Financial Instruments Carried at Fair Value - Quantitative Information about Fair Value (Level 3) (Detail) - Valuation
technique
unobservable
parameters
(Level 3)
€ in Millions |
12 Months Ended |
|
Dec. 31, 2025
EUR (€)
|
Dec. 31, 2024
EUR (€)
|
| Assets: Held for Trading | Fair Value Level 3 | Fair Value Level 3 |
|
|
|
|
|
| Mortgage and other asset backed
securities held for trading:
|
|
|
|
|
|
| Commercial mortgage-backed securities |
|
€ 42
|
|
€ 31
|
|
| Mortgage and other asset-backed securities |
|
91
|
|
93
|
|
| Total mortgage- and other asset-backed
securities
|
|
133
|
|
124
|
|
| Debt securities and other debt obligations |
|
|
|
|
|
| Debt securities and other debt obligations |
|
3,447
|
|
2,726
|
|
| Corporate, sovereign and other debt securities (held for trading) |
|
3,447
|
|
2,726
|
|
| Equity securities |
|
|
|
|
|
| Equity securities |
|
55
|
|
114
|
|
| Loans |
|
|
|
|
|
| Loans |
|
6,913
|
|
5,931
|
|
| Market values from derivative financial instruments: |
|
|
|
|
|
| Interest rate derivatives |
|
|
|
5,218
|
|
| Credit derivatives |
|
|
|
510
|
|
| Equity derivatives |
|
|
|
642
|
|
| FX derivatives |
|
|
|
995
|
|
| Other derivatives |
|
|
|
580
|
|
| Non-trading financial assets mandatory at fair value through profit or loss | Fair Value Level 3 | Fair Value Level 3 |
|
|
|
|
|
| Debt securities and other debt obligations |
|
|
|
|
|
| Debt securities and other debt obligations |
|
1,474
|
|
|
|
| Corporate, sovereign and other debt securities (held for trading) |
|
|
|
1,499
|
|
| Equity securities |
|
|
|
|
|
| Equity securities |
|
761
|
|
695
|
|
| Loans |
|
|
|
|
|
| Loans |
|
2,490
|
|
1,779
|
|
| Assets: Designated at fair value through profit or loss | Fair Value Level 3 | Fair Value Level 3 |
|
|
|
|
|
| Debt securities and other debt obligations |
|
|
|
|
|
| Debt securities and other debt obligations |
|
0
|
|
0
|
|
| Equity securities |
|
|
|
|
|
| Equity securities |
|
0
|
|
0
|
|
| Loans |
|
|
|
|
|
| Loans |
|
0
|
|
0
|
|
| Financial assets at fair value through other comprehensive income | Fair Value Level 3 | Fair Value Level 3 |
|
|
|
|
|
| Debt securities and other debt obligations |
|
|
|
|
|
| Debt securities and other debt obligations |
|
399
|
|
154
|
|
| Loans |
|
|
|
|
|
| Loans |
|
1,890
|
|
3,107
|
|
| Assets | Fair Value Level 3 | Fair Value Level 3 |
|
|
|
|
|
| Debt securities and other debt obligations |
|
|
|
|
|
| Debt securities and other debt obligations |
|
5,320
|
|
4,379
|
|
| Equity securities |
|
|
|
|
|
| Equity securities |
|
816
|
|
809
|
|
| Loans |
|
|
|
|
|
| Loans |
|
11,293
|
|
10,817
|
|
| Loan commitments |
|
|
|
0
|
|
| Other financial instruments |
|
1,172
|
[1] |
2,208
|
[2] |
| Total non-derivative financial instruments held at fair value |
|
18,734
|
|
18,336
|
|
| Market values from derivative financial instruments: |
|
|
|
|
|
| Interest rate derivatives |
|
3,798
|
|
|
|
| Credit derivatives |
|
556
|
|
|
|
| Equity derivatives |
|
481
|
|
|
|
| FX derivatives |
|
1,523
|
|
|
|
| Other derivatives |
|
673
|
|
|
|
| Total market values from derivative
financial instruments |
|
7,030
|
|
7,945
|
|
| Liabilities | Fair Value Level 3 | Fair Value Level 3 |
|
|
|
|
|
| Debt securities and other debt obligations |
|
|
|
|
|
| Debt securities and other debt obligations |
|
5,503
|
|
4,537
|
|
| Equity securities |
|
|
|
|
|
| Equity securities |
|
4
|
|
0
|
|
| Loans |
|
|
|
|
|
| Loans |
|
2
|
|
93
|
|
| Loan commitments |
|
2
|
|
6
|
|
| Other financial instruments |
|
61
|
[3] |
51
|
[4] |
| Total non-derivative financial instruments held at fair value |
|
5,572
|
|
4,688
