Corporate Credit Exposure

Main corporate credit exposure categories according to our internal creditworthiness categories of our counter-parties

 

Jun 30, 2014

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 iCCC and below amounting to € 5.4 billion as of June 30, 2014.

3

Includes irrevocable lending commitments related to consumer credit exposure of € 9,9 billion as of June 30, 2014.

4

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

iAAA–iAA

0.00–0.04 %

38,558

20,148

6,390

16,339

42,742

124,177

iA

0.04–0.11 %

43,073

31,644

18,103

11,733

5,518

110,071

iBBB

0.11–0.50 %

53,641

36,362

20,069

5,713

1,622

117,406

iBB

0.50–2.27 %

45,344

25,870

12,314

4,629

398

88,554

iB

2.27–10.22 %

16,880

12,443

4,369

1,240

454

35,386

iCCC and below

10.22–100 %

9,944

1,669

1,773

553

47

13,985

Total

 

207,440

128,134

63,017

40,206

50,781

489,578

 

Dec 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 iCCC and below amounting to € 5.9 billion as of December 31, 2013.

3

Includes irrevocable lending commitments related to consumer credit exposure of € 9.8 billion as of December 31, 2013.

4

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

iAAA–iAA

0.00–0.04 %

33,213

19,791

8,318

19,222

35,699

116,243

iA

0.04–0.11 %

43,193

31,009

19,285

11,934

5,332

110,753

iBBB

0.11–0.50 %

50,441

37,326

20,234

6,700

1,764

116,465

iBB

0.50–2.27 %

43,529

25,363

11,604

4,775

920

86,191

iB

2.27–10.22 %

16,173

11,927

4,382

1,711

443

34,635

iCCC and below

10.22–100 %

11,076

1,245

1,807

374

85

14,587

Total

 

197,625

126,660

65,630

44,716

44,242

478,874

The above table shows an overall increase in our corporate credit exposure during the first six months of 2014 of € 10.7 billion or 2.2 % which primarily reflects increases in loans of € 9.8 billion, debt securities available for sale of € 6.5 billion and irrevocable lending commitments of € 1.5 billion, partly offset by decreases in OTC derivatives of € 4.5 billion and contingent liabilities of € 2.6 billion. The increase in loans was mainly attributable to changes in counterparties located in North America and Asia whereas the increase in debt securities available for sale was driven by exposure changes in counterparties located in Western Europe and Germany. Lower exposures in OTC derivatives were mainly driven by exposure decreases in currency related products over the half year. The decrease in contingent liabilities was mainly driven by exposure changes in counterparties located in North America and Germany.