OTC Trade Life Cycle

Deutsche Bank
Corporate & Investment Bank
Introducing dbClear
Deutsche Bank
dbClear Introducing dbClear
Contents
Section Slides
Introduction 2-5
Overview of Central Clearing 6 - 12
Deutsche Bank’s Offering 13 - 24
Mitigating the Cost of Compliance with Regulation 26 - 28
Client Clearing product offering 29 - 62
 OTC Rates Derivatives 29 - 34
 OTC Credit Derivatives 35 - 42
 Global Foreign Exchange 43 - 49
 Listed Derivatives 50 - 62
Risk Waterfalls 63 - 87
Key Risk Management 88 - 97
dbClear TradeFinder 98 - 116
dbCross-Product Margin 117 - 119
Technology and Market Initiatives 120 - 121
Transition Management and Client Service 122 - 124
Communication and Contacts 125 - 126
Appendices 127 - 155
 Appendix A - Product eligibility: Clearing and Intermediation 127 - 132
 Appendix B - CCP eligible collateral and Collateral process timeline 133 - 136
 Appendix C - End-to-end clearing workflow 137 - 150
 Appendix D - Listed Derivatives: Key Exchange memberships, Electronic execution 151 - 155
Deutsche Bank
dbClear Introducing dbClear 1
29/03/2011 2010 DB Blue template

Deutsche Bank
Introduction
Deutsche Bank
About Deutsche Bank
Deutsche Bank <NYSE: DB> is a leading global investment bank with a strong and profitable private clients franchise. A leader in
Germany and Europe, the bank is continuously growing in North America, Asia and key emerging markets. With 77,053 employees in
72 countries, Deutsche Bank competes to be the leading global provider of financial solutions for demanding clients creating
exceptional value for its shareholders and people.
Within Deutsche Bank, the Global Markets Division is responsible for the origination, sale, structuring and trading of fixed income,
equity, commodity, foreign exchange, derivative and money market products.
Global Markets has established itself as a global leader in these products by combining its unique distribution franchise with its
pricing, structuring and execution expertise.
Global Markets is dedicated to delivering exceptional capital raising, risk management and investment solutions that meet the precise
needs of its clients.
The Global Markets Division employs approximately 6,000 professionals in 39 trading rooms around the world.
Deutsche Bank is one of the only institutions in the world able to address the diverse asset gathering and liability management needs
of corporations, governments, institutional investors, hedge funds and financial institutions on a truly global basis.
Deutsche Bank Securities Inc., member NYSE, FINRA and SIPC, is the investment banking and securities arm of Deutsche Bank AG
in the United States.
Deutsche Bank

Deutsche Bank’s Credit Ratings and Capital Structure
Deutsche Bank AG (DBAG) is a banking institution incorporated under the laws of Germany. It is a publicly traded company that is
listed on both New York (NYSE) and Frankfurt (FWB) stock exchanges. DBAG is regulated by Germany’s Federal Financial
Supervisory Authority (BAFIN), and operates under the Basel 2 regime advanced approach. As of 30 th September 2010, DBAG has
shareholder equity of €38.5 billion, total assets of €1.958 billion, a Tier 1 capital ratio of 11.5%.
Deutsche Bank Securities Inc. (DBSI) is a wholly owned indirect subsidiary of Deutsche Bank AG. As a broker dealer, DBSI is subject
to the SEC net capital rules rather than the Basel capital regime (Tier 1 capital rules do not apply). DBSI is required to file regulatory
reports with the SEC which provide financial information on DBSI. As of 30 th September 2010, DBSI had shareholder equity of
$11.429 billion, total capital of $18.153 billion and net capital of $6.838 billion. DBAG is DBSI’s parent entity.
Please refer to the below tables for DBAG and DBSI credit ratings.
DBAG Ratings as of January 2011 DBSI Ratings as of January 2011
Short-term rating Long-term rating Short-term rating Long-term rating
Moody's Standard & Poor's A-1 A+

P-1 Aa3
Investors Service
Fitch Ratings F1+ AA-
Standard & Poor’s A-1 A+
Fitch Ratings F1+ AA-
Deutsche Bank
Deutsche Bank’s Clearing Legal Entities
US OTC Rates and Credit Derivatives Clearing

ICE Trust CME LCH US IDCG*
 Futures Commission Merchant  Futures Commission Merchant  Futures Commission Merchant  Futures Commission Merchant
(FCM) model - Projected July (FCM) model (FCM) model - Projected July (FCM) model
2011  Client faces Deutsche Bank 2011  Client faces Deutsche Bank
 Client faces Deutsche Bank Securities Inc. (DBSI)  Client faces Deutsche Bank Securities Inc. (DBSI)
Securities Inc. (DBSI) Securities Inc. (DBSI)
Non-US OTC Rates and Credit Derivatives Clearing

ICE Clear LCH
 Swaps Clearing Merchant (SCM) model  Swaps Clearing Merchant (SCM) model
 Client faces Deutsche Bank AG (DBAG)  Client faces Deutsche Bank AG (DBAG)
Listed Derivatives Clearing FX Clearing

 European Clients would typically document with DBAG London Branch  The Legal structure for FX Clearing is yet to be defined.
Limited.
* Please note that Deutsche Bank is currently in the process of testing with IDCG (since May 2010) as no client has yet requested to put live trades through
this CCP for Rates clearing.
Deutsche Bank

Deutsche Bank
Overview of Central Clearing
Deutsche Bank
The mechanics of Central Clearing
 Bilateral model: Client executes Over The Counter Derivative with Dealer and faces Dealer as counterparty
Variation Margin
Client Dealer
Coupons
Trade Counterparty
 Principal Model of Client Clearing: Client faces Clearing Member as counterparty on their cleared transaction
Initial Margin Initial Margin Initial Margin
Variation Margin Variation Margin Variation Margin

Clearing Clearing
Client Dealer
Member House
Coupons Coupons Coupons
Trade Counterparty Trade Counterparty Trade Counterparty
 Agent Model of Client Clearing: Client faces Clearing House as counterparty on their cleared transaction

Clearing Clearing
Client Dealer
Member House
Coupons Coupons Coupons
Trade Counterparty Trade Counterparty
Benefits
 Operational efficiency  Avoids requirement to replace hedges that were facing a defaulted
 Portfolio credit risk only to Clearing House bank
 Reduction of systemic risk  Insulates collateral in the Clearing House
Deutsche Bank
Market implications
US and Europe
US Europe
Dodd-Frank Act EMIR, MiFID
FCM model Matched-Principle (non-FCM) model
Transparency on execution
Major Swap Participants (MSPs): Major Swap Participants (MSPs):

Assets and Assets and
Bilateral OTC Bilateral OTC Bilateral OTC Bilateral OTC
Liabilities Bank n Liabilities Bank n
Broker-Dealer 1 Broker-Dealer 4 Broker-Dealer 1 Broker-Dealer 4
Manager 1 Manager 1
Bilateral OTC Bilateral OTC Financial Bilateral OTC Bilateral OTC Financial
Liabilities Liabilities
Broker-Dealer 2 Broker-Dealer 5 Corporation n Broker-Dealer 2 Broker-Dealer 5 Corporation n
Manager 2 Manager 2
Bilateral OTC Bilateral OTC Bilateral OTC Bilateral OTC
Liabilities Liabilities
Broker-Dealer 3 Broker-Dealer 6 Broker-Dealer 3 Broker-Dealer 6
Manager 3 Manager 3
Swap Execution Facility (SEF) Organised Trading Facility (OTF)
Post - trade reporting

All swaps (cleared and non-cleared) must be real-time and regulatory reported prior to clearing
F&O ISDA (/Rahmenvertrag)

Risk / Clearing
ICE LCH ICE LCH

CME IDCG Eurex CME
Trust (FCM) Clear (SCM)
CLS
Deutsche Bank

Swap Execution Facilities
How might the market work?
1 Trading style divided into two major categories ...
 Continuous streamed markets into a central  Respond to client price enquiries for non
limit order book for 'on the run' type liquid ‘Proactive’ ‘Reactive’ standard, but non complex, structures and
contracts, e.g. index CDS, benchmark IRS sizes, RFQ style
2 How will Clients Execute ? 3 How will DB get Paid ?
 Electronic market access provided and sponsored  Commissions, smart order routing, algo enhanced
DMA style
by DB ('proactive' trades) execution services, bundled with clearing, prime?
 Voice market access provided by DB execution

F&O style Execution  Voice execution desk commissions
sales desk( 'proactive' trades)
 Client has direct access to trading venue and self  As risk principal, as counterparty to client trade in
TradeWeb style
executes for own account ('reactive' trades) limited RFQ environment
 Commission basis for execution services, Principal

 Voice market access provided by DB execution
F&O Block style basis, as counterparty to client trade in limited RFQ
sales desk (reactive' trades)
environment
4 How will Clients select an Execution Partner ?
Research Led
 Quality of Electronic Execution
As per Equities model, DB paid Quality of Voice Execution
 Quality of Pricing quality of smart order router,
under a Commission Sharing Services & Market Coverage
execution algorithms
Agreement
Deutsche Bank
9
Regulatory impact
Standardisation of OTC Derivatives
OTC Derivatives Listed Derivatives
Many (bespoke) products / varieties Few products - highly standardised
Standardisation of
Few OTC products Many
Post-trade reporting (becoming Futures Real-time trade reporting and SDR requirements
(EOD) like) (cleared and non-cleared swaps)
ISDA
Client
Client Dealer
ISDA EB 1 EB 2 EB 3
Client Dealer
CB 1 CB 2 CB 3
ISDA
Client Dealer
CCP1 CCP2 CCP3
Deutsche Bank

Regulatory impact (contd.)
Many end states
Standardised EFP Complex
Voice
Rates
Rates
Voice
Exchange
Credit
FX
Equities
SMA
API
Commodities
Process Process Process Process Process
Rates
Credit
Clearing
Broker
FX
Equities
Commodities
CFTC Central Intermediation Bilateral

F&O SEC
CSA Anx. PBA MNA/GMRA ISDA
Deutsche Bank
The reconstructed OTC and ETD model
Client
ETF Broker SMA

SEF API Client
Exchange
OTC DMA Dark Pool
Deutsche
Bank
Liquidity and Execution

Price
SEF
ETF API Broker SMA
Exchange
(Price)
OTC DMA Dark Pool
Process
(Process) Credit
ICE
LCH
Custody
FCM
BANK LCH FCM
CME IDCG PB
ICE Custody BANK
CME PB
IDCG
Clearing and Asset Servicing

(Credit)
Deutsche Bank
Deutsche Bank
Deutsche Bank’s Offering

dbClear
Deutsche Bank
The Financial Reform Agenda
Deutsche Bank’s commitment
GFMA (AFME/SIFMA/ASIFMA) Committees ISDA Committees
AFME Board M. Faissola SIFMA Board J. Mayer ISDA Board M. Faissola (vice-chair)
Industry Gov Comte. Faissola, Diplas, Eilbeck
 Global Rates Board M. Faissola  Equity SteerCo J. Fields
 Rates SteerCo. J. Eilbeck (chair)
 Credit Board A. Diplas  Prime Brokerage Comte. M. Riffaud
 Credit SteerCo. A. Diplas (co-chair)
 Equities Board K. Derhalli  Capital Markets Comte. S. Bhandari
 Equity SteerCo. P. Maley
 FX Board (chair) Z. Amrolia  MBS & Securitiztn ExCo T. Dixon
 Commods SteerCo T. Martin
 FXPB/ Clearing J.Vitale  Rulemaking Oversight M. Riffaud
 AsiaPac SteerCo. A. Mohapatra
 Prime Brokerage Comte. A. Byrne  Financial Reform WG F. Kelly
 Ops SteerCo. S. McClymont
 Securitisation (ESF) M. Ruggieri ASIFMA Board D. Lynne (chair)
 Regulatory Comte. D. Trinder (chair)
 Lev. Fin Board H. Johnsson
 ECM Board J. Farry
Regulatory / Legislative Other key CIB Key vendor board seats

US  FIA Board D. Bradford  Tradeweb S. Wolff
 CFTC Richard Shilts (Market Oversight Director) A. Diplas  FOA Board  Markit S. Wolff
Ananda Radhakrishnan (DCIO Director) A. Diplas
 BoE FX JSC Z. Amrolia  LCH Clearnet L. Shaw
 SEC Robert Cook (Trading & Markets Director) Fields / Riffaud
 Fed FXC J. Vitale  DTCC
 Fed Stacy Coleman (VP - OTC Derivs) A. Diplas
 DTCC/DerivServ S. McClymont
Europe  CLS P. Connor
Other Major Banking BATS
 FSA Alexander Justham (Director of Markets) D. Trinder  J. Marques
 BoE Paul Chilcott (Payments & Infrastructure) D. Trinder  ELX G. Rafferty
 ICMA Board C. Grassie
 HM Treasury Hannah Gurga (Securities and Markets) D. Trinder  BBA Board C. Grassie
 Deutsche Börse H. Lamberti
 BdF Peter Görß (Stock Markets & Securities) K. Deutsch  EBF Board  EuroCCP M. Bradbury
 BaFin Gunter Birnbaum (Securities Director) A. Procter – Derivs WG. S. Wolff  Euroclear M. Slumbers
 ECB D.a Russo (DDG Payments & Mkt Infra) A. Diplas  City of London C. Grassie
 SWIFT W. Gaertner
 ESMA To Be Announced  BdB Board J. Ackermann
 Commission Patrick Pearson D. Trinder  IIF Board J. Ackermann (chair)
 Euro P’ment Werner Langen (EMIL Rapporteur) A. Tietmeyer  Fin. Serv. Forum J. Ackermann
Sharon Bowles (ECON Chair) D. Trinder
 CEBS Panel H. Banziger (chair)
Kay Swinburne (ECON) A. Tietmeyer
Deutsche Bank
Clearing Governance at Deutsche Bank
CIB Platforms Group

Governance Alan Cloete
FX Credit Rates Listed Commodities GTB E Platforms Equity

Clearing Derivatives Derivatives
Specialists Jason Vitale Hester Serafini Joe Cassidy Drew Bradford Joe Cassidy Werner Rhom Ram Anthony Byrne
Steinmueller Daniel Marovitz
Distribution
Onboarding and Transition
dbClear
Operations
Client Service
Deutsche Bank

Deutsche Bank's approach to clearing
Prime Listed
Brokerage Derivatives
OTC Clearing
and
Intermediation
Deutsche Bank
16
Deutsche Bank Client solutions
Range of solutions to maximise benefit to the client
Margin
segregation
Cross Asset /
Listed Products Product margining
Pre- and post-

trade portfolio
analysis tools
Clearing Margin financing /

Collateral flexibility
Portfolio
Compression
Prime
Brokerage
dbRiskClear and
dbReset
Service incubation
team
Deutsche Bank
Listed Derivatives
Client distribution and Fund Administrators
Deutsche Bank works with a number of key fund administrators as part of it’s overall commitment to providing a Global Listed
Derivatives clearing infrastructure.
2010 Ranking 2010 Market Share
 BNP Paribas Asset Services Exchange (Cleared Volumes) (Cleared Volumes)
Eurex, Frankfurt 2 3.87%

 JPM Investor Services 750
Euronext Liffe, London 4 5.10%
Global
Customers
 CITCO Financial Services CME, Chicago Not provided by Exchange 2.14%
CBOT, Chicago Not provided by Exchange 1.71%

 IFS Dublin
SFE, Sydney 4 10.96%
 BONY Treasury Services 127 SGX, Singapore 13 2.89%

Use a Fund TSE, Tokyo Not provided by Exchange 2.77%
Administrator
 GLOBEOP Financial TFX, Tokyo Not provided by Exchange 3.53%
OSE, Osaka Not provided by Exchange 1.50%

 State Street
HKEx, Hong Kong 9 3.13%
 Northern Trust Fund Services MDEX, Malaysia Not provided by Exchange 16.54%
Providing some of the following range of services:
Trade & Position Management Management Reporting &

Static Data Information Portal Margin Payments & Transfers
/ Reporting Information
• Defined trade delivery using a • Dynamic & Customised Reporting • Link into DB Payments
• Including position expiration data
specific custom infrastructure if required
(described later in this
• VAR analysis where required • Focus on flexible information
presentation)
• Customised position information formats
• Corporate actions data where • Automated margin transfers and

