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 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

53.4

53.6

(36.0)

(50.0)

27.2

26.5

32.3

41.6

14.5

13.4

12.9

13.8

2.6

8.3

Maximum2

65.6

69.0

(61.9)

(62.1)

42.8

36.6

38.9

48.0

21.8

23.4

20.8

27.8

10.2

12.8

Minimum2

40.3

43.0

(24.4)

(38.5)

17.6

18.7

27.8

34.9

9.9

8.8

7.2

5.8

0.7

5.5

Period-end3

53.1

47.9

(32.7)

(57.7)

18.9

27.2

30.0

37.9

21.8

20.2

14.2

12.4

0.9

7.8

The average value-at-risk for the first nine months of 2014 decreased slightly by € 0.2 million to € 53.4 million compared with the average for the full year 2013. Credit spread risk reduced over the period due to a lower level of name specific risk and commodities price risk reduced as the wind down of the business continued. This was offset by smaller increases in interest rate risk and equity price risk and a reduction in the diversification benefit across risk types following changes in portfolio composition.

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