Value-at-Risk at Postbank

The value-at-risk of Postbank’s trading book calculated with a 99 % confidence level and a one-day holding period amounted to zero as at December 31, 2014 in comparison to € 0.1 million at year end 2013. The only impact at year-end 2013 was € 0.1 million resulting from foreign exchange risk while all other risks components (including diversification effects) amounted to € 0.0 million. “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. Postbank’s current trading strategy does not allow any new trading activities with regard to the trading book. Therefore, Postbank’s trading book did not contain any positions at year-end 2014. Nevertheless, Postbank will remain classified as a trading book institution.

The table below presents average, maximum and minimum value-at-risk amounts of Postbank’s trading book during the year 2014.

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

 

Total

Diversification effect

Interest rate risk

Credit spread risk

Equity price risk

Foreign exchange risk

Commodity price risk

in € m.

2014

2013

2014

2013

2014

2013

2014

2013

2014

2013

2014

2013

2014

2013

Average

0.1

0.3

0.0

(0.2)

0.0

0.2

0.0

0.1

0.0

0.0

0.1

0.1

0.0

0.0

Maximum

0.1

1.1

(0.1)

(0.9)

0.0

0.5

0.0

1.1

0.0

0.1

0.1

0.5

0.0

0.0

Minimum

0.0

0.1

0.0

0.0

0.0

0.0

0.0

0.0

0.0

0.0

0.0

0.1

0.0

0.0