• Portfolio analysis facilitating cross- • Interfacing directly into internal
appropriate payments into internal
product margining systems infrastructure
Deutsche Bank
Operational excellence
Not complete for illustrative purposes only

Key Considerations
 Agreed trade between client and dealer should be a legally binding bilateral trade until cleared (potentially only for minutes but that state should exist)
 If trades are not accepted for clearing then fallback to being bilateral
 If a trade is not affirmed then it cannot process through to clearing but is still legally binding between client and dealer based on execution
 Trades submitted on individual (gross) basis, netting/compression process to be completed separately from clearing submission
 Strategic goal of affirmation = confirmation within middleware
Deutsche Bank
Award winning services
Bank of the Year 2010
Derivatives House of the Year 2010
Deutsche Bank is the Ideal Partner -IFR Review of the Year 2010, January 2011
Headlines for dbClear Derivatives House of the Year

Bank Risk Manager of the Year
“Deutsche handles seamless OTC interest rate swap” -Risk Awards, January 2011
http://www.ft.com/cms/s/0/fc89d3f0-3d87-11df-bdbb- No. 1 in Derivatives
00144feabdc0,s01=1.html - Risk Interdealer, September 2010
“Deutsche Bank Electronically Executes and Clears First OTC

Interest Rate Derivative Transaction Via Autobahn” No. 1 in Global Fixed Income
DB is “meaningfully ahead” of the next placed banks
http://www.advancedtrading.com/infrastructure/showArticle.jhtml;js -Greenwich Associates, March 2011
essionid=IHEZMQSA2ZWRJQE1GHRSKH4ATMY32JVN?articleI
D=224201007&_requestid=26779 Best Global Risk Management House
Best Risk Management House in North America
Best Global Investment Bank
“Deutsche Bank Clears First Interest Rate Swap on Behalf of Best Global Credit Derivatives House
Citadel” -Euromoney, Awards for Excellence, July 2010
http://www.cnbc.com/id/39724462/Deutsche_Bank_Clears_First_I #1 FX provider with 21% market share for 5 consecutive
nterest_Rate_Swap_on_Behalf_of_Citadel_LLC_on_CME_Group years
_s_IRS_Platform #1 FX Prime Broker
Most Innovative Team of the Year (FX)

“First Fully-Electronic Interest Rate Swap Trade Executed and Most Innovative in FX
Cleared in U.S.” Most Innovative in Retail Structured Products
http://www.tradeweb.com/news/press_releases/2010/20101118 - The Banker, The Banker Awards, September 2010
“Deutsche Bank Sets New Industry Benchmark with ISAE 3000 No. 1 Top Rated Global Prime Broker
No. 1 Global Overall Prime Broker
Certification for Rates Client Clearing” No. 1 Multi-Strategy Provider
http://www.db.com/medien/en/content/press_releases_2010_3228 - Global Custodian, Prime Brokerage Survey, June 2010
.htm
Overall, Top Investment Bank
-Life & Pensions , L&P Rankings , August 2009
"CDS traded and cleared under anticipated Dodd-Frank rules"
http://www.ft.com/cms/s/0/cfdf6ea6-355b-11e0-aa6c- Derivatives House of the Year
00144feabdc0.html#axzz1G1f7JcHP Bank Risk Manager of the Year
Derivatives Research House of the Year
“First Fully-Electronic CDS Trades Executed and Cleared in U.S.” Hedge Fund Derivatives House of the Year
http://www/tradeweb.com/news/press_releases/2010/20110210 Inflation Derivatives House of the Year
Risk Magazine, January 2011
Deutsche Bank
Information barriers and ISAE 3000 accreditation
 Trading information provided to Prime Brokerage is kept separate from Deutsche Bank trading desks through
information barriers in place within Deutsche Bank systems
 Deutsche Bank’s trading desk does not have access to client clearing positions
 Clearing Front Office and Middle Office are dedicated teams that are not part of our trading desk's respective
teams
 ISAE 3000 (International Standard on Assurance Engagements) is a new industry standard that supersedes
the SAS 70 (Statement on Auditing Standards)
 ISAE 3000 audits the design of internal controls and assesses the completeness, accuracy and transparency
of controls based on Management’s assessment criteria
 Deutsche Bank engaged PWC (PriceWaterhouseCoopers) to audit the LCH client clearing workflow, to assess our current
process and where applicable suggest improvements
 November 2010 Deutsche Bank receives ISAE 3000 accreditation on its LCH Swapclear Client Clearing
process
 Deutsche Bank becomes first to gain ISAE 3000 accreditation for the LCH Swapclear client clearing process
 Passes audit without limitations or disclaimers
 Audit scope incorporates the complete life cycle of a client cleared trade
 Assessment of 9 management assessment criteria
 The ISAE 3000 opinion confirms Deutsche Bank has designed and implemented effective internal controls to
ensure the transparency and accuracy of the LCH Swapclear client clearing process
 Demonstrates Deutsche Bank is operating within a market leading control framework which is highly responsive to
regulatory changes
Deutsche Bank
dbClear Client Service
“Follow the Sun” Global Support model
Dedicated Single Point of Contact

 Teams in every major centre at Deutsche Bank
 Relationship manager and back up contact allocated to each client
Client confidentiality is strongly enforced

 Client Service Teams are in separate locations from trading and sales teams
 Client Service Team operates under separate reporting lines from front office personnel
to avoid conflicts of interest
 Confidentiality is policed and enforced by senior management at Deutsche Bank
Industry recognition – 09/10 ZYen survey

 1st Global Derivatives for Client Management overall
 1st Cross Product Services for Client Onboarding
Deutsche Bank
dbClear Onboarding
Legal Technical Support

RFI
Negotiations Transition Migration
New Account Client

Opening Service
Deutsche Bank
dbClear TradeFinder
Deutsche Bank
The dbClear principles of Client Clearing
Additive Platform Advisory and Services

Regulatory Edge
Operational Intelligence (Market Initiatives Group)
Targeted Offering
Onboarding & Transition
Operational Excellence
Reporting and Risk
Full CCP access
Client Service
Business Cycle Support (RM/SRM)
Client
Cost certainty and mitigation
Operating and Business Model Enabling
Rates
Credit
Listed
FX
Equities
Commodities
Information barriers
Deutsche Bank
Deutsche Bank
Mitigating the cost of

compliance with Regulation
Deutsche Bank
Cost of compliance with Regulation
New Fund Costs Infrastructure Costs
Initial Margin Operational Costs

Variation Margin (Cash) Operational Risks
CCP Charges IT Costs
Asset Transformation Charges Regulatory Reporting Costs
Business Impact
Develop
Lobby Restructure Capital
Efficiencies
Deutsche Bank

Cost of Client Clearing for End Users
 Commercial terms agreed on bespoke basis between Client and Clearing Broker. Central Clearing of End User
transactions will generate costs that must be passed through to End User or subsidized by Clearing Broker
 Clearing House Initial Margin requirements are non-zero and conservative

 Methodologies are generally VaR based and Initial Margin calculated at portfolio level
 Interest rate paid on cash posted may be less than Fed Funds/OIS
 Custodial charges may apply to securities posted
 Client Clearing Transaction and Facility Fees

 Transaction fees are the most common charges and originate from both Clearing House and Clearing Broker
 Clearing Broker fee typically waived by Clearing Broker if trade execution occurs in-house
 Fees generally applied upfront once transaction has been registered at Clearing House, and billed on monthly basis
 Fees may be fixed per transaction or based on product, market, notional, tenor and/or risk level
 Volume discounts may apply for both Clearing House and Clearing Broker fees
 Clearing Broker may set minimum monthly fee level and/or warehouse fee for providing the Client Clearing facility
 Onboarding logistics to connect to Clearing Brokers and Clearing Houses

 Process Reengineering: Resource allocation to ensure client systems, custodians, administrators and vendors are fully
integrated and prepared for Client Clearing flows
 Legal and Compliance: Resource allocation to negotiate Legal agreements with each Clearing Broker and Clearing House, as
well as ensure proper compliance with legislative and regulatory directives
Deutsche Bank
Deutsche Bank
OTC Rates Derivatives

Client Clearing offering
Deutsche Bank
Summary of Clearing House status
Summary of Clearing House Status
LCH SwapClear  SwapClear Client Clearing service is live as of December 2009

(SCM)  Participation from all major Dealers with well established connectivity
 Tried and tested Default Management process <Lehman Brothers default>
 Individual Segregated Account for each client; trades and collateral fully segregated and portable
 Product, currency and tenor eligibility is broadest among the Clearing Houses
 OTC Rates platform is live as of October 2010, and CDS platform launched in December 2009
CME  Based in the United States and Regulated as a Derivatives Clearing Organization by the CFTC
 Trades and collateral are segregated from house account of Clearing Broker and are portable
 Product and market scope for first phase limited to vanilla USD swaps.
 IDCG Client Clearing service is live as of December 2008

IDCG  Based in the United States and Regulated as a Derivatives Clearing Organization by the CFTC
 Recently announced development of OTC Account Class offering, a hybrid agent clearing model
 More stringent membership criteria to be introduced to support new OTC Asset Class.
 Market scope limited to USD
 Limited flexibility on reset/payment frequencies and other trade terms
 LCH is launching FCM model to provide US-based collateral protection.

LCH FCM
 Currently engaging buy and sell side participants to seek input into proposed model
 Regulated as a Derivatives Clearing Organization by the CFTC
Deutsche Bank
Rates Clearing Houses: Key Differences in Structure
Clearing House Membership Criteria to Become a Clearing Broker

CME IRS LCH.Clearnet (SwapClear) IDCG
£125m required in total from all SwapClear
CBs. Each CB’s contribution share
Min USD 2.5m
proportional to its Initial Margin (avg. over
Guaranty Fund Min USD 50m. Then weighted 85% on Risk based according to stress tests
past 3 months), and subject to min £2m.
Contribution margin, 15% on gross notional. designed to respond to
1 (However Default Fund available is £591m
market conditions and profile
as of Mar-10, as it combines other
products.)
$1bn adjusted net capital2 As set by the Risk Committee from time
Capitalization plus sufficient excess to cover CB’s pro- Net Capital of USD 5bn to time. Currently $300m;; with CB’s
rata share of largest IRS CB’s default. trading limit at 1/3 of capitalisation.
Ability & Commitment to Required to bid on portfolios auctioned.

Required to bid on portfolios auctioned
New CBs must demonstrate ability to No requirement for all CBs to bid on
Participate in Default (and have expertise to hedge, liquidate and
participate before commencing clearing. auctioned portfolios.
Management Process facilitate process).
Outstanding IRS portfolio of $1tr notional.
Regular partial and front-to-back fire drills

Must stress test exposures, monitor risk Must demonstrate ability to act as a
Risk Management / test both SwapClear and the CBs’ ability to
and screen clients’ credit & suitability. CB. Also competent back-office
Operational Capabilities implement the process.
Must demonstrate ability to act as a CB. personnel required (or outsourced)
Adequate back-office.
Approvals Required Must be registered with the CFTC as a Local regulator authorizations for bank FCM registration,
Include… FCM CBs. if conducting client clearing
Deutsche Bank

Default protection and Margin segregation
Protective Features
Principal Component Analysis based on VaR (7day, 99.7%, 5y) VaR (1day, 99.7%, 6m)
Initial Margin (IM) 10yr historic data & stresses Daily back-testing IM relief uses a SPAN compliant
Methodology process
Valuation based on closing curve In respective currency, Valuation based on IDCG discount
Variation Margin (VM) published by CME (based on 3pm EST using LCH’s yield curve Curve, updated constantly through the
snapshot) day.
Margin Collection Once daily; reserve the right to call more Collected Intra-day, Twice daily, and more frequently if
frequently in extreme cases. multiple times (currently 4x) necessary
Frequency
CFTC governed segregated funds Gross Method: Client accounts fully CFTC governed Segregated Funds
treatment for client margin in new “OTC segregated from each other at the LCH treatment (i.e. any client margin
Derivative Sequestered Account Class” Net Omnibus Method: Lower IM required retained at the CB must be kept in
due to netting (across clients in the same segregated client accounts per CFTC
CB must charge full margin from each omnibus account), but all clients in the Rule 1.25.)
Margin Segregation client, and post full margin to the CME. account must use same back-up CB.
Additional IM (if any): can be stored at the CB must charge full margin from each
LCH, to augment the Gross method only. client, but posts net (with offset
benefits across its clients) to the
clearing house.
Yes, if CB defaults due to a client of the None, except within the Net Omnibus Yes, if CB defaults and a client
Loss mutualisation (i.e. CB defaulting, then (after utilizing all IM account (if Net Omnibus Margin Method is defaults, then clearing house may
impact of default of and Guaranty Fund contributions of the used) access the margin of all remaining
other clients of the same defaulted CB) CME may access the clients (on a pro-rata basis) of the
CB) margin of all remaining clients (on a pro- defaulted CB.
rata basis) of the defaulted CB.
Deutsche Bank

Client Clearing overview
OTC Counterparty Evolution: From Bilateral to Intermediation to Client Clearing
 Bilateral: Client executes array of Over The Counter Rates Derivatives with many Dealers
Libor
Client Dealer A
Fixed
Long Option
Client Dealer B
Short Option
 Intermediation: Prime Broker steps in to Client trades and faces Dealers

Libor Libor
“Prime
Prime
Client Dealer A
Broker”
Broker
Fixed Fixed
Long Option Long Option
Prime
Client Broker
Dealer B
Short Option Short Option
 Client Clearing: Clearing Broker registers Eligible Client trades at the Clearing House
Libor Libor Libor

Clearing Clearing Dealer
Client Broker House A
Fixed Fixed Fixed
Credit Protection
Deutsche Bank
Client Clearing overview
Gap Risk Issue: Greater Counterparty Risk From Ineligible Trades
 Assume Initial Margin Requirement = [ Delta x 10 ] Clearing House IM = 1m
 Client Net Portfolio Δ = +10k
IRS Δ = -100k IRS Δ = -100k
Clearing Clearing
Detail Client Swaptions Δ = +80k Broker House
 Transactions between Client FRAs Δ = +30k
and Clearing Broker result from
direct execution and/or Credit Protection on IRS Δ = -100k
Intermediation
Clearing House IM = 1m
Cleared Δ = -100k Cleared Δ = -100k

Summary Clearing Clearing
Client
Bilateral Δ = +110k Broker House
 Eligible transactions registered
at the Clearing House, ineligible
transactions remain bilateral
Credit Protection on IRS Δ = -100k
Clearing House IM = 1m
Net Gap Risk Cleared Δ = -100k

Clearing Clearing
Client Net Gap Risk Δ = +110k Broker House
 Client Portfolio only has 10k of
gap risk, but bilateral gap risk
has increased to 110k due to
limited Clearing House product Credit Protection on IRS Δ = -100k
eligibility
Deutsche Bank
Deutsche Bank
OTC Credit Derivatives

Client Clearing offering
Deutsche Bank
 Dealer clearing since March 2009, 95+% of new eligible trades cleared
ICE Trust
 Client clearing “live” on 12/14/09, but in process of converting to FCM model, which is
expected to go live July 2011
 Dealer clearing “live” on 12/15/09

CME
 Client clearing “live” on 12/15/09
 CME has indicated the intention to develop European offering
 Dealer clearing since July 2009

ICE Clear
 Client clearing target go live Summer 2011
 Dealer clearing live since July 2009, little volume

Eurex
 Eurex is still interested in developing Client clearing but has abandoned dealer to
dealer clearing
 Dealer clearing live since March 2010 with four French dealers
LCH Clearnet
 Working on expanding dealer participation
 Intention to build client clearing platform as well
Deutsche Bank

ICE vs. CME: Differences in Structure*
Key Difference ICE Trust ICE Clear CME
Model Agency Model PB Intermediation Model Agency Model

Structure CM guarantees performance of, and acts as Client has a legally binding trade facing DB CM guarantees performance of, and acts as
agent for Client and DB has a legally binding trade facing ICE agent for Client
Client has a trade facing ICE Trust via its Clear as a principal (DCM) Client has a trade facing the CME via its agent
agent
Membership Min. Adjusted Net Capital of $1 bn. $5Bn of Tier 1 capital

