Deutsche’s counterparty exposures at odds with capital

Deutsche Bank had the most exposure to counterparty credit risk (CCR) 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 (SFTs).

The German giant had €153 billion ($172 billion) of exposures-at-default to trade counterparties, not including centrally cleared and credit valuation adjustment (CVA) exposures, which

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