Advanced IRBA

The advanced IRBA is the most sophisticated approach available under the regulatory framework for credit risk and allows us to make use of our internal rating methodologies as well as internal estimates of specific other risk parameters. These methods and parameters represent long-used key components of the internal risk measurement and management process supporting the credit approval process, the economic capital and expected loss calculation and the internal monitoring and reporting of credit risk. The relevant parameters include the probability of default (“PD”), the loss given default (“LGD”) and the maturity (“M”) driving the regulatory risk-weight and the credit conversion factor (“CCF”) as part of the regulatory exposure at default (“EAD”) estimation. For most of our internal rating systems more than seven years of historical information is available to assess these parameters. Our internal rating methodologies reflect a point-in-time rather than a through-the-cycle rating.

The probability of default for customers is derived from our internal rating systems. We assign a probability of default to each relevant counterparty credit exposure as a function of a transparent and consistent 21-grade master rating scale for all of our exposure excluding Postbank. The borrower ratings assigned are derived on the grounds of internally developed rating models which specify consistent and distinct customer-relevant criteria and assign a rating grade based on a specific set of criteria as given for a certain customer. The set of criteria is generated from information sets relevant for the respective customer segments like general customer behavior, financial and external data. The methods in use range from statistical scoring models to expert-based models taking into account the relevant available quantitative and qualitative information. Expert-based models are usually applied for counterparts in the exposure classes “Central governments and central banks”, “Institutions” and “Corporates” with the exception of small- and medium-sized entities. For the latter as well as for the retail segment statistical scoring or hybrid models combining both approaches are commonly used. Quantitative rating methodologies are developed based on applicable statistical modeling techniques, such as logistic regression. In line with Article 174 CRR, these models are complemented by human judgment and oversight to review model-based assignments and are intended to ensure that the models are used appropriately. When we assign our internal risk ratings, it allows us to compare them with external risk ratings assigned to our counterparties by the major international rating agencies, where possible, as our internal rating scale has been designed to principally correspond to the external rating scales from rating agencies. For quantitative information regarding our advanced and foundation IRBA exposure based on a rating grade granularity which corresponds to the external Standard & Poor’s rating equivalents please refer to the section “Advanced IRBA Exposure” and “Foundation IRBA Exposure”.

Although different rating methodologies are applied to the various customer segments in order to properly reflect customer-specific characteristics, they all adhere to the same risk management principles. Credit process policies provide guidance on the classification of customers into the various rating systems. For more information regarding the credit process and the respective rating methods used within that process, please refer to Sections “Credit Risk Ratings” and “Rating Governance”.

Postbank also assigns a probability of default to each relevant counterparty credit exposure as a function of an internal rating master scale for its portfolios. The ratings assigned are derived on the grounds of internally developed rating models which specify consistent and distinct customer-relevant criteria. These rating models are internally developed statistical scoring or rating models based on internal and external information relating to the borrower and use statistical procedures to evaluate a probability of default. The resulting score or probability of default is then mapped to Postbank’s internal rating master scale.

We apply internally estimated LGD factors as part of the advanced IRBA capital requirement calculation as approved by the BaFin. LGD is defined as the likely loss intensity in case of a counterparty default. It provides an estimation of the exposure that cannot be recovered in a default event and therefore captures the severity of a loss. Conceptually, LGD estimates are independent of a customer’s probability of default. The LGD models ensure that the main drivers for losses (i.e., different levels and quality of collateralization and customer or product types or seniority of facility) are reflected in specific LGD factors. In our LGD models, except Postbank, we assign collateral type specific LGD parameters to the collateralized exposure (collateral value after application of haircuts). Moreover, the LGD for uncollateralized exposure cannot be below the LGD assigned to collateralized exposure and regulatory floors (10 % for residential mortgage loans) are applied.

As part of the application of the advanced IRBA we apply specific CCFs in order to calculate an EAD value. Conceptually the EAD is defined as the expected amount of the credit exposure to a counterparty at the time of its default. For advanced IRBA calculation purposes we apply the general principles as defined in Article 166 CRR to determine the EAD of a transaction. In instances, however, where a transaction outside of Postbank involves an unused limit a percentage share of this unused limit is added to the outstanding amount in order to appropriately reflect the expected outstanding amount in case of a counterparty default. This reflects the assumption that for commitments the utilization at the time of default might be higher than the current utilization. When a transaction involves an additional contingent component (i.e., guarantees) a further percentage share (usage factor) is applied as part of the CCF model in order to estimate the amount of guarantees drawn in case of default. Where allowed under the advanced IRBA, the CCFs are internally estimated. The calibrations of such parameters are based on statistical experience as well as internal historical data and consider customer and product type specifics. As part of the approval process, the BaFin assessed our CCF models and stated their appropriateness for use in the process of regulatory capital requirement calculations.

Overall Postbank has similar standards in place to apply the advanced IRBA to its retail portfolios as well as to the advanced IRBA covered institution and corporate portfolios using internally estimated default probabilities, loss rates and conversion factors as the basis for calculating minimum regulatory capital requirements.

For the majority of derivative counterparty exposures as well as securities financing transactions (“SFT”) we, excluding Postbank, make use of the internal model method (“IMM”) in accordance with Article 283 et seq. CRR and Section 18 et. seq. SolvV. In this respect securities financing transactions encompass repurchase transactions, securities or commodities lending and borrowing as well as margin lending transactions (including prime brokerage). The IMM is a more sophisticated approach for calculating EAD for derivatives and SFT, again requiring prior approval from the BaFin before its first application. By applying this approach, we build our EAD calculations on a Monte Carlo simulation of the transactions’ future market values. Within this simulation process, interest and foreign exchange rates, credit spreads, equity and commodity prices are modeled by stochastic processes and each derivative and securities financing transaction is revalued at each point of a pre-defined time grid by our internally approved valuation routines. As the result of this process, a distribution of future market values for each transaction at each time grid point is generated. From these distributions, by considering the appropriate netting and collateral agreements, we derive the exposure measures potential future exposure (“PFE”), average expected exposure (“AEE”) and expected positive exposure (“EPE”) mentioned in section “Counterparty Credit Risk from Derivatives”. The EPE measure evaluated on regulatory eligible netting sets defines the EAD for derivative counterparty exposures as well as for securities financing transactions within our regulatory capital calculations for the great majority of our derivative and SFT portfolio, while applying an own calibrated alpha factor in its calculation, floored at the minimum level of 1.2. For December 31, 2014, the alpha factor was calibrated to 1.11 and thus the floor was applied. For the small population of transactions for which a simulation cannot be computed or is subject to regulatory restrictions (such as for those with risk factors not approved by BaFin or for specific wrong-way risk), the EAD used is derived from the Mark-to-Market method according to Article 274 CRR.

For our derivative counterparty credit risk resulting from Postbank we also apply the Mark-to-Market method according to Article 274 CRR, i.e., we calculate the EAD as the sum of the net positive fair value of the derivative transactions and the regulatory add-ons. As the EAD derivative position resulting from Postbank is less than 1 % in relation to our overall counterparty credit risk position from derivatives we consider Postbank’s derivative position to be immaterial.

Advanced IRBA – Model Validation

As an important element of our risk management framework we regularly validate our rating methodologies and credit risk parameters. Whereas the rating methodology validation focuses on the discriminatory power of the models, the risk parameter validation for PD, LGD and EAD analyzes the predictive power of those parameters when compared against historical default and loss experiences.

According to our standards, and in line with the CRR-defined minimum requirements, the parameters PD, LGD and EAD are reviewed annually. The validation process for parameters as used by us excluding Postbank is coordinated and supervised by a validation committee composed of members from Finance, Risk Analytics & Living Wills and Credit Risk Management. Risk parameter validations consist of quantitative analyses of internal historical data and are enriched by qualitative assessments in case data for validation is not statistically sufficient for reliable validation results. A recalibration of specific parameter settings is triggered based on validation results if required. In addition to annual validations, ad hoc reviews are performed where appropriate as a reaction to quality deterioration at an early stage due to systematic changes of input factors (i.e., changes in payment behaviour) or changes in the structure of the portfolio.

