Counterparty Credit Risk: Regulatory Assessment

The following section on Counterparty Credit Risk: Regulatory Assessment, ending with the Regulatory Application of Credit Risk Mitigation Techniques section, presents specific disclosures in relation to Pillar 3. Per regulation it is not required to audit Pillar 3 disclosures. As such this section is labeled unaudited. Quantitative information presented follows the regulatory scope of consolidation.

General Considerations for the Regulatory Assessment of Counterparty Risk

Generally we applied the advanced IRBA for the majority of our advanced IRBA eligible credit portfolios to calculate the regulatory capital requirements according to the SolvV, based on respective approvals received from BaFin.

The BaFin approvals obtained as a result of the advanced IRBA audit processes for our counterparty credit exposures excluding Postbank allow the usage of 68 internally developed rating systems for regulatory capital calculation purposes out of which 37 rating systems were authorized in December 2007 and a further 31 followed through year end 2013. The BaFin approvals obtained during 2013 constitute five additional rating systems within the exposure class “retail”. Overall they cover all of our material exposures, excluding Postbank, in the advanced IRBA eligible exposure classes “central governments”, “institutions”, “corporates”, and “retail”.

At Postbank the retail portfolio is also assigned to the advanced IRBA based on respective BaFin approvals Postbank received and the fact that we have an advanced IRBA status. Moreover, during 2013 Postbank obtained BaFin approvals for three rating systems to start applying the advanced IRBA within the exposure classes “institutions” and “corporates” subsequent to respective audit processes. In this regard BaFin also granted approvals for two advanced IRBA and one foundation IRBA rating systems to PB Capital Corporation, which is now a direct subsidiary of Deutsche Bank AG, to also start applying the advanced IRBA within its exposure class “corporates” and to use the foundation IRBA within its exposure class “central governments”. For a significant portion of Postbank’s remaining IRBA eligible credit portfolios we apply the foundation IRBA based on respective BaFin approvals Postbank received in recent years.

In summary the approvals Postbank, excluding PB Capital Corporation, obtained from the BaFin as a result of its IRBA audit processes for the counterparty credit exposures allow the usage of 13 internally developed rating systems for regulatory capital calculation purposes under the IRBA of which eight rating systems were authorized in December 2006 and a further 5 followed through year end 2013. Overall they cover Postbank’s material exposures in the advanced IRBA eligible exposure class “retail” as well as Postbank’s material exposures in the advanced and foundation IRBA eligible exposure classes “central governments”, “institutions” and “corporates”. Additionally, PB Capital Corporation’s material exposures are covered by three internally developed rating systems for regulatory capital calculation purposes under the IRBA which were authorized in 2013.

Details of the advanced IRBA and the advanced IRBA exposures are provided in Sections “Advanced Internal Ratings Based Approach” and “Advanced IRBA Exposure”. The foundation IRBA and the foundation IRBA exposures are discussed in Sections “Foundation Internal Ratings Based Approach” and “Foundation IRBA Exposure”.

At Group level excluding Postbank we assign a few remaining advanced IRBA eligible portfolios of small size temporarily to the standardized approach. With regard to these, an implementation plan and approval schedule have been set up and agreed with the competent authorities, the BaFin and the Bundesbank. A portion of Postbank’s IRBA eligible portfolios is also still temporarily assigned to the standardized approach. During 2013 the implementation plans for the Group excluding Postbank and for Postbank have been combined to an overall Group level implementation plan with a combined approval schedule set up and agreed with the BaFin and the Bundesbank.

Exposures which we do not treat under the advanced or the foundation IRBA are discussed in the Sections “Other IRBA Exposure” and “Standardized Approach”, respectively.

Our advanced IRBA coverage ratio, excluding Postbank, exceeded, with 97 % by exposure value (“EAD”) as well as with 93 % by RWA as of December 31, 2013, the German regulatory requirement, remaining unchanged from the levels at December 31, 2012, using applicable measures according to Section 67 SolvV. These ratios excluded the exposures permanently assigned to the standardized approach (according to Section 70 SolvV), other IRBA exposure as well as securitization positions. The regulatory minimum requirements with regard to the respective coverage ratio thresholds have been met at all times. Subsequent to the combination of the implementation plans for the Group excluding Postbank and Postbank during 2013 the overall Group-wide advanced IRBA coverage ratios have also been established. They were measured according to Section 67 SolvV and were well above the regulatory defined initial thresholds during 2013.

EAD and RWA according to the model approaches applied to our credit risk portfolios

 

Dec 31, 2013

 

Advanced IRBA

Foundation IRBA

Other IRBA

Standardized Approach

Total

in € m.

EAD

RWA

EAD

RWA

EAD

RWA

EAD

RWA

EAD

RWA

Capital Require-
ments

Central governments

92,354

4,353

8

2

0

0

75,706

213

168,068

4,569

366

Institutions

60,912

9,175

5,592

1,320

0

0

4,976

198

71,481

10,693

855

Corporates

264,751

81,397

7,396

4,880

10,169

6,067

23,248

15,235

305,564

107,578

8,606

Retail exposures secured by realestate property

153,271

22,523

0

0

0

0

5,173

2,275

158,443

24,799

1,984

Qualifying revolving retail exposures

4,537

621

0

0

0

0

0

0

4,537

621

50

Other retail exposures

33,082

13,990

0

0

0

0

8,593

5,982

41,675

19,972

1,598

Other exposures

0

0

0

0

7,958

10,424

25,287

14,507

33,245

24,931

1,994

Securitizations

49,368

7,834

0

0

0

0

2,175

1,222

51,543

9,057

725

Total

658,273

139,894

12,997

6,202

18,127

16,490

145,159

39,633

834,557

202,219

16,178

Thereof counterparty credit risk from

122,455

28,265

317

193

414

394

9,571

1,833

132,757

30,684

2,455

Derivatives

75,738

25,900

317

193

414

394

8,630

1,806

85,099

28,292

2,263

Securities financing transactions

46,716

2,365

0

0

0

0

941

27

47,657

2,392

191

The table above provides an overview of the model approaches applied to our credit risk portfolio, including securitization positions. Please note that the following sections on our exposures in the IRBA and standardized approaches exclude securitization exposures as they are presented separately in more detail in the section “Securitization”. The line item “Other exposures” contain predominantly collective investment undertakings, equity exposures and non-credit obligations treated under the other IRBA as well as remaining exposures classes for the standardized approach which do not fall under the exposure classes “Central governments”, “Institutions”, “Corporates” or “Retail”.


Key figures comparison

Compare key figures of the past years. more