Deutsche Bank to review valuations of inflation swaps: Bloomberg

October 26, 2016 12:11 PM EDT

A statue is pictured next to the logo of Germany's Deutsche Bank in Frankfurt, Germany September 30, 2016. REUTERS/Kai Pfaffenbach/File Photo


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(Reuters) - Deutsche Bank AG is reviewing whether it misstated the value of derivatives in its interest-rate trading business, and is sharing its findings with the U.S. authorities, Bloomberg reported, citing people familiar with the matter.

The lender is looking at valuations on a type of derivative known as zero-coupon inflation swaps, Bloomberg reported on Wednesday. (http://bloom.bg/2eRLuHH)

After finding valuations that diverged from internal models, Deutsche Bank began questioning traders, according to the report.

Zero-coupon inflation swaps are derivatives whose pay-off depends on the rate of inflation in a given period.

A Deutsche Bank spokesperson declined to comment.

(Reporting by Sruthi Shankar in Bengaluru; Editing by Shounak Dasgupta)



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