In 2019, Germanys two biggest banks, Deutsche Bank AG and Commerzbank AG, were discussing a merger that could result in a national champion capable of competing with Wall Street. An article in Bloomberg on March 29, 2019 argues:1 When Andrea Enria became Europes top bank supervisor this year, many expected him to spend his time dealing with his own country, Italy. Instead his first big test is in Germany, where Deutsche Bank AG and Commerzbank AG are discussing a merger that would create the EUs third-largest banking group by assets. The European Central Banks supervisory board which Enria chairs should demand strict conditions before allowing this tie-up. The political pressure in favor of the deal is enormous but the risks for financial stability are just as big. The ECB will be gambling with its reputation if it allows the birth of a fragile giant. As a member of the ECB Supervisory Board, you are analyzing Deutsche-Commerzbank proposal. For both banks, you are given the consolidated balance sheet and the consolidated income statement from the Annual Report annexes which are acquired from the banks annual reports of 2018. The amounts are given in million C.

PART III: LIQUIDITY RISK For Deutsche Bank, you have estimated that the total financial assets (at fair value through profit or loss), whose value is C573,344M as reported in DB balance sheet, will have to be discounted at 35 percent if they are to be sold in less than 2 days. If they can be sold in 4 days, they will have to be discounted at 20 percent. If they can be sold later than a week, the bank will receive the full market value. 1. What is the amount received if the bank sells these financial assets in 1 day? How about if they are sold in 4 days? 2. In a bank run, if depositors all demand payment on the first day, what amount will they receive? What will they receive if they demand to be paid within the first week? Assume that the bank cannot sell any other securities on the asset side other than the total financial assets (at fair value through profit or loss) in one-week horizon. 3. Which of the two banks is more exposed to liquidity risk based on the balance sheet statement? 2For

2 - Consolidated Financial Statements Deutsche Bank Annual Report 2018 Deutsche Bank Consolidated Balance Sheet Dec 31, 2018 Duration Yield 188,731 8.881 8.222 3,396 0.02 0.15 0.25 0.25% 0.45% 0.75% in m. Assets: Cash and central bank balances Interbank balances (w/o central banks) Central bank funds sold and securities purchased under resale agreements Securities borrowed Financial assets at fair value through profit or loss Trading assets Positive market values from derivative financial instruments Non-trading financial assets mandatory at fair value through profit and loss Cinsialet Financial assets designated at fair value through profit or loss Total financial assets at fair value through profit or loss Financial sepete et fair Financial assets at fair value through other comprehensive income Financial assets available for sale Equity method investments Loans at amortized cost Securities held to maturity Property and equipment Goodwill and other intangible assets Other assets Assets for current tax Deferred tax assets Total assets 3.85% 1.35 2.80 4.65% 152,738 320,058 100.444 104 573 344 51,182 N/A 879 400,297 N/A 2,421 9.141 93,444 970 7,230 1,348,137 14.75 6.25% 1.35 4.25% 564.405 4,867 3,359 Duration 1.15 0.03 035 Yield 0.40% 0.25% 0.45% Liabilities and equity: Deposits POSTS Central bank funds purchased and securities sold under repurchase agreements Securities loaned Financial liabilities at fair value through profit or loss Trading liabilities Negative market values from derivative financial instruments Financial liabilities designated at fair value through profit or loss Investment contract liabilities Total financial liabilities at fair value through profit or loss Other short-term borrowings Other liabilities Provisions Liabilities for current tax Deferred tax liabilities 1.55 0.05 1.60 3.55% 0.25% 2.45% Long-term debt 6.20 3.25% Trust preferred securities Obligation to purchase common shares Total liabilities Common shares, no par value, nominal value of 2.56 Additional paid-in capital Kudontal Paide Retained earnings Common shares in treasury, at cost Equity classified as obligation to purchase common shares Accumulated other comprehensive income (loss), net of tax Tani