Capítulo III METODOLOGÍA DE LA INVESTIGACIÓN
4.10 Evaluación del proyecto
4.10.2 Valor Actual Neto y Tasa interna de Retorno
The table below presents those parts of our balance sheet which constitute trading or banking book assets from a regulatory point of view.
Regulatory Trading Book Assets as part of the Balance Sheet
Dec 31, 2012
in € m. Balance Sheet Trading Book Banking Book1
Assets − − −
Cash and due from banks 27,885 163 27,722
Interest earning deposits with banks 119,548 2,905 116,643
Central banks funds sold and securities purchased under resale agreements2 36,570 18,872 17,698
Securities borrowed 23,947 23,845 102
Financial assets at fair value through profit or loss 1,200,881 1,152,793 48,088
Trading Assets3 245,538 229,070 16,468
Positive market values from derivative financial instruments 768,316 754,792 13,524 Financial assets designated at fair value through profit or loss 187,027 168,931 18,096
Financial assets available for sale 49,379 − 49,379
Equity method investments 3,577 − 3,577
Loans 397,279 2,175 395,104
Property and equipment 4,963 − 4,963
Goodwill and other intangible assets 14,219 − 14,219
Other assets4 123,973 47,708 76,265
Assets for current tax 2,390 − 2,390
Deferred tax assets 7,718 − 7,718
Total Assets 2,012,329 1,248,461 763,868
1 Includes exposure in relation to non regulatory consolidated entities.
2 Only includes securities purchased under resale agreement as of December 31, 2012.
3 The regulatory Banking Book primarily includes debt securities as part of our liquidity portfolio as well as Traded Loans which do not fulfill the criteria for being
allocated to the regulatory Trading Book.
Value-at-Risk Metrics of Trading Units of Deutsche Bank Group Trading (excluding Postbank)
The table below presents the value-at-risk metrics calculated with a 99 % confidence level and a one-day hold- ing period for our Trading Units.Value-at-Risk of our Trading Units by Risk Type
in € m. Dec 31, 2012 Dec 31, 2011
Interest rate risk 53.9 53.8
Equity price risk 11.6 13.6
Foreign exchange risk 15.3 25.6
Commodity price risk1 21.7 21.0
Diversification effect (44.4) (63.7)
Total value-at-risk 58.1 50.4
1 Includes value-at-risk from gold positions.
The following table shows the average, maximum, and minimum value-at-risk (with a 99 % confidence level and a one-day holding period) of our trading units for the periods specified.
Value-at-Risk of our Trading Units in the Reporting Period
Total Diversification effect Interest rate risk Equity price risk Foreignexchange risk Commodity price risk1
in € m. 2012 2011 2012 2011 2012 2011 2012 2011 2012 2011 2012 2011 Average 57.1 72.7 (61.1) (65.4) 58.4 70.8 14.6 20.5 24.5 32.6 20.7 14.2 Maximum 80.1 94.8 (85.1) (88.1) 75.8 109.1 27.4 37.6 43.4 64.9 31.8 24.3 Minimum 43.3 45.4 (35.3) (41.1) 44.3 45.6 7.5 12.7 9.4 14.3 9.1 7.0
1 Includes value-at-risk from gold positions.
The € 15.6 million or 21 % decrease in average value-at-risk observed in 2012 compared to the prior year was driven primarily by a broad risk reduction across most asset classes, but also partly due to the benefit of lower levels of volatility within the one year of historical market data used in the calculation during 2012.
Basel 2.5 Regulatory Trading Market Risk Measures
As discussed under “Basel 2.5 Regulatory Trading Market Risk Requirements”, the following table shows the stressed value-at-risk (with a 99 % confidence level and a one-day holding period) of the trading units of our Trading.