Analogously at Postbank the results of the estimations of the input parameters PD, CCF and LGD are reviewed annually. Postbank’s model validation committee is responsible for supervising the annual validation process of all models. Via a cross committee membership Deutsche Bank senior managers join Postbank committees and vice versa, to promote joint governance.

The reviews conducted in 2014 for advanced IRBA rating systems triggered recalibrations as shown in the table below. Changes in overall counts of parameters are due to newly approved rating systems or due to changes in granularity in existing risk parameter assignment and include Postbank. None of the recalibrations individually nor the impact of all recalibrations in the aggregate materially impacted our regulatory capital requirements.

Validation results for risk parameters used in our advanced IRBA

 

2014

 

PD

LGD

EAD

 

Count

EAD in %

Count

EAD in %

Count

EAD in %

Appropriate

166

86.4

138

74.6

59

57.1

Overly conservative

2

0.1

2

9.4

14

42.9

Progressive

16

13.5

22

16.0

1

0.0

Total

184

100.0

162

100.0

74

100.0

 

 

 

 

 

 

 

Thereof already recalibrated and introduced in 2014

 

 

 

 

 

 

 

Overly conservative

0

0.0

2

9.4

1

0.1

Progressive

5

10.8

0

0.0

0

0.0

Total

5

10.8

2

9.4

1

0.1

 

2013

 

PD

LGD

EAD

 

Count

EAD in %

Count

EAD in %

Count

EAD in %

Appropriate

136

80.8

150

87.3

50

52.2

Overly conservative

8

7.9

6

7.5

21

43.6

Progressive

10

11.3

6

5.1

8

4.2

Total

154

100.0

162

100.0

79

100.0

 

 

 

 

 

 

 

Thereof already recalibrated and introduced in 2013

 

 

 

 

 

 

 

Overly conservative

3

5.2

2

1.0

7

38.6

Progressive

6

6.9

4

5.1

4

3.5

Total

9

12.1

6

6.0

11

42.1

Individual risk parameter settings are classified as appropriate if no recalibration was triggered by the validation and thus the application of the current parameter setting is continued since still sufficiently conservative. A parameter classifies as overly conservative or progressive if the validation triggers a recalibration analysis leading to a potential downward or upward change of the current setting, respectively. The breakdown for PD, LGD and EAD is presented by number as well as by the relative EAD attached to the respective parameter as of December 31, 2014 and December 31, 2013.

The validations during 2014 largely confirmed our parameter settings. Negatively validated PD parameters with high materiality were caused by two rating systems. One Postbank rating system contributed around 5.4 % of EAD, and the PD parameter was classified as too progressive and the LGD parameter is overly conservative. Both parameters had already been amended. One Deutsche Bank rating system contributed to approximately 3.9 % of EAD. The progressive PD parameters were already mitigated by re-rating of affected exposures which has already begun in 2013. A Postbank rating system contributing around 4 % of EAD the LGD parameter was classified as, after an increase in 2013, overly conservative and was accordingly recalibrated. The LGD parameter for one Deutsche Bank rating system contributed around 7.7 % of EAD was classified as too progressive. A recalibration is scheduled for the second quarter 2015. In addition, one LGD parameter contributing approximately 6.2 % of EAD proved to be too progressive and one EAD parameter contributing 4.7 % of the free limit was classified as overly conservative. Both parameters are used in the Bank and are scheduled for recalibration in the second quarter 2015. One EAD parameter used in the Bank contributing around 37.7 % of the free limit was overly conservative. It was reduced by 3 %-points in 2013 still keeping a high level of conservatism and a further reduction of the parameter is not planned. All other negatively validated parameters are only applied to smaller portfolios.

Out of the 57 risk parameters, where a change was suggested during 2014 following their validation, 8 were already amended in 2014. Out of the remaining 49 parameter changes 45 are scheduled for implementation in the first half of 2015. One EAD parameter of high materiality listed above will be kept deliberately conservative. The remaining 3 parameter settings are planned to be implemented during 2015. Out of the 59 risk parameters where a change was suggested during 2013 by the conducted validation, 26 were already introduced in 2013 and one parameter setting was maintained due to changed portfolio composition. Subsequently, 25 parameter changes were implemented in 2014 and 4 parameter settings were kept deliberately conservative. The remaining 3 parameter settings were not changed due to discontinuation of the respective rating system.

In addition to the above, the comparison of regulatory expected loss (“EL”) estimates with actual losses recorded also provides some insight into the predictive power of our parameter estimations and, therefore, EL calculations.

The EL used in this comparison is the forecast credit loss from counterparty defaults of our exposures over a one year period and is computed as the product of PD, LGD and EAD for performing exposures as of December 31 of the preceding year. The actual loss measure is defined by us as new provisions on newly impaired exposures recorded in our financial statements through profit and loss during the respective reported years.

While we believe that this approach provides some insight, the comparison has limitations as the two measures are not directly comparable. In particular, the parameter LGD underlying the EL calculation represents the loss expectation until finalization of the workout period while the actual loss as defined above represents the accounting information recorded for one particular financial year. Furthermore, EL is a measure of expected credit losses for a snapshot of our credit exposure at a certain balance sheet date while the actual loss is recorded for a fluctuating credit portfolio over the course of a financial year, i.e., including losses in relation to new loans entered into during the year.

According to the methodology described above, the following table provides a comparison of EL estimates for loans, commitments and contingent liabilities as of year-end 2013 through 2009, with actual losses recorded for the financial years 2014 through 2010, by regulatory exposure class for advanced IRBA exposures. Postbank is first reflected in the comparison of EL estimates as of year end 2010 with actual losses recorded for the financial year 2011.

Comparison of expected loss estimates for loans, commitments and contingent liabilities with actual losses recorded by regulatory exposure class for advanced IRBA exposures

 

Dec 31,
2013

2014

Dec 31,
2012

2013

Dec 31,
2011

2012

Dec 31,
2010

2011

Dec 31,
2009

2010

in € m.

Expected
loss1

Actual
loss

Expected
loss

Actual
loss

Expected
loss

Actual
loss2

Expected
loss

Actual
loss

Expected
loss

Actual
loss

1

2013 EL figures are based on pro forma CRR/CRD 4.

2

In 2013, the December 31, 2012 actual loss amounts have been restated due to alignment of Postbank’s calculation model to the Group’s approach.

Central governments and central banks

3

0

3

18

1

0

2

0

2

0

Institutions

13

4

10

1

7

14

22

2

16

1

Corporates

355

229

351

717

445

393

449

363

471

358

Retail exposures secured by real estate property

324

212

284

223

294

224

222

359

118

101

Qualifying revolving retail exposures

21

8

23

7

23

12

2

30

2

5

Other retail exposures

378

355

404

370

418

385

390

301

301

282

Total expected loss and actual loss in the advanced IRBA

1,095

808

1,075

1,336

1,188

1,028

1,088

1,055

910

747

Actual loss in 2014 was below expectations mainly driven by a significant outperformance in Corporate exposures as well as in Retail exposures secured by real estate property.

The actual loss in 2013 exceeded the expected loss by € 261 million or 24 %. This was primarily due to higher than expected level of provisions in our corporate portfolio driven by a large single client credit event in a usually low risk portfolio of GTB as well as one large charge within NCOU. Additionally, actual loss for central governments was higher than expected driven by one single client. Better than expected performance in all retail exposure classes as well as in institutions partly offset the overall excess of actual compared to expected loss.

The actual loss in 2012 was 13 % lower than the expected loss across all exposure classes apart from Institutions, where actual loss was driven by one single client.

The decrease in expected loss as of December 31, 2012 in comparison to December 31, 2011 is mainly resulting from exposure reductions and to less extent by partially lower LGD parameters.

The consolidation of Postbank led to an increase in the expected loss starting December 31, 2010 and in the actual losses starting 2011.

In 2010 the actual loss was 18 % below the expected loss as the actual loss and was positively influenced by lower provisions taken for assets reclassified in accordance with IAS 39.

