Corporate Credit Exposure

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

 

Sep 30, 2015

in € m.

Probability of default1

Loans

Irrevocable lending commitments2

Contingent liabilities

OTC derivatives3

Debt securities available for sale

Total

1

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

2

Includes irrevocable lending commitments related to consumer credit exposure of € 9.9 billion as of September 30, 2015.

3

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

iAAA–iAA

0.00–0.04 %

50,245

23,984

4,437

25,393

57,179

161,238

iA

0.04–0.11 %

48,166

41,932

24,210

12,717

4,338

131,363

iBBB

0.11–0.50 %

63,268

46,135

14,507

7,859

1,818

133,586

iBB

0.50–2.27 %

52,808

37,494

8,998

5,917

2,433

107,649

iB

2.27–10.22 %

20,992

20,835

4,459

2,500

25

48,811

iCCC and below

10.22–100 %

9,259

1,507

1,373

390

56

12,586

Total

 

244,738

171,887

57,985

54,776

65,848

595,234

 

Dec 31, 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 € 5.6 billion as of December 31, 2014.

3

Includes irrevocable lending commitments related to consumer credit exposure of € 9.4 billion as of December 31, 2014.

4

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

iAAA–iAA

0.00–0.04 %

46,493

22,938

6,281

23,068

50,808

149,589

iA

0.04–0.11 %

44,799

39,336

17,696

9,469

3,371

114,670

iBBB

0.11–0.50 %

54,167

40,145

20,190

7,810

1,746

124,057

iBB

0.50–2.27 %

50,183

31,492

11,640

3,926

3,140

100,380

iB

2.27–10.22 %

19,359

18,924

4,929

2,253

17

45,482

iCCC and below

10.22–100 %

9,417

1,612

1,352

552

50

12,983

Total

 

224,418

154,446

62,087

47,078

59,132

547,161

The above table shows an overall increase by € 48.1 billion or 8.8 % in our corporate credit exposure in the first nine months of 2015. The quality of the corporate credit exposure before risk mitigation has slightly increased to 71.6 % of investment-grade rated exposures compared to 71.0 % as of December 31, 2014.

The increase in Corporate Credit Exposure from December 2014 to September 2015 is mainly attributable to loans (increase by 9 % or € 20.3 billion) and irrevocable lending commitments (increase by 11 % or € 17.4 billion). The increase in loans is mainly related to the investment-grade rating bands. The increase in irrevocable lending commitments reflects a general increase in business volume which accounts for 59 % of the total increase and the remainder of the increase (41 %) is due to FX.