Corporate Credit Exposure


Main corporate credit exposure categories according to our internal creditworthiness categories of our counterparties

 

Mar 31, 2013

in € m.

Probability of default1

Loans2

Irrevocable lending commitments3

Contingent liabilities

OTC derivatives4

Debt securities available for sale

Total

1

Reflects the probability of default for a one year time horizon.

2

Includes impaired loans mainly in category CCC and below amounting to € 5.8 billion as of March 31, 2013.

3

Includes irrevocable lending commitments related to consumer credit exposure of € 11.0 billion as of March 31, 2013.

4

Includes the effect of netting agreements and cash collateral received where applicable.

iAAA–iAA

0.00–0.04 %

46,064

18,911

9,748

22,629

33,320

130,672

iA

0.04–0.11 %

44,447

36,747

21,417

20,377

7,362

130,350

iBBB

0.11–0.50 %

52,153

36,757

21,653

7,746

3,538

121,847

iBB

0.50–2.27 %

46,115

27,329

11,774

6,270

2,031

93,519

iB

2.27–10.22 %

17,304

11,471

4,713

2,170

82

35,740

iCCC and below

10.22–100 %

13,235

1,496

2,356

1,046

90

18,223

Total

 

219,318

132,711

71,661

60,238

46,423

530,351

 

Dec 31, 2012

in € m.

Probability of default1

Loans2

Irrevocable lending commitments3

Contingent liabilities

OTC derivatives4

Debt securities available for sale

Total

1

Reflects the probability of default for a one year time horizon.

2

Includes impaired loans mainly in category CCC and below amounting to € 6.1 billion as of December 31, 2012.

3

Includes irrevocable lending commitments related to consumer credit exposure of € 10.4 billion as of December 31, 2012.

4

Includes the effect of netting agreements and cash collateral received where applicable.

iAAA–iAA

0.00–0.04 %

49,386

20,233

9,064

23,043

30,054

131,780

iA

0.04–0.11 %

42,611

37,456

19,192

22,308

8,186

129,753

iBBB

0.11–0.50 %

53,539

37,754

21,304

7,713

3,788

124,098

iBB

0.50–2.27 %

45,624

22,631

11,457

5,778

1,749

87,239

iB

2.27–10.22 %

17,997

10,068

4,886

2,415

227

35,593

iCCC and below

10.22–100 %

12,907

1,515

2,455

1,187

151

18,215

Total

 

222,064

129,657

68,358

62,444

44,155

526,678

The above table shows an overall increase in our corporate credit exposure during the first three months of 2013 of € 3.7 billion or 0.7 % which primarily reflects increases in contingent liabilities of € 3.3 billion, irrevocable commitments of € 3.1 billion, debt securities available for sale of € 2.3 billion, partly offset by decreases in loans of € 2.7 billion and OTC derivatives of € 2.2 billion. The increase in irrevocable commitments and contingent liabilities is mainly from foreign exchange rate changes. Loan reductions were predominantly due to sales of exposures reclassified in accordance with IAS 39 in the first three months of 2013. Lower exposures in OTC derivatives were mainly a result of shifts in U.S. dollar, euro and pound sterling yield curves over the quarter.