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Diversification of our funding profile in terms of investor types, regions and products is an important element of our liquidity risk management framework. Our most stable funding sources stem from capital markets issuances and equity, as well as from Private Bank and Corporate Bank deposits. Other customer deposits, unsecured Wholesale funding, secured funding and short positions are additional sources of funding. Unsecured Wholesale funding comprises a range of institutional products, such as Certificate of Deposits, Commercial Papers as well as Money Market deposits sourced primarily by Group Treasury. Given the relatively short-term nature of these liabilities, they are predominantly used to fund liquid trading assets.

To promote the additional diversification of our refinancing activities, we hold a license to issue mortgage Pfandbriefe. We continue to run a program for the purpose of issuing Covered Bonds under Spanish law (Cedulas) and participate in the TLTRO III program. Additionally, we expanded in 2020 our potential investor base by introducing our Sustainable Finance Framework and issued a Green Bond in June 2020. Following the inaugural green issuances in 2020, the Group has continuously expanded its Green Bond issuance activity. Furthermore multiple green structured notes, first green deposits and first green repurchase agreements (repos) were executed. Various teams within DB continue to work on expanding the Group’s Green footprint on the asset as well the liability side.

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In line with regulatory guidelines, Deutsche Bank has developed a set of internal indicators to measure its inherent funding risks. These are considered for risk management and steering purposes in addition to Pillar 1 requirements.

Deutsche Bank’s primary tool for monitoring and managing structural funding risk is the Funding Matrix. The Funding Matrix assesses the Group’s structural funding profile for the greater than one year time horizon. To produce the Funding Matrix, all funding-relevant assets and liabilities are mapped into time buckets corresponding to their contractual or modeled maturities. This allows the Group to identify expected excesses and shortfalls in term liabilities over assets in each time bucket, facilitating the management of potential liquidity exposures.

The liquidity profile is based on contractual cash flow information. If the contractual maturity profile of a product does not adequately reflect the liquidity profile, it is replaced by modeling assumptions. Short-term balance sheet items (<1yr) or matched funded structures (asset and liabilities directly matched with no liquidity risk) are excluded from the term analysis.

The bottom-up assessment by individual business line is combined with a top-down reconciliation against the Group’s IFRS balance sheet. From the cumulative term profile of assets and liabilities beyond 1 year, long-funded surpluses or short-funded gaps in the Group’s maturity structure can be identified. The cumulative profile is thereby built up starting from the greater than 10 year bucket down to the greater than 1 year bucket. The Funding Matrix is also undertaken for material foreign currencies.

Show content of Funding Markets and Capital Markets Issuance

The macro environment remained challenging in 2022. Once, a normalisation of the pandemic was in sight, the war in Ukraine and global inflation started to weigh on markets. Credit spreads widened across the board. Through good timing, already EUR 4bn were raised until Feb-22. But even after Russia’s invasion, the Bank demonstrated its capacity to raise liquidity through debt markets. The bank executed the 2022 Issuance Plan of EUR 15-20 billion and even raised pre-funding of EUR 4bn in Q4. 

In light of the macro events, credit markets moved wider throughout the year and partially recovered in Q4. DB’s 5 year Credit Default Swap (referencing non-preferred debt) contract peaked on October 11, 2022 at 278bp and closed on December 30, 2022 at 174 bp. In the bond markets, our senior non-preferred 1.75 % EUR benchmark maturing in November 2030 closed at 245bp over Euro Mid Swaps at the end of 2022, 145bp wider than one year before.

Our 2022 issuance plan of € 10-15 billion, comprising debt issuance with an original maturity in excess of one year, was completed and we concluded 2022 having raised € 24 billion in term funding, already prefunding part of our 2023 issuance plan. This funding was broadly spread across the following funding sources: AT1 issuance (€ 2.0 billion), Tier 2 issuance (€ 2.6 billion) senior non-preferred plain-vanilla issuance (€ 8.8 billion), senior preferred plain-vanilla issuance (€ 2.8 billion), covered bond issuance (€ 3.5 billion), and other senior preferred structured issuance (€ 4.3 billion). The (€ 24 billion) total is divided into Euro (€ 13.5 billion), US dollar (€ 8.9 billion), British Pound (€ 0.8 billion) and other currencies aggregated (€ 0.5 billion). Our investor base for 2022 issuances comprised asset managers and pension funds (40 %), banks (18 %), retail customers (7 %), insurance companies (9 %) and other institutional investors (25 %). The geographical distribution was split between Germany (24 %), rest of Europe (41 %), US (19 %), Asia/Pacific (14 %) and Other (2 %).

The average spread of our issuance over 3-months-Euribor/RFR was 194 basis points for the full year. The average tenor was 5.7 years. Volume-wise, the bank’s issuance activity was evenly split between H1 and H2. The Group issued the following volumes over each quarter: Q1: EUR 7.3 billion, Q2: EUR 4.8 billion, Q3: EUR 7.1 billion and Q4: EUR 4.8 billion, respectively.

In 2023, our issuance plan is € 13-18 billion and comprises capital instruments, senior non-preferred, senior preferred and covered bonds. We also plan to raise a portion of this funding in U.S. dollar and may enter into cross currency swaps to manage any residual requirements. We have total capital markets maturities, excluding legally exercisable calls, of approximately € 12 billion in 2023.