Stressed Value-at-Risk by Risk Type
in € m. Dec 31, 2012 Dec 31, 2011
Interest rate risk 157.7 117.3
Equity price risk 16.0 23.0
Foreign exchange risk 27.5 51.8
Commodity price risk 43.8 34.2
Diversification effect (98.7) (113.7)
Total stressed value-at-risk of trading units 146.3 112.6
Average, Maximum and Minimum Stressed Value-at-Risk by Risk Type
2012 2011
in € m. Average Maximum Minimum Average1 Maximum1 Minimum1
Interest rate risk 142.0 178.9 110.2 131.6 163.5 106.2
Equity price risk 19.8 47.8 7.7 22.3 64.7 15.2
Foreign exchange risk 38.1 67.9 14.5 51.2 105.4 23.0
Commodity price risk 36.5 61.0 11.1 29.2 35.8 19.6
Diversification effect (115.8) (163.7) (73.9) (108.0) (149.7) (75.8)
Total stressed value-at-risk of trading units 120.6 152.2 91.0 126.3 172.7 102.0
1 Average, Maximum and Minimum have been calculated for the period from October 1, 2011 to December 31, 2011.
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 12-week average calculation. In contrast to this, the incremental risk charge presented for the reporting dates below is the spot values and the average,
maximum and minimum values for the 12-week period preceding these reporting dates. The NCOU incremen- tal risk charge for 2012 is due to the hedges within the underlying portfolios.
In light of our restructuring in the fourth quarter of 2012 we have reallocated the credit risk sensitive positions of our trading book to the new structure and have restated amounts disclosed for the prior reporting date and period year accordingly.
Incremental Risk Charge of Trading Units (with a 99.9 % confidence level and one-year capital horizon)
in € m. Dec 31, 2012 Dec 31, 2011
Global Finance and Foreign Exchange 70.8 81.4
Rates and Credit Trading 441.3 485.2
NCOU (20.9) 32.0
Emerging Markets – Debt 224.6 140.9
Other (3.0) (1.4)
Total incremental risk charge 712.8 738.1
Average, Maximum and Minimum Incremental Risk Charge of Trading Units (with a 99.9 % confidence level and one-year capital horizon) 2012 2011 in € m. Weighted average liquidity horizon
in month Average1 Maximum1 Minimum1
Weighted average liquidity horizon
in month Average1 Maximum1 Minimum1
Global Finance and Foreign Exchange 6.0 107.4 139.3 70.1 6.0 49.6 81.4 7.8
Rates and Credit Trading 6.0 482.2 579.6 406.1 6.0 624.2 795.4 485.2
NCOU 6.0 (23.0) 29.1 (120.9) 6.0 (4.3) 32.0 (18.3)
Emerging Markets – Debt 6.0 197.2 273.5 150.0 6.0 90.0 140.9 23.9
Other 6.0 (3.1) 0.6 (6.1) 6.0 (1.3) 2.2 (5.5)
Total incremental risk charge of
trading units 6.0 760.7 821.5 705.9 6.0 758.1 846.3 697.0
1 Average, Maximum and Minimum have been calculated for the 12-week period ending December 31.
Based on 52 weeks, the annual average of our total incremental risk charge was € 760 million for the year 2012. The maximum and minimum of the incremental risk charge for the year 2012 was € 878 million and € 673million respectively.
For regulatory reporting purposes, the comprehensive risk measure for the respective reporting dates repre- sents the higher 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 securitisation framework. In contrast to this, the comprehensive risk measure presented for the reporting dates below is the spot values and the average, maximum and minimum values have been calculated for the 12 weeks period preceding these reporting dates.
Comprehensive Risk Measure of Trading Units (with a 99.9 % confidence level and one-year capital horizon)
in € m. Dec 31, 2012 Dec 31, 2011
Correlation trading 543.8 855.7
Average, Maximum and Minimum Comprehensive Risk Measure of Trading Units (with a 99.9 % confidence level and one- year capital horizon)
2012 2011 in € m. Weighted average liquidity horizon
in month Average1 Maximum1 Minimum1
Weighted average liquidity horizon
in month Average1 Maximum1 Minimum1
Correlation trading 12.0 613.4 650.9 562.8 6.0 993.2 1,026.2 937.9
Based on 52 weeks, the annual average of our total comprehensive risk measure was € 693 million for the year 2012. The maximum and minimum of comprehensive risk measure for the year 2012 was € 884 million and € 418 million respectively.
As of December 31, 2012, the securitization positions using the market risk standardized approach generated risk weighted-assets of € 5.5 billion and capital deduction items of € 0.6 billion capital charge. As of Decem- ber 31, 2011 the securitization positions amounted to € 5.0 billion and € 2.2 billion respectively.
As of December 31, 2012, the capital charge for longevity risk was € 32 million corresponding to risk weighted- assets of € 403 million. As of December 31, 2011, the capital charge for longevity risk was € 32 million corre- sponding to risk-weighted assets of € 401 million.