The decrease of the expected loss for 2010 compared with the expected loss for 2009 reflected the slightly improved economic environment after the financial crisis.

The following table provides a year-to-year comparison of the actual loss by regulatory exposure class. Postbank is firstly included in the reporting period 2011.

Year-to-year comparison of the actual loss by IRBA exposure class

in € m.

2014

2013

20121

2011

2010

1

In 2013, the December 31, 2012 actual loss amounts have been restated due to alignment of Postbank’s calculation model to the Group’s approach.

Central governments and central banks

0

18

0

0

0

Institutions

4

1

14

2

1

Corporates

229

717

393

363

358

Retail exposures secured by real estate property

212

223

224

359

101

Qualifying revolving retail exposures

8

7

12

30

5

Other retail exposures

355

370

385

301

282

Total actual loss by IRBA in the advanced IRBA

808

1,336

1,028

1,055

747

Actual loss materially declined in 2014 compared to prior year due to the low level of new impairments across all businesses.

In 2013 the actual loss increased by € 308 million or 30 % compared to 2012 primarily driven by our corporate portfolio and to a minor extent exposures to central governments. The increase in our corporate portfolio was caused by a single client credit event in GTB along with higher actual losses for shipping companies recorded in CB&S as well as one large charge in NCOU related to the European Commercial Real Estate sector, while higher actual losses in central governments result from a charge to one single client. These increases were partly offset by slight reductions in our retail portfolios as well as in institutions.

The slight reduction of € 27 million or 3 % actual loss in 2012 compared to 2011 is driven by retail exposures secured by real estate property resulting from the alignment of Postbank’s calculation model to the Group’s approach.

New provisions established in 2011 were € 308 million higher compared with 2010 primarily due to the first time inclusion of Postbank in full year reporting.

Advanced IRBA Exposure

The advanced IRBA requires differentiating a bank’s credit portfolio into various regulatory defined exposure classes. We identify the relevant regulatory exposure class for each exposure by taking into account factors like customer-specific characteristics, the rating system used as well as certain materiality thresholds which are regulatory defined.

As an IRBA institution, we are required to treat specific equity positions and other non-credit obligation assets generally within the IRBA. For these exposure types typically regulatory defined IRBA risk weights are applied. Details of these positions are provided in section “Exposures with regulatory defined risk weights” below.

The following tables show our advanced IRBA exposures distributed on a rating scale and separately for regulatory IRBA exposure classes central governments and central banks, institutions, corporates and retail clients. Advanced IRBA exposure types, for which regulatory defined IRBA risk weights are applied (securitization positions in the regulatory banking book, specific equity positions and other non-credit obligation assets), are not included here but shown separately.

The EAD is presented in conjunction with exposures-weighted average PD and LGD, the risk-weighted assets (“RWA”) and the average risk weight (“RW”) calculated as RWA divided by EAD net. The information is shown after credit risk mitigation obtained in the form of financial, physical and other collateral as well as guarantees and credit derivatives. The effect of double default, as far as applicable outside of Postbank’s retail exposures, is considered in the average risk weight. It implies that for a guaranteed exposure a loss only occurs if the primary obligor and the guarantor fail to meet their obligations at the same time.

It should be noted that the EAD gross information for exposures covered by guarantees or credit derivatives is assigned to the exposure class of the original counterparty respectively whereas the EAD net information assigns the exposures to the protection seller. As a consequence the EAD net can be higher than the EAD gross.

The tables below also include our counterparty credit risk position from derivatives and securities financing transactions so far as it has been assigned to the advanced IRBA. For the vast majority of these exposures we make use of the IMM to derive the EAD where the appropriate netting and collateral agreements are already considered resulting in an EAD net of collateral. They also provide a ratio of expected loss by EAD for the non-defaulted exposures. For defaulted exposure, we apply a LGD conception already incorporating potential unexpected losses in the loss rate estimate as required by Article 181 (1) (h) CRR.

EAD of Advanced IRBA credit exposures by PD grade

 

Dec 31, 2014

in € m.
(unless stated otherwise)

iAAA–iAA
0.00–
0.04 %

iA
0.04–
0.11 %

iBBB
0.11–
0.5 %

iBB
0.5–
2.27 %

iB
2.27–
10.22 %

iCCC
10.22–
99.99 %

Total excluding default

Default

Total including default

Delta Total to previous year

N/M – Not meaningful

 

 

 

 

 

 

 

 

 

 

 

Central Governments and central banks

EAD gross

74,384

3,566

4,421

1,864

819

73

85,127

55

85,182

(633)

EAD net

81,915

4,754

4,126

847

211

71

91,923

55

91,978

(375)

Average PD in %

0.00

0.07

0.28

1.48

5.46

13.02

0.05

100.00

0.11

0.01 ppt

Average LGD in %

48.95

47.96

46.40

12.22

35.85

47.54

48.41

66.15

48.42

0.77 ppt

Average RW in %

1.69

30.01

45.57

28.82

115.20

247.13

5.82

65.52

5.85

1.14 ppt

EL/EAD net in %

0.00

0.03

0.13

0.12

1.61

6.19

0.00

N/M

0.02

0.00 ppt

 

 

 

 

 

 

 

 

 

 

 

Institutions

EAD gross

15,553

29,759

12,771

2,450

1,001

71

61,606

179

61,785

1,412

EAD net

17,615

30,257

11,866

2,174

935

67

62,915

179

63,095

2,182

Average PD in %

0.03

0.07

0.30

0.99

3.17

21.29

0.20

100.00

0.49

(0.28) ppt

Average LGD in %

39.28

27.87

25.76

29.81

15.32

28.77

30.55

8.00

30.48

1.39 ppt

Average RW in %

13.00

17.67

34.28

66.53

50.73

188.08

21.86

64.28

21.98

6.92 ppt

EL/EAD net in %

0.01

0.02

0.08

0.31

0.52

6.15

0.05

N/M

0.05

0.00 ppt

 

 

 

 

 

 

 

 

 

 

 

Corporates

EAD gross

69,955

68,859

75,021

57,709

27,362

4,738

303,644

8,147

311,791

37,836

EAD net

73,958

70,172

73,202

51,908

22,730

3,816

295,786

7,727

303,513

38,762

Average PD in %

0.03

0.07

0.26

1.13

4.74

20.23

0.91

100.00

3.43

(1.35) ppt

Average LGD in %

27.88

33.16

33.24

28.91

21.38

16.99

30.00

26.18

29.90

0.77 ppt

Average RW in %

10.90

19.86

37.15

57.28

74.84

93.01

33.63

26.53

33.45

2.71 ppt

EL/EAD net in %

0.01

0.02

0.08

0.29

0.95

3.30

0.20

N/M

0.20

(0.02) ppt

 

 

 

 

 

 

 

 

 

 

 

Retail Exposures Secured by Real Estate Property

EAD gross

974

13,247

57,031

65,093

13,385

3,989

153,719

2,518

156,238

2,680

EAD net

974

13,246

56,998

65,000

13,328

3,951

153,498

2,476

155,974

2,703

Average PD in %

0.04

0.09

0.28

1.09

4.43

19.76

1.47

100.00

3.03

(0.50) ppt

Average LGD in %

12.02

13.63

13.13

13.05

12.76

14.39

13.13

22.44

13.28

2.38 ppt

Average RW in %

1.39

3.12

7.15

18.50

42.24

73.32

16.32

5.52

16.15

1.46 ppt

EL/EAD net in %

0.00

0.01

0.04

0.14

0.57

2.74

0.19

N/M

0.19

0.00 ppt

 

 

 

 

 

 

 

 

 

 

 

Qualifying Revolving Retail Exposures

EAD gross

319

1,208

1,715

877

210

62

4,391

26

4,417

(120)

EAD net

319

1,208

1,715

877

210

62

4,391

26

4,417

(120)