Requirements A rating 1. Non-bank – Min. Adjusted Net Capital of
$500 mm
2. Bank – Tier1 Capital of $5 bn
Client Margin Partial mutualization: Partial mutualization: Full mutualization:

Segregation Client losses may only be mutualized across Client losses may only be mutualized across Client losses may be mutualized across the
the Net Account which is the client margin the Net Account which is the client margin full amount of client initial margin.
calculated across all client positions. calculated across all client positions.
Any margin in excess of this amount cannot Any margin in excess of this amount cannot be
be used to mutualize losses. used to mutualize losses.
Margin Stress based approach Same as ICE Trust Stress based approach
Methodology Factors considered are Spread Dynamics, Factors considered are Systematic Risk,
Liquidity Charges, Concentration Charges, Curve Risk, Spread Convergence/Divergence
Basis Risk, Jump to Default and IR Risk. Risk, Sector, Idiosyncratic and Liquidity Risk.
Documentation Documentation for ICE Trust FCM Model • ISDA Master / CSA • Futures & Options Agreement
has not been finalized. • ICE Clear Standard Terms Annex to ISDA & • Addendum to F&O Agreement & Schedule
Schedule • Give-up Agreement
• ICE Clear DCM Standard Terms Annex &
Addendum/Side Agreement
DB Legal Entity Deutsche Bank Securities Inc. (DBSI) as Deutsche Bank AG (DBAG) as DCM Deutsche Bank Securities Inc. (DBSI) as FCM
FCM
* Subject to Change – Offerings would need to be changed to comply with rule-making under Dodd-Frank Act.
Deutsche Bank

ICE vs. CME: Differences in Operational Process*
Key Difference ICE Trust ICE Clear CME
Confirmation Trade is confirmed on ICE Platform Trade is confirmed on ICE Platform Trade is confirmed on CME Platform
Trades are submitted to DTCC as Gold-like All trades are confirmed in the DTCC Trades are submitted to DTCC as copper
records for reporting and Credit Event Confirmation Warehouse records
processing purposes
Settlements Daily CDS Settlements Standard CDS Settlements Daily CDS Settlements
• Upfront Fee settles T + 1 • Upfront Fee settles T + 3 • Upfront Fee settles T + 1
• Daily coupon settlements with VM • Standard quarterly coupon • Daily coupon settlements with VM
• Monthly Fee Billings settle separately from • Monthly Fee Billings settle separately from • Monthly Fee Billings settle separately from
Margin Margin Margin
Affirmation ICE Link ICE Link Clearport

VCON VCON VCON
MarkitWire MarkitWire MarkitWire
Compression Optional Netting/ Compression Custom Netting/ Compression Automatic Netting
Clients will have the ability to have all or no Clients will have the ability to select specific All trades are automatically netted at the end
trades compressed at the end of the day trades to compress or have all trades of the day
compress at scheduled time interval
Collateral All Collateral (IM and VM) in segregated Only IM is segregated All Collateral (IM and VM) in segregated
account Non-netted margin call - Coupon accrual/ account
Netted margin call - Coupon payment handled outside of margin Netted margin call – Coupon accrual/payment
accrual/payment included in VM included in VM
Reporting Clients can access reports directly on ICE Clients can access reports directly on ICE Link Clients cannot access report on the CME
Link Platform Platform Platform
• Clearing Activities Report • Clearing Activities Report • Clients receive reports directly from CM and
• Cleared Positions Report • Cleared Positions Report not from the CME platform
• Gross Margin Report • Gross Margin Report • Reports display Total Netted Position and
Daily Trade Activities
* Subject to Change – Offerings would need to be changed to comply with rule-making under Dodd-Frank Act.
Deutsche Bank

Default protection and Margin segregation
Protective Features
ICE CME
 CFTC governed segregated funds treatment for client  CFTC governed segregated funds treatment for client
margin in new “OTC Derivative” 4d Account Class margin in new “OTC Derivative” 4d Account Class
Margin Segregation  Only IM is segregated, IM is held in an omnibus  Both IM and VM are segregated
account across all clients of the Clearing Member (CM)
 Client margin is fully protected in the event of a CM  Client margin is fully protected in the event of a CM
default due to a house position default due to a house position
 Client margin is fully protected in the event of another  Client margin is fully protected in the event of another
Client’s default, that does not cause the CM to default Client’s default, that does not cause the CM to default
Loss mutualisation (i.e.  Client margin is only at risk if another Client at the  Client margin is only at risk if another Client at the Client’s
impact of default of Client’s CM defaults AND causes the CM to default CM defaults AND causes the CM to default
other clients of the  In that event, only the portion of the Client’s initial  In that event, unlike in the ICE model, all of the Client’s
same CM) margin that is Net Margin is at risk, the remainder of the initial margin is potentially at risk
Client’s margin (called Custodial margin) is protected.
Net Margin is equal to the margin computed across all
positions of CM’s clients, with credits for offsetting
trades.
Deutsche Bank
Prime Brokerage example
Step 1: Client executes with many dealers

Benefits
Client Sells Prot on CDX IG
Dealer
Client  Operational efficiency
1.00% A  Portfolio credit risk to one high quality Dealer
 Net margining on positions
Client Buys Prot on CDX HY
 Ability to margin cross products
Dealer
Client
B
5.00%
Step 2: Client gives up trade to a Prime Broker (PB)
Client Sells Prot on CDX IG PB Sells Prot on CDX IG

Prime Dealer
Client
Broker A
1.00%
1.00%
Client Buys Prot on CDX HY PB Buys Prot on CDX HY

Prime Dealer
Client
5.00% Broker 5.00% B
Deutsche Bank
Client Clearing example
Benefits
Step 1: Client executes with many dealers
Client Sells Prot on CDX IG  Operational efficiency

Dealer  Reduction of systemic risk
Client
1.00% A  Avoids requirement to replace trades that
were facing a defaulted bank
Client Buys Prot on CDX HY  Insulates collateral in the Clearing House
Dealer  Enables client positions and collateral
Client 5.00% B portability in case of a clearing broker default
Step 2: Client gives up trade to a central clearing broker (CB)
Client Sells Prot on CDX IG CB Sells Prot on CDX IG CCP Sells Prot on CDX IG
Dealer
Client CB CCP
1.00% 1.00% 1.00% A
Client Buys Prot on CDX HY CB Buys Prot on CDX HY CCP Buys Prot on CDX HY
Dealer
Client 5.00% CB CCP 5.00%
5.00% B
Deutsche Bank
CDS Client Clearing mechanics
ICE / CME (Credit): how it works
Step 1: Client executes with Dealer A
Client Sells Prot on CDX IG

Dealer
Client
1.00% A
Step 2: Client gives up trade to Clearing Broker for Clearing on ICE / CME
ICE / CME Sells Prot on

Client Sells Prot on CDX IG CB Sells Prot on CDX IG CDX IG
ICE / Dealer
Client CB
1.00% 1.00% CME 1.00% A
 Client IM is held in a
segregated Client account
at ICE/ CME. This is
Client has credit risk to Clearing House but Clearing Broker has full risk to Client
separate from Clearing
Broker X’s House account.
Deutsche Bank
Deutsche Bank
Global Foreign Exchange

Client Clearing and Prime Brokerage offering
Deutsche Bank
Foreign Exchange
In development / Not live
 Deutsche Bank participating on the Founding Member board

CME Clearport  Product coverage planned: FX Spot, Forwards, Swaps, NDFs & Options
 Phase One: Spot, Fwds, Swaps to 5 yrs; current CLS currencies initial scope
 Phase Two: FX Options, expand currency pairs
 Membership requirements: TBD
 Deutsche Bank participating member of “ForexClear” project

LCH
 European FX Options with hedging via swaps, forwards, and spot
 Deutsche Bank participating founding member

SGX  Currently clears spot, swaps and forwards in 8 currency pairs with more products and currencies to
be added in the future
 Phase One: Asian FX Forwards (KRW, CNY, TWD, MYR, INR, IDR, PHP) up to 1 yr
 Phase Two: Expanded currency and tenors
**Additional CCPs in Development**
Deutsche Bank
Introduction
FX Clearing and Prime Brokerage
 Global Leader in Foreign Exchange
 FX clearing experience dates back to 1993
 Ranked globally as #1 FX provider with 21% market share for 5 consecutive years by EuroMoney
 Ranked as #1 FX Prime Broker by EuroMoney and FX Week
 Consistent market making, 24 hours a day, executing an average of over 1 million trades globally each day and clearing over 200
thousand tickets
 Access to broadest set of FX products and currency pairs
 FX Clearing Coverage through 4 global centers from Sydney’s open to New York’s close
Deutsche Bank
Proposed market structure
FX
Liquidity Trade Execution Client
•Trade Matching
• Allocations
•Limit Monitoring
dbClear • Client Service
•Single Credit Line
FX • Single Collateral
Relationship
• Single Reconciliation
• Consolidated Reporting
• Single Cash Account
•Bank to CCP Settlements

•Global Trade Repository
•Trade Flow Manager
•Trade Aggregation
CCP CCP CCP

Deutsche Bank
FX execution: Bilateral trading
Client executes and clears with many dealers
Initial Margin
 Trading occurs with multiple counterparties
Currency 1
Dealer  Reconciliation done with each individual
Client dealer
Currency 2 A
 Gross open positions across dealers
Initial Margin
 Multiple collateral placements
Currency 1
 Multiple points of failure possible
Dealer
Client Currency 2 B
Deutsche Bank
FX execution: Prime Brokerage structure
Step 1: Client executes with many dealers  Trading occurs with multiple counterparties
Currency 1  Reconciliation with the prime broker
Client Dealer
 Netted open positions and
Currency 2 A
collateral requirements
Currency 1
Dealer  Reduced points of failure
Client Currency 2 B
Step 2: Client gives up trade to a prime broker

Initial Margin
Currency 1 Currency 1
Prime Dealer
Client
Currency 2 Broker Currency 2 A
Initial Margin
Currency 1 Currency 1
Prime Dealer
Client
Currency 2 Broker Currency 2 B
CCP CP
Deutsche Bank
FX Intermediation: Central Clearing example
Step 1: Client executes with many dealers  Trading occurs with multiple counterparties
Currency 1  Reconciliation with the CCP
Dealer
Client  Collateral posted to clearing member only
Currency 2 A
 Portfolio credit risk to central counterparty
Currency 1
Dealer  Single point of contact
Client Currency 2 B
Step 2: Client gives up trade to clearing member for clearing through CCP
Initial Margin Initial Margin
Currency 1 Currency 1 Currency 1

Clearing
Client CCP Dealer
Currency 2 Member Currency 2 Currency 2
Deutsche Bank
Deutsche Bank
Listed Derivatives
Client Clearing
Deutsche Bank
Deutsche Bank Listed Derivatives
Product overview
Deutsche Bank’s Global Markets Listed Derivatives business provides exchange traded derivatives execution,
clearing and related services for its customers.
The group provides access to over 70 Global Listed Derivatives exchanges, consistently ranking Deutsche Bank in
the top Global Clearers, and is structured around the following core competencies:
Voice Execution,
Global Clearing Ecommerce Trading & Risk, Liquidity and Global Prime
Trade Ideas &
Services Clearing Connectivity Collateral Brokerage
Research
 Single Global Clearing  autobahn completes the  DB proprietary and risk  Integrated Prime Services  Global cross asset-class
Infrastructure DB electronic execution management systems offering incorporating coverage teams
offering Equity Finance, Listed
 Key processing centres in  Real-time customisable
Derivatives, FX and Fixed  Generating trade flows and
London, Frankfurt, Sydney,  Single screen access to risk infrastructure Income Prime Brokerage trade ideas for customers
New York and London more than 25 Global Listed monitoring customer and
Exchanges market risk management  Market leading web-based
 Managed flow facilities
 Consolidated structure
reporting infrastructure, benefit customers trading
around OTC (CDS, Rates  Enhanced trade order  Flexible and real-time
Global Prime gives on risk
& FX) and Exchange functionality including key reconciliation services customers real-time
Listed Clearing exchange order types and providing customised access to trade and
position information  Access to liquidity, Options
trade algorithms reporting and resolution coverage and block /
 Continued investment in basis trading facilities
 Margin consolidation and
technology and  DB’s Fast FIX facility offers  Efficient Liquidity
infrastructure, ensuring the lowest possible latency management services financing, improving
pricing opportunities
scalable clearing services metrics
Deutsche Bank
Global Clearing Services
 dbClear provides clients comprehensive clearing services through a consolidated global processing
environment and exchange membership structure offering a wide range of benefits including our value added
services such as dbClear reporting for file/statement delivery, dbClear matching and dbClear allocations
 The dbClear Listed Derivatives suite includes dynamic access to data and reports, secure FTP, FIX and
email deliveries plus complete flexibility to customize reports. Our allocations and matching solutions are
market leading products that enable our clients to follow the complete life cycle of a trade in real time, cutting
operation risk to the absolute minimum
 With our Local branches throughout Asia we can provided superior custody and clearing services into
exchanges such as KRX, TAIFEX and NSE in countries with restricted currencies.
 Our international Futures & Options clearing has client facing staff in Sydney, Singapore, Tokyo, London,
Frankfurt and New York. Our consolidated global processing environment and exchange membership
structure offers the following:
 Automated trade management
 Timely and accurate electronic reporting
 Dedicated client service staff
 Consolidated margining
 Position maintenance including first notice days, last trading days and delivery monitoring
 Innovative technology solutions
 Extensive exchange memberships
Deutsche Bank
Re-defining Futures & Options and moving to the real-time model
dbClear Listed Derivatives provides customers with an innovative solution, re-defining the Futures & Options clearing process.
Clients have access to a consolidated view of Execution and Clearing Broker trade status information in real time. Trades are
matched, allocated and exceptions identified intraday instead of next day reducing Operational Risk
Deutsche Bank
Listed Derivatives: Electronic execution
FIX Connectivity for DMA and Care Orders
Deutsche Bank has a number of facilities enabled to accept orders electronically, including:
■ FIX DMA and Care Orders through AutobahnFO and DB Proprietary FIX engines
■ FIX DMA flow from Customer Order Management / Trading system
■ FIX Care Order flow from Customer Order Management / Trading system
■ Care Order flow from Bloomberg EMSX
■ Care Order flow from vendor Portfolio Management systems, including:
– Trading Screen
– Charles River
– Portware
– Bloomberg EMSX
The process for FIX order management, both DMA and Care Orders, is documented to a great level of detail to ensure that the process is
completely automated with the appropriate controls and automated acknowledgements.
Co-location and Proximity Hosting solutions are also enabled ensuring the lowest level of latency when accessing exchanges:
■ CME proximity hosting via UK5 data centre
■ Euronext LIFFE proximity hosting via UK5 data centre
■ Eurex proximity hosting via UK5 data centre
■ NSE and Korea co-location
Deutsche Bank
AutoBahnFO GUI
Fast and flexible access to more than 25 major global electronic exchanges, AutoBahnFO forms a
strategic part of Deutsche Bank’s market leading franchise
■ Complete exchange flexibility including tradable market depth views
■ Seamless provision of services across regions and asset classes
■ 24-7 Global eSupport teams to implement key solutions
■ Single sign-on process, linking all Deutsche Bank autobahn products
■ Compliments Deutsche Bank’s real-time straight through processing capabilities
■ Supports all major order types covered on exchange
■ Key algorithmic trading and synthetic orders types include
■ Volume Weighted Average Price
■ Time Weighted Average price
■ Iceberg style orders, both automated and manual
■ Volume Participation
■ Arrival Price
Deutsche Bank
Listed Derivatives: Matching
dbClear Listed Derivatives Matching : Benefits for Clients

 Manages the entire trade lifecycle from Execution to Settlement
 Connects the Client, Clearing Broker and Executing Brokers in real-time via Traiana© Harmony Network
 Single Client interface for all execution and clearing relationships
 Improves T+0 Transparency for Client and Clearing Brokers in respect to Third Party Broker Executions/Give Ins
 Reduces T+1 breaks and Operational Risk due to increased STP and T+0 Exception Management
 Support for client allocation and average pricing self servicing via Client Portal
dbClear Listed Derivatives Matching : Client Features