Total shareholders' equity Additional equity components Noncontrolling interests Total equity Total liabilities and equity 59,924 301,487 53,757 512 415.680 14,158 117.513 ZELS 2.711 944 512 152.083 3.168 0 1,279,400 5,291 40,252 16,714 (15) 0 253 62,495 4,675 1,568 68,737 1,348,137 The accompanying notes are an integral part of the Consolidated Financial Statements 2 - Consolidated Financial Statements Deutsche Bank Annual Report 2018 Consolidated Statement of Income in m. Notes 2018 Interest and similar income 5 24,793 Interest expense 5 11,601 Net interest income 5 13,192 Provision for credit losses 21 525 Net interest income after provision for credit losses 12,667 Commissions and fee income 6 10,039 Net gains (losses) on financial assets/liabilities fair value through profit or loss 5 1,332 Net gains (losses) on financial assets at amortized cost 2 Net gains (losses) on financial assets at fair value through 317 other comprehensive income Net gains (losses) on financial assets available for sale 7 NA yan Net income (loss) from equity method investments 18 219 Other income (loss) 8 215 Total noninterest income 12,124 Compensation and benefits 35 11,814 General and administrative expenses 9 11,286 Policyholder benefits and claims 0 Impairment of goodwill and other intangible assets 25 0 Restructuring activities 10 360 Total noninterest expenses 23.461 Income (loss) before income taxes 1,330 Income tax expense (benefit) 36 989 Net income (loss) 341 Net income (loss) attributable to noncontrolling interests 75 Net income (loss) attributable to Deutsche Bank shareholders and additional equity components 267 Interest and similar income included 16.8 billion for the year ended December 31, 2018 calculated based on effective interest method. , HO Earnings per Share in m. Notes 2018 Earnings per share:12 11 Basic ( 0.01) Diluted ( 0.01) . Number of shares in million:1 Denominator for basic earnings per share - weighted-average shares outstanding 2.102.2 Denominator for diluted earings per share adjusted weighted-average shares after assumed conversions 3 2,102.2 The number of average basic and diluted shares outstanding has been adjusted for all periods before April 2017 in order to reflect the effect of the bonus component of subscription rights issued in April 2017 in connection with the capital increase. Earnings were adjusted by 292 and 298 and 276 million net of tax for the coupons paid on Additional Tier 1 Notes in April 2018 April 2017 and April 2016. In accordance with IAS 33 the coupons paid on Additional Tier 1 Notes are not attributable to Deutsche Bank shareholders and therefore need to be deducted in the calculation. This adjustment created a net loss situation for Earnings per Common Share for 2018. 3 Due to the net loss situation for 2018, 2017 and 2016 potentially dilutive shares are generally not considered for the earnings per share calculation, because to do so would decrease the net loss per share. Under a net income situation however, the number of adjusted weighted average shares after assumed conversion would have been increased by 53 million shares for 2018, 62 million shares for 2017 and 27 million shares for 2016 The accompanying notes are an integral part of the Consolidated Financial Statements. Commerzbank Annual Report 2018 COMMERZBANK Balance sheet Duration Yield 31.12.2018 53,914 279,137 3,637 n/a 12.70 5.35% n/a 1.75 3.40% 26,659 2,377 n/a n/a 34,073 1.80 3.65% Assets | Em Cash on hand and cash on demand Financial Assets - Amortised Cost of which pledged as collateral Financial Assets - Loans and Receivables of which pledged as collateral Financial Assets - Fair Value OCI of which pledged as collateral Financial Assets - Available for Sale of which pledged as collateral Financial Assets - Fair Value Option of which pledged as collateral Financial Assets - Mandatorily Fair Value P&L of which pledged as collateral Financial Assets - Held for Trading of which pledged as collateral Value adjustment on portfolio fair value hedges Positive fair values of derivative hedging instruments Holdings in companies accounted for using the equity method Intangible assets Fixed assets Investment properties Non-current assets held for sale and disposal groups Current tax assets Deferred tax assets Other assets Total 1.65 4.45% 42,501 1,246 199 1,457 1.40 4.75% 173 3,246 1,547 13 13,433 783 3,116 2,119 462,369 1.80 3.35% 1.55 5.35% 1 Adjustments to opening balance according to IFRS 9. (see Note 5). 