ValueatRisk Metrics of Trading Units of Deutsche Bank Group (excluding Postbank)
The tables and graph below present the valueatrisk metrics calculated with a 99 % confidence level and a oneday holding period for our trading units. They exclude contributions from Postbank trading book which are calculated on a standalone basis.
ValueatRisk of our Trading Units by Risk Type 


Total 
Diversification effect 
Interest rate risk 
Credit spread risk 
Equity price risk 
Foreign exchange risk^{1} 
Commodity price risk 

in € m. 
2017 
2016 
2017 
2016 
2017 
2016 
2017 
2016 
2017 
2016 
2017 
2016 
2017 
2016 



Average 
29.8 
32.0 
(28.1) 
(35.0) 
20.2 
19.7 
19.7 
26.6 
8.7 
9.3 
8.4 
10.7 
0.8 
0.7 

Maximum 
38.4 
59.4 
(37.6) 
(57.6) 
26.0 
29.5 
25.1 
32.5 
12.5 
52.4 
16.5 
16.7 
3.0 
3.3 

Minimum 
20.1 
20.4 
(21.4) 
(25.6) 
13.5 
14.8 
13.5 
22.3 
4.4 
4.4 
4.2 
3.6 
0.1 
0.2 

Periodend 
29.1 
30.1 
(22.5) 
(36.9) 
21.4 
19.9 
14.4 
24.3 
10.1 
10.0 
4.9 
12.6 
0.7 
0.2 
Development of valueatrisk by risk types in 2017
The average valueatrisk over 2017 was € 29.8 million, which is a decrease of € 2.2 million compared with the full year 2016. The average credit spread valueatrisk decreased due to a reduction in idiosyncratic risk.
The period end valueatrisk reduction was driven by reductions across the credit spread and foreign exchange asset classes.
Regulatory Trading Market Risk Measures (excluding Postbank)
The table below presents the stressed valueatrisk metrics calculated with a 99 % confidence level and a oneday holding period for our trading units. It excludes contributions from Postbank’s trading book which are calculated on a standalone basis
Average, Maximum and Minimum Stressed ValueatRisk by Risk 


Total 
Diversification effect 
Interest rate risk 
Credit spread risk 
Equity price risk 
Foreign exchange risk^{1} 
Commodity price risk 

in € m. 
2017 
2016 
2017 
2016 
2017 
2016 
2017 
2016 
2017 
2016 
2017 
2016 
2017 
2016 



Average 
76.7 
85.2 
(88.4) 
(78.2) 
69.8 
51.9 
62.1 
74.9 
18.8 
20.6 
12.6 
14.8 
1.8 
1.3 

Maximum 
125.0 
143.7 
(115.8) 
(150.0) 
92.0 
82.5 
73.2 
99.3 
66.8 
144.5 
28.0 
30.4 
6.1 
3.9 

Minimum 
42.0 
60.4 
(73.0) 
(53.4) 
48.3 
37.4 
54.3 
59.0 
1.5 
2.4 
6.9 
3.4 
0.3 
0.4 

Periodend 
85.6 
75.8 
(81.0) 
(91.3) 
67.8 
51.9 
64.3 
63.0 
19.9 
29.6 
12.6 
22.1 
1.9 
0.5 
The average stressed valueatrisk was € 76.7 million over 2017, a decrease of € 8.5 million compared with the full year 2016. The reduction in the average was driven by a decrease in credit spread stressed valueatrisk due to a reduction in idiosyncratic risk as well as a small reduction coming from a model enhancement to the credit spread component. This has been partly offset by an increase in interest rate stressed valueatrisk due to a change in directional exposure on average over 2017.
The following graph compares the development of the daily valueatrisk with the daily stressed valueatrisk and their 60 day averages, calculated with a 99 % confidence level and a oneday holding period for our trading units. Amounts are shown in millions of euro and exclude contributions from Postbank’s trading book which are calculated on a standalone basis.
Development of valueatrisk and stressed valueatrisk in 2017
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 their preceding 12week average calculation.
Average, Maximum and Minimum Incremental Risk Charge of Trading Units (with a 99.9 % confidence level and oneyear capital horizon)^{1,2,3} 


Total 
NonCore Operations Unit 
Global Credit Trading 
Core Rates 
Fixed Income & Currencies APAC 
Emerging Markets – Debt 
Other 

in € m. 
2017 
2016 
2017 
2016 
2017 
2016 
2017 
2016 
2017 
2016 
2017 
2016 
2017 
2016 



Average 
802.1 
840.2 
0.0 
52.0 
544.6 
393.0 
107.1 
200.4 
168.1 
188.6 
37.2 
116.8 
(54.8) 
(110.5) 

Maximum 
899.3 
944.4 
0.0 
57.3 
597.4 
405.8 
172.5 
229.6 
229.0 
243.0 
62.9 
128.0 
(20.4) 
(65.6) 

Minimum 
754.8 
693.0 
0.0 
44.5 
503.7 
368.0 
48.7 
173.7 
92.4 
119.6 
(1.4) 
111.6 
(90.0) 
(141.8) 

