Overall Risk Position

The table below shows our overall risk position as measured by the economic capital usage calculated for credit, market, operational and business risk for the dates specified. To determine our overall (nonregulatory) risk position, we generally consider diversification benefits across risk types.

Overall risk position as measured by economic capital usage by risk type

 

 

 

2014 increase (decrease) from 2013

in € m. (unless stated otherwise)

Jun 30, 2014

Dec 31, 2013

in € m.

in %

Credit risk

11,923

12,013

(90)

(1)

Market risk

14,456

12,738

1,718

13

Trading market risk

5,376

4,197

1,179

28

Nontrading market risk

9,080

8,541

539

6

Operational risk

6,385

5,253

1,132

22

Diversification benefit across credit, market and operational risk

(5,730)

(4,515)

(1,215)

27

Economic capital usage for credit, market and operational risk

27,034

25,489

1,545

6

Business risk

3,004

1,682

1,322

79

Total economic capital usage

30,038

27,171

2,867

11

As of June 30, 2014, our economic capital usage amounted to € 30.0 billion, which was € 2.9 billion, or 11 %, above the € 27.2 billion economic capital usage as of December 31, 2013.

The economic capital usage for credit risk slightly decreased by € 90 million to € 11.9 billion as of June 30, 2014. This decrease is mainly driven by operational model improvements partly offset by increased exposure, primarily in GTB.

The economic capital usage for trading market risk increased to € 5.4 billion as of June 30, 2014, compared with € 4.2 billion at year-end 2013. This was mainly driven by increased exposures in the fair value banking book and in securitization. The nontrading market risk economic capital usage increased by € 539 million, largely driven by an increase in structural foreign exchange risk arising from our issuance of AT1 notes denominated in US dollars and Pound Sterling.

The economic capital usage for operational risk increased to € 6.4 billion as of June 30, 2014, compared with € 5.3 billion at year-end 2013. The increase is mainly driven by our proactive recognition of the impact of model enhancements to our Advanced Measurement Approach (AMA) model. The economic capital continues to include the safety margin applied in our AMA model, which was implemented in 2011 to cover unforeseen legal risks from the recent financial crisis.

Our business risk economic capital methodology captures strategic risk, which also implicitly includes elements of refinancing and reputational risk, and a tax risk component. The business risk economic capital usage totaled € 3.0 billion as of June 30, 2014, which is € 1.3 billion or 79 % higher than the € 1.7 billion economic capital usage as of December 31, 2013. The increase reflected a higher economic capital usage for the strategic risk component driven by adjustments to the strategic plan for 2014.

The diversification effect of the economic capital usage across credit, market, operational risk and strategic risk increased by € 1.2 billion, or 27 %, as of June 30, 2014, mainly reflecting the increase in economic capital usage before diversification and a methodology update in the first quarter 2014, which relates among other things to the incorporation of strategic risk into the diversification calculation.