2 Prior-year figures adjusted due to restatements (see Note 4). Duration Yield 1.25 0.45% 5.35% 31.12.2018 346,668 21,949 43,404 532 1,462 3,153 472 5.45 5.90 3.90% 1.15 2.75% 20 Liabilities and equity 1 m Financial Liabilities - Amortised Cost (Deposits) Financial Liabilities - Fair Value Option Financial Liabilities - Held for Trading Value adjustment on portfolio fair value hedges Negative fair values of derivative hedging instruments Provisions Current tax liabilities Deferred tax liabilities Liabilities of disposal groups Other liabilities Equity Subscribed capital Capital reserve Retained earnings Other reserves (with recycling) Total before non-controlling interests Non-controlling interests Total 1.40 2.55% 2.90% 2.15 12,914 2,384 29,411 1,252 17,192 10,054 - 287 28,211 1,200 462,369 Adjustments to opening balance according to IFRS 9. (see Note 5). 2 Prior-year figures adjusted due to restatements (see Note 4). To our Shareholders Corporate Responsibility Management Report Risk Report 147 Financial Statements Further Information 147 Statement of comprehensive income 150 Balance sheet 152 Statement of changes in equity 155 Cash flow statement 157 Notes 315 Responsibility statement by the Board 316 Independent Auditors' Report Statement of comprehensive income Income statement Notes 1.1.-31.12.2018 (10) 7,318 (10) (10) (10) (10) 1,351 8,670 3,922 4,748 (11) 36 -446 (12) (13) n/a n/a (14) (15) (15) ( (15) 3,751 662 3,089 Em Interest income accounted for using the effective interest method Interest income accounted for not using the effective interest method Interest income Interest expenses Net interest income Dividend income Risk result Loan loss provisions Other realised profit or loss and net remeasurement gain or loss Commission income Commission expenses Net commission income Net income from financial assets and liabilities at fair value through profit or loss Net income from hedge accounting Other sundry profit or loss from financial instruments Gain or loss on disposal of financial assets - Amortised Cost Other profit or loss from financial instruments Current net income from companies accounted for using the equity method Other net income Operating expenses Restructuring expenses Pre-tax profit or loss from continuing operations Taxes on income Consolidated profit or loss from continuing operations Consolidated profit or loss from discontinued operatio Consolidated profit or loss Consolidated profit or loss attributable to non-controlling interests Consolidated profit or loss attributable to Commerzbank shareholders (16) (17) 366 48 40 -14 (18) 26 (19) 12 (20) (21) 245 6,879 (22) 1,245 (23) 268 978 -10 968 103 865 Prior-year figures restated due to a change in reporting plus other restatements (see Note 4). 1.1.-31.12.2018 0.69 Earnings per share (25) Prior-year figures adjusted due to restatements (see Note 4). The earnings per share, calculated in accordance with IAS 33, are based on the consolidated profit or loss attributable to Commerz- bank shareholders. No conversion or option rights were outstanding either in the previous or current financial year. The figure for diluted earnings per share was therefore identical to the undiluted figure. 2 - Consolidated Financial Statements Deutsche Bank Annual Report 2018 Deutsche Bank Consolidated Balance Sheet Dec 31, 2018 Duration Yield 188,731 8.881 8.222 3,396 0.02 0.15 0.25 0.25% 0.45% 0.75% in m. Assets: Cash and central bank balances Interbank balances (w/o central banks) Central bank funds sold and securities purchased under resale agreements Securities borrowed Financial assets at fair value through profit or loss Trading assets Positive market values from derivative financial instruments Non-trading financial assets mandatory at fair value through profit and loss Cinsialet Financial assets designated at fair value through profit or loss Total financial assets at fair value through profit or loss Financial sepete et fair Financial assets at fair value through other comprehensive income Financial assets available for sale Equity method investments Loans at amortized cost Securities held to maturity Property and equipment Goodwill and other intangible assets Other assets Assets for current tax Deferred tax assets Total assets 3.85% 1.35 2.80 4.65% 152,738 320,058 100.444 104 573 344 