequently

81nidZpGqzkSDMpD

Investment Bank Investment & Bank Corporate Bank Deutsche 14

What is an an is What – ? ? protocol ISDA

ISDA Benchmarks Supplement Supplement Benchmarks ISDA – Step instructions Step - by - Step Adhere: to How

? FAQs Protocol & Protocol Supplement Benchmarks ISDA –

Supplement Benchmarks ISDA – ISDA Benchmarks Supplement FAQs Supplement Benchmarks ISDA &

Where can I find further information relating to this protocol? this to relating information further find I can Where

the legislation to achieve this objective has not been finalised and is still subject to discussion. to subject still is and finalised been not has objective this achieve to legislation the

amended for the purposes of updating fallback language or changing the reference rate in a contract from an IBOR to an RFR, b RFR, an to IBOR an from contract a in rate reference the changing or language fallback updating of purposes the for amended ut ut

provide regulatory relief to ensure that mandatory clearing and margining requirements will not apply in respect of trades th trades of respect in apply not will requirements margining and clearing mandatory that ensure to relief regulatory provide are are at

. European regulators have indicated that they do intend to to intend do they that indicated have regulators European . also transactions legacy of respect in adhere to whether reconsider

We are waiting for regulators to provide clarity on that issue, which would then enable us to to us enable then would which issue, that on clarity provide to regulators for waiting are We requirements. margining and clearing

stage we are not able to adhere in respect of legacy trades due to the lack of clarity about whether to do so would trigger m trigger would so do to whether about clarity of lack the to due trades legacy of respect in adhere to able not are we stage atory atory and

Deutsche Bank has adhered to the ISDA Benchmark Supplements protocol and will be electing electing be will and protocol Supplements Benchmark ISDA the to adhered has Bank Deutsche At this this At only. transactions new for

is Deutsche Bank’s approach? Bank’s Deutsche is What

. col Proto Fallbacks IBOR ISDA the on information more for page following the see Please situations. different somewhat cover they

ugh altho overlap, they that extent the to Protocol and Supplement Benchmarks ISDA the over precedence take will which year, this

included in all contracts referencing benchmarks referencing contracts all in included . The market is anticipating publication of the ISDA IBOR Fallbacks Protocol later later Protocol Fallbacks IBOR ISDA the of publication anticipating is market The .

EU BMR, in particular particular in BMR, EU the of context the in written was Supplement ( which requires robust fallback language to be be to language fallback robust requires which , ) ) 28(2 Article

include certain triggers and generic fallbacks in transactions (OTC derivatives) which reference benchmarks. benchmarks. reference which derivatives) (OTC transactions in fallbacks generic and triggers certain include to agreements The The

ISDA master master ISDA update to parties enable Protocol Supplement Benchmarks associated and Supplement Benchmarks ISDA The

What is the ISDA Benchmarks Supplement? Benchmarks ISDA the is What

ISDA Benchmarks Supplement and Protocol and Supplement Benchmarks ISDA Frequently asked questions questions asked Frequently

81nidZpGqzkSDMpD

Investment Bank Investment & Bank Corporate Bank Deutsche 15

? ? protocol ISDA an is What –

? protocols? to relating information further find I can Where

following its publication. its following

adhere to it or the date falling three months after it is published, should both parties adhere during the initial three initial the during adhere parties both should published, is it after months three falling date the or it to adhere eriod eriod p month -

Protocol. The Fallbacks Protocol will apply to all legacy trades between adhering parties from the later of the date on which on date the of later the from parties adhering between trades legacy all to apply will Protocol Fallbacks The Protocol. th parties parties th bo

Deutsche Bank presently intends to adhere to the ISDA IBOR Fallbacks Protocol in addition to the ISDA Benchmarks Supplement Supplement Benchmarks ISDA the to addition in Protocol Fallbacks IBOR ISDA the to adhere to intends presently Bank Deutsche

is the Deutsche Bank’s approach? Bank’s Deutsche the is What

ued. ued. tin discon is IBOR applicable an that event the in rates interest alternative to switch to counterparties adhering between trades

ble ena to specifically drafted is Protocol Fallbacks IBOR The IBORs. to addition in benchmark of categories many to broadly more

as Deutsche Bank is subject to the EU BMR, we are seeking our counterparties to adhere as well as ourselves. The EU BMR appli BMR EU The ourselves. as well as adhere to counterparties our seeking are we BMR, EU the to subject is Bank Deutsche as es es

lth a BMR EU the to subject themselves not are that institutions to relevance direct of be not may therefore It BMR. EU the under ough, ough,