Average PD in %

0.03

0.08

0.24

1.03

4.41

19.47

0.81

100.00

1.38

(0.26) ppt

Average LGD in %

46.82

46.95

46.05

45.45

48.68

48.09

46.39

51.29

46.42

(0.27) ppt

Average RW in %

1.38

2.66

6.46

19.90

59.91

132.66

12.07

9.27

12.06

(1.63) ppt

EL/EAD net in %

0.02

0.04

0.11

0.47

2.17

9.19

0.38

N/M

0.38

(0.10) ppt

 

 

 

 

 

 

 

 

 

 

 

Other Retail Exposures

EAD gross

425

1,161

7,767

12,885

5,784

1,759

29,781

2,456

32,237

(256)

EAD net

662

1,273

7,969

12,954

5,797

1,758

30,414

2,323

32,737

(344)

Average PD in %

0.04

0.08

0.29

1.16

4.68

18.90

2.56

100.00

9.47

(0.41) ppt

Average LGD in %

38.08

31.26

36.36

42.85

42.97

42.46

40.56

56.29

41.68

(0.98) ppt

Average RW in %

4.84

7.34

19.76

45.92

64.76

91.82

42.80

5.47

40.15

(2.14) ppt

EL/EAD net in %

0.01

0.03

0.11

0.50

2.00

7.99

1.09

N/M

1.09

(0.07) ppt

 

 

 

 

 

 

 

 

 

 

 

Total

EAD gross

161,609

117,801

158,726

140,879

48,561

10,692

638,268

13,381

651,650

40,919

EAD net

175,443

120,911

155,877

133,761

43,210

9,725

638,928

12,785

651,713

42,807

Average PD in %

0.02

0.07

0.27

1.11

4.60

19.75

0.92

100.00

2.87

(0.74) ppt

Average LGD in %

38.84

30.40

25.96

22.57

21.69

21.04

28.90

30.89

29.30

1.09 ppt

Average RW in %

6.71

17.58

24.96

37.06

63.03

86.83

23.98

19.30

24.50

2.81 ppt

EL/EAD net in %

0.01

0.02

0.07

0.24

0.98

4.00

0.20

N/M

0.20

(0.01) ppt

 

Dec 31, 2013

in € m.
(unless stated otherwise)

iAAA–iAA
0.00–
0.04 %

iA
0.04–
0.11 %

iBBB
0.11–
0.5 %

iBB
0.5–
2.27 %

iB
2.27–
10.22 %

iCCC
10.22–
99.99 %

Total excluding default

Default

Total including default

Delta Total to previous year

N/M – Not meaningful

 

 

 

 

 

 

 

 

 

 

 

Central Governments and central banks

EAD gross

74,299

5,162

3,676

1,893

606

126

85,760

55

85,815

(9,847)

EAD net

81,527

6,462

3,504

603

113

90

92,299

55

92,354

(10,845)

Average PD in %

0.00

0.08

0.30

1.40

5.31

13.04

0.05

100.00

0.11

0.07 ppt

Average LGD in %

48.67

40.71

43.23

13.80

43.35

38.31

47.66

34.93

47.65

(0.61) ppt

Average RW in %

0.83

22.37

48.90

32.84

136.69

170.16

4.70

25.65

4.71

1.07 ppt

EL/EAD net in %

0.00

0.03

0.13

0.13

2.19

4.98

0.02

N/M

0.02

0.00 ppt

 

 

 

 

 

 

 

 

 

 

 

Institutions

EAD gross

16,869

27,549

12,297

2,098

1,070

196

60,079

294

60,373

(5,995)

EAD net

17,872

28,258

11,499

1,776

1,019

195

60,618

294

60,913

(4,944)

Average PD in %

0.03

0.07

0.32

1.10

4.64

21.66

0.28

100.00

0.77

0.13 ppt

Average LGD in %

38.53

26.98

23.23

21.71

12.42

6.27

29.21

4.40

29.09

3.39 ppt

Average RW in %

8.46

11.72

25.15

42.61

47.81

34.73

14.89

50.16

15.06

1.48 ppt

EL/EAD net in %

0.01

0.02

0.07

0.23

0.56

1.66

0.05

N/M

0.05

0.00 ppt

 

 

 

 

 

 

 

 

 

 

 

Corporates

EAD gross

63,599

57,266

65,756

50,198

22,020

4,520

263,359

10,596

273,955

(20,508)

EAD net

66,663

57,687

62,670

44,726

18,912

3,859

254,516

10,235

264,751

(16,439)

Average PD in %

0.03

0.07

0.25

1.11

4.70

21.56

0.96

100.00

4.79

1.18 ppt

Average LGD in %

27.06

34.75

32.13

26.18

20.41

19.12

29.28

25.27

29.13

(1.31) ppt

Average RW in %

8.64

18.26

33.75

53.42

70.92

107.07

15.77

24.59

30.74

1.71 ppt

EL/EAD net in %

0.01

0.02

0.08

0.30

1.02

4.26

0.22

N/M

0.22

0.01 ppt

 

 

 

 

 

 

 

 

 

 

 

Retail Exposures Secured by Real Estate Property

EAD gross

1,357

10,556

47,510

65,038

20,654

5,892

151,007

2,550

153,558

59,756

EAD net

1,357

10,556

47,485

64,936

20,576

5,844

150,753

2,518

153,271

59,201

Average PD in %

0.04

0.08

0.28

1.12

4.10

20.19

1.92

100.00

3.53

(1.84) ppt

Average LGD in %

12.93

13.13

11.07

10.67

9.47

9.97

10.80

17.27

10.90

(9.72) ppt

Average RW in %

1.63

3.08

6.04

14.97

29.33

56.69

14.78

9.44

14.69

(7.92) ppt

EL/EAD net in %

0.00

0.01

0.03

0.12

0.39

1.98

0.19

N/M

0.19

(0.26) ppt

 

 

 

 

 

 

 

 

 

 

 

Qualifying Revolving Retail Exposures

EAD gross

175

998

1,890

1,075

288

83

4,509

28

4,537

(72,898)

EAD net

175

998

1,890

1,075

288

83

4,509

28

4,537

(72,784)

Average PD in %

0.04

0.08

0.24

1.04

4.54

19.65

1.02

100.00

1.64

(2.21) ppt

Average LGD in %

47.43

46.95

46.81

45.40

48.01

49.99

46.68

51.09

46.69

37.22 ppt

Average RW in %

1.34

2.54

6.19

18.73

57.26

130.55

15.44

8.55

13.69

0.65 ppt

EL/EAD net in %

0.02

0.04

0.11

0.48

2.22

9.51

0.49

N/M

0.49

0.29 ppt

 

 

 

 

 

 

 

 

 

 

 

Other Retail Exposures

EAD gross

197

1,336

6,877

12,920

6,687

1,934

29,952

2,542

32,493

20,790

EAD net

411

1,537

7,101

13,041

6,666

1,917

30,672

2,409

33,081

21,378

Average PD in %

0.03

0.08

0.29

1.16

4.65

19.68

2.80

100.00

9.88

1.93 ppt

Average LGD in %

40.35

43.53

41.09

42.25

42.29

40.13

41.89

52.36

42.66

(8.76) ppt

Average RW in %

4.54

9.42

22.11

46.39

65.31

90.86

45.24

4.68

42.29

2.17 ppt

EL/EAD net in %

0.01

0.03

0.12

0.49

1.95

7.84

1.15

N/M

1.15

(0.17) ppt

 

 

 

 

 

 

 

 

 

 

 

Total

EAD gross

156,496

102,867

138,005

133,222

51,325

12,751

594,666

16,065

610,731

(28,702)

EAD net

168,004

105,497

134,148

126,157

47,573

11,987

593,366

15,540

608,906

(24,432)

Average PD in %

0.02

0.07

0.27

1.12

4.43

20.52

1.08

100.00

3.61

0.52 ppt

Average LGD in %

38.71

31.11

24.88

19.90

18.79

18.17

27.72

27.86

28.21

(1.01) ppt

Average RW in %

4.76

14.97

22.60

32.36

51.72

79.38

14.46

19.50

21.69

1.10 ppt

EL/EAD net in %

0.01

0.02

0.06

0.22

0.88

3.72

0.21

N/M

0.21

0.00 ppt

The increase in exposure value is mainly driven within the exposure class corporates, primarily resulting from method changes due to CRR/CRD 4, the impact from foreign exchange movements and to a lesser extent from transferring Postbank’s Large Cap Corporates/Financial Institutions portfolio from the foundation to the advanced IRBA.

