Results of Regulatory Backtesting of Trading Market Risk

In 2013, we observed two global outliers compared with two outliers in 2012, which were in line with our expectations based upon the applied 99 % confidence level. The outliers, of which one occurred in June 2013 and one in August 2013, were principally driven by market movements outside the historical 1 year 99 percentile level. Based on the backtesting results, our analysis of the underlying reasons for outliers and enhancements included in our value-at-risk methodology we continue to believe that our value-at-risk model will remain an appropriate measure for our trading market risk under normal market conditions.

The following graph shows the daily buy-and-hold trading results in comparison to the value-at-risk as of the close of the previous business day for the trading days of the reporting period. The value-at-risk is presented in negative amounts to visually compare the estimated potential loss of our trading positions with the buy and hold income. Figures are shown in millions of euro and exclude contributions from Postbank’s trading book which is calculated on a stand-alone basis.

Comparison of daily buy-and-hold income of trading units trading results and value-at-risk in 2013

Comparison of daily buy-and-hold income of trading units trading results and value-at-risk in 2013 (bar chart)

Daily Income of our Trading Units

The following histogram shows the distribution of daily income of our trading units (excluding Postbank). It displays the number of trading days on which we reached each level of trading income shown on the horizontal axis in millions of euro.

Distribution of daily income of our trading units in 2013

Distribution of daily income of our trading units in 2013 (bar chart)

Our trading units achieved a positive actual income for 94 % of the trading days in 2013 (versus 96 % in 2012).

Economic Capital Usage for our Trading Market Risk

The economic capital usage for trading market risk was € 4.2 billion at year-end 2013 compared with € 4.7 billion at year-end 2012. Our trading market risk economic capital usage decreased by approximately € 493 million, or 11 %. This decrease was mainly driven by reductions from within NCOU.

Postbank’s contribution to the economic capital usage for our trading market risk was minimal.

Valuation of Market Risk Positions

For details about our methods for determining fair value see the respective section in Note 1 “Significant Accounting Policies and Critical Accounting Estimates” of our financial statements.


Key figures comparison

Compare key figures of the past years. more