Deutsche Bank Wealth Management For Key Client Partner Clients or r Distribution. Risk Premia Investment Overview Multi-Asset Class 5% Target Volatility Portfolio 2 years 3 years 6 years Annualized Return 6.0% 5.8% 7.5% Volatility 4.4% 4.7% 4.8% ReturnNolatility 1.4 1.2 1.6 Correlation to U.S. Stocks (S&P 500) -0.05 0.05 0.02 Option Protection - 10% OTM Putt -0.5% per year over 2 years Hypothetical Investment Return Profile — 2 Year Investment Period' $135 $130 $125 $120 $115 $110 $105 $100 $95 $90 $85 -20% 4 -10% 0% 10% 20% Portfolio Return 30% Cumulative Rolling 2 Year Return.' 30% 25% 20% 15% 10% 5% 0% Jun-12 Dec-12 Jun-13 Dec-13 Jun-14 Dec-14 Jun-15 Dec-15 Jun-16 Dec-16 Jun-17 Source: Deutsche Bank, Bloomberg. Past performance is not an indicator of future returns. ' Returns and associated metrics are calculated from weekly data through June 30. 2017 for the associated time period. 2A 10% out-of-the-money put option can be purchased on the nsk premia portfolio for a term of 2 years for approximately 1% of the total investment for the full period (approximately 0.5% per year). More information is available upon request. 31-he graph depicts the economic return on a swap on a risk premia portfolio over a term of 2 years. assuming the client also purchases a 10% out-of-the-money put option. 'Cumulative rolling 2 year returns are based on weekly data through June 30. 2017. Median observation: 16 3%. CONFIDENTIAL - PURSUANT TO FED. R. CRIM. P. 6(e) CONFIDENTIAL DB-SDNY-0054976 SDNY_GM_00201160 EFTA01364439