Deutsche Bank Transition toward a sustainable and climate-neutral economy Non-Financial Report 2022 Climate risk Risk identification and materiality assessment Deutsche Bank has conducted a comprehensive materiality assessment of climate and other environmental risks to identify key impacts across potentially affected risk types in the short, medium and long term. The drivers considered in the analysis were climate transition risks arising from policy, technology and behavioral changes, acute and chronic physical risks and other environmental risks. The assessment of acute physical and policy-driven transition risk impacts on credit risk utilizes models developed for the 2022 ECB climate stress test. Environmental risk impacts on credit risk are assessed based on selected internal scenario analysis. Internal expert judgement is utilized for other transition and chronic physical risks pending the development of quantitative estimation approaches. Strategic risk impacts from transition risk drivers are estimated based on the share of client revenues in sectors in scope of net zero targets generated from clients with no stated decarbonization plans where it is assumed that business activity is incrementally scaled back as well as internal estimates of lost market share if Deutsche Bank fails to adapt to changing client demand for sustainable products. Strategic risk impacts from chronic physical risk drivers are estimated based on costs to relocate critical infrastructure to other regions, referencing the cost to establish Deutsche Bank’s tech center in Berlin. For other risk drivers Deutsche Bank utilizes historic experience and internal expert judgement. Physical risk impacts on market risk are assessed based on observed financial market impacts of selected severe events (Hurricane Katrina, Fukushima Tsunami). For transition risk policy changes, instantaneous market price shocks were modelled for high transition risk industries to estimate impacts. Assessment of other risks was based on internal expert judgement. Liquidity risk impacts are assessed based on a combination of internal stress testing under Net-Zero by 2050 and Delayed Transition scenarios as well as an extreme flood scenario and a reputational-risk driven scenario, supplemented by internal expert judgement. Operational risk impacts from acute physical risks are assessed based on a combination of internal city/regional wide outage impact estimates and existing group risk analysis of Deutsche Bank’s ability to respond and recover from a severe disruption to applications, data and third parties. Review of governance drivers linked to inadequate management of risks was primarily based on historic event data. ESG-related liability consequences were assessed based on structured analysis of five scenarios. Assessment of other risk drivers was based on internal expert judgement. Reputational risk impacts from transition risk and other environmental risk were assessed based on an assumed reduction in client activity with Deutsche Bank negatively impacting fee and commission income. No significant impacts were identified from other risk drivers. The key short-term and medium-term risks (