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)

Sep 30, 2014

Dec 31, 2013

in € m.

in %

1

Diversification benefit across credit, market, operational and strategic risk (largest part of business risk)

2

Excluding strategic risk (not included in the diversification calculation for 2013)

Credit risk

13,099

12,013

1,086

9

Market risk

14,475

12,738

1,737

14

Trading market risk

4,628

4,197

431

10

Nontrading market risk

9,847

8,541

1,306

15

Operational risk

6,778

5,253

1,525

29

Business risk

2,497

1,682

815

48

Diversification benefit1

(6,017)

(4,515)2

(1,502)

33

Total economic capital usage

30,831

27,171

3,660

13

As of September 30, 2014, our economic capital usage amounted to € 30.8 billion, which was € 3.7 billion, or 13 %, above the € 27.2 billion economic capital usage as of December 31, 2013.

The economic capital usage for credit risk increased by € 1.1 billion to € 13.1 billion as of September 30, 2014. This increase is driven by higher risk exposures in CB&S.

The economic capital usage for trading market risk increased to € 4.6 billion as of September 30, 2014, compared with € 4.2 billion at year-end 2013. This was mainly driven by increased exposures in the fair value banking book. Non trading market risk economic capital usage increased by € 1.3 billion to € 9.8 billion as of September 30, 2014, compared with € 8.5 billion at year end 2013. The increase in non trading market risk economic capital usage included € 338 million increase in investment risk economic capital and € 968 million constitutes an increase in other non trading market risk economic capital, which was mainly driven by higher structural foreign exchange exposure and methodology enhancements for pension risk.

The economic capital usage for operational risk increased to € 6.8 billion as of September 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. While our dialogue with BaFin on these model enhancements is ongoing, management has decided to recognise the impact of these model changes where they will lead to an increase in capital requirement over our models that have been previously approved by the BaFin.

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 € 2.5 billion as of September 30, 2014, which is € 815 million or 48 % higher than the € 1.7 billion economic capital usage as of December 31, 2013. The increase mainly reflected a higher economic capital usage for the strategic risk component driven by adjustments to the strategic plan for 2014.

The inter-risk diversification effect of the economic capital usage across credit, market, operational and strategic risk increased by € 1.5 billion, or 33 %, as of September 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.