|
|
| Market values from derivative financial instruments: |
|
|
|
|
|
| Interest rate derivatives |
|
2,950
|
|
|
|
| Credit derivatives |
|
603
|
|
|
|
| Equity derivatives |
|
572
|
|
|
|
| FX derivatives |
|
1,561
|
|
|
|
| Other derivatives |
[5] |
289
|
|
|
|
| Total market values from derivative
financial instruments |
|
€ 5,974
|
|
€ 8,694
|
|
| Bottom of range | Market comparable companies | Price, in percent |
|
|
|
|
|
| Mortgage and other asset backed
securities held for trading:
|
|
|
|
|
|
| Commercial Mortgage Backed Securities, significant unobservable input, percent |
[6] |
0.00%
|
|
|
|
| Mortgage and other asset-backed securities, significant unobservable input, percent |
[6] |
0.00%
|
|
|
|
| Debt securities and other debt obligations |
|
|
|
|
|
| Debt securities and other debt obligations, significant unobservable input, percent |
[6] |
0.00%
|
|
|
|
| Equity securities |
|
|
|
|
|
| Equity securities, significant unobservable input, percent |
[6] |
0.00%
|
|
|
|
| Loans |
|
|
|
|
|
| Loans, significant unobservable input, percent |
[6] |
0.00%
|
|
|
|
| Bottom of range | Discounted cash flow | Credit spread, in bps |
|
|
|
|
|
| Mortgage and other asset backed
securities held for trading:
|
|
|
|
|
|
| Commercial Mortgage Backed Securities, significant unobservable input, absolute |
[6] |
0.0194
|
|
|
|
| Mortgage and other asset-backed securities, significant unobservable input, absolute |
|
0.0098
|
[6] |
0.0106
|
[7] |
| Debt securities and other debt obligations |
|
|
|
|
|
| Debt securities and other debt obligations, significant unobservable input, absolute |
[6] |
0.0005
|
|
|
|
| Loans |
|
|
|
|
|
| Loans, significant unobservable input, absolute |
[6] |
0.0094
|
|
|
|
| Loan commitments, significant unobservable input, absolute |
[6] |
0.0153
|
|
|
|
| Bottom of range | Discounted cash flow | Recovery Rate, in percent |
|
|
|
|
|
| Mortgage and other asset backed
securities held for trading:
|
|
|
|
|
|
| Mortgage and other asset-backed securities, significant unobservable input, percent |
[6] |
7.00%
|
|
|
|
| Loans |
|
|
|
|
|
| Loans, significant unobservable input, percent |
[6] |
40.00%
|
|
|
|
| Loan commitments, significant unobservable input, percent |
[6] |
70.00%
|
|
|
|
| Bottom of range | Discounted cash flow | Constant Default Rate, in percent |
|
|
|
|
|
| Mortgage and other asset backed
securities held for trading:
|
|
|
|
|
|
| Mortgage and other asset-backed securities, significant unobservable input, percent |
[6] |
0.00%
|
|
|
|
| Bottom of range | Discounted cash flow | Constant prepayment rate, in percent |
|
|
|
|
|
| Mortgage and other asset backed
securities held for trading:
|
|
|
|
|
|
| Mortgage and other asset-backed securities, significant unobservable input, percent |
[6] |
1.00%
|
|
|
|
| Bottom of range | Discounted cash flow | Weighted average cost of capital, in percent |
|
|
|
|
|
| Equity securities |
|
|
|
|
|
| Equity securities, significant unobservable input, percent |
[6] |
9.00%
|
|
|
|
| Bottom of range | Discounted cash flow | IRR, in percent |
|
|
|
|
|
| Loans |
|
|
|
|
|
| Other financial instruments, significant unobservable input, percent |
[6] |
7.00%
|
|
|
|
| Bottom of range | Discounted cash flow | Repo Rate, in bps |
|
|
|
|
|
| Loans |
|
|
|
|
|
| Other financial instruments, significant unobservable input, absolute |
[6] |
0.0008
|
|
|
|
| Bottom of range | Market approach | Price per net asset value, in percent |
|
|
|
|
|
| Equity securities |
|
|
|
|
|
| Equity securities, significant unobservable input, percent |
[6] |
0.00%
|
|
|
|
