Market Risk of Trading Portfolios


The following table shows the value-at-risk of the trading units of the Corporate and Investment Bank Group Division. Our trading market risk outside of these units is immaterial.

Value-at-risk of trading units1,2

Total

Diversification effect

Interest rate risk

Equity price risk

Foreign exchange risk

Commodity price risk

in € m.

2010

2009

2010

2009

2010

2009

2010

2009

2010

2009

2010

2009

1

All figures for 1-day holding period and 99 % confidence level.

2

Value-at-risk is not additive due to correlation effects.

3

Amounts show the bands within which the values fluctuated during the period January 1 to June 30, 2010 and the full year 2009, respectively.

4

Figures for 2010 as of June 30, 2010 and figures for 2009 as of December 31, 2009.

Average3

109.2

126.8

(40.1)

(61.6)

93.2

117.6

21.5

26.9

22.9

28.7

11.8

15.1

Maximum3

126.4

180.1

(63.5)

(112.3)

113.0

169.2

33.6

47.3

41.5

64.4

19.3

34.7

Minimum3

86.0

91.9

(26.4)

(35.9)

77.9

83.2

13.6

14.5

13.3

11.9

7.5

8.5

Period-end4

96.7

121.0

(41.7)

(65.7)

89.0

111.0

16.5

37.0

21.0

23.9

11.9

14.8

The decrease in our average value-at-risk observed in the first half of 2010 was driven by lower levels of risk exposure across asset classes as well as the lower levels of volatility in the one year market data set used in value-at-risk. During the first half of 2010 our trading units achieved a positive actual income for 91 % of the trading days, unchanged compared to 2009.

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