 Complete Trade Lifecycle event status via Client Portal (Executed, Affirmed, Allocated, Matched, Cleared, Given-Up)
 Consolidated multibroker execution reports, trade reconciliations and allocations
 Real-time low latency trade notifications and matching
 Automated Allocations/Average pricing via GUI, File or FIX message
 Multiple average pricing and allocation methods supported
 GUI and/or alert based T+0 exception management supported by dedicated Operational team
 Efficient client integration using industry standard or proprietary formats
Deutsche Bank
Listed Derivatives: Allocations
dbClear Listed Derivatives Allocations: Benefits for Clients

 Top-day management of trade allocations increases STP and reduces T+1 breaks and Operational risk
 Automates the Allocation and Give-Out process on an intraday and end of day basis
 Enables a more efficient operational model reducing cost and maximising resources.
 Flexible solutions tailored to the clients optimal Risk management and Operational model.
 Support for FIX, CSV file, GUI and Rules based solutions
dbClear Listed Derivatives Allocations: Client Features

 GUI based Allocations integrated to Deutsche Bank’s core Order Management, eTrading and Post Trade portals
 Allocations can be processed in multiple formats (FIX & CSV file)
 Straight allocation, best-fit average pricing and real average price methodologies supported, enabling equal distribution of trades
across all accounts
 Rules-based allocation methods available
 Market standard instrument identifiers (Bloomberg, RIC and Exchange tickers) supported along with client specific identifiers
 Client Allocation solutions managed by dedicated IT and Operational Integration teams
 GUI and/or alert based T+0 Exception Management supported by dedicated Operational team
Deutsche Bank
Listed Derivatives workflows
Agency and Principal relationships in F&O
Deutsche Bank Securities Inc (US Broker Dealer) - acting as Agent in the US
“Customer agrees that this Agreement shall govern all dealings between Customer and DBSI relating to transactions that DBSI may
execute, clear and/or carry on Customer's behalf for the purchase or sale of futures contracts including foreign futures contracts or
options thereon”

Initial Margin Clearing
Client DBSI Dealer
House
Client Credit
Exposure
Future/Option Transaction (on behalf DB Credit

of the Client) Future/Option Transaction Exposure
Deutsche Bank AG - acting as Principle
“In respect of every Transaction made between us subject to the Rules of an Exchange, we shall, unless otherwise agreed in writing
in relation to a particular Exchange, act as principal in any Transaction with you, and we shall have made (or arranged to have made
through an intermediate broker who may be an Associated Company) on a principal-to-principal basis a matching transaction on the
market”

Initial Margin Clearing
Client DBAG Dealer
House
Matching Transaction Future/Option Transaction (in Future/Option

Clearing Member Name) Transaction
Deutsche Bank
Detailed flow for clients contracting to DBSI
DBSI F&O Clearing Model (acting as Agent) Margin Flows
“Customer agrees that this Agreement shall govern all dealings between Customer and DBSI relating to transactions that DBSI may execute,
clear and/or carry on Customer's behalf for the purchase or sale of futures contracts including foreign futures contracts or options thereon”
DSI TSE
Secured
Initial Margin
Initial
Margin
DBAG Eurex or
LDN LCH
Initial Margin Client Credit
Exposure
Initial Margin
Secured DB Credit
Account Initial Margin Exposure
Initial Margin
Client DBSI CME
Segregated (US Clearing Houses only)
Deutsche Bank
Detailed flow for clients contracting to DBAG London
DBAG F&O Clearing Model (acting as Principle) Margin Flows
“In respect of every Transaction made between us subject to the Rules of an Exchange, we shall, unless otherwise agreed in writing in relation to
a particular Exchange, act as principal in any Transaction with you, and we shall have made (or arranged to have made through an intermediate
broker who may be an Associated Company) on a principal-to-principal basis a matching transaction on the market”
Initial Margin
Initial Margin
Eurex or
Client DBAG
LCH
Initial
Margin
Initial Margin Initial Margin Client Credit

DSI TSE
Exposures
DB Credit
DBSI Initial Margin CME Exposure
Deutsche Bank
Deutsche Bank's solution to Margin protection
Listed Derivatives
DB AG London - Segregation through DBAG FFT Custody account:
 Under German law non-cash collateral is protected in the event of a DB default.

 Securities are held in a DB FFT custody account opened in the name of the underlying customer.
 Collateral is reflected in client’s Listed Derivatives account.
 Clients need to sign a pledge agreement in a addition to a standard Futures and Options agreement.
 This is a live solution with customers.
DB AG London - Segregation through Bank of New York Mellon (BNYM):
DBAG London can also provide Listed Derivatives customers with a 3rd Party margin segregation solution through Bank
of New York Mellon (BNYM). Only collateral to cover Initial Margin balances only can be held in the segregated BNYM.
 A DB account will be opened in the name of each client separately with BNYM.
 Additional margin (Variation margin plus any interest, commissions etc), will be settled directly with and held at DB – as per the
current standard margining process.
 Excess Initial Margin can only be withdrawn from BNYM account on DB’s instruction, except in the event of a DB default.
 Standard margin cut-off times are still applicable.
 Client needs to sign amended Listed Derivatives Clearing agreement and a 3-way Segregated Account Control Agreement.
Deutsche Bank
BONY Margin segregation workflow
Listed Derivatives
1. Margin Settlement 2. Balance data
Request to return collateral

DBAG LDN
Request for BNYM collateral
6. IM Confirmation
Clearing 3.Margin Call
Confirmation
4.Settlement
BNYM
House
Client
Collateral Returned
1. DB settles client omnibus margin call with exchange.

2. BNYM send DB Balance Data for each client account it holds.
3. Any outstanding margin call is then communicated to client.
4. Client confirms Margin settlement details with DB.
5. Client settles Initial Margin Requirement with BNYM.
6. BNYM confirms Initial Margin Coverage to DB.
7. Only DB can request a return of collateral from BNYM to Client (unless DB becomes insolvent).
Deutsche Bank
Deutsche Bank
Risk Waterfalls
OTC Rates and Credit Derivatives,
Listed Derivatives
Deutsche Bank
Default protection
OTC Rates Derivatives: LCH
 125m required in total from all SwapClear CBs. Each CB’s Membership
contribution share proportional to its Initial Margin (avg. over Criteria
past 3 months), and subject to min £2m. (However Default
Fund available is £591m as of Mar-10, as it combines other Variation
products.) Margin
 Portion of LCH’s own capital is £20m
 Level stress tested daily to cover at least a default of the Initial Margin
single largest CB.
 Guaranty Fund size was an estimated total of £591m as of Defaulter’s Default Fund
March –2010 Contribution
 LCH can call up to £50m from each remaining CB for
mandatory additional contributions LCH.Clearnet’s capital & reserves to
£20mm
 Remaining Capital of LCH totalled EUR 305m as of
December –2009
Remaining Default Fund
SwapClear Undertaking (£50mm per SwapClear Member)
Replenishment of LCH.Clearnet’s Capital
Deutsche Bank
Default protection
OTC Rates Derivatives: CME
CME Group
Sized to cover 4 largest defaults
Unfunded
 Funded portion sized to cover 1st and 2nd largest theoretical

losses
General Assessment Powers for IRSa
 Unfunded portion sized to cover 3rd and 4th largest
theoretical losses
IRS Non-Defaulting
CMs Guaranty Fund
Stress Testing
 Stress test covers 99.9% 7-day P/L moves over 5 year back
testing period
CME Contributed Capital
$100M  7 standard deviation shocks to the PCA factors needed to
Funded
reach 99.9% 7-day coverage
Defaulting Member
IRS Guaranty Fund Limited Recourse
 The IRS financial safeguards will operate in a limited
recourse model
Defaulting Member  The portfolios are broken apart in order to margin Futures
IRS Overnight / Initial Margin and IRS separately
a The actual amounts will be based on the four largest net debtor profiles
Deutsche Bank
Default waterfall structure
OTC Rates Derivatives: CME
 Risk of Loss Mutualisation

 If a Clearing Member defaults in the
House account (Lehman), the
collateral of non-defaulted clients of
the defaulted Clearing Member can
NOT be used to cover losses
 If a Clearing Member defaults in the

Client Omnibus, due to the large
default of a client (LTCM), the
collateral of non-defaulted clients of
the defaulted Clearing Member CAN
BE USED to cover losses
Deutsche Bank
Default protection
OTC Rates Derivatives: IDCG
 Each Clearing Member must maintain at least $2.5

million in Guaranty Fund plus Initial Margin based
on portfolio Risk
 The order of liquidity default has multiple levels of
protection:
 1st Protection: The defaulting member’s Initial
Margin plus Member’s Guaranty Fund
contribution. Liquidity supported by a committed
line of credit with current balance of $125 million.
 2nd Protection: IDCG’s $50 million Surplus
Capital
 3rd Protection: Guaranty fund contributions of
non-defaulting clearing members’ (pro-rata based
on member’s required contribution to Guaranty
Fund)
 4th Protection: Final backstop is the clearing
house’s assessment powers requiring a clearing
member capital all to fund any possible residual
loss.
Deutsche Bank

Default protection
OTC Credit Derivatives: ICE
Key Principles
 Hybrid of traditional net and gross margin models
 Best of both: (i) only net margin is at risk and (ii) full amount of gross margin is held at clearing house
 Client margin is fully protected in the event of a FCM default due to a house position
 Client margin is fully protected in the event of another Client’s default, that does not cause the FCM to default
 Client margin is only at risk if another Client at the Client’s FCM defaults AND causes the FCM to default
 In that event, only the portion of the Client’s initial margin that is Net Margin is at risk, the remainder of the Client’s margin (called
Custodial margin) is protected
Risk Waterfall – FCM default due to Client Positions

1. Defaulting Client’s ICE Minimum Margin (Net and Custodial Margin) & excess margin*
2. Defaulting FCM’s Excess Margin in the House Account
3. Defaulting FCM’s Excess Guaranty Fund Contribution
4. Defaulting FCM’s Client Omnibus (limited to the Net Client Omnibus requirement)
5. ICE’s Priority Guaranty Fund Contribution
6. Non-Defaulting CPs’ Guaranty Fund Contribution and ICE’s Pro Rata Guaranty Fund Contribution
* In the event that ICE cannot identify the defaulting Client, ICE will proceed to the next step(s) in the waterfall as necessary to cover ICE obligations to non-
defaulting members. After a defaulting Client is identified, ICE will work with the defaulting CP to identify if any house and/or client omnibus funds should be
recouped from any remaining defaulting Client funds held at ICE
Deutsche Bank
Client Margin Protection - Example
OTC Credit Derivatives: ICE
Snapshot (pre-default):
Risk Waterfall
 FCM-A is clearing for Client-A and Client-B
 ICE Minimum Margin Requirement:
1. Client-B margin (Net & Custodial) $ 2.0MM
 Client-A: $1MM
 Client-B: $2MM 2. FCM-A House Margin $ 500K
 The Net Margin requirement is $300K
3. FCM-A Guaranty Fund $ 500K
Margin Held at ICE
Net Margin $ 300K 4. FCM-A Net Client Omnibus $ 100K
Gross Margin $ 3MM

5. ICE Priority Guaranty Fund $ 900K
FCM-A House Margin $ 500K
FCM-A Guaranty Fund $ 500K
6. Non-Defaulting FCMs GF / ICE Remaining GF $0
Defaults: 7. One Time Assessment $0

 Client-B defaults and FCM-A is unable to cover the losses
 Net margin is at risk in the event of a Client default
 ICE declares FCM-A in default in their Client Account
 Client-A’s Custodial Margin ($900K) is not available for use
 Total Losses are $ 4MM in the event of a default
 Net Margin to Gross Margin ratio is 10%  FCM-A House Margin and Guaranty Fund are available to
 Client-A’s funds in Net Margin is $ 100K, Custodial Margin the extent that the margin was not needed to cover losses
is $ 900K in its own House account
Deutsche Bank
Default protection
OTC Credit Derivatives: CME
Key Principles
 CME has changed their waterfalls to be separate waterfalls for each product (one CDS waterfall, one rates waterfall, one futures
waterfall) rather than the commingled waterfall originally proposed
 Client margin is fully protected in the event of a FCM default due to a house position
 In that event, unlike in the ICE model, all of the Client’s initial margin is potentially at risk

1. Defaulting Client’s CME Minimum Margin & excess margin
4. Defaulting FCM’s Client Omnibus (Pro-Rata based on Client’s Contribution to Margin Pool)
5. CME’s Guaranty Fund Contribution
6. Non-Defaulting FCMs’ Guaranty Fund Contribution or Assessment Powers
Deutsche Bank
Client Margin Protection – Example 1
Scenario:
Risk Waterfall
 FCM-X is clearing for Client-A, Client-B and Client-C
Remaining
 Clients A, B and C trade CDS and have posted margins as Waterfall Margin
loss/excess
follows:
Client-A Client-B Client-C Total 1. Client-A $ 3.0 MM -$ 2.0MM
$3 MM $2 MM $6 MM $11MM 2. Excess Collateral in House Account $ 3.0 MM +$ 1.0MM

 Client A defaults and FCM-X is unable to cover the losses 3. Client-B Margin $ 2.0MM No impact
 CME declares FCM-X in default in its Client Account and 4. Client-C Margin $ 6.0MM No impact
liquidates its House positions
 Losses associated with liquidation of House positions are
less than the sum of FCM-X margin and FCM-X Guaranty
Fund contribution and there is excess collateral of $3 MM
 Total losses due to Client – A default are $5 MM
FCM-X Client-A
Aggregated
Client-B
Customer Account
Loss Allocation: CME Clearing

Client-C
House Account
 Excess collateral of $3 MM is available to absorb losses
due to liquidation of Client-A’s positions
 Client-B and Client-C margins are not impacted by looses
due to Client-A positions
In default
Deutsche Bank

Scenario:
Risk Waterfall
Remaining
 Clients A, B and C trade CDS and have posted margins as Waterfall Margin
loss/excess
follows:
1. Client-A $ 3.0 MM -$ 2.0MM
Client-A Client-B Client-C Total
$3 MM $2 MM $6 MM $11MM 2. Excess Collateral in House Account $ 1.0 MM -$1.0MM
 Client A defaults and FCM-X is unable to cover the losses 3. Client-B Margin $ 2.0MM $1.75MM
 CME declares FCM-X in default in its Client Account and 4. Client-C Margin $ 6.0MM $5.25MM
less than the sum of FCM-X margin and FCM-X Guaranty
Fund contribution and there is excess collateral of $1 MM
 Total losses due to Client –A default are $5 MM FCM-X Client-A
Aggregated
Client-B
Customer Account
Loss Allocation: CME Clearing
Client-C
 Excess collateral of $1 MM is available to absorb losses House Account
due to liquidation of Client-A’s positions

 Client-B and Client-C margins are mutualised across
Client-B and Client-C margins, with Client B and Client-C
absorbing $0.25 MM and $0.75 MM of losses respectively
In default
Deutsche Bank

Scenario:
Risk Waterfall
 Clients A, B and C trade CDS and have posted margins as Remaining
Waterfall Margin
follows: loss/excess
$3 MM $2 MM $6 MM $11MM 2. Excess Collateral in House Account $ 0.0 MM -$ 2.0 MM
 Client A defaults and FCM-X is unable to cover the losses 3. Client-B Margin $ 2.0MM $1.5 MM
 CME declares FCM-X in default in its Client Account and 4. Client-C Margin $ 6.0MM $4.5 MM
greater than the sum of FCM-X margin and FCM-X
Guaranty Fund contribution and there is no excess collateral
Aggregated
Client-B
Customer Account
CME Clearing
Loss Allocation:
Client-C
House Account
 Excess collateral is not available to absorb losses due to
liquidation of Client-A’s positions
 Losses associated with Client-A positions are mutualised
across Client-B and Client-C margins, with Client B and
Client-C absorbing $0.5 MM and $1.5 MM of losses In default
respectively
Deutsche Bank

Scenario:
Risk Waterfall
 Clients A, B and C trade CDS and have posted margins as Remaining
Waterfall Margin
follows: loss/excess
$3 MM $2 MM $6 MM $11MM 2. Excess Collateral in House Account $ 0.0 MM -$ 2.0 MM
 Client A defaults and FCM-X is unable to cover the losses 3. Client-B Margin $ 2.0MM $1.5 MM
 CME declares FCM-X in default in its Client Account and 4. Client-C Margin $ 6.0MM $4.5 MM
greater than the sum of FCM-X margin and FCM-X
Guaranty Fund contribution and there is no excess collateral
Aggregated
Client-B
Customer Account
CME Clearing
Loss Allocation:
Client-C
House Account
 Excess collateral is not available to absorb losses due to
liquidation of Client-A’s positions
 Losses associated with Client-A positions are mutualised
across Client-B and Client-C margins, with Client B and
Client-C absorbing $0.5 MM and $1.5 MM of losses In default
respectively
Deutsche Bank

Default Protection
Listed Derivatives: TSE
Key Principles
 FCM Client Account separate from FCM House Account
 Client Account margined Net across all clients (i.e. DB receive in gross from clients and pay net to the clearing house)
 Client margin in the Client Account is fully protected in the event of a FCM default due to a house position
 In that event, only the portion of the Client’s initial margin that is Net Margin is at risk, the remainder of the Client’s margin will be
moved on to another FCM.

