13 – Financial Assets/Liabilities at Fair Value through Profit or Loss


in € m.

Dec 31, 2012

Dec 31, 2011

1

Includes traded loans of € 18,152 million and € 18,039 million at December 31, 2012 and 2011 respectively.

Trading assets:

 

 

Trading securities

218,411

214,087

Other trading assets1

27,127

26,837

Total trading assets

245,538

240,924

Positive market values from derivative financial instruments

768,316

859,582

Financial assets designated at fair value through profit or loss:

 

 

Securities purchased under resale agreements

124,987

117,284

Securities borrowed

28,304

27,261

Loans

18,248

24,220

Other financial assets designated at fair value through profit or loss

15,488

11,528

Total financial assets designated at fair value through profit or loss

187,027

180,293

Total financial assets at fair value through profit or loss

1,200,881

1,280,799

in € m.

Dec 31, 2012

Dec 31, 2011

1

These are investment contracts where the policy terms and conditions result in their redemption value equaling fair value. See Note 39 “Insurance and Investment Contracts”, for more detail on these contracts.

Trading liabilities:

 

 

Trading securities

53,236

60,005

Other trading liabilities

1,678

3,881

Total trading liabilities

54,914

63,886

Negative market values from derivative financial instruments

752,706

838,817

Financial liabilities designated at fair value through profit or loss:

 

 

Securities sold under repurchase agreements

82,267

93,606

Loan commitments

463

1,192

Long-term debt

12,193

13,889

Other financial liabilities designated at fair value through profit or loss

14,243

9,631

Total financial liabilities designated at fair value through profit or loss

109,166

118,318

Investment contract liabilities1

7,732

7,426

Total financial liabilities at fair value through profit or loss

924,518

1,028,447

Financial Assets & Liabilities designated at Fair Value through Profit or Loss

The Group has designated various lending relationships at fair value through profit or loss. Lending facilities consist of drawn loan assets and undrawn irrevocable loan commitments. The maximum exposure to credit risk on a drawn loan is its fair value. The Group’s maximum exposure to credit risk on drawn loans, including securities purchased under resale agreements and securities borrowed, was € 172 billion and € 169 billion as of December 31, 2012, and 2011, respectively. Exposure to credit risk also exists for undrawn irrevocable loan commitments and is predominantly counterparty credit risk.

The credit risk on the securities purchased under resale agreements and securities borrowed designated under the fair value option is mitigated by the holding of collateral. The valuation of these instruments takes into account the credit enhancement in the form of the collateral received. As such there is no material movement during the year or cumulatively due to movements in counterparty credit risk on these instruments.

Changes in fair value of loans1 and loan commitments attributable to movements in counterparty credit risk2

 

Dec 31, 2012

Dec 31, 2011

in € m.

Loans

Loan commitments

Loans

Loan commitments

1

Where the loans are over-collateralized there is no material movement in valuation during the year or cumulatively due to movements in counterparty credit risk.

2

Determined using valuation models that exclude the fair value impact associated with market risk.

3

Changes are attributable to loans and loan commitments held at reporting date, which may differ from those held in prior periods. No adjustments are made to prior year to reflect differences in the underlying population.

Notional value of loans and loan commitments exposed to credit risk

3,013

39,599

5,477

46,185

Annual change in the fair value reflected in the Statement of Income

53

710

(88)

(611)

Cumulative change in the fair value3

1

674

(84)

(236)

Notional of credit derivatives used to mitigate credit risk

2,212

29,588

4,055

37,289

Annual change in the fair value reflected in the Statement of Income

(65)

(922)

62

576

Cumulative change in the fair value3

(50)

(821)

55

425

Changes in fair value of financial liabilities attributable to movements in the Group’s credit risk1

in € m.

Dec 31, 2012

Dec 31, 2011

1

The fair value of a financial liability incorporates the credit risk of that financial liability. Changes in the fair value of financial liabilities issued by consolidated SPEs have been excluded as this is not related to the Group’s credit risk but to that of the legally isolated SPE, which is dependent on the collateral it holds.

Annual change in the fair value reflected in the Statement of Income

(213)

141

Cumulative change in the fair value

(79)

197

The excess of the contractual amount repayable at maturity over the carrying value of financial liabilities1

in €

Dec 31, 2012

Dec 31, 2011

1

Assuming the liability is extinguished at the earliest contractual maturity that the Group can be required to repay. When the amount payable is not fixed, it is determined by reference to conditions existing at the reporting date.

2

The contractual cash flows at maturity for undrawn loan commitments assume full drawdown of the facility.

Including undrawn loan commitments2

41,305

45,634

Excluding undrawn loan commitments

726

641