in € m. |
Dec 31, 2014 |
Dec 31, 2013 |
||
|
||||
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 |
||
|
||||
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 |
||||||
|
||||||||||
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 |
||
|
||||
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 |
||||||
|
||||||||
Including undrawn loan commitments3 |
18,261 |
28,662 |
||||||
Excluding undrawn loan commitments |
1,621 |
2,357 |