1. Defaulting Client’s Minimum Margin & excess margin
3. Defaulting FCM’s Excess Default Fund Contribution
5. TSE’s Default Fund Contribution
6. Non-Defaulting Members’ Default Fund Contribution
Deutsche Bank

Default Protection
Listed Derivatives: LCH
Key Principles
 FCM Client Account separate from FCM House Account
 Client Account margined Net across all clients (i.e. DB receive in gross from clients and pay net to the clearing house)
 Client margin in the Client Account is fully protected in the event of a FCM default due to a house position
 In that event, only the portion of the Client’s initial margin that is above Net Margin is at risk, the remainder of the Client’s
margin will be moved on to another FCM.

1. Defaulting Client’s Minimum Margin & excess margin
3. Defaulting FCM’s Excess Default Fund Contribution
5. LCH’s Default Fund Contribution
7. Voluntary re-contribution to the Default Fund from members
Deutsche Bank

Default Protection
Listed Derivatives: Eurex
Key Principles
 FCM Client Account commingled with FCM House Account in one account
 Account margined net.
 Client margin is not protected in the event of a FCM default due to a house position
 Client margin is at risk if another Client at the Client’s FCM defaults AND causes the FCM to default
 June 2011: Eurex plan to offer variety of client margin segregation solutions
Risk Waterfall – Member Default

1. Defaulting Members Margin
2. Defaulting Members Clearing Fund Contribution
3. Reserve Fund of Eurex Clearing AG
4. Clearing Fund Contribution of other members
5. Liable Equity of Eurex Clearing AG
Deutsche Bank

Deutsche Bank
Risk Waterfalls comparison

Current CME FCM and LCH SCM models,
proposed CFTC collateral models
Deutsche Bank
Collateral Segregation – “Omnibus Account”
FCM model (Based on current CME FCM model)
Market Omnibus Account

Client collateral co-mingled in omnibus account segregated from FCM accounts.
Risk: Client funds at risk of being used in event of default of FCM.
Characteristics:
- Shared omnibus structure
- No segregation from other counterparties
- Segregated / bankruptcy remote from CCP and FCM
- Sequestered account held physically at third party custodian (e.g. BONY for Deutsche Bank)
Key Considerations:
- Maximal margin compression for OTC Rates or Credit (compared to individually segregated accounts for a
single asset class)
Deutsche Bank
Key Risks
FCM model (Based on current CME FCM model)
1) Membership criteria and Assessment risk / Limited liability (FCM)

- CME to potentially reduce from USD 1bn capital to USD 50mn capital
- CME can call members for mandatory additional contributions of a total of 250% of the combined Guaranty Fund.
2) Collateral Segregation(CCP)
- As per existing current account structure, client funds at risk of being used in event of default of FCM
3) Eligible collateral and haircuts (CCP)
- Risks on the collateral pool:
1. haircuts are inside the market  should be assessed daily
e.g. defaulting Government bonds: applied haircut is 10%, but the market implies 30%
2. wrong-way risk / speed of burn
e.g. a Fund Manager puts up its own paper as collateral. However, Clearing Members would prefer collateral that is diversified, e.g. unrelated
to the Fund Manager. Collateral held
in Sequestered
Account
Total collateral for Clearing Member acting as FCM: FCM only accepts 50% of
Excess margin
FM’s collateral obligations
N.B.: CCP applies a 50% limit on FM’s as FM paper
paper posted as collateral (overall) FM  risk limited to 50% Default
risk becomes much broader Client A Guaranty fund
 accelerated SPEED OF BURN! CME
Contributed
Speed of burn Capital
Client B Client F
Segregated /
bankruptcy
Client C Client E remote barrier
for OTC Rates
Client D
Deutsche Bank
Account structure
SCM model (Based on current LCH SCM model)
Option 1: Individual Segregated Account (ISA) Less

Client collateral is segregated and margined separately from other clients of SCM.
Full protection in the event of the default of SCM and/or clients of SCM
Option 2: Omnibus Net Segregated Accounts – affiliates (OSA)

Clients have option to set up an OSA dedicated to multiple funds at the Fund Managers discretion.
All clients of OSA must appoint same back-up SCM to ensure portability of collateral in the event of a
Risk to client
default of SCM.
Risk: Additional margin called by SCM but not lodged at LCH, not protected by LCH Clearnet rules.
Option 3: Omnibus Net Segregated Accounts – non affiliated clients

Client can opt to be have an OSA where accounts are co-mingled with accounts of other clients of the
SCM, who controls participation in OSA.
Risk: Additional margin called by SCM but not lodged at LCH, not protected by LCH Clearnet rules.
More
Additional Collateral Account:
 Additional margin posted by a client can be lodged separately at the LCH.
 Clearing member will provide a breakdown by assets lodged in this account by client and this will be used by
the LCH to identify client collateral in the event of a SCM default.
 Collateral held in this account is fully protected in the event of the default of the SCM.
 Additional margin called by SCM, but not posted in the Additional Collateral Account would not be protected by
LCH rules in the event of the default of the SCM.
Deutsche Bank
Key Risks
SCM model
1) Loss Mutualisation (in event of SCM default)

- Loss mutualisation does not occur between individual or omnibus net segregated client accounts. However loss
mutualisation can occur between all clients in a single omnibus net segregated account in the event of a SCM default.
2) Clearing House declared insolvent

- In the event the LCH default waterfall has been exhausted following the default of clearing member(s) and is
insufficient to meet the obligations of the clearing house, they would then be declared insolvent and at that point client
collateral is at risk as the Clearing Member would be classed as an unsecured creditor of the clearing house.
- It should be noted that when Lehman’s defaulted only 35% of Lehman’s initial margin was utilised across all products
cleared at the LCH.
Deutsche Bank
Collateral models proposed by the CFTC
Summary
 CFTC has proposed an Advanced Notice of Proposed Rulemaking (“ANPR”) where it has asked market participants to comment
on the following 4 kinds of collateral models for protection of client margins for OTC derivatives
Baseline Waterfall Method Legal Segregation with Individual Segregation

Commingling (“LSOC”)
Client Client collateral held at the Same as Baseline Same as Baseline All collateral is kept separate for
Account CCP* on an omnibus level i.e., and on behalf of the cleared
Structure client margin is commingled swap client at the CCP
with margins posted by other
customers of the FCM
CCP CCP has recourse to collateral Same as Baseline Collateral of non-defaulting Same as LSOC
Recourse and posted by non-defaulting clients is NOT available to the
Loss clients in the event of FCM CCP in the event of FCM
Mutualization default due to default of one of default due to default of one of
its customer its customers
Position in the Collateral of non-defaulting Collateral of non-defaulting Collateral of non-defaulting Same as LSOC
Risk Waterfall customers available for customers available for clients is not in the Risk
recourse BEFORE CCP recourse AFTER CCP Capital Waterfall
Capital and Guaranty Fund and Guaranty Fund
contributions contributions
Operational Low Low Low High

and
compliance
costs
Initial Margin Low High Highest Highest
Deutsche Bank
Collateral models proposed by the CFTC (contd.)
Summary or risk waterfalls
Baseline Model - FCM default due to Client Positions
1. Defaulting Client’s minimum margin & excess margin
2. Defaulting FCM’s excess margin in the House Account
5. CCP’s Capital Contribution
6. Non-Defaulting FCM’s funded Guaranty Fund Contribution or Assessment Powers (unfunded )
Waterfall Model - FCM default due to Client Positions

2. Defaulting FCM’s excess Margin in the House Account
5. Non-Defaulting FCM’s funded Guaranty Fund Contribution or Assessment Powers (unfunded) *
LSOC & Individual Segregation Models - FCM default due to Client Positions
2. Defaulting FCM’s excess Margin in the House Account
5. Non-Defaulting FCM’s funded Guaranty Fund Contribution or Assessment Powers (unfunded)
* It is unclear whether the CCP will have recourse to Defaulting FCM client omnibus before or after exhausting the unfunded portion of the Guaranty Fund
contribution
Deutsche Bank
Baseline model example
Scenario:
Risk Waterfall
 FCM-X is clearing for Client-A, Client-B and Client-C
 Clients A, B and C trade CDS and have posted margins as Remaining
Waterfall Margin
follows (for illustration purposes only): loss/excess
Client-A Client-B Client-C Total 1. Client-A $ 30 MM ($ 22 MM)
$30 MM $20 MM $50 MM $100 MM
 Client A defaults and FCM-X is unable to cover the losses 2. Excess Collateral in House Account $ 1 MM ($ 21 MM)
 CCP declares FCM-X in default in its Client Account and 3. Client-B Margin $ 20 MM $14 MM
 Total losses associated with liquidation of House positions are 4. Client-C Margin $ 50 MM $35 MM
less than the sum of FCM-X margin and FCM-X Guaranty Fund
contribution and there is excess collateral of $1 MM
 Total losses due to Client-A default are $22 MM, after Initial
Margin of $30 MM is fully exhausted
 CCP capital of $4 MM
FCM-X Client-A
 CCP Guaranty Fund contribution of $20 MM (excluding Guaranty
Fund contribution of FCM-X)
Aggregated
Client-B
Customer Account
CCP
Client-C
House Account
Loss Allocation:
 Losses associated with liquidation of Client-A are first
offset against excess collateral of $1 MM available from
liquidation of House positions of FCM-X
In default
 Remaining loss of $21 MM is mutualised across Client-B
and Client-C margins, with Client B and Client-C
absorbing $6 MM and $15 MM of losses respectively
Deutsche Bank

Waterfall model example
Scenario:
Risk Waterfall
Waterfall Margin
Client-A Client-B Client-C Total 1. Client-A $ 40 MM ($ 12 MM)
$40 MM $30 MM $70 MM $140 MM
 CCP declares FCM-X in default in its Client Account and 3. CCP Capital $ 4 MM ($ 7 MM)
 Total losses associated with liquidation of House positions are 4. CCP Guaranty Fund contribution $20 MM $13 MM
5. Client-B Margin $30 MM No impact
contribution and there is excess collateral of $1 MM
 Total losses due to Client-A default are $12 MM, after Initial 6. Client-C Margin $70 MM No impact
Margin of $40 MM is fully exhausted
FCM-X Client-A
Aggregated
Client-B
Customer Account
CCP
Loss Allocation: Client-C
House Account

 Remaining loss of $11 MM is offset against the CCP
In default
contributed capital of $4 MM, leaving a loss balance of $7
MM
 Balance is offset against CCP Guaranty Fund contribution
Deutsche Bank

LSOC / Individual segregation model example
Scenario:
Risk Waterfall
Waterfall Margin
Client-A Client-B Client-C Total 1. Client-A $ 45 MM ($7 MM)
$45 MM $35 MM $80 MM $160 MM
 CCP declares FCM-X in default in its Client Account and 3. CCP Capital $ 4 MM ($2 MM)
 Total losses associated with liquidation of House positions are 4. CCP Guaranty Fund contribution $20 MM $18 MM
contribution and there is excess collateral of $1 MM ** CCP cannot use the collateral attributable to the non-defaulting customers
of the defaulting FCM and such collateral is not available as a default
 Total losses due to Client-A default are $7 MM, after Initial Margin resource in the Risk Waterfall
of $45 MM is fully exhausted
FCM-X Client-A
Aggregated
Client-B
Customer Account
CCP
Loss Allocation: Client-C
House Account

 Remaining loss of $6 MM is offset against the CCP
In default
contributed capital of $4 MM, leaving a loss balance of $2
MM
 Balance is offset against CCP Guaranty Fund contribution
Deutsche Bank

Deutsche Bank
Key Risk Management
Deutsche Bank
Deutsche Bank Legal, Risk & Capital (LRC)
A global Organisation
1,508
621
638 715 456
North Cont.
America UK Europe Asia
15.2% 15.6% 17.4% 11.1%
GER
36.8%
75
11
MENA Japan
0.3% 1.8%
16 50
South 8 Pacific
America Sub-Sahara 1.2%
0.4% Africa
0.2%
4,098 employees (FTE) worldwide

FTE, January 2011
Deutsche Bank
89
Legal, Risk & Capital
Principles
 Our Management Board provides overall risk & capital management supervision for our consolidated Group
as a whole. Our Supervisory Board regularly monitors our risk and capital profile
 We manage credit, market, liquidity, operational, business, legal and reputational risks as well as our capital
in a coordinated manner at all relevant levels within our organization
 The structure of our function is closely aligned with the structure of our Group Divisions
 The Legal, Risk & Capital function is independent of our Group Divisions
Deutsche Bank
90
Legal, Risk & Capital (contd.)
Tasks at Deutsche Bank
Values
Customer
Performance Innovation Trust Teamwork
Focus
Building Blocks
Organisation Systems Methodology People

& & & &
Process Infrastructure Tools Culture
Independence Policies Standards Limits Research Training Communication

with regulators
Tasks
To exercise To establish a To set To set To research To develop To dialogue with

independent coherent standards for appropriate and develop and regulators, rating
monitoring of all framework of risk limits for risk better risk implement agencies and
risks relevant information taking across methodologies internal & external equity
policies and reporting the firm compliance analysts to
risk training improve external
perception
Deutsche Bank
Integrated Risk Management
Legal, Risk & Capital strives to enhance shareholder value and protect Deutsche Bank's capital, integrity, and reputation by
providing our business partners with innovative solutions.
Deutsche Bank is exposed to a wide range of risks, such as credit losses, volatility due to variation in market prices and rates,
operational failures, liquidity shortages and regulatory & legal matters. LRC manages all aspects of these risks from the analysis of
counterparty credit risk and the stress-testing of market movements to the protection of the Bank's infrastructure and information.
MARKET RISK MANAGEMENT

MARKET RISK
Arises from the uncertainty concerning changes in market prices
and rates.
TREASURY CREDIT RISK MANAGEMENT

LIQUIDITY RISK OPERATIONAL CREDIT RISK
RISK MANAGEMENT
The risk from a potential inability Arises from all transactions that give rise to
OPERATIONAL RISK
of DB to meet all payment actual, contingent or potential claims against
obligations when they come due The loss potential in any counterparty.
relation to employees,
infrastructure failure, We split into:
Additional responsibility:
documentation etc. Default risk, Country risk and Settlement risk
Capital & Funding Management
LEGAL & COMPLIANCE

REPUTATIONAL RISK
The threat that publicity concerning a transaction,
counterparty
or business practice involving a client will negatively impact
the public’s trust in DB
Deutsche Bank
Risk Management Tools
Expected Economic Value-at- Stress

Loss… Capital… risk... Testing…
is the loss we can is the capital we is the potential determines the
expect on a one need to absorb very future loss that, effect of potentially
year time frame severe unexpected under normal extreme
based on historical losses arising from market conditions, circumstances
experience our exposures will not be
exceeded on a 99%
confidence interval
for one (internal)
and ten (regulatory)
days
Regulatory Risk Reporting
Deutsche Bank
CRM’s Organisational set up
Key Credit processes
― Each borrower must be rated

RATING ― Basis for correct risk appetite determination
― Methodology is stipulated by Credit Rating Policy
― Bank may set portfolio risk appetites for specific business divisions, industries, countries, specific
APPETITE products and individual counterparties to ensure diversification and avoid concentration
― Divisional Risk units are responsible for analysis, structuring, approval and ongoing monitoring of
STRUCTURING/
individual exposures or transactions
ORIGINATION ― Divisional Credit Strategies are reviewed closely with the front office
― Credit decisions generally made by Credit Authority Holders