The tables below show our advanced IRBA exposures excluding counterparty credit risk exposures from derivatives and SFT for central governments and central banks, institutions and corporates, distributed on our internal rating scale, showing also the PD range for each grade. Our internal rating grades take into account the respective external Standard & Poor’s rating grade equivalents. The EAD net is presented in conjunction with exposures-weighted average PD and LGD, the RWA and the average RW. The information is shown after credit risk mitigation obtained in the form of financial, physical and other collateral as well as guarantees and credit derivatives. The effect of double default, as far as applicable to exposures outside of Postbank, is considered in the average risk weight. It implies that for a guaranteed exposure a loss only occurs if the primary obligor and the guarantor fail to meet their obligations at the same time.

EAD net for Advanced IRBA credit exposures by PD grade with central governments and central banks (excluding derivatives and SFTs)

in € m. (unless stated otherwise)

Dec 31, 2014

Dec 31, 2014

Internal rating

EAD net

Average PD in %

Average LGD in %

RWA

Average RW in %

EL/EAD in %

EAD net

Average PD in %

Average LGD in %

RWA

Average RW in %

EL/EAD in %

N/M – Not meaningful

iAAA

76,611

0.00

49.51

557

0.73

0.00

75,749

0.00

49.69

264

0.35

0.00

iAA+

1,329

0.02

38.78

195

14.69

0.01

589

0.02

29.73

28

4.81

0.01

iAA

263

0.03

31.07

32

12.30

0.01

189

0.03

29.68

18

9.49

0.01

iAA–

125

0.04

30.08

23

18.04

0.01

148

0.04

27.84

26

17.24

0.01

iA+

1,308

0.05

50.00

165

12.60

0.02

965

0.05

49.95

134

13.94

0.02

iA

1,358

0.07

48.80

523

38.52

0.03

1,304

0.07

49.45

469

35.93

0.03

iA–

1,567

0.09

49.79

598

38.17

0.04

1,659

0.09

48.59

563

33.93

0.04

iBBB+

114

0.14

45.21

35

30.37

0.06

339

0.14

42.56

71

20.97

0.06

iBBB

1,068

0.23

49.80

440

41.19

0.11

848

0.23

41.15

313

36.83

0.09

iBBB–

1,673

0.39

49.57

916

54.79

0.19

1,509

0.39

49.05

820

54.33

0.19

iBB+

88

0.64

32.92

69

78.44

0.21

87

0.64

26.15

50

57.98

0.17

iBB

62

1.07

49.45

57

93.00

0.53

22

1.07

47.69

23

103.98

0.51

iBB–

609

1.76

2.46

47

7.67

0.04

377

1.76

2.79

32

8.55

0.05

iB+

38

2.92

49.65

51

134.53

1.45

44

2.92

47.63

60

136.12

1.39

iB

1

4.82

10.20

0

37.36

0.49

22

4.82

49.88

31

138.78

2.40

iB–

106

7.95

22.35

99

93.83

1.78

45

7.95

36.40

62

138.37

2.89

iCCC+

56

13.00

50.00

147

261.42

6.50

88

13.00

38.22

150

169.45

4.97

iCCC

0

22.00

45.63

1

324.35

10.04

0

22.00

0.10

0

0.58

0.02

iCCC–

0

0.00

0.00

0

0.00

0.00

0

31.00

8.06

0

50.39

2.50

Total excluding default

86,376

0.05

48.88

3,955

4.58

0.02

83,984

0.04

49.06

3,113

3.71

0.02

Default

55

100.00

66.15

36

65.52

N/M

55

100.00

34.93

14

25.65

N/M

Total including default

86,431

0.11

48.89

3,991

4.62

0.02

84,040

0.11

49.05

3,127

3.72

0.02

EAD net for Advanced IRBA credit exposures by PD grade with institutions (excluding derivatives and SFTs)

in € m. (unless stated otherwise)

Dec 31, 2014

Dec 31, 2013

Internal rating

EAD net

Average PD in %1

Average LGD in %

RWA

Average RW in %

EL/EAD in %

EAD net

Average PD in %

Average LGD in %

RWA

Average RW in %

EL/EAD in %

N/M – Not meaningful

1

Higher average PD in % than defined for the internal rating scales iAAA and iAA+ results for Institutions and Corporates exposure subject to a PD floor of 3 basis points.

iAAA

3,087

0.02

41.31

498

16.14

0.01

2,036

0.02

41.53

311

15.27

0.01

iAA+

275

0.03

40.10

49

17.91

0.01

108

0.03

41.53

15

13.59

0.01

iAA

1,944

0.03

41.84

112

5.75

0.01

3,483

0.03

43.72

195

5.59

0.01

iAA–

3,943

0.03

52.10

316

8.00

0.01

4,313

0.04

40.19

317

7.34

0.02

iA+

2,916

0.05

32.44

410

14.06

0.02

2,774

0.05

34.39

284

10.24

0.02

iA

4,506

0.07

29.54

624

13.85

0.02

7,220

0.07

25.66

585

8.10

0.02

iA–

4,317

0.09

22.65

697

16.13

0.02

4,713

0.09

28.23

655

13.89

0.03

iBBB+

1,230

0.14

32.55

356

28.93

0.05

865

0.14

34.93

259

29.91

0.05

iBBB

1,076

0.23

24.98

301

28.01

0.06

1,097

0.23

25.26

310

28.25

0.06

iBBB–

4,352

0.39

35.95

2,320

53.31

0.14

3,319

0.39

31.43

1,222

36.81

0.12

iBB+

812

0.64

20.78

287

35.39

0.14

307

0.64

30.66

131

42.65

0.20

iBB

456

1.07

37.72

361

79.23

0.40

299

1.07

37.81

220

73.64

0.40

iBB–

379

1.76

30.67

350

92.37

0.54

222

1.76

18.63

104

46.80

0.33

iB+

521

2.92

12.53

226

43.44

0.37

114

2.92

23.75

83

72.51

0.69

iB

67

4.88

25.09

63

94.67

1.22

784

4.82

10.69

349

44.57

0.52

iB–

8

7.95

26.86

9

101.79

2.14

17

7.95

22.98

16

91.92

1.83

iCCC+

6

13.00

22.37

6

102.71

2.91

7

13.00

38.50

13

186.27

5.01

iCCC

30

22.00

9.67

17

56.77

2.13

141

22.00

3.36

25

18.12

0.74

iCCC–

1

31.00

0.30

0

1.69

0.09

0

31.00

20.03

0

111.29

6.21

Total excluding default

29,925

0.25

34.38

7,002

23.40

0.06

31,820

0.36

32.30

5,092

16.00

0.06

Default

62

100.00

13.65

42

67.28

N/M

272

100.00

4.56

143

52.33

N/M

Total including default

29,987

0.46

34.33

7,044

23.49

0.06

32,092

1.20

32.06

5,235

16.31

0.06

The decrease in exposure results mainly from de-risking activities and is partly offset by foreign exchange movements. At the same time the risk weighted assets increased due to methodology changes, e.g. the asset value correlation for large regulated financial entities.