51,182 N/A 879 400,297 N/A 2,421 9.141 93,444 970 7,230 1,348,137 14.75 6.25% 1.35 4.25% 564.405 4,867 3,359 Duration 1.15 0.03 035 Yield 0.40% 0.25% 0.45% Liabilities and equity: Deposits POSTS Central bank funds purchased and securities sold under repurchase agreements Securities loaned Financial liabilities at fair value through profit or loss Trading liabilities Negative market values from derivative financial instruments Financial liabilities designated at fair value through profit or loss Investment contract liabilities Total financial liabilities at fair value through profit or loss Other short-term borrowings Other liabilities Provisions Liabilities for current tax Deferred tax liabilities 1.55 0.05 1.60 3.55% 0.25% 2.45% Long-term debt 6.20 3.25% Trust preferred securities Obligation to purchase common shares Total liabilities Common shares, no par value, nominal value of 2.56 Additional paid-in capital Kudontal Paide Retained earnings Common shares in treasury, at cost Equity classified as obligation to purchase common shares Accumulated other comprehensive income (loss), net of tax Tani Total shareholders' equity Additional equity components Noncontrolling interests Total equity Total liabilities and equity 59,924 301,487 53,757 512 415.680 14,158 117.513 ZELS 2.711 944 512 152.083 3.168 0 1,279,400 5,291 40,252 16,714 (15) 0 253 62,495 4,675 1,568 68,737 1,348,137 The accompanying notes are an integral part of the Consolidated Financial Statements 2 - Consolidated Financial Statements Deutsche Bank Annual Report 2018 Consolidated Statement of Income in m. Notes 2018 Interest and similar income 5 24,793 Interest expense 5 11,601 Net interest income 5 13,192 Provision for credit losses 21 525 Net interest income after provision for credit losses 12,667 Commissions and fee income 6 10,039 Net gains (losses) on financial assets/liabilities fair value through profit or loss 5 1,332 Net gains (losses) on financial assets at amortized cost 2 Net gains (losses) on financial assets at fair value through 317 other comprehensive income Net gains (losses) on financial assets available for sale 7 NA yan Net income (loss) from equity method investments 18 219 Other income (loss) 8 215 Total noninterest income 12,124 Compensation and benefits 35 11,814 General and administrative expenses 9 11,286 Policyholder benefits and claims 0 Impairment of goodwill and other intangible assets 25 0 Restructuring activities 10 360 Total noninterest expenses 23.461 Income (loss) before income taxes 1,330 Income tax expense (benefit) 36 989 Net income (loss) 341 Net income (loss) attributable to noncontrolling interests 75 Net income (loss) attributable to Deutsche Bank shareholders and additional equity components 267 Interest and similar income included 16.8 billion for the year ended December 31, 2018 calculated based on effective interest method. , HO Earnings per Share in m. Notes 2018 Earnings per share:12 11 Basic ( 0.01) Diluted ( 0.01) . Number of shares in million:1 Denominator for basic earnings per share - weighted-average shares outstanding 2.102.2 Denominator for diluted earings per share adjusted weighted-average shares after assumed conversions 3 2,102.2 The number of average basic and diluted shares outstanding has been adjusted for all periods before April 2017 in order to reflect the effect of the bonus component of subscription rights issued in April 2017 in connection with the capital increase. Earnings were adjusted by 292 and 298 and 276 million net of tax for the coupons paid on Additional Tier 1 Notes in April 2018 April 2017 and April 2016. In accordance with IAS 33 the coupons paid on Additional Tier 1 Notes are not attributable to Deutsche Bank shareholders and therefore need to be deducted in the calculation. This adjustment created a net loss situation for Earnings per Common Share for 2018. 