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.

2015

2014

2015

2014

2015

2014

2015

2014

2015

2014

2015

2014

2015

2014

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 March 31, 2015 and the full year 2014, respectively.

3

Amounts for 2015 as of March 31, 2015 and for 2014 as of December 31, 2014.

Average2

108.6

109.6

(147.7)

(125.4)

70.7

64.4

132.2

124.0

14.0

11.5

38.0

29.7

1.4

5.4

Maximum2

135.1

161.1

(186.7)

(168.0)

84.2

85.9

154.5

142.8

47.8

42.6

59.8

70.3

3.1

16.7

Minimum2

82.4

81.6

(118.3)

(102.3)

54.1

48.8

104.8

100.7

0.1

0.0

21.4

13.7

0.7

1.4

Period-end3

109.7

120.7

(128.1)

(139.3)

70.4

52.3

108.6

140.8

21.2

18.8

36.5

46.2

1.2

1.8

The average stressed value-at-risk for the first three months of 2015 was € 108.6 million and decreased by € 1.0 million compared with the full year 2014. The reduction stemmed from an improvement in diversification due to changes in the composition of the portfolio, partly offset by increases coming from across asset classes. Most notably foreign exchange stressed value-at-risk has increased due to an increase in long U.S. dollar foreign exchange exposure, while credit spread stressed value-at-risk increased following an increase in long credit spread exposure on average over the first three months of 2015 compared to the full year 2014. The notable reduction in the period end stressed value-at-risk for credit spread risk was driven by an improvement to the correlations approach used to aggregate certain components within the credit spread value-at-risk

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)3

 

Total

Fixed Income &
Currencies

Structured
Finance

Emerging Markets – Debt

NCOU

Other

in € m.

2015

2014

2015

2014

2015

2014

2015

2014

2015

2014

2015

2014

1

Amounts show the bands within which the values fluctuated during the 12-weeks preceding March 31, 2015 and December 31, 2014, respectively.

2

Amounts for 2015 as of March 31, 2015 and for 2014 as of December 31, 2014.

3

Business line breakdowns have been updated for 2015 reporting to better reflect the current business structure.

Average1

1,391.4

811.9

920.1

532.8

269.9

152.2

241.3

164.1

(3.4)

(3.6)

(36.5)

(33.5)

Maximum1

1,542.2

1,065.4

1,084.9

719.3

385.5

189.3

457.7

220.2

29.2

39.4

19.5

64.7

Minimum1

1,131.4

647.9

732.3

381.8

188.7

106.3

181.2

119.5

(32.7)

(25.8)

(145.4)

(88.0)

Period-end2

1,303.6

1,037.8

864.3

603.4

239.6

159.8

274.0

170.5

29.2

39.4

(103.5)

64.7

The incremental risk charge as at the end of the first three months of 2015 was € 1.3 billion and increased by € 266 million (26 %) compared with year end 2014. The 12-week average incremental risk charge for the first three months of 2015 was € 1.4 billion and thus € 579 million (71 %) higher compared with the average for the 12-week period ended December 31, 2014. The increase was driven by an increase in concentrated single name exposures primarily on sovereign entities, which particularly impacts the incremental risk charge.

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.

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

in € m.

2015

2014

1

Regulatory Comprehensive Risk Measure calculated for the 12-week period ending March 31, 2015 and December 31, 2014.

2

Spot value of internal model Comprehensive Risk Measure at period end.

Average1

221.9

246.9

Maximum1

242.2

257.5

Minimum1

213.1

223.0

Period-end2

199.0

222.0

The comprehensive risk measure as at the end of the first three months of 2015 was € 199 million and decreased by € 23 million (10 %) compared with year end 2014. The 12-week average of our comprehensive risk measure for the first three months of 2015 was € 222 million and thus € 25 million (10 %) lower compared with the average for the 12-week period ended December 31, 2014. The reduction was due to continued de-risking on this portfolio.

Market Risk Standardized Approach

As of March 31, 2015, the securitization positions, for which the specific interest rate risk is calculated using the market risk standardized approach, generated capital requirements of € 1,909 million corresponding to risk weighted-assets of € 23.9 billion. As of December 31, 2014 these positions generated capital requirements of € 1,682 million corresponding to risk weighted-assets of € 21.0 billion. The increase is primarily due to the end of the transitional period granted by Article 337 (4) CRR as the calculation is now based on the sum of the weighted net long positions and the sum of the weighted net short positions rather than the larger of the two sums. Additionally there has been an increase from foreign exchange movement with some offset coming from de-risking.

For nth-to-default credit default swaps the capital requirement increased to € 17 million corresponding to risk weighted-assets of € 216 million compared with € 1 million and € 19 million as of December 31, 2014 caused by the aforementioned regulatory change.

Additionally, the capital requirement for investment funds under the market risk standardized approach was € 89 million corresponding to risk weighted-assets of € 1,116 million as of March 31, 2015, compared with € 91 million and € 1,139 million as of December 31, 2014.

The capital requirement for longevity risk under the market risk standardized approach was € 32 million corresponding to risk weighted-assets of € 398 million as of March 31 2015, compared with € 26 million and € 326 million as of December 31, 2014.