Benchmarks Supplement is drafted specifically with the aim of enabling adhering institutions to comply with their obligations their with comply to institutions adhering enabling of aim the with specifically drafted is Supplement Benchmarks ISDA The

Protocol?

the difference between the ISDA Benchmarks Supplement and the ISDA IBOR Fallbacks Fallbacks IBOR ISDA the and Supplement Benchmarks ISDA the between difference the is What

effect three or four months later. months four or three effect

me me co to and 2020 of quarter second the in published be to expected is which Protocol, Fallbacks IBOR the of text the finalising into into

Benchmarks Supplement), the IBOR Fallbacks Protocol sets out a replacement ‘waterfall’ of rates that will apply. ISDA is pres is ISDA apply. will that rates of ‘waterfall’ replacement a out sets Protocol Fallbacks IBOR the Supplement), Benchmarks ly ly ent

than specifying an approach to be taken to resolving trades that are affected by the cessation of an IBOR (as is the case wit case the is (as IBOR an of cessation the by affected are that trades resolving to taken be to approach an specifying than he ISDA ISDA he t h

interest rates for specified IBORs that will apply automatically to affected contracts upon the cessation of the relevant IBO relevant the of cessation the upon contracts affected to automatically apply will that IBORs specified for rates interest Rather Rather R.

trades done under ISDA master agreements to to agreements master ISDA under done trades update to parties enable will Protocol Fallbacks IBOR ISDA The replacement replacement include

ISDA IBOR Fallbacks Protocol? Fallbacks IBOR ISDA the is What

ISDA IBOR Fallbacks Protocol Fallbacks IBOR ISDA Frequently asked questions questions asked Frequently

81nidZpGqzkSDMpD

Investment Bank Investment & Bank Corporate Bank Deutsche 16

?

if they would like to discuss their contracts. their discuss to like would they if [email protected]

the agreements and contracts. Clients may also contact Deutsche Bank at at Bank Deutsche contact also may Clients contracts. and agreements the

Deutsche Bank will outreach to its clients in due to course to begin the process of updating updating of process the begin to course to due in clients its to outreach will Bank Deutsche

included within the Master Agreement are to be found within the confirmation confirmation the within found be to are Agreement Master the within included itself.

confirmations and the terms that would otherwise be be otherwise would that terms the and confirmations form long as known are these

addition, there are derivative contracts entered into outside of a Master Agreement Agreement Master a of outside into entered contracts derivative are there addition, In –

bespoke. bespoke.

however the mechanism to do this is more more is this do to mechanism the however agreements, master ISDA to similar language

ISDA agreements and contracts also need need also contracts and agreements ISDA - Non to be updated with more robust fallback fallback robust more with updated be to

drafted fallbacks to incorporate into new issuance documentation. documentation. issuance new into incorporate to fallbacks drafted

. Deutsche Bank Bank Deutsche . UCITs and Issuance Bank Deutsche Issuance and UCITs have newly newly have UCITs and Issuance

Deutsche Bank’s Corporate Bank and Investment Bank, EU EU Bank, Investment and Bank Corporate Bank’s Deutsche For BMR covers derivatives, derivatives, covers BMR

master agreement? master

What about transactions not conducted under an ISDA ISDA an under conducted not transactions about What

ISDA agreements and contracts and agreements ISDA - Non Frequently asked questions questions asked Frequently

81nidZpGqzkSDMpD

Investment Bank Investment & Bank Corporate Bank Deutsche 17

as at 1st August 2019 August 1st at as apps.newyorkfed.org/markets/autorates/sofr https:// Source:

%. %. 9,000 of increase an 2019,

billion in May 2018 to over $9 trillion as of April April of as trillion $9 over to 2018 May in billion $100 under from grown has products all across

securities tied to SOFR, with a record $24 billion in June. Outstanding SOFR Outstanding June. in billion $24 record a with SOFR, to tied securities linked notional notional linked -

As of June 2019, 27 institutions have issued more than $136 billion notional in floating rate rate floating in notional billion $136 than more issued have institutions 27 2019, June of As

How is the Market Uptake of of Uptake Market the is How SOFR?