Periodend 
789.6 
693.0 
0.0 
51.8 
540.1 
368.0 
133.2 
173.7 
142.3 
119.6 
19.9 
121.8 
(45.9) 
(141.8) 
The incremental risk charge as at the end of 2017 was € 790 million an increase of € 97 million (14 %) compared with year end 2016. The 12week average of the incremental risk charge as at the end of 2017 was € 802 million and thus € 38 million (5 %) lower compared with the average for the 12week period ended December 31, 2016. The decreased average incremental risk charge is driven by a decrease in credit exposures in the Core Rates and Emerging Markets Debt business areas when compared to the full year 2016.
For regulatory reporting purposes, the comprehensive risk measure for the respective reporting dates represents the higher of the internal spot value at the reporting dates, their preceding 12week average calculation, and the floor, where the floor is equal to 8 % of the equivalent capital charge under the standardized approach securitization framework.
Average, Maximum and Minimum Comprehensive Risk Measure of Trading Units (with a 99.9 % confidence level and oneyear capital horizon)^{1,2,3} 

in € m. 
2017 
2016 



Average 
5.4 
31.3 

Maximum 
6.3 
39.8 

Minimum 
4.5 
21.9 

Periodend 
4.4 
17.9 
The internal model comprehensive risk measure as at the end 2017 was € 4.4 million a decrease of € 13.5 million (−75 %) compared with year end 2016. The 12week average of our regulatory comprehensive risk measure as at the end of 2017 was € 5.4 million and thus € 25.8 million (83 %) lower compared with the average for the 12week period ending December 31, 2016. The reduction was due to continued derisking on this portfolio.
Market Risk Standardized Approach
As of December 31, 2017, the securitization positions, for which the specific interest rate risk is calculated using the market risk standardized approach, generated capital requirements of € 379.5 million corresponding to risk weightedassets of € 4.7 billion. As of December 31, 2016 these positions generated capital requirements of € 278.4 million corresponding to risk weightedassets of € 3.5 billion.
For nthtodefault credit default swaps the capital requirement decreased to € 2.8 million corresponding to risk weightedassets of € 35 million compared with € 6.4 million and € 80 million as of December 31, 2016.
The capital requirement for Collective Investment Undertakings under the market risk standardized approach was € 45 million corresponding to risk weightedassets of € 556 million as of December 31, 2017, compared with € 39 million and € 487 million as of December 31, 2016.
The capital requirement for longevity risk under the market risk standardized approach was € 32 million corresponding to riskweighted assets of € 395 million as of December 31, 2017, compared with € 46 million and € 570 million as of December 31, 2016.
ValueatRisk at Postbank
The valueatrisk of Postbank’s trading book calculated with a 99 % confidence level and a oneday holding period amounted to zero as of December 31, 2017. Postbank’s current trading strategy does not allow any new trading activities with regard to the trading book. Therefore, Postbank’s trading book did not contain any positions as of December 31, 2017. Nevertheless, Postbank will remain classified as a trading book institution.
Results of Regulatory Backtesting of Trading Market Risk
In 2017 we observed three global outliers, where our loss on a buyandhold basis exceeded the valueatrisk of our Trading Books, compared with one outlier in 2016. The outliers in 2017 all occurred in the fourth quarter. The first was driven by an idiosyncratic event that led to losses in our NonStrategic and Emerging Markets Debt business areas. The second was an idiosyncratic event primarily impacting our Equities business. The final outlier was at the year end and was caused by losses across a number of business areas. The first and third of these events also led to an outlier on an Actual Backtesting basis, which compares the VaR to Total Income less Fees & Commissions, and excluding Debt Valuation Adjustments. There were two Actual Backtesting outliers in 2017 compared to four in 2016.
Based on the backtesting results, our analysis of the underlying reasons for outliers and enhancements included in our valueatrisk methodology, we continue to believe that our valueatrisk model will remain an appropriate measure for our trading market risk under normal market conditions. The following graph presents trading units’ daily comparison of the VAR measure as of the close of the previous business day with both hypothetical (buyandhold income, i.e. oneday change in portfolio’s value) and the actual backtesting outcomes (as defined above), in order to highlight the frequency and the extent of the backtesting exceptions. The valueatrisk is presented in negative amounts to visually compare the estimated potential loss of our trading positions with the buy and hold income. The chart shows that our trading units achieved a positive buy and hold income for 57 % of the trading days in 2017 (versus 54 % in 2016), as well as displaying the global outliers experienced in 2017.
The capital requirements for the valueatrisk model, for which the backtesting results are shown here, accounts for 1.3 % of the total capital requirement for the Group.
EU MR4 – Comparison of VAR estimates with gains/losses
Daily Income of our Trading Units
The following histogram shows the distribution of daily income of our trading units (excluding Postbank). Daily income is defined as total income which consists of new trades, fees & commissions, buy & hold income, reserves, carry and other income. It displays the number of trading days on which we reached each level of trading income shown on the horizontal axis in millions of euro.
Distribution of daily income of our trading units in 2017
Our trading units achieved a positive revenue for 93 % of the trading days in 2017 compared with 87 % in the full year 2016.