― Authorities assigned based on qualification, experience and training & reviewed periodically by GCPC
APPROVAL/
― Credit approval required for material change to credit facility
AUTHORITY ― Large/Complex transactions referred to underwriting committee
― Exposure consolidated under one obligor principle
― Special de-risking units are key part of Bank’s overall risk management process
― Risk transfer executed in various forms (outright sales, single/portfolio hedging, securitisations etc.)
DISTRIBUTION ― De-risking conducted by the respective business units (e.g. LEMG) in accordance with GCPC
approved mandates
― Active monitoring and management is an integral part of Credit Risk Management

MONITORING ― Performed by CRM risk units in cooperation with Portfolio Management
― Interaction with other functions e.g. LEMG, CPM, TCP etc.
Deutsche Bank
Assessing potential future exposure of derivatives
 As the replacement values of derivatives portfolios fluctuate with movements in market rates and with
changes in the transactions in the portfolios, we also estimate the potential future replacement costs of the
portfolios over their lifetimes or, in case of collateralized portfolios, over appropriate unwind periods. We
measure the potential future exposure against separate limits.
 The potential future exposure measure which we use is generally given by a time profile of simulated positive
market values of each counterparty’s derivatives portfolio, for which netting and collateralization are
considered. For limit monitoring we employ the 95th quantile of the resulting distribution of market values,
internally referred to as potential future exposure (“PFE”).
 For credit risk management purposes, we perform stress tests to assess the impact of changes in general
economic conditions or specific parameters on our credit exposures or parts thereof as well as the impact on
the creditworthiness of our portfolio.
Deutsche Bank
Management of adverse development of credit risk
 Problem Loans: Credit Risk Management regularly assesses whether there is objective evidence that a loan
or group of loans is impaired. A loan or group of loans is impaired and impairment losses are incurred if
− there is objective evidence of impairment as a result of a loss event that occurred after the initial
recognition of the asset and up to the balance sheet date (a “loss event”),
− the loss event had an impact on the estimated future cash flows of the financial asset or the group of
financial assets, and
− a reliable estimate of the loss amount can be made.
− Credit Risk Management’s loss assessments are subject to regular review in collaboration with Group
Finance
 Derivatives – Credit Value Adjustments:

− We establish a counterparty credit valuation adjustment for OTC derivative transactions to cover
expected credit losses. The adjustment amount is determined by assessing the potential credit exposure
to all counterparties, taking into account any collateral held, the effect of netting under a master
agreement, expected loss given default and the credit risk for each counterparty.
− When the decision to terminate derivative transactions or the related master agreement results in a
residual net obligation owed by the counterparty, we restructure the obligation into a non-derivative claim
and manage it through our regular work-out process.
Deutsche Bank
Deutsche Bank Risk Management
Additional information
A comprehensive description of Risk Management within Deutsche Bank is

given in the SEC Form 20-F, Item 11, which can be found on the Investor
Relations’ homepage:
http://www.deutsche-bank.de/ir/index_e.htm
Deutsche Bank
97
Deutsche Bank
dbClear TradeFinder
Reporting, Margining and Risk analysis
Deutsche Bank
TradeFinder dbClear
The future in cost and risk efficient clearing management
TradeFinder is a cutting-edge suite of tools for portfolio, risk and operational managers. Delivered via a well
established technology platform it provides wide ranging functionality at all stages of the trade lifecycle.
It offers comprehensive portfolio analysis and history with pre and post trade analytics and modelling capabilities
for risk, capital and cash; and full support for all centrally cleared and intermediated trade flows and positions,
including LCH, CME, IDCG, ICE.
With multi-product support across Rates, Credit, FX, Listed Derivatives, including multiple variants of swaps and
swaptions, and high speed navigation and drill down for multiple portfolio perspectives, it offers users the potential
for smarter, faster, improved decision-making.
Data export is versatile, fast and efficient; facilities include FTPS, Excel, flat files and automatic e-mail production
and notification.
Main features
 Comprehensive portfolio analysis with pre and post trade analytics and modelling
 Historical, daily and intraday portfolio position tracking
 Initial and variation margin call explanation for multi-asset portfolios
 Historical and daily fee and billing reports
 Portfolio risk and future cash flow analysis CFaR ™
 Portfolio risk and clearing management dbRiskClear ™
Deutsche Bank
TradeFinder dbClear
Navigation and general functionality
tradefinder.db.com
Deutsche Bank
TradeFinder dbClear
Navigation and general functionality (contd.)
Reports and analytics are accessed via the navigation bar or the fast navigation icon. The summary section
lists all available portfolios and reports on aggregate portfolio level. A detailed analysis is obtained by
selecting a portfolio. All displayed tables can be exported to an Excel sheet or an additional browser popup
window. For historical browsing of reports the date selection field is used.
Fast navigation icons

leading to detailed reports Portfolio Selection in the Date selection field for
summary section. historical browsing
Navigation bar Excel export Show table in

popup
window
Details for selected portfolio
Deutsche Bank
Portfolio Position Tracking
Overview
Daily, updated reports show trade details, pricing and clearing information across all
major Clearing Houses and enable managers to track portfolio performance accurately
and efficiently. Key functionality includes:
 End-of-day full reporting of position details
 Intraday reporting on the status of trades clearing status changes
 Portfolio change history tracks trade additions, unwinds and amendments
 Multi-product capabilities and product specific reports (Swaps, Swaptions, Interest

Rate Futures and Options, Bonds, Bond Futures and Options, FX Options) with
expanding product range
 Historical portfolio position tracking via archiving functionality
Deutsche Bank
Portfolio Position Tracking (contd.)
End of Day report shows all open positions as of close of business for the selected date. Portfolio positions
are displayed in product-specific reports with sub-product type filtering functionality. Excel export provides
additional trade details and cash settlement related information (trade MTMs, coupons, accruals, fees, cash
settlements, variation, PAI). An expanded trade detail view is available for each product-specific report.
Press to display selected product specific report only Date Selection for historical browsing Excel export with all product
specific end-of-day reports and
an overall report including all
trade detail columns available
across product types
Beyond trade details, the Excel

sheet shows trade MTMs,
coupons, accruals, fees and
cash settlements, variation, pai.
Sub-product
type filter for
each product
specific table
Show expanded trade detail

view
Product specific excel export

with trade MTM, coupon,
accruals and other cash
settlement related information
Deutsche Bank
Portfolio Position Tracking (contd.)
The clearing status of each trade in the portfolio and newly added trades to the portfolio can be checked in
the intraday report. The portfolio position composition over time is recorded in the change history showing
trade additions, amendments with the corresponding amended notional amount and trade terminations.
Timestamp of intraday request
Intraday clearing status
Filter
Trade Additions, Terminations and Amendments Amended notional amount
Deutsche Bank
Margin Call and Fee Transparency
Overview
TradeFinder dbClear provides the client full historical and intraday transparency of the trade
clearing process through clearing houses and the ability to analyze and manage cross-
product initial and variation margin on individual trade level. Key features are
 Daily updated initial margin and variation margin reporting
 Trade pricing and mark-to-market change reporting
 Variation Margin Explanation and PnL Attribution
 Initial Margin Explanation based on trades’ Greeks
 Margin Call component reporting: collateral and settlement related cash flows
 Daily updated Fee and Billing section
 Historical archiving functionality and flexible historical period reporting
 Drill-down functionality: clearing houses, currency, product class, interest rate bucket and
security level
Deutsche Bank
Margin Call and Fee Transparency (contd.)
The margin call explanation provides an insight into the components of variation and intial margin call. Fast
navigation leads to MTM variation, initial margin, cash balance and settlement related cash flows. The
margin call is sent automatically to the client and can be retrieved on TradeFinder dbClear via Excel export.
Excel export of
Margin Call for
each clearing
house
Fast navigation
to MTM variation,
pa, initial margin
and collateral
page
Deutsche Bank
Initial Margin analysis compares the initial margin charged by each clearing house and portfolio’s delta
exposure to each clearing house. The calculation of the initial margin is explained in detail in a popup
providing an initial margin breakdown down to currency, product type, risk bucket and trade level.
Click for initial margin

explanation
Click row for

breadown to
currency, product
class, risk bucket
and security level
Deutsche Bank
Daily MTM Variation as part of the daily (variation) margin call is the sum of trade additions, trade
terminations, trade amendments, coupon payments and residual PnL due to market movement. The daily
total MTM change is attributed to trade level MTM changes and coupon payments.
MTM variation
attirubtion:
coupon
payment, new
trades,
terminations,
amendments,
market PnL
MTM change on
tradelevel
Deutsche Bank
Portfolio and Trade Risk Analytics
Overview
TradeFinder’s risk and cash flow analysis functionality is designed to meet the challenges of
an increasingly regulated OTC marketplace where the requirement to take and manage risk
in a more capital-efficient manner demands access to the very best models and tools.
TradeFinder delivers the wide-ranging functionality to achieve this, including:
 Portfolio risk sensitivities change analysis: allows managers to stress test the portfolios
using Deutsche Bank’s proven risk methodologies
 Daily updated Greeks reports (Gamma, Vega, Delta, etc): allow managers to both
manage the risk within their portfolio and identify new trading possibilities
 Cash Flow at Risk ™ Analysis: provides access to Deutsche Bank’s market-leading suite
of tools for one of the most precious resources our clients have – their cash collateral
 Highly flexible risk margining engine including VaR, marginal VaR, Conditional VaR,
expected positive/negative exposure (EPE / ENE) calculation
 Portfolio risk and clearing management tool dbRiskClear ™
 Drill-down functionality: by currency, product type, interest rate bucket and security level
Deutsche Bank
Portfolio and Trade Risk Analytics (contd.)
Aggregate Delta and Gamma are reported on portfolio, currency and product type level. By selecting a
certain portfolio, currency or a product type the corresponding bucketed delta distribution is shown. 1 day
and 5 day delta changes are analysed in the Delta Change Report. By clicking on a tenor bucket the
contributing trades are listed in a popup. Bucketed delta per trade is exported via Excel.
Portfolio, currency, product

type selection
Click Excel export of bucketed

delta on trade level
Switch to
delta
change
report (1d
change, 5d
change)
Click for trades

contributing to this
delta bucket
Deutsche Bank
Vega is aggregated on portfolio, currency and product type level. Once a portfolio, currency or product type
is selected, the bucketed delta for the selection is shown. For each vega bucket the contributing trades are
reported. Bucketed vega per trade can be exported to an Excel sheet.
Portfolio, currency, product type filter
Select
delta
chang
analysis Click Excel export of bucketed
delta on trade level
Click for tenor/expiry

bucket breakdown on
trade level
Deutsche Bank
Value at Risk engine updates portfolio Value at Risk and conditional Value at Risk for different confidence
intervals and horizons on a daily basis. Selecting a confidence level/horizon combination updates the
currency breakdown of VaR and cVaR. Clicking on the currency breakdown opens a VaR popup window
with a detailed Value at Risk analysis on currency and trade level.
Click pie chart for

detailed VaR
analysis on trade
level (VaR popup)
Colour Coding: VaR Click on cell to

and cVaR compared update currency pie
to Initial Margin charts
VaR and cVaR for Colour Coding: VaR and
differnt horizonts and cVaR compared to Initial
confidence levels Margin
Deutsche Bank
Value at Risk popup reports different Value at Risk figures on portfolio, currency and trade level. For each
level the corresponding historical NPV change histogram can be displayed. The VaR report is exported in
an Excel sheet.
VaR Excel export
Drill Down: Functionality
Portfolio Level, Currency

Level , Security Level
Click for
trade/currency NPV
change histogram
Deutsche Bank
Future coupon analysis gives insight into future receivable and payable cash-flows. For both single and
cumulated cash-flows the corresponding trade list is available in a popup.
Click for
identification of
trade contribution
Click for
identification of
trade contribution
Deutsche Bank
Cash Flow At Risk Analysis
Deutsche Bank
Report Archive
TradeFinder dbClear stores all automatically sent daily reports in its Report Archive.
Deutsche Bank
Deutsche Bank
dbCross-Product Margin
Deutsche Bank
Cross-Product Margining
dbCross-Product Margin across Rates and FX under a Master Netting Agreement
Capital efficiency Margin offsets across products and agreements provides capital efficiency
Operational
Single margin call across master agreements
efficiency
Rules based Portfolio Initial Margin calculations where clients get full
Transparency
transparency and can replicate the calculations as required
Margin parameters and offsets are documented in a Master Netting

Commitment
Agreement and subject to a notice period for change
Many FX and fixed income trade types within the portfolio margin
Wide coverage
calculation
Deutsche Bank

Cross-Product Margining
Capabilities
Strategy Product Group Products Covered

Fixed Income Relative Value / Macro OTC Bilateral, Cleared and Cap, Floor, IR Swap, Swaption
Intermediated
dbCross-Product Margin
Financing Gov and Gov Inflation Bond
Listed Derivatives IR Futures and Options, Bond Futures

and Options
FX OTC Bilateral, Cleared and FX Spot, Forward and Option
Intermediated
Listed Derivatives Currency Futures and Options
Equity and Credit strategies OTC Bilateral, Cleared and Equity Swaps and Options, CDS
Rules of the Road
Intermediated
Financing Single Stock, Corporate Bonds
Listed Derivatives Index and Stock Futures and Options
Deutsche Bank

Deutsche Bank
Technology and Market Initiatives
Deutsche Bank
Trade repositories and transparency
Industry status / plans
 2nd June 2009 Fed letter - commitment to universal reporting of all trades not cleared through a CCP - phased deliveries by asset class
through 2009/10
Benefits:
 Reporting was not mandatory for buy side, but all market participants ‘strongly encouraged’ to comply within 60 days from
implementation by the signatories to the letter  Compliance with regulatory
 Asset class-aligned repositories, already covered by DB for cleared and non-cleared transactions: requirements for OTC position
 DTCC TIW for credit derivatives reporting
 TriOptima for rates derivatives  Increased market
 DTCC/MarkitSERV for equity derivatives transparency
 The Dodd-Frank Act (DFA) signed into law July 21, 2010 will dramatically change the OTC derivatives environment. Proposed rules
from SEC and CFTC outline:
− Reporting and publication of trade data will be required through Derivatives Clearing Organization (DCOs) or registered swap
data repositories (SDRs)
− Multiple reporting requirements covering both Cleared or uncleared OTC Derivative transactions (Credit, Rates, Equity,
Commodities and FX)
− Contents required:
 Transaction and price data
 Primary economic terms
Impact:
 Confirmation data  While legislation requirements
 Including the use of Unique Counterparty Identifiers (UCIs), Unique Product Identification (UPI) and Unique Swap are still to be finalised and
Identification (USI) consequently vendor offerings
− Reporting timing requirements vary from Real time, 15 min, 30 min or 24hr to meet them the final impact
− Responsibility for reporting will be driven by requirement type and market participant type such as: on the end users is still
 Swap Dealer (SD), Major Swap Participant (MSP), Unregistered End User unclear.
 Swap Execution Facility (SEF), Designated Contract Market (DCM)
 Derivatives Clearing Organization (DCO),
− Rules do allow participants to leverage Third-Party Service Provider where appropriate
 Outside the US, requirements are less clear at this time however proposed EC regulations under MiFID is gaining momentum.
 Industry is keen for the CFTC, the SEC, and overseas regulators to adopt consistent reporting requirements to remove inefficiencies,
simplify compliance obligations and enhance regulatory agency capabilities
 Under the ISDA and AFME frameworks industry is currently finalising RFPs to appoint vendors to develop SDRs to meeting the
requirements for Commodities and FX. Additionally Rates are also RFP following a detailed review of the current repository found it
unfit for purpose.
Deutsche Bank
Deutsche Bank
Transition Management and

Operational Client Service
Deutsche Bank
Transition Management functions
On-boarding Pipeline Coordinate Documentation

The Transition Management team has the responsibility of managing the Transition Management coordinates Documentation with
onboarding pipeline ensuring a smooth transition of clients wishing to clear  Client
with DB  DB Credit Department
 DB Legal
 DB Ops areas
The Transition Management team communicates between areas on all Obtain AML and KYC compliance as needed
aspects of the transition in order to onboard clients in a timely manner.
Provide clear communication to Front Office and Client to manage Facilitate Clearing Agreements between DB and the Client
expectations on turn around of documentation
Facilitating Account Setup Client Integration