EAD net for Advanced IRBA credit exposures by PD grade with corporates (excluding derivatives and SFTs)

in € m. (unless stated otherwise)

Dec 31, 2014

Dec 31, 2013

Internal rating

EAD net

Average PD in %1

Average LGD in %

RWA

Average RW in %

EL/EAD in %

EAD net

Average PD in %

Average LGD in %

RWA

Average RW in %

EL/EAD in %

N/M – Not meaningful

1

Higher average PD in % than defined for the internal rating scales iAAA and iAA+ results for Institutions and Corporates exposure subject to a PD floor of 3 basis points.

iAAA

4,893

0.03

21.82

325

6.64

0.01

3,084

0.03

24.81

196

6.35

0.01

iAA+

5,700

0.03

20.58

326

5.72

0.01

5,448

0.03

19.67

286

5.25

0.01

iAA

11,377

0.03

16.32

534

4.69

0.00

7,555

0.03

18.29

420

5.56

0.01

iAA–

12,583

0.04

33.75

1,405

11.17

0.01

11,213

0.04

31.29

922

8.22

0.01

iA+

13,744

0.05

29.51

1,849

13.45

0.01

11,167

0.05

28.56

1,293

11.58

0.01

iA

20,367

0.07

31.06

3,363

16.51

0.02

14,927

0.07

31.28

2,349

15.73

0.02

iA–

20,146

0.09

35.14

4,756

23.61

0.03

17,690

0.09

35.62

3,705

20.95

0.03

iBBB+

19,495

0.14

34.90

5,734

29.41

0.05

18,121

0.14

31.90

4,512

24.90

0.04

iBBB

21,891

0.23

30.95

7,238

33.06

0.07

18,145

0.23

32.54

5,984

32.98

0.07

iBBB–

20,057

0.39

31.70

8,730

43.53

0.12

16,884

0.39

31.05

6,885

40.78

0.11

iBB+

13,892

0.64

29.84

6,752

48.60

0.18

9,958

0.64

32.21

5,436

54.60

0.20

iBB

13,993

1.08

26.46

7,647

54.65

0.27

11,819

1.07

28.10

6,835

57.83

0.30

iBB–

13,013

1.77

25.07

7,838

60.23

0.41

9,062

1.76

24.59

5,625

62.07

0.43

iB+

8,157

2.92

19.93

4,942

60.59

0.56

6,452

2.92

19.94

3,969

61.51

0.84

iB

8,096

4.80

20.92

6,215

76.76

1.00

5,167

4.79

21.45

3,948

76.42

1.02

iB–

4,339

7.93

17.21

3,210

73.99

1.35

3,935

7.94

15.90

2,664

67.71

1.26

iCCC+

1,382

12.99

20.65

1,420

102.72

2.69

1,140

13.00

14.58

809

70.94

1.89

iCCC

643

21.56

16.75

655

101.80

3.81

738

21.95

23.77

1,035

140.38

5.19

iCCC–

535

31.00

14.78

458

85.59

4.59

802

31.00

12.15

569

70.92

3.77

Total excluding default

214,302

0.99

28.65

73,397

34.25

0.21

173,309

1.06

28.87

57,442

33.14

0.23

Default

7,531

100.00

26.72

1,963

26.07

N/M

9,975

100.00

25.77

2,405

24.11

N/M

Total including default

221,832

4.36

28.58

75,360

33.97

0.21

183,284

6.44

28.70

59,847

32.65

0.23

The majority of these exposures in all exposure classes are assigned to investment-grade customers. The exposures in the lower rating classes are largely collateralized.

Exposure levels increased over the reporting period, mainly driven by foreign exchange movements, growth in CB&S and GTB as well as method changes of CRR/CRD 4. An additional contribution resulted from transferring the Postbank Large Cap Corporates/Financial Institutions portfolio from the foundation approach to the advanced IRBA.

The table below shows our Advanced IRBA exposure distributed based on the corresponding exposure classes for each relevant geographical location. As geographical location we show countries where the Bank maintains a branch or subsidiary and exposure volume is equal to or higher than € 0.5 million. Exposure which does not meet these criteria is shown in “Other”, which also comprises exposure to international organizations. Exposures are assigned to the specific geographical location based on the country of domicile of the respective counterparty. The EAD net is presented in conjunction with exposures-weighted average LGD and PD in percentage. It excludes the following exposure classes: securitization positions in the regulatory banking book, specific equity positions and non-credit obligation assets.

EAD net, average LGD and average PD of Advanced IRBA credit exposures by geographical location (including derivatives and SFTs)

 

Dec 31, 2014

in € m.
(unless stated otherwise)

Central governments and central banks

Institutions

Corporates

Retail exposures against SME's

Retail exposures secured by residential real estate

Other retail exposures

Total

American Virgin Islands

 

 

 

 

 

 

 

EAD net

0

0

277

0

0

0

277

Average LGD in %

0

0

5.79

0

0

0

6

Average PD in %

0

0

0.47

0

0

0

0

Argentina

 

 

 

 

 

 

 

EAD net

43

0

92

0

1

6

143

Average LGD in %

45.97

0

20.99

61.89

13.81

16.34

28

Average PD in %

13.00

0

6.27

31.00

7.08

1.78

8

Australia

 

 

 

 

 

 

 

EAD net

1,508

2,002

3,054

1

12

2

6,579

Average LGD in %

33.43

34.01

33.71

38.71

14.15

22.46

34

Average PD in %

0.02

0.05

0.89

0.23

2.41

0.76

0

Austria

 

 

 

 

 

 

 

EAD net

181

528

957

0

44

19

1,728

Average LGD in %

42.06

32.83

37.63

0

14.10

23.26

36

Average PD in %

0.01

0.17

2.43

0

3.40

5.86

2

Barbados

 

 

 

 

 

 

 

EAD net

0

0

139

0

0

0

139

Average LGD in %

0

0

16.11

0

0

26.19

16

Average PD in %

0

0

0.33

0

0

0.45

0

Belgium

 

 

 

 

 

 

 

EAD net

604

1,383

1,783

0

43

9

3,823

Average LGD in %

47.10

43.16

31.72

61.90

18.02

37.38

38

Average PD in %

0

0.05

0.56

0.39

5.32

3.58

0

Bermuda

 

 

 

 

 

 

 

EAD net

0

3

1,876

0

0

0

1,879

Average LGD in %

0

40.00

25.21

0

0

47.60

25

Average PD in %

0

0.12

3.05

0

0

0.09

3

Brazil

 

 

 

 

 

 

 

EAD net

334

1,159

1,584

0

6

3

3,086

Average LGD in %

50.00

22.51

34.23

52.70

13.41

27.38

31

Average PD in %

0.14

0.22

3.18

1.07

2.25

2.03

2

British Virgin Islands

 

 

 

 

 

 

 

EAD net

0

0

7,347

0

0

0

7,347

Average LGD in %

50.00

0

12.66

0

0

55.59

13

Average PD in %

0

0

3.02

0

0

0.41

3

Canada

 

 

 

 

 

 

 

EAD net

324

1,934

4,325

1

6

7

6,598

Average LGD in %

33.89

28.20

34.14

13.31

12.08

12.85

32

Average PD in %

0.03

0.05

0.70

0.64

1.10

3.39

0

Cayman Islands

 

 

 

 

 

 

 

EAD net

0

0

7,347

0

0

0

7,348

Average LGD in %

0

0

34.31

0

5.00

96.11

34

Average PD in %

0

0

1.37

0

0.39

0.62

1

Chile

 

 

 

 

 

 

 

EAD net

0

184

443

0

0

3

630

Average LGD in %

49.06

44.07

44.22

0

5.00

38.25

44

Average PD in %

0.01

0.12

0.20

0

0.09

0.84

0

China

 

 

 

 

 

 

 

EAD net

2,004

8

13,574

0

13

4

15,603

Average LGD in %

51.62

50.00

44.55

85.20

12.90

36.92

45

Average PD in %

0

0.03

0.46

100.00

0.94

0.80

0

Colombia

 

 

 

 

 

 

 

EAD net

0

0

197

0

1

1

199

Average LGD in %

0

0

38.67

0

12.75

57.12

39

Average PD in %

0

0

0.49

0

0.42

2.08

1

Czech Republic

 

 

 

 

 

 

 

EAD net

451

81

296

1

4

3

835

Average LGD in %

50.00

38.52

41.20

55.67

13.34

34.38

46

Average PD in %

0

0.13

0.25

0.44

1.67

2.27

0

Denmark

 

 

 

 

 

 

 

EAD net

47

453

943

0

16

3

1,463

Average LGD in %

31.62

39.58

41.78

0

14.74

43.78

40

Average PD in %

0

0.33

0.47

0

6.57

4.04

0

Finland

 

 

 

 

 

 

 