| Bottom of range | Market approach | Enterprise value EBITDA, multiple |
|
|
|
|
|
| Equity securities |
|
|
|
|
|
| Equity securities, significant unobservable input, absolute |
[6] |
1
|
|
|
|
| Bottom of range | Market approach | Enterprise value Revenue, multiple |
|
|
|
|
|
| Equity securities |
|
|
|
|
|
| Equity securities, significant unobservable input, absolute |
|
4
|
[6] |
1
|
[7] |
| Bottom of range | Valuation technique(s) : Loan pricing model | Utilization, in percent |
|
|
|
|
|
| Loans |
|
|
|
|
|
| Loan commitments, significant unobservable input, percent |
[6] |
0.00%
|
|
|
|
| Top of range | Market comparable companies | Price, in percent |
|
|
|
|
|
| Mortgage and other asset backed
securities held for trading:
|
|
|
|
|
|
| Commercial Mortgage Backed Securities, significant unobservable input, percent |
[6] |
101.00%
|
|
|
|
| Mortgage and other asset-backed securities, significant unobservable input, percent |
[6] |
105.00%
|
|
|
|
| Debt securities and other debt obligations |
|
|
|
|
|
| Debt securities and other debt obligations, significant unobservable input, percent |
[6] |
300.00%
|
|
|
|
| Equity securities |
|
|
|
|
|
| Equity securities, significant unobservable input, percent |
[6] |
2500.00%
|
|
|
|
| Loans |
|
|
|
|
|
| Loans, significant unobservable input, percent |
[6] |
300.00%
|
|
|
|
| Top of range | Discounted cash flow | Credit spread, in bps |
|
|
|
|
|
| Mortgage and other asset backed
securities held for trading:
|
|
|
|
|
|
| Commercial Mortgage Backed Securities, significant unobservable input, absolute |
[6] |
0.1019
|
|
|
|
| Mortgage and other asset-backed securities, significant unobservable input, absolute |
|
0.1166
|
[6] |
0.1027
|
[7] |
| Debt securities and other debt obligations |
|
|
|
|
|
| Debt securities and other debt obligations, significant unobservable input, absolute |
[6] |
0.0696
|
|
|
|
| Loans |
|
|
|
|
|
| Loans, significant unobservable input, absolute |
[6] |
0.3106
|
|
|
|
| Loan commitments, significant unobservable input, absolute |
[6] |
0.0978
|
|
|
|
| Top of range | Discounted cash flow | Recovery Rate, in percent |
|
|
|
|
|
| Mortgage and other asset backed
securities held for trading:
|
|
|
|
|
|
| Mortgage and other asset-backed securities, significant unobservable input, percent |
[6] |
85.00%
|
|
|
|
| Loans |
|
|
|
|
|
| Loans, significant unobservable input, percent |
[6] |
75.00%
|
|
|
|
| Loan commitments, significant unobservable input, percent |
[6] |
84.00%
|
|
|
|
| Top of range | Discounted cash flow | Constant Default Rate, in percent |
|
|
|
|
|
| Mortgage and other asset backed
securities held for trading:
|
|
|
|
|
|
| Mortgage and other asset-backed securities, significant unobservable input, percent |
[6] |
4.00%
|
|
|
|
| Top of range | Discounted cash flow | Constant prepayment rate, in percent |
|
|
|
|
|
| Mortgage and other asset backed
securities held for trading:
|
|
|
|
|
|
| Mortgage and other asset-backed securities, significant unobservable input, percent |
[6] |
37.00%
|
|
|
|
| Top of range | Discounted cash flow | Weighted average cost of capital, in percent |
|
|
|
|
|
| Equity securities |
|
|
|
|
|
| Equity securities, significant unobservable input, percent |
[6] |
20.00%
|
|
|
|
| Top of range | Discounted cash flow | IRR, in percent |
|
|
|
|
|
| Loans |
|
|
|
|
|
| Other financial instruments, significant unobservable input, percent |
[6] |
13.00%
|
|
|
|
| Top of range | Discounted cash flow | Repo Rate, in bps |
|
|
|
|
|
| Loans |
|
|
|
|
|
| Other financial instruments, significant unobservable input, absolute |
[6] |
0.0285
|
|
|
|