Transition Management will facilitate the account setup with CMV, Legal and Coordinate Client portfolio testing
Credit
Ensure proper and timely client setup within DB systems Education and Advisory Services and coordination of RFI
 Trade capture systems
 Static data An internal end-to-end test will be conducted prior to client go-live to ensure
 Margin terms systems connectivity is setup correctly
 Monitor limit increases The transition management team together with relevant Ops areas will
 Confirm all trade currencies have initial margin conduct an operational walkthrough prior to go-live and introduce Clients to
necessary internal contacts
Deutsche Bank
presenter's details · date · page 123
Operational Client Service functions
Trade Processing Client Service & Product Knowledge

Prompt trade affirmation Single point of contact for Clearing Relationship Management
Portfolio back-loading assistance Dedicated Client Service Representatives for OTC and Listed Derivatives
Trade position management (Trade Offsets, Novations, etc.) Assistance with operational process implementation
Reconciliation between Trade flow explanations and diagrams
 Books and Records vs. CCPs
 Initial Margin vs. CCPs
 Variation Margin vs. CCPs
Proactive trade break resolution Rates and Credit product clearing expertise
24-hour coverage located in London, New York & Singapore
Reporting Risk Management

Agree on report type and delivery mechanism for client reports Monitor client credit/legal limits
Reports are generated and delivered Review eligible traded products
 Real Time
 Cross Product
 Canned or Ad-hoc
End-of-day Client trade reconciliations Monitor exception process (including restricted currency processing)
Trade Activity and Position report
Deutsche Bank
presenter's details · date · page 124
Deutsche Bank
Communication and Contacts
Deutsche Bank
dbClear Contacts
Global product Key contact Details
info.dbclear@db.com
dbClear Chris Hansen +44 207 547 7465
joe.cassidy@db.com
Rates/Commodities Joe Cassidy +44 207 547 8645
hester.serafini@db.com
Credit Hester Serafini +1 212 250 4845
jason.vitale@db.com
FX Jason Vitale +44 207 547 6358
drew.bradford@db.com
Listed Derivatives Drew Bradford +44 207 547 1881
anthony.byrne@db.com
Equity Derivatives Anthony Byrne +44 207 547 1025
Deutsche Bank

Deutsche Bank
Appendix A
Product eligibility: Clearing and Intermediation
Deutsche Bank
Clearing House eligibility
Currencies Max Tenor Currencies Max Tenor Currencies Max Tenor
USD, EUR 31 years DKK, HKD, NZD, NOK, PLN, ZAR 10 years USD 30 years
VANILLA SINGLE USD: 3M Index AUD, CAD, CHF, JPY, SEK 30 years 1M or 3M Index
CURRENCY IRS EUR: 6M Index EUR, USD, GBP 50 years
*EUR not in scope for initial offering. Broad range of Floating Rate Indices supported

PRODUCTS
OVERNIGHT INDEX
SWAPS Not Supported EUR, USD, GBP, CHF 2 years USD TBD

FORWARD RATE Not Supported Not Supported USD 30 years
AGREEMENTS 1M or 3M Index
SWAPTIONS Not Supported Not Supported Not Supported
BASIS SWAPS Not Supported Single Currency Basis Swaps are supported Not Supported
Not Supported Supported Not Supported

ZERO COUPON SWAPS
Not Supported Not Supported Not Supported

AMORTIZING NOTIONAL
Not Supported Front or End stub with a minimum stub period of 1 day + Settlement Supported with a minimum stub period
CHARACTERISTICS
Lag are supported. Swaps with both Front and End stub not of 1 week
STUBS supported. Settlement Lag is as follows:
USD, EUR, GBP, CAD = 1 day
JPY, CHF, AUD, DKK, HKD, NZD, NZD, SEK, NOK, ZAR = 2 days
Not supported for initial offering Floating Leg spreads are supported Not Supported
FLOATING LEG SPREADS
FORWARD EFFECTIVE Forward starting swaps are supported Forward starting swaps are supported Forward starting swaps are supported
DATES
Past effective dates are supported Past effective dates are supported Not Supported
PAST EFFECTIVE DATES
DB expects to clear IRS products that CME, LCH and IDCG are offering for client clearing, as well as additional IRS products that become
available for clearing.
Deutsche Bank

Clearing House eligibility
ICE Trust US ICE Clear Europe CME
Current offering under the DCM Model Scheduled to be launched in 2011 Current offering
 CDX IG - Series 8 through 10 with a tenor  Buy side clearing services for indices are  CDX IG - Series 12 through15 with a tenor
of 5,7 or 10 years targeted for Q1 2011. Single names will be of 5 or 10 years
launched at a later date likely in Q2 2011
 CDX IG - Series 11 through 15 with a
tenor of 5 or 10 years  Itraxx Europe - Series 7 through 14 with a
Scheduled to be launched Q1 2011
tenor of 5 or 10 years
 CDX HY - Series 8, 12, 13,14 & 15 with a
 Remaining IG indices back to series 10
tenor of 5 years  Itraxx Europe Crossover - Series 9
with tenors of 3,5,7 or 10 years
through14 with a tenor of 5 years
 CDX HY - Series 9, 10 & 11 with a tenor of
 HY indices back to series 11 with tenors of
3 or 5 years  Itraxx Europe HiVol - Series 7 through 14
3,5,7 or 10 years
with a tenor of 5 years
 CDX HiVol - Series 8 through 15 with a
 Single name constituents of the IG and HY
tenor of 5 years
indices to be launched sector by sector
Scheduled to be launched Q3 2011

Scheduled to be launched early 2011
 FCM Model
 CDX HVol with a tenor of 5 years only
 Indices listed above as well as the single
name constituents of the indices under the
FCM Model
DB expects to clear all CDS Index and Single Name contracts that ICE and CME are offering for client clearing, as well as any additional
contracts that become available for clearing.
Deutsche Bank

Product and Market coverage
OTC Rates Derivatives Prime Brokerage
 Rates Prime Broker Product Coverage

– Interest Rate Swaps (Fixed/Float)
– LIBOR Basis Swaps
– Overnight Index Swaps
– FRAs
– Zero Coupon IRS
– Cross Currency Swaps (Fixed/Float and Float/Float)
– Caps / Floors
– European Swaptions
 Rates Prime Broker Currency Coverage

– Developed Market Currencies including USD, EUR, GBP, JPY, CAD, CHF, AUD, DKK, NOK, NZD, SEK
– Emerging Market Currencies including CNY, CZK, HKD, IDR, ILS, INR, KRW, MXN, MYR, PLN, SGD, THB, TRY, TWD, ZAR
– Restrictions apply based on product, tenor and reference rate combination
 Margin Methodology
– Portfolio-based and fully transparent
 Expanding Platform
– Prime Brokerage and Client Clearing offerings seamlessly integrated
– Product and market coverage flexible per client preferences
– Integration with other asset classes underway
Deutsche Bank
OTC Credit Derivatives Prime Brokerage
 Credit Prime Broker Intermediation Product Coverage

 DM Single Names
 Index Products (CDX and Itraxx)
 SNAC, STEC contracts
 RED preferred ISIN; Daily marks in Markit
 Max 10yr maturity
 US and European (USD, EUR, GBP)
 Credit PB gives access to major executing dealers without negotiating ISDAs, the Transition team will take care of
sending out Designation Notices.
 Intermediation is offered to key clients as a complement to the broader Prime Finance offering:
 Fees are charged per Intermediated trade
 No DB Intermediation Fees are charged for trades executed with DB’s CDS desk
 Fees are billed in arrears on a monthly basis
 Credit Prime Broker Additional Product Coverage:

 Intermediated CDS are cross margined through GPF with physical securities (Bonds and Loans) under a Rules based margin
methodology or a Stress Tested based margining methodology for Credit focused portfolios
Deutsche Bank

FX Prime Brokerage
 FX Prime Broker Intermediation Product Coverage

 Swaps
 Options
 Spots
 Forwards
 NDFs
 FX Prime Brokerage Currency Coverage*

 ARS, AUD, BRL, CAD, CHF, CLP, CNY, COP, CZK, DKK, EUR, GBP, HKD, HUF, IDR, ILS, INR, ISK, JPY, KRW, MXN, MYR,
NOK, NZD, PEN, PHP, PLN, RUB, SAR, SGD, SEK, SKK, THB, TRY, TWD, USD, VEB, ZAR
* Restrictions apply based on product, tenor and reference rate combination
 Intermediation is offered to key clients as a complement to the broader Prime Finance offering:
 Fees are charged based on trading style and volumes and can be charged per 1 million USD notional or per ticket
 Pricing can be structured to include volume based discounts
 No DB Intermediation Fees are charged for trades executed with Deutsche Bank
 Fees are billed in arrears on a monthly basis or through trade pippage.
Deutsche Bank

Deutsche Bank
Appendix B
Collateral Management:
CCP eligible collateral and Collateral process timelines
Deutsche Bank
CCP Eligible collateral summary
Cash UST USGA MBS FSD Other

(US Treasuries) (US Govt Agencies) (Mortgage (Foreign Sovereign Debt)
Backed
Securities)
-GBP, CAD, EUR (5% -UST-Bills (No HC) -Discount notes issued by FFCB, -FNMA, FHLMC, -Govt Securities issued -N/A
HC) -UST-Bonds/Notes FHLB, FHLMC and FNMA GNMA by Canada, France,
-US Dollar (No HC) • 0-5 yrs (2% HC) •RE 12 months or less [3% HC (10% HC on Germany, Sweden, UK
• 5-10 yrs (3.5% HC) on market value (0.5% added if market value) -Discount bills (3% HC)
• 10-30 yrs (5% HC) security is off the run)] -0-5 yrs (5.50% HC)
CME • 0.5% added if security is off -Callable and Non-callable -5-10 yrs (7.00% HC)
the run FNMA Benchmark Bills, FHLMC -10-30 yrs (8.50% HC)
-UST-Strips (Principal & Reference Bills , FHLB Bills , -Greater than 30 yrs
Coupon) 10% HC applied to FFCB Bills (10% HC)
market value of security ₁ (3% HC)
-CAD, EUR, JPY, -UST-Bills -Federal Agency Securities -GNMA, FNMA, -Bills, Notes and Bonds -Non-Sovereign Debt
GBP,CHF (5% HC) • 0-less than 9 months (0.50% • 0-less than 9 months (0.50% FHLMC issued by Canada, Securities ₁
-USD (No HC) HC) HC) (“Federal France, Germany and
Deposits.₁ • 9-less than 12 months (1.% • 9-less than 12 months (1.% Agency”) Great Britain (5% HC)
IDCG HC) HC) •RE 10 yrs or
-UST-Bonds/Notes •1-less than 5 yrs (2% HC) less (10% HC)
• 1-less than 5 yrs (2% HC) • 5-less than 10 yrs (3.5% HC)
• 5-less than 10 yrs (3.5% HC)
-GBP,EUR, USD, CHF, -UST-Bills/UST-Bonds/Notes -FNMA, FHLMC, FHLB -N/A -Govt Securities issued -Govt
JPY, SEK, DKK, NOK •2 working days-3 yrs (4.25% •2 working days-3 yrs (4.38% by Austria, Belgium, Guaranteed
(No HC) HC) HC) Canada, Denmark, CDs (Certificate of
LCH₂ •1-3 yrs (5.38% HC) •1-3 yrs (5.50% HC) Finland, France, Deposits)
•3-7 yrs (6.88% HC) •3-7 yrs (7.50% HC) Germany, Italy, Japan, -Govt ₁
•7-11 yrs (7.00% HC) •7-11 yrs (7.63% HC) Netherlands, Norway, Guaranteed Bonds ₁
•11+ yrs (9.00% HC) •11+ yrs (10.13% HC) Spain, Sweden, UK ₁
₁ Please refer to the clearing house -specific websites for more details and specific haircuts
₂LCH haircuts are effective 03/07/2011
*Variation Margin must be paid in cash in the currency of the contract
Disclaimer - This is a summary for informational purposes only.
Deutsche Bank
CCP Eligible collateral summary
Cash UST USGA MBS FSD Other

(US Treasuries) (US Govt Agencies) (Mortgage (Foreign Sovereign Debt)
Backed
Securities)
-GBP, CAD, EUR (5% -UST-Bills (No HC) -Discount notes issued by FFCB, -FNMA, FHLMC, -Discount bills (3% HC) -N/A
HC) -UST-Bonds/Notes FHLB, FHLMC and FNMA GNMA -0-5 yrs (5.50% HC)
-US Dollar (No HC) • 0-5 yrs (2% HC) •RE 12 months or less [3% HC (10% HC on -5-10 yrs (7.00% HC)
• 5-10 yrs (3.5% HC) on market value (0.5% added if market value) -10-30 yrs (8.50% HC)
• 10-30 yrs (5% HC) security is off the run)] -Greater than 30 yrs
CME • 0.5% added if security is off -Callable and Non-callable (10% HC)
the run FNMA Benchmark Bills, FHLMC
-UST-Strips (Principal & Reference Bills , FHLB Bills ,
Coupon) 10% HC applied to FFCB Bills
market value of security ₁ (3% HC)
-EUR (No HC) -UST-Bills -N/A -N/A -Govt Securities issued -US Cash Management
-GBP (No HC) • 0-less than 3 yrs (3% HC) by Austria, Belgium, Treasury Bills
-USD (No HC) -US-Bonds, Treasury Inflation Finland, France, •RE less than 3 yrs (3%
Indexed Notes/Bonds Germany, Greece, HC)
ICE Clear
• 0-less than 3 yrs (3% HC) Ireland, Italy, -Cross Currencies (6% -
Europe • 3-less than 7 yrs (5% HC) Netherlands, Spain, UK 8% HC) ₁
• 7-less than or equal to 11 yrs ₁
(13% HC)
•Greater than 11 yrs (17% HC)
-CAD (3.97% HC), -UST-Bills/Notes/Bonds -N/A -N/A -CAD Notes/Bonds -N/A

-CHF (4.63% HC) • Less than 1 yr (0.09% HC) -G7 Euro Zone and JP
ICE Trust -EUR (4.11% HC) • 1- 5 yrs (0.40% HC) Bills/Notes/Bonds
US -GBP (4.63% HC) • 5- 10 yrs (2.38% HC) -UK Bonds/Gilts ₁
-JPY (4.26% HC) •Greater than 10 yrs (12.63%
-USD (No HC) HC)
₁ Please refer to the clearing house -specific websites for more details and specific haircuts
*Variation Margin must be paid in cash in the currency of the contract
Disclaimer - This is a summary for informational purposes only.
Deutsche Bank
Collateral process timeline
OTC Rates and Credit derivatives
T+0 (Day 1) T+1 (Day 2)

Trade affirmation CCP auto CR/DR
CCP sends out
deadline SCM/FCM/ Dealer IM and MTM for
banking instruction Deadline for client to
(SCM/FCM) reports sent out by Client transactions Client Call issued
to SCM/ FCM’s deliver collateral
CCP affirms/ CCP from SCM/ FCM’s
bank
accepts trades bank
st As agreed in client
LCH 23:00 CET 03:00 CET 04:00 – 05:00 CET 1 call at 9:00 CET 11:00 CET
negotiations
As agreed in client
ICE Clear 19:00 CET 22:00 CET (T0) 01:00 CET 09:00 CET 11:00 CET
negotiations
As agreed in client
ICE Trust 00:00 CET 03:00 CET 06:00 CET 14:00 CET 11:00 CET
negotiations
01:00 CET As agreed in client

CME (Credit) 05:30 CET 14:30 CET 15:30 CET 11:00 CET
(T+1) negotiations
01:00 CET As agreed in client

CME (Rates) 05:30 CET 14:30 CET 15:30 CET 11:00 CET
(T+1) negotiations
As agreed in client
IDCG 23:00 CET 23:30 CET (T0) 23:45 CET (T0) TBD 11:00 CET
negotiations
 Process repeats daily when positions are live

 DB systems are integrated between trading and collateral data with CCP files
 Process at DB can be coordinated with the ISDA CSA call notices if required by client
Deutsche Bank
Deutsche Bank
Appendix C
End-to-end clearing workflow
Deutsche Bank
Trade Execution and Clearing process
1 Client and Executing Dealer agree on trade details with

client specifying “CME, ICE, LCH or IDCG” clearing
trade. The client needs to notify the Executing Dealer 1
what platform they choose to affirm on.
2 Executing Dealer designates the trade as “CME, ICE,

