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

in € m.

Dec 31, 2013

Dec 31, 2012

1

Includes traded loans of € 17,787 million and € 17,638 million at December 31, 2013 and 2012 respectively.

Trading assets:

 

 

Trading securities

187,554

227,845

Other trading assets1

22,516

26,614

Total trading assets

210,070

254,459

Positive market values from derivative financial instruments

504,590

768,353

Financial assets designated at fair value through profit or loss:

 

 

Securities purchased under resale agreements

116,764

124,987

Securities borrowed

32,485

28,304

Loans

15,579

18,248

Other financial assets designated at fair value through profit or loss

19,768

15,488

Total financial assets designated at fair value through profit or loss

184,597

187,027

Total financial assets at fair value through profit or loss

899,257

1,209,839

in € m.

Dec 31, 2013

Dec 31, 2012

1

These are investment contracts where the policy terms and conditions result in their redemption value equaling fair value. See Note 41 “Insurance and Investment Contracts”, for more detail on these contracts.

Trading liabilities:

 

 

Trading securities

54,951

52,722

Other trading liabilities

853

1,678

Total trading liabilities

55,804

54,400

Negative market values from derivative financial instruments

483,428

752,652

Financial liabilities designated at fair value through profit or loss:

 

 

Securities sold under repurchase agreements

73,642

82,267

Loan commitments

193

463

Long-term debt

9,342

13,436

Other financial liabilities designated at fair value through profit or loss

6,927

14,243

Total financial liabilities designated at fair value through profit or loss

90,104

110,409

Investment contract liabilities1

8,067

7,732

Total financial liabilities at fair value through profit or loss

637,404

925,193

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 € 165 billion and € 172 billion as of December 31, 2013, and 2012, 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, 2013

Dec 31, 2012

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

Prior year numbers have been restated (increase of € 6.2 billion to notional value of loans exposed to credit risk).

4

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

6,874

26,349

9,2103

39,599

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

43

254

53

710

Cumulative change in the fair value4

55

742

1

674

Notional of credit derivatives used to mitigate credit risk

627

13,050

2,212

29,588

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

(15)

(343)

(65)

(922)

Cumulative change in the fair value4

(14)

(574)

(50)

(821)

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

in € m.

Dec 31, 2013

Dec 31, 2012

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 structured entity have been excluded as this is not related to the Group’s credit risk but to that of the legally isolated structured entity, which is dependent on the collateral it holds.

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

85

213

Cumulative change in the fair value

151

79

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

in € m.

Dec 31, 2013

Dec 31, 2012

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

27,232

41,244

Excluding undrawn loan commitments

927

665