? AM. 8 at website Fed’s York New the on day business each

transactions cleared through FICC’s DVP service (from DTCC Solutions). SOFR is published published is SOFR Solutions). DTCC (from service DVP FICC’s through cleared transactions

the Bank of New York Mellon, GCF Repo transaction data, and data on bilateral Treasury repo repo Treasury bilateral on data and data, transaction Repo GCF Mellon, York New of Bank the

party repo data from from data repo party - tri level transaction of median weighted - volume a as calculated is SOFR

Calculated? SOFR is How

trillion of transactions per day. SOFR is fully secured (no credit credit (no secured fully is SOFR day. per transactions of trillion risk). risk).

LIBOR is not fully transaction based, SOFR is based on the overnight repo markets with ~ $1 $1 ~ with markets repo overnight the on based is SOFR based, transaction fully not is LIBOR

The ARRC selected SOFR as the recommended alternative reference rate for the the for rate reference alternative recommended the as SOFR selected ARRC The While While US.

SOFR? is What

ahead of schedule. of ahead

and its Paced Transition Plan for a smooth transition away from LIBOR is is LIBOR from away transition smooth a for Plan Transition Paced its and – market futures

– SOFR to LIBOR from transition the as well as encourage the development of the SOFR SOFR the of development the encourage as well as

Committee (ARRC) to lead the transition away from LIBOR. The ARRC continues to lead lead to continues ARRC The LIBOR. from away transition the lead to (ARRC) Committee

In the U.S. in 2014, the Fed & New York Fed established the Alternative Reference Rates Rates Reference Alternative the established Fed York New & Fed the 2014, in U.S. the In

ARRC? the is What

Regional Regional US – Frequently asked questions questions asked Frequently

81nidZpGqzkSDMpD

Investment Bank Investment & Bank Corporate Bank Deutsche 18

timelines are finalised. are timelines

linked contracts in its amendment outreach once these transition transition these once outreach amendment its in contracts linked - benchmark local include will Bank

consultations and market consensus. At this time, the transition timelines remain unknown. Deutsche Deutsche unknown. remain timelines transition the time, this At consensus. market and consultations

linked contracts, this is dependent on the finalisation of local benchmark benchmark local of finalisation the on dependent is this contracts, linked - benchmark local For

based approach. based - protocol BMR and IBOR transition. Deutsche Bank will leverage ISDA’s Benchmark Supplement and utilise a a utilise and Supplement Benchmark ISDA’s leverage will Bank Deutsche transition. IBOR and BMR

? EU for requirements the meet to fallbacks contain to amended be must contracts 2021, of end the By

What is the timing of my contractual amendments? contractual my of timing the is What

Benchmarks Supplement which contains fallback plans needed to fulfil the EU BMR requirement. BMR EU the fulfil to needed plans fallback contains which Supplement Benchmarks

ensure smoother transition to RFRs in the event of a benchmark cessation. ISDA has published the the published has ISDA cessation. benchmark a of event the in RFRs to transition smoother ensure

preparation of the IBOR cessation. Concurrently, ISDA is working on fallback language for IBORs to to IBORs for language fallback on working is ISDA Concurrently, cessation. IBOR the of preparation

local benchmarks in in benchmarks local for RFRs alternative the determine to industry the consulted have regulators Asian

currency basis swaps and possible changes in customers’ behaviours. customers’ in changes possible and swaps basis currency - cross as such products

the market may migrate towards cash or overnight rates, depending on how market practice evolves for for evolves practice market how on depending rates, overnight or cash towards migrate may market the

Local benchmarks will continue to exist as they do not have a direct calculation link to LIBOR. Over time, time, Over LIBOR. to link calculation direct a have not do they as exist to continue will benchmarks Local

Are local IBOR’s impacted by the transition of IBOR? of transition the by impacted IBOR’s local Are

transition issues transition IBOR highlight and discuss to forums regional and local in engaged is Bank Deutsche .

strengthening their existing local benchmark to coexist alongside a cash or overnight rate. In addition, addition, In rate. overnight or cash a alongside coexist to benchmark local existing their strengthening

Sector Steering Group (OSSG). Most Asian jurisdictions have opted for a a for opted have jurisdictions Asian Most (OSSG). Group Steering Sector ‘multiple rate approach rate ‘multiple ’ by by ’