EAD net

5

191

671

0

2

0

869

Average LGD in %

50.00

23.91

37.58

0

12.18

44.65

35

Average PD in %

0

0.04

0.21

0

2.74

0.54

0

France

 

 

 

 

 

 

 

EAD net

1,195

4,333

6,016

1

65

90

11,700

Average LGD in %

46.69

32.85

39.95

26.31

15.13

17.77

38

Average PD in %

0.01

0.10

1.77

0.56

5.09

4.96

1

Germany

 

 

 

 

 

 

 

EAD net

1,953

7,861

45,320

306

133,182

27,031

215,653

Average LGD in %

47.88

18.86

33.92

54.16

13.04

39.37

21

Average PD in %

0

0.25

4.42

2.82

2.92

5.08

3

Gibraltar

 

 

 

 

 

 

 

EAD net

0

0

17

0

1

0

19

Average LGD in %

0

0

18.98

0

19.08

69.61

19

Average PD in %

0

0

0.37

0

0.41

62.34

0

Greece

 

 

 

 

 

 

 

EAD net

0

50

1,482

0

5

3

1,541

Average LGD in %

50.00

31.94

15.11

0

8.47

29.90

16

Average PD in %

4.82

22.00

8.21

0

2.23

1.71

9

Guernsey

 

 

 

 

 

 

 

EAD net

0

0

401

0

0

0

401

Average LGD in %

0

0

16.64

0

0

47.62

17

Average PD in %

0

0

1.49

0

0

0.40

1

Hong Kong

 

 

 

 

 

 

 

EAD net

147

501

5,513

0

6

1

6,168

Average LGD in %

30.00

33.25

26.62

0

11.44

29.29

27

Average PD in %

0.02

0.07

1.32

0

0.73

0.47

1

Hungary

 

 

 

 

 

 

 

EAD net

164

44

329

0

2

3

542

Average LGD in %

50.00

50.79

46.90

0

25.94

39.23

48

Average PD in %

0.39

0.43

1.61

0

2.10

6.59

1

India

 

 

 

 

 

 

 

EAD net

1,375

3,048

5,550

0

1

4

9,978

Average LGD in %

49

45

39

0

9

53

42

Average PD in %

0

0

2

0

1

3

1

Indonesia

 

 

 

 

 

 

 

EAD net

312

0

2,291

0

1

2

2,605

Average LGD in %

50

0

35

0

8

10

37

Average PD in %

0

0

2

0

18

1

1

Ireland

 

 

 

 

 

 

 

EAD net

5

1,993

6,483

1

34

2

8,517

Average LGD in %

50

6

25

57

13

21

21

Average PD in %

0

6

18

86

11

2

15

Israel

 

 

 

 

 

 

 

EAD net

16

0

462

0

17

1

496

Average LGD in %

50

0

35

62

9

23

34

Average PD in %

0

0

3

0

8

4

3

Italy (incl. San Marino)

 

 

 

 

 

 

 

EAD net

1,488

2,105

5,930

1,578

7,153

4,038

22,292

Average LGD in %

45

32

36

21

7

64

31

Average PD in %

0

0

10

13

2

24

8

Japan

 

 

 

 

 

 

 

EAD net

5,626

1,498

2,225

0

1

1

9,350

Average LGD in %

50

39

30

0

7

39

44

Average PD in %

0

0

8

0

1

0

2

Jersey

 

 

 

 

 

 

 

EAD net

0

0

914

0

0

0

915

Average LGD in %

0

40

14

0

35

48

14

Average PD in %

0

2

2

0

57

0

2

Luxembourg

 

 

 

 

 

 

 

EAD net

20

986

10,662

0

40

2

11,709

Average LGD in %

50

28

23

0

10

44

23

Average PD in %

0

0

6

0

9

20

5

Malaysia

 

 

 

 

 

 

 

EAD net

65

0

855

0

3

2

925

Average LGD in %

44

0

45

0

9

7

45

Average PD in %

0

0

0

0

80

82

1

Malta

 

 

 

 

 

 

 

EAD net

13

19

202

0

2

0

237

Average LGD in %

50

38

5

0

12

59

11

Average PD in %

0

0

1

0

7

7

1

Mauritius

 

 

 

 

 

 

 

EAD net

0

0

134

0

1

0

135

Average LGD in %

0

0

37

0

6

27

36

Average PD in %

0

0

1

0

0

0

1

Mexico

 

 

 

 

 

 

 

EAD net

0

347

755

0

4

77

1,183

Average LGD in %

50

47

44

0

10

42

44

Average PD in %

0

0

1

0

4

45

4

Netherlands

 

 

 

 

 

 

 

EAD net

213

4,779

11,300

0

79

18

16,389

Average LGD in %

47.53

23.42

31.49

26.96

14.93

31.08

29

Average PD in %

0.02

0.06

4.91

1.61

4.18

2.99

3

New Zealand

 

 

 

 

 

 

 

EAD net

24

88

319

0

1

0

432

Average LGD in %

50.00

27.24

39.20

0

8.84

46.39

37

Average PD in %

0

0.04

0.14

0

0.81

0.46

0

Nigeria

 

 

 

 

 

 

 

EAD net

30

0

617

0

1

0

649

Average LGD in %

3.76

0

8.18

0

29.27

47.14

8

Average PD in %

0.64

0

3.33

0

0.83

2.24

3

Norway

 

 

 

 

 

 

 

EAD net

12

614

1,038

1

17

1

1,682

Average LGD in %

50.00

41.65

26.63

10.10

17.66

54.45

32

Average PD in %

0

0.04

1.96

1.64

2.98

7.38

1

Pakistan

 

 

 

 

 

 

 

EAD net

0

0

180

0

0

1

182

Average LGD in %

50.00

0

40.77

0

7.94

15.72

41

Average PD in %

7.95

0

5.79

0

0.23

0.40

6

Peru

 

 

 

 

 

 

 

EAD net

91

0

234

0

0

2

327

Average LGD in %

50.00

0

28.77

0

0

13.76

35

Average PD in %

0.05

0

0.48

0

0

0.83

0

Philippines

 

 

 

 

 

 

 

EAD net

310

0

427

0

1

0

739

Average LGD in %

50.00

0

39.13

0

12.03

44.29

44

Average PD in %

0.23

0

0.66

0

0.29

0.78

0

Poland

 

 

 

 

 

 

 

EAD net

1,223

102

1,060

662

4,738

196

7,981

Average LGD in %

50.00

33.33

40.14

45.49

29.81

39.45

36

Average PD in %

0.05

0.13

13.38

9.58

1.40

11.49

4

Portugal

 

 

 

 

 

 

 

EAD net

4

250

537

120

1,431

418

2,759

Average LGD in %

50.00

14.66

34.01

18.80

9.81

19.98

17

Average PD in %

0.64

2.47

8.41

12.58

5.39

11.53

7

Qatar

 

 

 

 

 

 

 

EAD net

0

0

377

0

1

0

378

Average LGD in %

0

0

31.77

0

7.98

30.27

32

Average PD in %

0

0

0.26

0

2.01

2.09

0

Romania

 

 

 

 

 

 

 

EAD net

0

2

38

0

0

1

41

Average LGD in %

0

49.83

47.93

0

3.31

22.73

47

Average PD in %

0

0.51

0.22

0

1.37

2.32

0

Saudi Arabia

 

 

 

 

 

 

 

EAD net

101

733

2,074

0

3

1

2,912

Average LGD in %

49.99

28.11

28.76

0

25.84

37.27

29

Average PD in %

0

0.08

0.55

0

0.56

1.32

0

Singapore

 

 

 

 

 

 

 

EAD net

915

392

5,250

0

14

3

6,573

Average LGD in %

50.00

39.95

18.25

61.90

9.20

17.99

24

Average PD in %

0

0.04

2.06

0.64

0.74

0.60

2

Slovakia

 

 

 

 

 

 

 

EAD net

8

4

29

0

0

0

41

Average LGD in %

50.00

23.68

44.76

0

5.18

35.73

43

Average PD in %

0.05

0.09

0.23

0

18.46

4.16

0

South Africa

 