| Top of range | Market approach | Price per net asset value, in percent |
|
|
|
|
|
| Equity securities |
|
|
|
|
|
| Equity securities, significant unobservable input, percent |
[6] |
100.00%
|
|
|
|
| Top of range | Market approach | Enterprise value EBITDA, multiple |
|
|
|
|
|
| Equity securities |
|
|
|
|
|
| Equity securities, significant unobservable input, absolute |
[6] |
14
|
|
|
|
| Top of range | Market approach | Enterprise value Revenue, multiple |
|
|
|
|
|
| Equity securities |
|
|
|
|
|
| Equity securities, significant unobservable input, absolute |
|
14
|
[6] |
15
|
[7] |
| Top of range | Valuation technique(s) : Loan pricing model | Utilization, in percent |
|
|
|
|
|
| Loans |
|
|
|
|
|
| Loan commitments, significant unobservable input, percent |
[6] |
100.00%
|
|
|
|
| Financial Instruments classified in Level 3, Valuation Techniques, Significant unobservable input, Range Top | Market comparable companies | Price, in percent |
|
|
|
|
|
| Mortgage and other asset backed
securities held for trading:
|
|
|
|
|
|
| Commercial Mortgage Backed Securities, significant unobservable input, percent |
[7] |
|
|
102.00%
|
|
| Mortgage and other asset-backed securities, significant unobservable input, percent |
[7] |
|
|
107.00%
|
|
| Debt securities and other debt obligations |
|
|
|
|
|
| Debt securities and other debt obligations, significant unobservable input, percent |
[7] |
|
|
300.00%
|
|
| Equity securities |
|
|
|
|
|
| Equity securities, significant unobservable input, percent |
[7] |
|
|
100.00%
|
|
| Loans |
|
|
|
|
|
| Loans, significant unobservable input, percent |
[7] |
|
|
123.00%
|
|
| Financial Instruments classified in Level 3, Valuation Techniques, Significant unobservable input, Range Top | Discounted cash flow | Credit spread, in bps |
|
|
|
|
|
| Mortgage and other asset backed
securities held for trading:
|
|
|
|
|
|
| Commercial Mortgage Backed Securities, significant unobservable input, absolute |
[7] |
|
|
0.1486
|
|
| Debt securities and other debt obligations |
|
|
|
|
|
| Debt securities and other debt obligations, significant unobservable input, absolute |
[7] |
|
|
0.0651
|
|
| Loans |
|
|
|
|
|
| Loans, significant unobservable input, absolute |
[7] |
|
|
0.1621
|
|
| Loan commitments, significant unobservable input, absolute |
[7] |
|
|
0.0954
|
|
| Market values from derivative financial instruments: |
|
|
|
|
|
| Credit derivatives, significant unobservable input, absolute |
|
0.1277
|
[6] |
0.1148
|
[7] |
| Other derivatives, significant unobservable input, absolute |
|
0.0568
|
[6] |
0.0626
|
[7] |
| Financial Instruments classified in Level 3, Valuation Techniques, Significant unobservable input, Range Top | Discounted cash flow | Recovery Rate, in percent |
|
|
|
|
|
| Mortgage and other asset backed
securities held for trading:
|
|
|
|
|
|
| Mortgage and other asset-backed securities, significant unobservable input, percent |
[7] |
|
|
85.00%
|
|
| Loans |
|
|
|
|
|
| Loans, significant unobservable input, percent |
[7] |
|
|
84.00%
|
|
| Loan commitments, significant unobservable input, percent |
[7] |
|
|
84.00%
|
|
| Market values from derivative financial instruments: |
|
|
|
|
|
| Credit derivatives, significant unobservable input, percent |
|
94.00%
|
[6] |
40.00%
|
[7] |
| Financial Instruments classified in Level 3, Valuation Techniques, Significant unobservable input, Range Top | Discounted cash flow | Constant Default Rate, in percent |
|
|
|
|
|
| Mortgage and other asset backed
securities held for trading:
|
|
|
|
|
|
| Mortgage and other asset-backed securities, significant unobservable input, percent |
[7] |
