Standardized Approach

We treat a subset of our credit risk exposures within the standardized approach. The standardized approach measures credit risk either pursuant to fixed risk weights, which are predefined by the regulator, or through the application of external ratings.

We assign certain credit exposures permanently to the standardized approach in accordance with Section 70 SolvV. These are predominantly exposures to the Federal Republic of Germany and other German public sector entities as well as exposures to central governments of other European Member States that meet the required conditions. These exposures make up more than half of the exposures carried in the standardized approach and receive predominantly a risk weight of zero percent. For internal purposes, however, these exposures are assessed via an internal credit assessment and fully integrated in the risk management and economic capital processes.

In line with Section 66 SolvV, we assign further – generally IRBA eligible – exposures permanently to the standardized approach. This population comprises several small-sized portfolios, which are considered to be immaterial on a stand-alone basis for inclusion in the IRBA.

Other credit exposures which are small in size are temporarily assigned to the standardized approach and we plan to transfer them to the IRBA over time. The prioritization and the corresponding transition plan is discussed and agreed with the competent authorities, the BaFin and the Bundesbank.

Equity positions entered into before January 1, 2008 are subject to the transitional arrangement to exempt them from the IRBA and a risk weight of 100 % is applied according to the standardized approach treatment.

In order to calculate the regulatory capital requirements under the standardized approach, we use eligible external ratings from Standard & Poor’s, Moody’s, Fitch Ratings and in some cases from DBRS. DBRS ratings are applied in the standardized approach for a small number of exposures since 2009. Ratings are applied to all relevant exposure classes in the standardized approach. If more than one rating is available for a specific counterparty, the selection criteria as set out in Section 44 SolvV are applied in order to determine the relevant risk weight for the capital calculation. Moreover, given the low volume of exposures covered under the standardized approach and the high percentage of (externally rated) central government exposures therein, we do not infer borrower ratings from issuer ratings.

Our exposure values in the standardized approach by risk weight is shown before and after credit risk mitigation obtained in the form of eligible financial collateral, guarantees and credit derivatives excluding Postbank’s CIU exposures assigned to the standardized approach which are displayed in the table “EAD of CIUs of Postbank in the Standardized Approach by Risk Weight” thereafter, and excluding exposure subject to settlement risk.

The decrease in EAD is primarily due to exposure reduction in money market loans and clearing accounts towards central banks as well as due to de-risking initiatives in our pension assets.

Exposure values in the standardized approach by risk weight

 

Dec 31, 2013

Dec 31, 2012

in € m.

Before credit risk mitigation

After credit risk mitigation

Before credit risk mitigation

After credit risk mitigation

0 %

78,483

80,150

100,714

103,605

5 %

0

0

0

0

10 %

34

34

46

46

20 %

1,661

1,656

2,002

2,278

22 %

0

0

0

0

35 %

11,606

11,601

2,616

2,608

50 %

5,914

5,960

4,219

4,308

55 %

0

0

1,018

1,018

75 %

15,043

12,300

30,450

25,125

100 %

27,050

17,861

31,187

21,419

110 %

0

0

0

0

150 %

889

880

1,055

999

Total EAD in the standardized approach

140,680

130,441

173,307

161,406

EAD of CIUs of Postbank in the standardized approach by Risk Weight

in € m.

Dec 31, 2013

Dec 31, 2012

Bonds in CIUs

 

 

0 %

1,058

0

11 %

0

0

22 %

26

312

55 %

274

432

110 %

327

596

200 %

45

65

300 %

0

393

EAD for bonds in CIUs

1,730

1,798

CIUs with risk weight calculated by third parties

 

 

< 22 %

0

594

> 22 % < 110 %

182

189

> 110 %

8

18

EAD for CIUs with risk weight calculated by third parties

190

801

Total EAD for CIUs in the standardized approach

1,920

2,599

The table above comprises bonds in the form of collective investment undertakings assigned to the standardized approach based on a “look through” treatment as well as the exposure values for collective investment undertakings with risk weights calculated by third parties in the standardized approach by risk weight. Credit risk mitigation techniques have not been applied.


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