entire - Deutsche Bank Annual Report 2012

Deutsche Bank 01 – Management Report 98
Financial Report 2010 Risk Report
The Capital and Risk Committee supervises our nontrading market risk exposures. Investment proposals for
strategic investments are analyzed by the Group Investment Committee. Depending on the size, any strategic
investment requires approval from the Group Investment Committee, the Management Board or the Supervisory
Board. The development of strategic investments is monitored by the Group Investment Committee on a regular
basis. Multiple members of the Capital and Risk Committee are also members of the Group Investment Committee,
ensuring a close link between both committees.
Assessment of Market Risk in Our Nontrading Portfolios
Due to the generally static nature of these positions we do not use value-at-risk to assess the market risk in our
nontrading portfolios. Rather, we assess the risk through the use of stress testing procedures that are particular
to each risk class and which consider, among other factors, large historically observed market moves and the
liquidity of each asset class as well as changes in client behavior in relation to deposit products. This assessment
forms the basis of our economic capital calculations which enable us to actively monitor and manage our nontrading
market risk. As of year-end 2009 several enhancements to the economic capital coverage across the
nontrading market risk portfolio were introduced. In 2010 the nontrading market risk economic capital coverage
has been completed with the addition of an economic capital charge for Deutsche Bank’s pension risks.
Economic Capital Usage for Our Nontrading Market Risk Portfolios per Business Area
The table below shows the economic capital usages for our nontrading portfolios by business division and
includes the economic capital usage of the Postbank calculated using our methodology.
in € m. Dec 31, 2010 Dec 31, 2009
Economic capital usage for our nontrading portfolios
CIB 1,351 890
PCAM 3,524 2,246
Corporate Investments 1,051 5,043
Consolidation & Adjustments 814 (277)
Total 6,740 7,902
The increase in CIB of € 461 million was driven by various new investments.
The most significant changes in 2010 were driven by the full consolidation of Postbank which led to an overall
reduction of the nontrading economic capital by € 3.3 billion. In this process, the economic capital charge for
Postbank was transferred from Corporate Investments (€ 4.3 billion) to Private & Business Clients (€ 1 billion).
In addition the newly integrated business of Sal. Oppenheim also led to an increase of € 313 million in PCAM.
The major change in Consolidation & Adjustments was driven by an increase of structural foreign exchange risk
of € 625 million.