|
|
4.00%
|
|
| Market values from derivative financial instruments: |
|
|
|
|
|
| Interest rates derivatives, significant unobservable input, percent |
|
11.00%
|
[6] |
12.00%
|
[7] |
| Financial Instruments classified in Level 3, Valuation Techniques, Significant unobservable input, Range Top | Discounted cash flow | Constant prepayment rate, in percent |
|
|
|
|
|
| Mortgage and other asset backed
securities held for trading:
|
|
|
|
|
|
| Mortgage and other asset-backed securities, significant unobservable input, percent |
[7] |
|
|
18.00%
|
|
| Market values from derivative financial instruments: |
|
|
|
|
|
| Interest rates derivatives, significant unobservable input, percent |
|
16.00%
|
[6] |
16.00%
|
[7] |
| Financial Instruments classified in Level 3, Valuation Techniques, Significant unobservable input, Range Top | Discounted cash flow | Weighted average cost of capital, in percent |
|
|
|
|
|
| Equity securities |
|
|
|
|
|
| Equity securities, significant unobservable input, percent |
[7] |
|
|
20.00%
|
|
| Financial Instruments classified in Level 3, Valuation Techniques, Significant unobservable input, Range Top | Discounted cash flow | IRR, in percent |
|
|
|
|
|
| Loans |
|
|
|
|
|
| Other financial instruments, significant unobservable input, percent |
[7] |
|
|
13.00%
|
|
| Financial Instruments classified in Level 3, Valuation Techniques, Significant unobservable input, Range Top | Discounted cash flow | Repo Rate, in bps |
|
|
|
|
|
| Loans |
|
|
|
|
|
| Other financial instruments, significant unobservable input, absolute |
[7] |
|
|
0.0285
|
|
| Financial Instruments classified in Level 3, Valuation Techniques, Significant unobservable input, Range Top | Discounted cash flow | Swap Rate, in bps |
|
|
|
|
|
| Market values from derivative financial instruments: |
|
|
|
|
|
| Interest rates derivatives, significant unobservable input, absolute |
|
0.3818
|
[6] |
0.3975
|
[7] |
| FX derivatives, significant unobservable input, absolute |
|
0.0100
|
[6] |
0.0100
|
[7] |
| Financial Instruments classified in Level 3, Valuation Techniques, Significant unobservable input, Range Top | Discounted cash flow | Inflation Swap Rate, in percent |
|
|
|
|
|
| Market values from derivative financial instruments: |
|
|
|
|
|
| Interest rates derivatives, significant unobservable input, percent |
|
8.00%
|
[6] |
5.00%
|
[7] |
| Financial Instruments classified in Level 3, Valuation Techniques, Significant unobservable input, Range Top | Market approach | Price per net asset value, in percent |
|
|
|
|
|
| Equity securities |
|
|
|
|
|
| Equity securities, significant unobservable input, percent |
[7] |
|
|
100.00%
|
|
| Financial Instruments classified in Level 3, Valuation Techniques, Significant unobservable input, Range Top | Market approach | Enterprise value EBITDA, multiple |
|
|
|
|
|
| Equity securities |
|
|
|
|
|
| Equity securities, significant unobservable input, absolute |
[7] |
|
|
14
|
|
| Financial Instruments classified in Level 3, Valuation Techniques, Significant unobservable input, Range Top | Valuation technique(s) : Loan pricing model | Utilization, in percent |
|
|
|
|
|
| Loans |
|
|
|
|
|
| Loan commitments, significant unobservable input, percent |
[7] |
|
|
100.00%
|
|
| Financial Instruments classified in Level 3, Valuation Techniques, Significant unobservable input, Range Top | Option pricing model | Price, in percent |
|
|
|
|
|
| Market values from derivative financial instruments: |
|
|
|
|
|
| Other derivatives, significant unobservable input, percent |
|
677.00%
|
[6] |
75.00%
|
[7] |
