Deutsche Bank Transition toward a sustainable and climate-neutral economy Non-Financial Report 2022 Climate risk Other significant factors were (at the total corporate lending level and on a total loan commitment basis): (i) client specific emission factors decreasing due to rising Enterprise Values including cash (EVICs) from 2020 to 2021 which led to a financed emissions reduction of 1.3 MtCO2e/y; (ii) client’s moving from proxy to client specific emission factors which led to a financed emissions reduction of 1.4 MtCO2e/y; and (iii) FX translation effects of the euro equivalent loan exposures which led to a financed emissions increase of 1.7 MtCO2e/y, due to U.S. dollar strengthening versus the euro from year end 2021 to year end 2022. In Q3 2022, the bank’s financed emissions methodology moved to a new ESG data provider in order to derive client specific emission factors and the bank has decided to restate its baseline year for financed emissions for fairer year-on-year comparison. The resultant impact was minimal being at the total corporate lending level a financed emissions reduction of 0.9 MtCO2e/y on a total loan commitment basis and a financed emissions increase of 0.5 MtCO2e/y on a loan outstanding basis. To allow for the monitoring of climate risk metrics in the bank’s portfolio, the Group Risk Committee, the Enterprise Risk Committee, and the Group Sustainability Committee receive a quarterly climate risk report that includes financed emissions, exposure to carbon-intensive sectors, alignment with portfolio decarbonization targets and other climate risk-related topics, including key industry and regulatory developments. Methodological note on the financed emissions tables: financed emissions are calculated both on a loan outstanding and on a total commitment basis, while the values disclosed in the Non-Financial Report 2021 were calculated on a loan outstanding basis only. Estimates of financed emissions on a total commitment basis have been added to align with the approach used for the bank’s decarbonization targets. Financed emissions shown in this report rely on MSCI data and the emissions factors of the Partnership for Carbon Accounting Financials (“PCAF”). Differences in the datasets of MSCI and Refinitiv, which was used for last year’s report, resulted in differences in the 2021 financed emissions figures shown on a loan outstanding basis in the two reports (and in differences in PCAF’s Data Quality Scores). PCAF Data Quality Scores are calculated according to the rules outlined in the Global GHG Accounting and Reporting Standard for the Financial Industry, published by the Partnership. Current scores reflect the extent to which sectoral proxy estimates were utilized in the calculation of Financed Emissions and are an indication of the challenges that the bank and the industry still face with getting access to consistent and audited client specific climate risk data. More information on Deutsche Bank’s application of the PCAF standard can be found in the bank’s White Paper Towards Net Zero Emissions (*). Net zero targets In October 2022 Deutsche Bank published quantitative 2030 (interim) and 2050 (final) decarbonization targets for four carbon intensive sectors. Deutsche Bank uses the Net Zero Emissions by 2050 scenario of the International Energy Agency as a basis for target setting, with methodologies largely based on that of the Paris Agreement Capital Transition Assessment. The Net Zero Emissions by 2050 scenario has the benefit of being consistent with limiting global warming to no more than 1.5 degree Celsius above pre-industrial levels by 2100 and of complying with the guidelines of the Net-Zero Banking Alliance. Since Deutsche Bank’s publication of decarbonization approaches in March 2021, the work around pathway alignment in the industry evolved significantly. For this reason, the bank decided to make selective amendments to the original methodologies expressed in the March 2022 White Paper Towards Net Zero Emissions (*) , the most significant of which is the use of absolute Scope 3 financed emissions for the oil & gas target (which was originally intensity-based). Targets for the other three in-scope sectors are based on physical intensity metrics. The bank’s decarbonization targets are fully integrated into Deutsche Bank’s risk appetite and broader risk management framework. The bank also uses additional, sector-specific, key performance indicators to monitor and steer climate risk across its portfolios. Examples of these indicators are Scope 1 and 2 absolute emissions (for outstanding loans and commitments), technology mixes and the share of clients with reported net zero targets. 47