Corporate Credit Exposure

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

 

Sep 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 € 5.1 billion as of September 30, 2014.

3

Includes irrevocable lending commitments related to consumer credit exposure of € 9.7 billion as of September 30, 2014.

4

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

iAAA–iAA

0.00–0.04 %

38,762

21,206

6,583

17,330

46,827

130,708

iA

0.04–0.11 %

44,308

49,830

18,212

14,311

5,245

131,907

iBBB

0.11–0.50 %

54,463

40,063

20,773

4,938

1,558

121,795

iBB

0.50–2.27 %

48,021

31,659

12,601

5,476

1,012

98,769

iB

2.27–10.22 %

19,188

12,823

5,115

1,509

336

38,971

iCCC and below

10.22–100 %

10,103

1,402

1,544

586

40

13,674

Total

 

214,845

156,983

64,827

44,150

55,019

535,825

 

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 nine months of 2014 of € 57.0 billion or 11.9 %. Acquisition financings for highly rated counterparties in the third quarter were key drivers for the increase in irrevocable lending commitments of € 30.3 billion, supported by rapid de-risking strategy. The increase in loans of € 17.2 billion was mainly attributable to Asia driven by the bank’s growth strategy in this region and North America. The increase in debt securities available for sale of € 10.8 billion is almost exclusively related to the top rating band.