Credit Exposure from Derivatives


The following table shows the notional amounts and gross market values of OTC and exchange-traded derivative contracts we held for trading and nontrading purposes as of December 31, 2010. The table below includes Postbank OTC and exchange-traded derivative contracts which have a negligible impact on the overall totals.

Dec 31, 2010

Notional amount maturity distribution

Positive market value

Negative market value

Net market value

in € m.

Within 1 year

> 1 and
≤ 5 years

After 5 years

Total

Interest-rate-related transactions:

 

 

 

 

 

 

 

OTC products

16,942,302

15,853,777

11,080,457

43,876,536

419,196

401,179

18,017

Exchange-traded products

1,120,579

276,258

2,272

1,399,109

128

110

18

Sub-total

18,062,881

16,130,035

11,082,729

45,275,645

419,324

401,289

18,035

Currency-related transactions:

 

 

 

 

 

 

 

OTC products

3,805,544

1,325,473

607,743

5,738,760

110,440

118,452

(8,012)

Exchange-traded products

13,113

970

14,083

104

221

(117)

Sub-total

3,818,657

1,326,443

607,743

5,752,843

110,544

118,673

(8,129)

Equity/index-related transactions:

 

 

 

 

 

 

 

OTC products

362,294

333,108

95,785

791,187

31,084

38,297

(7,213)

Exchange-traded products

256,942

100,475

4,332

361,749

2,933

1,995

938

Sub-total

619,236

433,583

100,117

1,152,936

34,017

40,292

(6,275)

Credit derivatives

308,387

2,545,673

537,759

3,391,819

81,095

73,036

8,059

Other transactions:

 

 

 

 

 

 

 

OTC products

143,323

150,068

8,831

302,222

18,587

17,879

708

Exchange-traded products

72,437

41,874

839

115,150

2,742

2,621

121

Sub-total

215,760

191,942

9,670

417,372

21,329

20,500

829

Total OTC business

21,561,850

20,208,099

12,330,575

54,100,524

660,402

648,843

11,559

Total exchange-traded business

1,463,071

419,577

7,443

1,890,091

5,907

4,947

960

Total

23,024,921

20,627,676

12,338,018

55,990,615

666,309

653,790

12,519

Positive market values including the effect of netting and cash collateral received

 

 

 

 

63,942

 

 

Exchange-traded derivative transactions (e.g., futures and options) are regularly settled through a central counterparty (e.g., LCH. Clearnet Ltd. or Eurex Clearing AG), the rules and regulations of which provide for daily margining of all current and future credit risk positions emerging out of such transactions. To the extent possible, we also use central counterparty clearing services for OTC derivative transactions (“OTC clearing”); we thereby benefit from the credit risk mitigation achieved through the central counterparty’s settlement system.

As the replacement values of derivatives portfolios fluctuate with movements in market rates and with changes in the transactions in the portfolios, we also estimate the potential future replacement costs of the portfolios over their lifetimes or, in case of collateralized portfolios, over appropriate unwind periods. We measure the potential future exposure against separate limits. We supplement the potential future exposure analysis with stress tests to estimate the immediate impact of extreme market events on our exposures (such as event risk in our Emerging Markets portfolio).

The potential future exposure measure which we use is generally given by a time profile of simulated positive market values of each counterparty’s derivatives portfolio, for which netting and collateralization are considered. For limit monitoring we employ the 95th quantile of the resulting distribution of market values, internally referred to as potential future exposure (“PFE”). The average exposure profiles generated by the same calculation process are used to derive the so-called average expected exposure (“AEE”) measure, which we use to reflect potential future replacement costs within our credit risk economic capital, and the expected positive exposure (“EPE”) measure driving our regulatory capital requirements. While AEE and EPE are generally calculated with respect to a time horizon of one year, the PFE is measured over the entire lifetime of a transaction or netting set. We also employ the aforementioned calculation process to derive stressed exposure results for input into our credit portfolio stress testing.

Credit Exposure from Nonderivative Trading Assets

The following table shows details about the composition of our nonderivative trading assets for the dates specified.

in € m.

Dec 31, 2010

Dec 31, 2009

Government paper & agencies

92,866

76,318

Financial institutions & corporates

73,711

69,408

Equities

66,868

58,798

Traded loans

23,080

21,847

Other

14,766

8,539

Total nonderivative trading assets

271,291

234,910

Traded credit products such as bonds in our developed markets’ trading book (excluding Postbank) are managed by a dedicated risk management unit combining our credit and market risk expertise. We use appropriate portfolio limits and ratings-driven thresholds on single-issuer basis, combined with our market risk management tools to risk manage such positions. Emerging markets traded credit products are risk managed using expertise which resides within our respective emerging markets credit risk unit and market risk management.

Key figures comparison

Compare key figures of the past years. more

Signs and Symbols
  • Save section as pdf file
  • Save table as xls file
  • Print page
  • Add file to file library
  • Glossary
  • Link to a page outside of this report
  • Link to a page within this report
  • Compare to 2009
  • Corresponding page at the PDF version of this report
Help

Explanations to make the best possible use of the information provided and the various service features can be found here.