Market Risk of Trading Units excluding Postbank

The table below presents the value-at-risk metrics calculated with a 99 % confidence level and a one-day holding period for our trading units.

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

 

Total

Diversification effect

Interest rate risk

Credit spread risk

Equity price risk

Foreign exchange risk1

Commodity price risk

in € m.

2014

2013

2014

2013

2014

2013

2014

2013

2014

2013

2014

2013

2014

2013

1

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

2

Amounts show the bands within which the values fluctuated during the period January 1 to June 30, 2014 and the full year 2013, respectively.

3

Amounts for 2014 as of June 30, 2014 and for 2013 as of December 31, 2013.

Average2

55.2

53.6

(38.3)

(50.0)

29.9

26.5

33.0

41.6

14.3

13.4

12.9

13.8

3.4

8.3

Maximum2

65.6

69.0

(61.9)

(62.1)

42.8

36.6

38.9

48.0

21.1

23.9

20.8

27.8

10.2

12.8

Minimum2

46.5

43.0

(28.0)

(38.5)

23.7

18.7

27.8

34.9

10.2

8.8

7.2

5.8

1.3

5.5

Period-end3

56.7

47.9

(39.6)

(57.7)

28.1

27.2

35.8

37.9

14.2

20.2

17.0

12.4

1.3

7.8

The average value-at-risk for the first six months of 2014 increased slightly by € 2 million to € 55 million compared with the full year 2013. Interest rate risk has increased due to increased levels of short exposure over the period. This has been partly offset by reductions in credit spread risk, due to a lower level of name specific risk, and a reduction in commodities, as the business winds down. Diversification has reduced following changes in portfolio composition, which has contributed to the overall increase in average value-at-risk for the period.

During the first six months of 2014 our trading units achieved a positive actual income for 98 % of the trading days compared with 94 % in full year 2013.