Value-at-Risk at Postbank

The tables below present the value-at-risk metrics of Postbank’s trading book calculated with a 99 % confidence level and a one-day holding period.

Value-at-Risk of Trading Book of Postbank trading book

in € m.

Dec 31, 2013

Dec 31, 2012

1

Due to the separation of credit spread risk, amounts were adjusted for December 31, 2012.

Interest rate risk1

0.0

0.4

Credit spread risk1

0.0

1.2

Equity price risk

0.0

0.1

Foreign exchange risk

0.1

0.2

Commodity price risk

0.0

0.0

Diversification effect1

0.0

(0.6)

Total value-at-risk of Postbanks trading book

0.1

1.2

The decrease in Postbank’s value-at-risk to € 0.1 million at year end 2013 from € 1.2 million at year end 2012 is largely due to further reduction of overall position taking and transfer of positions into the regulatory banking book in line with Postbank’s trading book strategy. “Diversification effect” reflects the fact that the total value-at-risk on a given day will be lower than the sum of the value-at-risk relating to the individual risk classes. Simply adding the value-at-risk figures of the individual risk classes to arrive at an aggregate value-at-risk would imply the assumption that the losses in all risk categories occur simultaneously.

Average, Maximum and Minimum Value-at-Risk of Postbank trading book

 

Total

Diversification effect1

Interest rate risk1

Credit spread risk1

Equity price risk

Foreign exchange risk

Commodity price risk

in € m.

2013

2012

2013

2012

2013

2012

2013

2012

2013

2012

2013

2012

2013

2012

1

Due to the separation of credit spread risk, amounts were adjusted for December 31, 2012.

Average

0.3

3.4

(0.2)

(1.9)

0.2

1.9

0.1

3.2

0.0

0.1

0.1

0.1

0.0

0.0

Maximum

1.1

5.9

(0.9)

(3.8)

0.5

3.5

1.1

5.0

0.1

0.2

0.5

0.7

0.0

0.0

Minimum

0.1

0.9

0.0

(0.6)

0.0

0.4

0.0

0.9

0.0

0.0

0.1

0.0

0.0

0.0