Deutsche Bank

Annual Report 2017

Funding Markets and Capital Markets Issuance

Credit markets in 2017 were affected by continued political uncertainties and the ongoing low interest rate environment. Our 5 year CDS traded within a range of 71 to 166 basis points, substantially lower compared to 2016.The peak was observed in the beginning of January, since then, the spread has declined significantly and as of year-end was trading at 73 basis points, at the low end of the range for the year. The spreads on our bonds exhibited similar behavior. For example, our 1.5 % EUR benchmark maturing in January 2022 traded in a range of 43 to 150 basis points, closing at 49 basis points at year end 2017.

Our 2017 funding plan of up to € 25 billion, comprising debt issuance with an original maturity in excess of one year, was completed and we concluded 2017 having raised € 24.8 billion in term funding. This funding was broadly spread across the following funding sources: Senior unsecured plain-vanilla issuance, including benchmarks (€ 14.7 billion), Tier 2 benchmark issuance (€ 0.8 billion), covered bond issuance (€ 1.1 billion), and other unsecured structured issuance (€ 8.2 billion). The € 24.8 billion total is divided into Euro (€ 9.2 billion), US dollar (€ 13.2 billion), British Pound (€ 0.9 billion) and other currencies aggregated (€ 1.5 billion). In addition to direct issuance, we use long-term cross currency swaps to manage our funding needs outside of EUR. Our investor base for 2017 issuances comprised retail customers (29 %), banks (6 %), asset managers and pension funds (38 %), insurance companies (8 %) and other institutional investors (19 %). The geographical distribution was split between Germany (21 %), rest of Europe (28 %), US (31 %), Asia/Pacific (16 %) and Other (3 %). Of our total capital markets issuance outstanding as of December 31, 2017, approximately 93 % was issued on an unsecured basis.

The average spread of our issuance over 3-months-Euribor (all non-Euro funding spreads are rebased versus 3-months Euribor) was 71 basis points for the full year, substantially lower compared to 129 basis points average spread in 2016. The average tenor was 6.7 years. Our issuance activities were slightly higher in the first half of the year. We issued the following volumes over each quarter: Q1: € 8.5 billion, Q2: € 4.8 billion, Q3: € 6.0 billion and Q4: € 5.5 billion, respectively.

In 2018, our funding plan is € 30 billion which we plan to cover by accessing the above sources, without being overly dependent on any one source. 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 € 16 billion in 2018.