Regulatory Trading Market Risk Measures

In trading market risk the comprehensive risk measure and market risk standardized approach were partially impacted by the introduction of the new CRR/CRD 4 framework which is detailed in the respective sections.

Stressed Value-at-Risk

The following table shows the stressed value-at-risk (with a 99 % confidence level and a one-day holding period) for our trading units.

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.

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 September 30, 2014 and the full year 2013, respectively.

3

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

Average2

109.0

114.0

(122.6)

(127.5)

65.8

59.3

121.6

118.1

11.5

19.2

27.0

29.6

5.8

15.2

Maximum2

161.1

169.2

(152.4)

(166.8)

85.9

93.1

142.8

149.5

42.6

53.6

53.1

59.2

16.7

37.1

Minimum2

86.2

75.1

(102.3)

(105.5)

48.8

44.4

100.7

90.0

0.0

4.3

13.7

12.1

1.8

7.1

Period-end3

126.5

105.5

(141.0)

(125.3)

64.8

53.0

137.0

114.4

16.1

27.5

47.1

27.0

2.7

8.9

The average stressed value-at-risk for the first nine months of 2014 was € 109 million and decreased by € 5 million compared with the full year 2013. The reduction is most notably coming from lower equity risk due to carrying greater downside protection, with additional reductions coming from foreign exchange risk and commodities price risk. There has been an increase in interest rate risk following increased short interest rate exposure while average diversification has reduced due to changes in the composition of the portfolio.

Incremental Risk Charge

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 the value of the preceding 12-week average calculation. The incremental risk charge presented for the reporting dates below is the spot value and the average, maximum and minimum values calculated 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)

 

Total

Global Finance and Foreign Exchange

Rates and Credit Trading

NCOU

Emerging Markets – Debt

Other

in € m.

2014

2013

2014

2013

2014

2013

2014

2013

2014

2013

2014

2013

1

Amounts show the bands within which the values fluctuated during the 12-weeks preceding September 30, 2014 and December 31, 2013, respectively.

2

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

Average1

1,005.0

968.2

144.1

66.9

550.6

505.8

(41.7)

(20.6)

191.1

179.5

160.9

236.5

Maximum1

1,291.5

1,044.8

281.9

82.4

707.1

603.4

7.3

(3.7)

244.0

205.0

253.7

323.9

Minimum1

751.1

928.5

60.8

43.5

392.6

414.2

(69.4)

(36.6)

148.9

156.1

79.1

185.1

Period-end2

927.4

995.6

60.8

82.4

526.7

563.4

3.1

(3.9)

209.7

168.3

127.0

185.5

The incremental risk charge as at the end of the first nine months of 2014 was € 0.9 billion and decreased by € 68 million (7 %) compared with year end 2013. The 12-week average incremental risk charge for the first nine months of 2014 was € 1.0 billion and thus € 37 million (4 %) higher compared with the average for the 12-week period ended December 31, 2013.

Comprehensive Risk Measure

For regulatory reporting purposes, the comprehensive risk measure for the respective reporting dates represents the highest 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. The comprehensive risk measure presented for the reporting dates below is the spot value and the average, maximum and minimum values calculated for the 12-week period ending on these reporting dates.

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

in € m.

2014

2013

1

Amounts show the bands within which the values fluctuated during the 12-weeks preceding September 30, 2014 and December 31, 2013.

2

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

Average1

288.0

316.0

Maximum1

299.1

359.6

Minimum1

257.5

285.9

Period-end2

231.1

223.8

The comprehensive risk measure as at the end of the first nine months of 2014 was € 231 million and increased by € 7 million (3 %) compared with year end 2013. The 12-week average of our comprehensive risk measure for the first nine months of 2014 was € 288 million and thus € 28 million (9 %) lower compared with the average for the 12-week period ended December 31, 2013. There was an increase due to the impact of a higher floor applicable in the calculation under the CRR/CRD 4 framework which has now been offset by de-risking of the portfolio.

Market Risk Standardized Approach

Securitization positions in the trading book, including securitization positions in the correlation trading portfolio which are not eligible for the comprehensive risk measure, are subject to the market risk standardized approach for specific interest rate risk. In the Basel 2.5 framework, exposures that were unrated or rated below BB, were considered as capital deduction items and did not result in RWA. Under the new regulatory CRR/CRD 4 framework, which became effective on January 1, 2014, these exposures can no longer be deducted from capital but are included in the RWA calculation.

As of September 30, 2014, the securitization positions, for which the specific interest rate risk is calculated using the market risk standardized approach, generated capital requirements of € 2.2 billion corresponding to risk-weighted assets of € 27.7 billion. As of December 31, 2013, applying the CRR/CRD 4 framework to these positions would have amounted to capital requirements of € 2.0 billion and risk-weighted assets of € 24.5 billion. The increase was primarily due to higher inventory levels and cancelled hedges.

Additionally, the capital requirement for investment funds under the market risk standardized approach was € 84 million corresponding to risk-weighted assets of € 1.0 billion as of September 30, 2014, compared with € 78 million and € 977 million as of December 31, 2013.

For nth-to-default credit default swaps the capital requirement remained at € 2 million corresponding to risk-weighted assets of € 20 million as of September 30, 2014, compared with € 5 million and € 63 million as of December 31, 2013.

The capital requirement for longevity risk under the market risk standardized approach as of September 30, 2014 was € 33 million corresponding to risk-weighted assets of € 414 million compared with € 29 million and € 363 million as of December 31, 2013.