Deutsche Bank’s (DB) notional derivatives book had huge swings in notional value between its year-end 2014 report and its “passion to performâ€Â year-end 2015 report.
Deutsche Bank did not list the notional value of its derivatives book in its 2016 Quarterly Report.
The bank would like us to take it on faith, that the positive value of its derivatives book is €615 billion while the net positive value of its book is around around €18 billion.
There’s just one little problem: the market believe something is wrong. What is it? Derivatives or something else?
Reader Lars writes
Hello Mish,
I’m investigating changes in Deutsche Bank’s derivatives book.
At 2014 year end, DB had derivatives which notional value was €52 trillion. The positive value was around €630 billion.
At 2015 year end, DB had derivatives which notional value was €42 trillion. The positive value was around €515 billion on total assets of €1.629 trillion.
So during 2015 derivatives exposure (notional) was reduced by €10 trillion or 19%.
As of June 30th 2016, DB does not give a number for notional value but the positive value has again increased to €615 billion. Total assets are €1.8 trillion.
Meanwhile the the net positive value of DBs derivatives portfolio is stable around €18 billion.
What’s Happening?
It is possible that DBs derivatives portfolio has increased in value by €100 billion, roughly 19% in 6 months without the notional amount going up correspondingly?
Did DB offload €10 trillion worth of notional derivatives before year end 2015 only to pad it back later?
Book equity is €67 billion but it’s trading at a 75% discount. The market values DB at €16.5 billion.
Tier 1 bond holders say pretty much the same thing. Bonds sell at a 22% discount to par.
Lars
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