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

in € m.

Dec 31, 2014

Dec 31, 2013

1

Includes traded loans of € 16.7 million and € 17.8 million at December 31, 2014 and 2013 respectively.

Trading assets:

 

 

Trading securities

177,639

187,554

Other trading assets1

18,041

22,516

Total trading assets

195,681

210,070

Positive market values from derivative financial instruments

629,958

504,590

Financial assets designated at fair value through profit or loss:

 

 

Securities purchased under resale agreements

60,473

116,764

Securities borrowed

20,404

32,485

Loans

15,331

15,579

Other financial assets designated at fair value through profit or loss

21,078

19,768

Total financial assets designated at fair value through profit or loss

117,285

184,597

Total financial assets at fair value through profit or loss

942,924

899,257

in € m.

Dec 31, 2014

Dec 31, 2013

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

41,112

54,951

Other trading liabilities

731

853

Total trading liabilities

41,843

55,804

Negative market values from derivative financial instruments

610,202

483,428

Financial liabilities designated at fair value through profit or loss:

 

 

Securities sold under repurchase agreements

21,053

73,642

Loan commitments

99

193

Long-term debt

9,919

9,342

Other financial liabilities designated at fair value through profit or loss

6,061

6,927

Total financial liabilities designated at fair value through profit or loss

37,131

90,104

Investment contract liabilities1

8,523

8,067

Total financial liabilities at fair value through profit or loss

697,699

637,404

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 € 96 billion and € 165 billion as of December 31, 2014, and 2013, 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, 2014

Dec 31, 2013

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

5,146

15,393

6,874

26,349

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

3

43

43

254

Cumulative change in the fair value3

14

470

55

742

Notional of credit derivatives used to mitigate credit risk

417

8,152

627

13,050

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

(1)

(19)

(15)

(343)

Cumulative change in the fair value3

(3)

(257)

(14)

(574)

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

in € m.

Dec 31, 2014

Dec 31, 2013

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

(23)

85

Cumulative change in the fair value

134

151

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

in € m.

Dec 31, 2014

Dec 31, 20132

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

In 2014 the prior year numbers were restated (increase of € 1,430 million to the excess of the contractual amount repayable on maturity over the carrying value of financial liabilities including undrawn loan commitments, increase of € 1,430 million to the excess of the contractual amount payable on maturity over the carrying value of financial liabilities excluding undrawn loan commitments).

3

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

Including undrawn loan commitments3

18,261

28,662

Excluding undrawn loan commitments

1,621

2,357