 

 

 

 

 

 

EAD net

56

389

457

1

6

3

910

Average LGD in %

50.00

19.48

44.57

5.40

10.26

24.21

34

Average PD in %

0.09

0.17

0.88

0.09

8.50

2.43

1

South Korea

 

 

 

 

 

 

 

EAD net

1,410

1,403

2,180

0

2

0

4,995

Average LGD in %

48.41

38.49

41.21

0

8.58

38.68

42

Average PD in %

0

0.08

1.53

0

1.33

1.11

1

Spain

 

 

 

 

 

 

 

EAD net

923

1,209

4,958

1,429

7,344

1,468

17,331

Average LGD in %

50.41

24.62

32.84

38.63

12.65

58.08

27

Average PD in %

1.04

1.28

15.73

4.90

5.26

18.25

9

Sri Lanka

 

 

 

 

 

 

 

EAD net

102

0

101

0

0

0

203

Average LGD in %

50.00

0

46.64

0

5.00

40.59

48

Average PD in %

2.92

0

1.65

0

0.23

4.34

2

Sweden

 

 

 

 

 

 

 

EAD net

3

548

1,094

0

14

2

1,661

Average LGD in %

30.00

39.50

41.24

0

14.72

45.14

40

Average PD in %

0.03

0.09

0.57

0

1.99

21.22

0

Switzerland

 

 

 

 

 

 

 

EAD net

4,313

2,357

9,909

2

169

55

16,805

Average LGD in %

49.77

29.28

21.73

8.40

14.01

23.01

30

Average PD in %

0

0.06

1.94

0.34

4.32

4.59

1

Taiwan

 

 

 

 

 

 

 

EAD net

742

0

1,501

0

0

5

2,248

Average LGD in %

33.55

0

39.97

0

0

3.55

38

Average PD in %

0

0

0.32

0

0

0.95

0

Thailand

 

 

 

 

 

 

 

EAD net

595

0

1,169

0

3

1

1,768

Average LGD in %

50.00

0

43.82

0

10.72

21.30

46

Average PD in %

0.09

0

0.52

0

0.82

0.32

0

Turkey

 

 

 

 

 

 

 

EAD net

191

2,827

885

0

5

2

3,910

Average LGD in %

50.00

10.08

47.28

0

9.80

33.37

20

Average PD in %

0.39

0.41

4.15

0

2.70

4.92

1

Ukraine

 

 

 

 

 

 

 

EAD net

27

0

112

0

2

0

142

Average LGD in %

50.00

0

49.91

0

17.93

46.13

50

Average PD in %

13.00

0

10.40

0

0.42

2.14

11

United Arab Emirates

 

 

 

 

 

 

 

EAD net

214

0

2,640

0

13

15

2,881

Average LGD in %

50.00

0

38.10

0

12.09

36.33

38.86

Average PD in %

0.01

0

2.49

0

0.81

0.42

2.29

United Kingdom

 

 

 

 

 

 

 

EAD net

334

4,652

20,311

6

232

176

25,711

Average LGD in %

50.00

40.25

31.00

23.76

18.77

14.40

32.69

Average PD in %

0

0,30

2,36

2,56

14,14

83,52

2,62

United States of America

 

 

 

 

 

 

 

EAD net

54.744

11.045

85.958

1

63

283

152.093

Average LGD in %

49,54

37,15

25,77

40,69

12,96

37,15

35,17

Average PD in %

0,09

0,11

2,02

0,59

3,60

2,35

1,19

Uruguay

 

 

 

 

 

 

 

EAD net

0

0

62

0

0

2

65

Average LGD in %

50,00

0

9,46

0

6,98

5,36

9,33

Average PD in %

0,23

0

15,16

0

0,45

0,13

14,61

Venezuela

 

 

 

 

 

 

 

EAD net

9

0

42

0

1

9

62

Average LGD in %

31,42

0

27,59

49,65

12,35

5,21

24,40

Average PD in %

7,95

0

13,67

0,15

0,85

0,59

10,52

Vietnam

 

 

 

 

 

 

 

EAD net

60

0

153

0

2

0

215

Average LGD in %

50,00

0

43,20

0

8,37

32,61

44,82

Average PD in %

1,07

0

2,22

0

0,46

1,53

1,89

Other

 

 

 

 

 

 

 

EAD net

7.445

991

8.052

2

93

132

16.715

Average LGD in %

42,96

40,43

24,30

27,24

15,19

11,71

33,42

Average PD in %

0,29

5,20

5,96

5,45

2,87

4,54

3,36

thereof:

 

 

 

 

 

 

 

International Organizations

 

 

 

 

 

 

 

EAD net

5.117

354

143

0

0

0

5.614

Average LGD in %

45,30

49,45

41,26

0

0

18,30

45,46

Average PD in %

0,01

0,01

0,08

0

0

2,92

0,01

Total

91.978

63.095

303.513

4.112

154.900

34.115

651.713

The table below shows our undrawn commitment exposure treated within the advanced IRBA. It is broken down by regulatory exposure class and also provides the corresponding exposure-weighted credit conversion factors and resulting EADs.

Undrawn commitment exposure within the advanced IRBA by regulatory exposure class

 

Dec 31, 2014

Dec 31, 2013

 

Undrawn commitments in € m.

Weighted Credit Conversion Factor (CCF) in %

Exposure value for undrawn commitments (EAD) in € m.

Undrawn commitments in € m.

Weighted Credit Conversion Factor (CCF) in %

Exposure value for undrawn commitments (EAD) in € m.

Central governments and central banks

889

81

718

782

79

614

Institutions

2,057

36

748

1,673

37

621

Corporates

174,303

33

57,536

138,047

33

46,058

Retail exposures secured by real estate property

6,174

76

4,716

6,827

74

5,085

Qualifying revolving retail exposures

5,660

66

3,752

5,779

65

3,780

Other retail exposures

7,777

53

4,096

7,799

51

3,980

Total EAD of undrawn commitments in the advanced IRBA

196,860

36

71,566

160,906

37

60,137

A year-on-year comparison shows an increase in undrawn commitments in particular driven by the corporates exposure where levels increased by foreign exchange movements and specific growth in CB&S and GTB. An additional contribution resulted from transferring Postbank’s Large Cap Corporates/Financial Institutions portfolio from the foundation to the advanced IRBA.

Exposures with regulatory defined risk weights

As an IRBA institution, we are required to treat equity investments, collective investment undertakings (“CIU”) and other non-credit obligation assets generally within the IRBA. For these exposure types typically regulatory-defined IRBA risk weights are applied.

We use the simple risk-weight approach according to Article 155 (2) CRR for our investments in equity positions entered into since January 1, 2008. It distinguishes between exposure in equities which are non-exchange traded but sufficiently diversified, exchange-traded and other non-exchange-traded and then uses the regulatory-defined risk weights of 190 %, 290 % or 370 %, respectively. We also include exposures attracting a risk weight of 250 % according to Article 48 (4) for significant investments in the CET 1 instruments of financial sector entities which are subject to the threshold exemptions as outlined in Article 48 CRR.

Exposures which are assigned to the exposure class “other non-credit obligation assets” receive an IRBA risk weight of 0 % in case of cash positions, 250 % for deferred tax assets that rely on future profitability and arise from temporary differences subject to the threshold exemptions as outlined in Article 48 CRR, or 100 %.

The following table summarizes on an EAD basis our IRBA exposure for equities and other non-credit obligation assets, where regulatory risk weights are applied. Credit risk mitigation techniques have not been applied.

EAD net of equity investments and other non-credit obligation assets by risk weight

in € m.

Dec 31, 2014

Dec 31, 2013

0 %

2,130

883

100 %

3,891

5,739

190 %

0

62

250 %

7,103

0

290 %

266

184

370 %

1,096

1,089

Total EAD of equity investments and other non-credit obligation assets

14,486

7,957

The increase mainly results from the CRR/CRD4 introduction of a risk weight of 250 % according to Article 48 CRR for significant investments in financial sector entities and deferred tax assets as outlined above (10/15 % rule).


Key figures comparison

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