Value-at-Risk Metrics of Trading Units of Deutsche Bank Group Trading (excluding Postbank)

The tables and graph below present the value-at-risk metrics calculated with a 99 % confidence level and a one-day holding period for our trading units. They exclude contributions from Postbank trading book which are calculated on a stand-alone basis.

Value-at-Risk of our Trading Units by Risk Type

in € m.

Dec 31, 2013

Dec 31, 20121

1

Risk type splits were adjusted for December 31, 2012 to align with risk management classifications, with separation of credit spread risk and inclusion of gold and other precious metals in foreign exchange risk.

2

Includes value-at-risk from gold and other precious metal positions.

Interest rate risk

27.2

27.6

Credit spread risk

37.9

47.2

Equity price risk

20.2

11.6

Foreign exchange risk2

12.4

9.1

Commodity price risk

7.8

7.4

Diversification effect

(57.7)

(44.8)

Total value-at-risk

47.9

58.1

Value-at-Risk of our Trading Units in the Reporting Period

 

Total

Diversification effect

Interest rate risk

Credit spread risk

Equity price risk

Foreign exchange risk1

Commodity price risk

in € m.

2013

2012

2013

20122

2013

20122

2013

20122

2013

2012

2013

20122

2013

20122

1

Includes value-at-risk from gold and other precious metal positions.

2

Risk type splits were adjusted for December 31, 2012 to align with risk management classifications, with separation of credit spread risk and inclusion of gold and other precious metals in foreign exchange risk.

Average

53.6

57.1

(50.0)

(66.3)

26.5

33.1

41.6

50.2

13.4

14.6

13.8

15.4

8.3

10.1

Maximum

69.0

80.1

(62.1)

(89.4)

36.6

49.0

48.0

64.3

23.9

27.4

27.8

43.2

12.8

18.0

Minimum

43.0

43.3

(38.5)

(44.2)

18.7

24.9

34.9

39.3

8.8

7.5

5.8

4.1

5.5

7.4

Development of value-at-risk by risk types in 2013

Development of value-at-risk by risk types in 2013 (line chart)

The average value-at-risk over 2013 was € 53.6 million, which is a decrease of € 3.5 million compared with the full year 2012. There has been a reduction in average value-at-risk across all risk types with particular reductions in the level of credit spread and interest rate risk which have declined € 8.6 million and € 6.6 million respectively. The levels of volatility within the one year of historical data used in the calculation during 2013 has generally fallen, contributing to the reduction but offset by the effect of less diversification benefit across the portfolio. Overall value-at-risk has fluctuated over a narrower range during 2013 with a minimum of € 43.0 million and a maximum of € 69.0 million compared to € 43.3 million and € 80.1 million over 2012.

Regulatory Trading Market Risk Measures (excluding Postbank)

The tables below present the stresses value-at-risk metrics calculated with a 99 % confidence level and a one-day holding period for our trading units. They exclude contributions from Postbank trading book which are calculated on a stand-alone basis.

Stressed Value-at-Risk by Risk Type

in € m.

Dec 31, 2013

Dec 31, 20121

1

Risk type splits were adjusted for December 31, 2012 to align with risk management classifications, with separation of credit spread risk and inclusion of gold and other precious metals in foreign exchange risk.

2

Includes value-at-risk from gold and other precious metal positions.

Interest rate risk

53.0

79.1

Credit spread risk

114.4

124.5

Equity price risk

27.5

16.0

Foreign exchange risk2

27.0

27.4

Commodity price risk

8.9

13.6

Diversification effect

(125.3)

(114.3)

Total stressed value-at-risk of trading units

105.5

146.3

Average, Maximum and Minimum Stressed Value-at-Risk by Risk Type

 

Total

Diversification effect

Interest rate risk

Credit spread risk

Equity price risk

Foreign exchange risk1

Commodity price risk

in € m.

2013

20122

2013

20122

2013

20122

2013

20122

2013

20122

2013

20122

2013

20122

1

Includes value-at-risk from gold and other precious metal positions

2

Risk type splits were adjusted for December 31, 2012 to align with risk management classifications, with separation of credit spread risk and inclusion of gold and other precious metals in foreign exchange risk.

Average

114.0

120.6

(127.5)

(129.5)

59.3

73.3

118.1

119.4

19.2

19.8

29.6

21.1

15.2

16.4

Maximum

169.2

152.2

(166.8)

(166.1)

93.1

112.6

149.5

153.0

53.6

47.8

59.2

50.8

37.1

33.3

Minimum

75.1

91.0

(105.5)

(101.8)

44.4

49.2

90.0

93.5

4.3

7.7

12.1

7.1

7.1

10.2

The average stressed value-at-risk was € 114.0 million over 2013, a decrease of € 6.6 million compared with the full year 2012. This has been mainly driven by a reduction in interest rate stressed value-at-risk over 2013 which reflects an overall reduction in overall USD interest rate risk. There have also been small reductions across credit, equity and commodity on average compared to 2012. This has in part been offset by an increase in foreign exchange stressed value-at-risk coming from an increase in directional foreign exchange exposures throughout the year.

The following graph compares the development of the daily value-at-risk with the daily stressed value-at-risk and their 60 day averages, calculated with a 99 % confidence level and a one-day holding period for our trading units. Amounts are shown in millions of euro and exclude contributions from Postbank’s trading book which are calculated on a stand-alone basis.

