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German giant queried over exposure

Deutsche Bank had the most exposure to counterparty credit risk among large European dealers at end-2018, but only the third-highest capital requirement of the group. This discrepancy is likely a function of its use of internal models to calculate charges for its securities-financing transactions. The German giant had €153 billion ($172 billion) of exposures-at-default to trade counterparties, not including centrally cleared and credit valuation adjustment exposures, which together generated €24 billion of risk-weighted assets.

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