LCH or IDCG” clearing trade and alleges on the
affirmation platform as specified by the client.
1. VCON (CME/ICE/IDCG) 2 3
2. Markitwire (CME/ICE/LCH/IDCG)
3. Clearport (CME Credit only)
4. ICELink (ICE Trust)
3 Client accepts, allocates trade and designates Clearing

Member(s) on affirmation platform and trade feeds to
4 5
clearing platform.
4 Clearing Member affirms/rejects trade on clearing

platform. Client can monitor status in real-time on
affirmation platform.
6
5 Clearing House accepts/rejects trade. Client can monitor

status in real-time on affirmation platform.
6 Trade is now cleared with the Clearing House as the

counterparty.
Deutsche Bank

Trade Fallback process
Client
selects
 If Clearing Broker (CB) or CCP rejects to clear a CB
trade, client has the option to select another CB
No
CB
accepts
 If no CB accepts the trade, fallback is a bilateral ?
trade with the Executing Dealer
Yes
 Partial clearing is allowed
Client
 If one of the allocations does not clear, fallback
process applies to the un-cleared allocation
 Executing Dealer has the option to exercise fallback

CCP
to a bilateral trade between client and Executing Fallback
accepts
Dealer starting from 2 hours (4 hours for LCH) after ? No
the Executing Dealer alleged the trade to be cleared
Yes
Cleared trade with Bilateral trade with

Clearing Broker Executing Broker
Deutsche Bank
139
CCP timelines
 Executing Broker (EB) has 30 minutes after point of trade to send electronic notification to the Client
 Client must find a Clearing Broker (CB) that will accept the trade and deliver the trade to LCH/CME/IDCG.
 If a CB rejects a trade, client may continue resubmitting to other CBs as long as EB has not exercised Fallback
 EB can exercise Fallback election at any time between Fallback Election Start-Time and End-Time
 Fallback Election Start-Time is EB Allege Time + 2hrs (LCH is + 4hrs)
 Trades not cleared on T will result in bilateral trade for LCH and IDCG cleared trades
 Trades not cleared on T+1 will result in a bilateral trade for CME cleared trades
Client time to find CB and get trade cleared
Executing Dealer can exercise Fallback option at any time until Cut-Off
Fallback Election Start- Fallback Election Start- Fallback Election

LCH Open IDCG & Point of Trade Time (CME & IDCG) Time (LCH) LCH & IDCG CME End-Time (CME)
T+1
CME Open Cut-Off Cut-Off
2:30am 8am 5pm 7pm 7pm

Executing
Dealer Executing Executing
Alleges (30 Dealer Alleges Dealer Alleges
mins) + 2 hrs + 4 hrs
Deutsche Bank

CCP timelines
 Executing Broker (EB) has 30 minutes after point of trade to send electronic notification to the Client
 Client must find a Clearing Broker (CB) that will accept the trade
 If a CB rejects a trade, the Client may resubmit to other CBs as long as EB has not exercised Fallback
 EB can exercise Fallback at any time between Fallback Election Start-Time and End-Time
 Fallback Election Start-Time is EB Allege Time + 2hrs
 Trades not cleared on T0 will be automatically submitted for clearing on T+1 ,unless EB has exercised Fallback option
 At 5pm (local time) on T+1 for ICE / 7pm for CME, EB must exercise its Fallback option
Client time to find CB and get trade cleared
Executing Dealer can exercise Fallback option at any time
Fallback Election
CCP Open Point of Trade Start-Time ICE CME CCP Open ICE Fallback CME Fallback
Cut-Off Cut-Off Election End-Time Election End-Time
5pm 7pm
8am 6pm 7pm T+1 8am
Executing Executing
Dealer Dealer Alleges
Alleges (30 + 2 hrs CCP does not accept new
mins) trades for clearing
Times are in EST for ICE Trust and CME, and GMT for ICE Clear Europe
Deutsche Bank
Credit / Succession events
 It is important to note that all Credit Event Processes are the same as with bilateral non-cleared trades.
 ISDA Determinations Committee determines all Credit and Succession Events. CME also additionally issues an
advisory notice that an event has occurred and which specific contracts are affected by it.
 Clients will settle Credit Events with their CM as normal with price determined by industry wide auction.
 ISDA Determinations Committee will determine the Event Determination Date of the Credit Event. An industry-wide auction will
take place approximately 5 business days before Cash Settlement Date. Cash Settlement Date will be approximately 30
calendar days after Event Determination Date.
 The buyer of protection will receive the notional of the contract minus the recovery as determined by auction and accrued
interest from previous coupon through Event Determination Date.
 For CME Succession Events are automatically updated with the new reference entity name, RED code and
ISIN.
 For ICE Succession Events will automatically be updated on DTCC.
Deutsche Bank

Confirmation and Settlements
ICE*
 Trade will be submitted to DTCC as a Gold Record with three parties on each trade. The three parties are:
 Client
 FCM (acting as agent)
 ICE Trust
 ICE will submit all trades to DTCC on behalf of the Client and the FCM.
 ICE cleared trades have upfront fees settle T+3 and coupons settle quarterly. This is the same as standard CDS contracts.
 Trade settlement process will be the same as with bilateral trades. Client will retain the same dedicated representative that they
interact with for non-cleared trades.
Reconciliation
 DB reconciles DB internal trade bookings versus ICE affirmed trade details and versus DTCC confirmed trade details on a daily
basis.
 Client can download report in excel or PDF format from ICELINK and perform their own reconciliation.
 DB will assist client in researching and resolving any breaks.
*Process for FCM model has not been finalised by ICE. Above is subject to change.
Deutsche Bank

CME
 When all parties affirm a trade on the affirmation platform, the affirmation acts as a legally binding confirmation of the trade.
 Upfront fees settle T+1 and coupon accrual settles daily through variation margin.
 Client will retain the same dedicated Collateral Management representative that they interact with for bilateral trades.
Reconciliation
 DB reconciles internal trade bookings versus CME affirmed trade details on a daily basis.
 Clients can reconcile their position and activity detail on the affirmation platform.
Deutsche Bank

LCH
 When all parties affirm a trade in the affirmation platform, the affirmation acts as a legally binding confirmation of the trade.
 LCH cleared trades have upfront fees settle per standard currency default.
 Client will retain the same dedicated Settlements representative that they interact with for non-cleared trades.
Reconciliation
 DB reconciles internal trade bookings versus LCH affirmed trade details on a daily basis.
Deutsche Bank

IDCG
 When all parties affirm a trade in the affirmation platform, the affirmation acts as a legally binding confirmation of the trade.
 IDCG cleared trades have no upfront fees.
 Client will retain the same dedicated Collateral Management representative that they interact with for non-cleared trades.
Reconciliation
 DB reconciles internal trade bookings versus IDCG affirmed trade details on a daily basis.
Deutsche Bank

Compression / Netting
LCH, CME (Rates), IDCG
 CME (Rates) only nets trades with the same effective, maturity date, fixed rate, and next float start period.
 IDCG nets all trades with the same maturity.
 LCH does not currently offer compression/netting.
CME (Rates)/IDCG Netting example:
Pay 1mm 3M Libor vs. 5% mat. 8/10/2020

Pay 2mm 3M Libor vs. 5% mat.
Rec. 2mm 3M Libor vs. 5% mat. 8/10/2020
8/10/2020
Pay 3mm 3M Libor vs. 5% mat. 8/10/2020
Deutsche Bank

CME (Credit)
 CME (Credit) automatically nets all trades of the same reference entity, fixed rate, and maturity date on a daily basis.
 Client will only see one netted trade on each reference entity, fixed rate, and maturity date at each end of day.
CME (Credit) Netting example:

Buy 1mm CDX_13
Sell 2mm CDX_13
Buy 3mm CDX_13 Buy 3mm CDX_13
Sell 4mm CDX_13
Buy 5mm CDX_13
Deutsche Bank

ICE*
 ICE Trust proposal: Automated daily netting of eligible trades to one position or ad hoc netting of existing trades when clients
change from keeping individual trades to full position netting
 ICE Clear: Custom netting of trades at an agreed interval of time or on request on an ad hoc basis
 ICE netting terminates the trades completely and creates a new trade with the net notional.
Ad – Hoc Netting example: Client chooses to net trades 1, 2, and 3.
Buy 1mm CDX_13
Sell 2mm CDX_13 Buy 2mm CDX_13
Buy 3mm CDX_13
Sell 4mm CDX_13 Sell 4mm CDX_13
Scheduled Netting example: Client scheduled to net all trades.
Buy 1mm CDX_13
Sell 2mm CDX_13
Sell 4mm CDX_13
Buy 5mm CDX_13
*Process for FCM model has not been finalised by ICE. Above is subject to change.
Deutsche Bank

Clearing House trade processing
LCH: current SCM model vs. future FCM model comparison
Current SCM Model FCM Model
Intermediary as Agency or Principle Principle Agent
Eligible Currencies EUR, USD, GBP, AUD, CAD, CHF, JPY, SEK, Same
DKK, HKD, NZK, NOK, PLN, ZAR
Eligible Products IRS, OIS Same
Multiple Clearing Members Yes Yes
Middleware MarkitServ Same
Trade Netting No No
Post Trade Events Yes Only termination via offsetting trade
Backloading 1. Executing Dealer uploads the eligible trades Same process

onto MarkitWire.
2. Client and Clearing Member accept trades.
3. Backloading portfolio accepted by CCP
overnight.
4. When both dealers and CCP accept, trades
are rebooked as tri-party trades.
Fallback Partial Clearing is allowed. TBD
Executing Dealer can exercise fallback 4 hours

after trade execution.
Deutsche Bank
Deutsche Bank
Appendix D
Listed Derivatives:
Key Exchange memberships, Electronic execution
Deutsche Bank
Listed Derivatives: Key DB Exchange memberships
North America EMEA Asia Pacific

AMEX New York AEX Amsterdam ASX SFE NZFE Sydney
BOX Boston ADX Athens HKFEx Hong Kong
CBOE Chicago BSE Budapest KRX Seoul
CBOT Chicago EDX London SEHK Hong Kong
CME Chicago EEX Frankfurt MDEX Kuala Lumpur
CSCE New York ENDEX Amsterdam NSE Mumbai
CX New York EUXNP Paris OME Osaka
ICE Atlanta Eurex Frankfurt & Zurich SEM Mumbai
ISE New York ENXBE Brussels SGXDT Singapore
KCBT Kansas ENXPT Lisbon TFX Tokyo
MGE Minneapolis HEX Helsinki TGE Tokyo
MTRL Montreal ICE London TOCOM Tokyo
NQLX New York IDEM Milan TSE Tokyo
NYBOT New York IMAREX Oslo TAIFEX Taiwan
NYCE New York LIFFE London TFEX Thailand
NYFE New York LME London YGE Yokohama
NYMEX New York MEFF Barcelona
NYSE New York MIF Milan
ONE CHICAGO, Chicago NORDPOOL Oslo Africa & Middle East
PBOT Philadelphia OM Stockholm SAFEX, Johannesburg
PCX San Francisco OSE Oslo TASE, Tel Aviv
PHLX Philadelphia PowerNXT Paris DME, Dubai
TFE Toronto TURKDEX Istanbul
TSE Toronto WBAG Vienna
WCE Winnipeg WSE Warsaw
Deutsche Bank
Exchange connectivity
Deutsche Bank
Exchange connectivity (contd.)
Deutsche Bank
Exchange connectivity (contd.)
The list above demonstrates the current development pipeline for connectivity, driven primarily by customer demand, all of which
are scheduled for delivery in Q1 2011.
Deutsche Bank
Strictly Private & Confidential
Disclaimer
The information herein is believed to reliable and has been obtained from sources believed to reliable, but we make no representation or warranty, express or
implied, with respect to the fairness, correctness, accuracy, reasonableness or completeness of such information. In addition we have no obligation to update,
modify or amend this communication or to otherwise notify a recipient in the event that any matter stated herein, or any opinion, projection, forecast or
estimate set forth herein, changes or subsequently becomes inaccurate.
We are not acting and do not purport to act in any way as an advisor or in a fiduciary capacity. We therefore strongly suggest that recipients seek their own
independent advice in relation to any investment, financial, legal, tax, accounting or regulatory issues discussed herein. Analyses and opinions contained
herein may be based on assumptions that if altered can change the analyses or opinions expressed. Nothing contained herein shall constitute any
representation or warranty as to future performance of any financial instrument, credit, currency, rate or other market or economic measure. Furthermore,
past performance is not necessarily indicative of future results.
This communication is provided for information purposes only. It is not an offer to sell, or a solicitation of an offer to buy any security, no to enter in to any
agreement or contract with Deutsche Bank AG or any affiliates. In addition, any subsequent offering will be at your request and will subject to negotiation
between us. It is not intended that ay public offer will be made by us at any time, in respect of any potential transaction discussed herein. Any offering or
potential transaction that may be related to subject matter of this communication will be made pursuant to separate and distinct documentation and in such
case the information contained herein will be superseded in its entirety by such documentation in final form.
In the United Kingdom this communication is approved and/or communicated by Deutsche Bank AG London, a member of the London Stock Exchange. This
communication has not been approved for distribution to, or the use of, private customers as defined by as defined by appropriate local legislation and
regulation. In the United States this document is approved and/or distributed by Deutsche Bank Securities Inc., a member of the NYSE, FINRA, NFA and
SIPC.
This communication and the information contained herein is confidential and may not be reproduced or distributed in the whole or in part without our prior
written consent. Copyright © 2011 Deutsche Bank AG
Deutsche Bank

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What is dbClear and what services does it provide?

What is dbClear and what services does it provide?

What are some of the products offered through dbClear?

What are some of the products offered through dbClear?

Deutsche Bank

Corporate & Investment Bank

29/03/2011 2010 DB Blue template

29/03/2011 2010 DB Blue template

DBAG Ratings as of January 2011 DBSI Ratings as of January 2011

Short-term rating Long-term rating Short-term rating Long-term rating

Moody's Standard & Poor's A-1 A+

US OTC Rates and Credit Derivatives Clearing

Non-US OTC Rates and Credit Derivatives Clearing

Listed Derivatives Clearing FX Clearing

29/03/2011 2010 DB Blue template

Overview of Central Clearing

Variation Margin Variation Margin Variation Margin

Trade Counterparty Trade Counterparty Trade Counterparty

Variation Margin Variation Margin Variation Margin

Trade Counterparty Trade Counterparty

 Reduction of systemic risk  Insulates collateral in the Clearing House

Major Swap Participants (MSPs): Major Swap Participants (MSPs):

Swap Execution Facility (SEF) Organised Trading Facility (OTF)

Post - trade reporting

F&O ISDA (/Rahmenvertrag)

ICE LCH ICE LCH

29/03/2011 2010 DB Blue template

2 How will Clients Execute ? 3 How will DB get Paid ?

 Voice market access provided by DB execution

 Commission basis for execution services, Principal

4 How will Clients select an Execution Partner ?

29/03/2011 2010 DB Blue template

CFTC Central Intermediation Bilateral

ETF Broker SMA

Liquidity and Execution

Clearing and Asset Servicing

Deutsche Bank’s Offering

GFMA (AFME/SIFMA/ASIFMA) Committees ISDA Committees

Regulatory / Legislative Other key CIB Key vendor board seats

CIB Platforms Group

FX Credit Rates Listed Commodities GTB E Platforms Equity

Onboarding and Transition

29/03/2011 2010 DB Blue template

Pre- and post-

Clearing Margin financing /

Eurex, Frankfurt 2 3.87%

CBOT, Chicago Not provided by Exchange 1.71%

 BONY Treasury Services 127 SGX, Singapore 13 2.89%

OSE, Osaka Not provided by Exchange 1.50%

Providing some of the following range of services:

Trade & Position Management Management Reporting &

• Corporate actions data where • Automated margin transfers and

Not complete for illustrative purposes only

Headlines for dbClear Derivatives House of the Year

“Deutsche Bank Electronically Executes and Clears First OTC

Most Innovative Team of the Year (FX)

Dedicated Single Point of Contact

Client confidentiality is strongly enforced

Industry recognition – 09/10 ZYen survey

Legal Technical Support