3 Due to the net loss situation for 2018, 2017 and 2016 potentially dilutive shares are generally not considered for the earnings per share calculation, because to do so would decrease the net loss per share. Under a net income situation however, the number of adjusted weighted average shares after assumed conversion would have been increased by 53 million shares for 2018, 62 million shares for 2017 and 27 million shares for 2016 The accompanying notes are an integral part of the Consolidated Financial Statements. Commerzbank Annual Report 2018 COMMERZBANK Balance sheet Duration Yield 31.12.2018 53,914 279,137 3,637 n/a 12.70 5.35% n/a 1.75 3.40% 26,659 2,377 n/a n/a 34,073 1.80 3.65% Assets | Em Cash on hand and cash on demand Financial Assets - Amortised Cost of which pledged as collateral Financial Assets - Loans and Receivables of which pledged as collateral Financial Assets - Fair Value OCI of which pledged as collateral Financial Assets - Available for Sale of which pledged as collateral Financial Assets - Fair Value Option of which pledged as collateral Financial Assets - Mandatorily Fair Value P&L of which pledged as collateral Financial Assets - Held for Trading of which pledged as collateral Value adjustment on portfolio fair value hedges Positive fair values of derivative hedging instruments Holdings in companies accounted for using the equity method Intangible assets Fixed assets Investment properties Non-current assets held for sale and disposal groups Current tax assets Deferred tax assets Other assets Total 1.65 4.45% 42,501 1,246 199 1,457 1.40 4.75% 173 3,246 1,547 13 13,433 783 3,116 2,119 462,369 1.80 3.35% 1.55 5.35% 1 Adjustments to opening balance according to IFRS 9. (see Note 5). 2 Prior-year figures adjusted due to restatements (see Note 4). Duration Yield 1.25 0.45% 5.35% 31.12.2018 346,668 21,949 43,404 532 1,462 3,153 472 5.45 5.90 3.90% 1.15 2.75% 20 Liabilities and equity 1 m Financial Liabilities - Amortised Cost (Deposits) Financial Liabilities - Fair Value Option Financial Liabilities - Held for Trading Value adjustment on portfolio fair value hedges Negative fair values of derivative hedging instruments Provisions Current tax liabilities Deferred tax liabilities Liabilities of disposal groups Other liabilities Equity Subscribed capital Capital reserve Retained earnings Other reserves (with recycling) Total before non-controlling interests Non-controlling interests Total 1.40 2.55% 2.90% 2.15 12,914 2,384 29,411 1,252 17,192 10,054 - 287 28,211 1,200 462,369 Adjustments to opening balance according to IFRS 9. (see Note 5). 2 Prior-year figures adjusted due to restatements (see Note 4). To our Shareholders Corporate Responsibility Management Report Risk Report 147 Financial Statements Further Information 147 Statement of comprehensive income 150 Balance sheet 152 Statement of changes in equity 155 Cash flow statement 157 Notes 315 Responsibility statement by the Board 316 Independent Auditors' Report Statement of comprehensive income Income statement Notes 1.1.-31.12.2018 (10) 7,318 (10) (10) (10) (10) 1,351 8,670 3,922 4,748 (11) 36 -446 (12) (13) n/a n/a (14) (15) (15) ( (15) 3,751 662 3,089 Em Interest income accounted for using the effective interest method Interest income accounted for not using the effective interest method Interest income Interest expenses Net interest income Dividend income Risk result Loan loss provisions Other realised profit or loss and net remeasurement gain or loss Commission income Commission expenses Net commission income Net income from financial assets and liabilities at fair value through profit or loss Net income from hedge accounting Other sundry profit or loss from financial instruments Gain or loss on disposal of financial assets - Amortised Cost Other profit or loss from financial instruments Current net income from companies accounted for using the equity method Other net income Operating expenses Restructuring expenses Pre-tax profit or loss from continuing operations Taxes on income Consolidated profit or loss from continuing operations Consolidated profit or loss from discontinued operatio Consolidated profit or loss Consolidated profit or loss attributable to non-controlling interests Consolidated profit or loss attributable to Commerzbank shareholders (16) (17) 366 48 40 -14 (18) 26 (19) 12 (20) (21) 245 6,879 (22) 1,245 (23) 268 978 -10 968 103 865 Prior-year figures restated due to a change in reporting plus other restatements (see Note 4). 1.1.-31.12.2018 0.69 Earnings per share (25) Prior-year figures adjusted due to restatements (see Note 4). The earnings per share, calculated in accordance with IAS 33, are based on the consolidated profit or loss attributable to Commerz- bank shareholders. No conversion or option rights were outstanding either in the previous or current financial year. The figure for diluted earnings per share was therefore identical to the undiluted figure