, Hong Kong, Japan and Singapore are are Singapore and Japan Kong, Hong , Australia transition. IBOR the Official Official FSB's the in represented each

has been undertaken to to undertaken been has work considerable Pacific, Asia In for for prepare to and benchmarks local strengthen

What is happening with local IBOR’s across across IBOR’s local with happening is What Asia Pacific? Asia

Regional Regional Asia Pacific Asia – Frequently asked questions questions asked Frequently

81nidZpGqzkSDMpD

Investment Bank Investment & Bank Corporate Bank Deutsche 19

from reliance by the Recipient any third party on such information. such on party third any Recipient the by reliance from

contained herein or for any loss or for any damages (incidental, consequential or otherwise) which may arise arise may which otherwise) or consequential (incidental, damages any for or loss any for or herein contained

Deutsche Bank. Deutsche Bank shall not be liable for any errors or omissions contained in the information information the in contained omissions or errors any for liable be not shall Bank Deutsche Bank. Deutsche

further distributed or duplicated in whole or in part by any means without the prior written consent of of consent written prior the without means any by part in or whole in duplicated or distributed further

Recipient) confidential and the contents of this document and any information provided herein should not be be not should herein provided information any and document this of contents the and confidential Recipient)

officers, employees and advisers keep these materials (and any other information that may be provided to the the to provided be may that information other any (and materials these keep advisers and employees officers,

These materials have been provided on the basis that the Recipient and its representatives, directors, directors, representatives, its and Recipient the that basis the on provided been have materials These

financial situation and needs before making investment decisions. decisions. investment making before needs and situation financial

Recipient should obtain independent financial advice that addresses its particular investment objectives, objectives, investment particular its addresses that advice financial independent obtain should Recipient

Recipient to make a determination as to whether or not to invest or to use any strategy or algorithm. The The algorithm. or strategy any use to or invest to not or whether to as determination a make to Recipient

endorsement by DB of any investment, trading strategy or algorithm and should not be relied upon by the the by upon relied be not should and algorithm or strategy trading investment, any of DB by endorsement

investment objectives, financial situation or needs. Nothing herein constitutes a recommendation or or recommendation a constitutes herein Nothing needs. or situation financial objectives, investment

financial products, and is not personalised or in any way tailored to reflect the Recipient’s particular particular Recipient’s the reflect to tailored way any in or personalised not is and products, financial

specialist advice or as an offer, invitation, solicitation, inducement or recommendation of securities or other other or securities of recommendation or inducement solicitation, invitation, offer, an as or advice specialist

accounting, investment advice (within the definition set out in Directive 2014/65/EU (“MiFID”)) or other other or (“MiFID”)) 2014/65/EU Directive in out set definition the (within advice investment accounting,

obligations on Deutsche Bank. Nothing herein should be construed as financial, legal, regulatory, tax, tax, regulatory, legal, financial, as construed be should herein Nothing Bank. Deutsche on obligations

in a fiduciary capacity. Information provided in these materials does not create any legally binding binding legally any create not does materials these in provided Information capacity. fiduciary a in

Neither Deutsche Bank nor any of its affiliates has acted or is acting (and does not purport to act in any way) way) any in act to purport not does (and acting is or acted has affiliates its of any nor Bank Deutsche Neither

shall not be deemed to be an assurance or guarantee as to expected results of any transaction. transaction. any of results expected to as guarantee or assurance an be to deemed be not shall

expressed herein are subject to change and do not represent a formal or official view of Deutsche Bank and and Bank Deutsche of view official or formal a represent not do and change to subject are herein expressed

These materials speak only as of their date of publication and may not be complete or up to date. The views views The date. to up or complete be not may and publication of date their of as only speak materials These

Recipient agrees to use them only for such purpose and to be bound by the following limitations following the by bound be to and purpose such for only them use to agrees Recipient

assist the Recipient to evaluate the matter to which these materials relate. By accepting these materials, the the materials, these accepting By relate. materials these which to matter the evaluate to Recipient the assist

for the benefit of the recipient (the “Recipient”) and are being provided for information purposes only, to to only, purposes information for provided being are and “Recipient”) (the recipient the of benefit the for

These materials have been prepared by Deutsche Bank or one of its subsidiaries, affiliates or branches, solely solely branches, or affiliates subsidiaries, its of one or Bank Deutsche by prepared been have materials These

IMPORTANT NOTICE IMPORTANT Disclaimer

81nidZpGqzkSDMpD