Development of value-at-risk and stressed value-at-risk in 2013

Development of value-at-risk and stressed value-at-risk in 2013 (line chart)

For regulatory reporting purposes, the incremental risk charge for the respective reporting dates represents the higher of the spot value at the reporting dates, and their preceding 12-week average calculation. In contrast to this, the incremental risk charge amounts presented for the reporting dates and periods below are the spot values and the average, maximum and minimum values for the 12-week period preceding these reporting dates.

Incremental Risk Charge of Trading Units (with a 99.9 % confidence level and one-year capital horizon)

in € m.

Dec 31, 2013

Dec 31, 2012

1

The IRC charge for Structured Finance Business has been re-allocated from Rates and Credit Trading to Other. Amounts for December 31, 2012 have been adjusted accordingly.

Global Finance and Foreign Exchange

82.4

70.8

Rates and Credit Trading1

563.4

315.5

NCOU

(3.9)

(20.9)

Emerging Markets – Debt

168.3

224.6

Other1

185.5

122.8

Total incremental risk charge

995.6

712.8

Average, Maximum and Minimum Incremental Risk Charge of Trading Units (with a 99.9 % confidence level and one-year capital horizon)

 

2013

2012

in € m.

Weighted average liquidity horizon in month

Average1

Maximum1

Minimum1

Weighted average liquidity horizon in month

Average1

Maximum1

Minimum1

1

Amounts show the bands within which the values fluctuated during the 12-week period preceding December 31, 2013 and December 31, 2012.

2

The IRC charge for Structured Finance Business has been re-allocated from Rates and Credit Trading to Other. Amounts for December 31, 2012 have been adjusted accordingly.

Global Finance and Foreign Exchange

6.0

66.9

82.4

43.5

6.0

107.4

139.3

70.1

Rates and Credit Trading2

6.0

505.8

603.4

414.2

6.0

338.4

426.9

288.1

NCOU

6.0

(20.6)

(3.7)

(36.6)

6.0

(23.0)

29.1

(120.9)

Emerging Markets – Debt

6.0

179.5

205.0

156.1

6.0

197.2

273.5

150.0

Other2

6.0

236.5

323.9

185.1

6.0

140.7

185.5

106.1

Total incremental risk charge of trading units

6.0

968.2

1,044.8

928.5

6.0

760.7

821.5

705.9

Based on 52 weeks, the annual average of our total incremental risk charge was € 877 million for the year 2013 compared with € 760 million for the year 2012. The maximum and minimum of the incremental risk charge for the year 2013 was € 1,164 million and € 667 million compared with € 878 million and € 673 million for the year 2012 respectively. The increase was driven by a more conservative parameter choice within the calculation as well as an increase in single name exposures.

For regulatory reporting purposes, the comprehensive risk measure for the respective reporting dates represents the higher of the spot value at the reporting dates, their preceding 12-week average calculation, and the floor, where the floor is equal to 8 % of the equivalent capital charge under the securitization framework. In contrast to this, the comprehensive risk measure presented for the reporting dates below is the spot values and the average, maximum and minimum values have been calculated for the 12 weeks period preceding these reporting dates.

Comprehensive Risk Measure of Trading Units (with a 99.9 % confidence level and one-year capital horizon)

in € m.

Dec 31, 2013

Dec 31, 2012

Correlation trading

223.8

543.8

Average, Maximum and Minimum Comprehensive Risk Measure of Trading Units (with a 99.9 % confidence level and one-year capital horizon)

 

2013

2012

in € m.

Weighted average liquidity horizon in month

Average1

Maximum1

Minimum1

Weighted average liquidity horizon in month

Average1

Maximum1

Minimum1

1

Average, Maximum and Minimum have been calculated for the 12-week period ending December 31.

Correlation trading

12.0

316.0

359.6

285.9

12.0

613.4

650.9

562.8

Based on 52 weeks, the annual average of our total comprehensive risk measure was € 435 million for the year 2013 compared with € 693 million for the year 2012. The maximum and minimum of comprehensive risk measure for the year 2013 was € 673 million and € 199 million compared with € 884 million and € 418 million for the year 2012 respectively. The decrease is primarily driven by de-risking within the Non Core Operating Unit, which includes unwinds, roll-offs, and improvements to the risk balance in the portfolio.

Market Risk Standardized Approach

As of December 31, 2013, the securitization positions, for which the specific interest rate risk is calculated using the market risk standardized approach, generated capital requirements of € 473 million corresponding to risk weighted-assets of € 5.9 billion and further capital deduction items of € 1.5 billion corresponding to a RWA-equivalent of € 14.9 billion. As of December 31, 2012 these positions amounted to € 429 million, € 5.4 billion, € 637 million and 6.4 billion. The increase in RWA and CDI was mainly related to a regulatory-driven change in the treatment of existing transactions for trading book securitizations. In addition, increased retained securitization positions receiving a risk weight of 1,250 %, which also partially replaced run-off positions, resulted in an offsetting RWA decrease but further drove the increase of the CDIs. These increases in RWA and CDI were partially offset as a result of foreign exchange movements.

Additionally, the capital requirement for CIUs under the market risk standardized approach was € 78 million corresponding to risk weighted-assets of € 977 million as of December 31, 2013, which were derived from positions newly allocated to the market risk standardized approach.

For nth-to-default credit default swaps the capital requirement reduced to € 5 million corresponding to risk weighted-assets of € 63 million compared with € 14 million and € 172 million as of December 31, 2012. This development was driven by certain positions becoming eligible for our comprehensive risk measurement model based on improved market liquidity.

The capital requirement for longevity risk under the market risk standardized approach with € 29 million corresponding to risk weighted-assets of € 363 million declined marginal compared with € 32 million and € 404 million as of December 31, 2012.