| Financial Instruments classified in Level 3, Valuation Techniques, Significant unobservable input, Range Top | Option pricing model | Inflation Volatility, in percent |
|
|
|
|
|
| Market values from derivative financial instruments: |
|
|
|
|
|
| Interest rates derivatives, significant unobservable input, percent |
|
8.00%
|
[6] |
6.00%
|
[7] |
| Financial Instruments classified in Level 3, Valuation Techniques, Significant unobservable input, Range Top | Option pricing model | Interest Rate Volatility, in percent |
|
|
|
|
|
| Market values from derivative financial instruments: |
|
|
|
|
|
| Interest rates derivatives, significant unobservable input, percent |
|
2.00%
|
[6] |
3.00%
|
[7] |
| Financial Instruments classified in Level 3, Valuation Techniques, Significant unobservable input, Range Top | Option pricing model | IR correlation, in percent |
|
|
|
|
|
| Market values from derivative financial instruments: |
|
|
|
|
|
| Interest rates derivatives, significant unobservable input, percent |
|
95.00%
|
[6] |
99.00%
|
[7] |
| Financial Instruments classified in Level 3, Valuation Techniques, Significant unobservable input, Range Top | Option pricing model | Hybrid correlation, in percent |
|
|
|
|
|
| Market values from derivative financial instruments: |
|
|
|
|
|
| Interest rates derivatives, significant unobservable input, percent |
|
95.00%
|
[6] |
55.00%
|
[7] |
| Financial Instruments classified in Level 3, Valuation Techniques, Significant unobservable input, Range Top | Option pricing model | Credit Volatility, in percent |
|
|
|
|
|
| Market values from derivative financial instruments: |
|
|
|
|
|
| Credit derivatives, significant unobservable input, percent |
[6] |
90.00%
|
|
|
|
| Financial Instruments classified in Level 3, Valuation Techniques, Significant unobservable input, Range Top | Option pricing model | Historical volatility for shares, in percent |
|
|
|
|
|
| Market values from derivative financial instruments: |
|
|
|
|
|
| Equity derivatives, significant unobservable input, percent |
|
101.00%
|
[6] |
86.00%
|
[7] |
| Financial Instruments classified in Level 3, Valuation Techniques, Significant unobservable input, Range Top | Option pricing model | Index Volatility, in percent |
|
|
|
|
|
| Market values from derivative financial instruments: |
|
|
|
|
|
| Equity derivatives, significant unobservable input, percent |
|
17.00%
|
[6] |
27.00%
|
[7] |
| Other derivatives, significant unobservable input, percent |
|
116.00%
|
[6] |
160.00%
|
[7] |
| Financial Instruments classified in Level 3, Valuation Techniques, Significant unobservable input, Range Top | Option pricing model | Index Correlation, in percent |
|
|
|
|
|
| Market values from derivative financial instruments: |
|
|
|
|
|
| Equity derivatives, significant unobservable input, percent |
|
|
[6] |
0.00%
|
[7] |
| Financial Instruments classified in Level 3, Valuation Techniques, Significant unobservable input, Range Top | Option pricing model | Stock Correlation, in percent |
|
|
|
|
|
| Market values from derivative financial instruments: |
|
|
|
|
|
| Equity derivatives, significant unobservable input, percent |
|
|
[6] |
0.00%
|
[7] |
| Financial Instruments classified in Level 3, Valuation Techniques, Significant unobservable input, Range Top | Option pricing model | Stock Forwards, in percent |
|
|
|
|
|
| Market values from derivative financial instruments: |
|
|
|
|
|
| Equity derivatives, significant unobservable input, percent |
|
5.00%
|
[6] |
1.00%
|
[7] |
| Financial Instruments classified in Level 3, Valuation Techniques, Significant unobservable input, Range Top | Option pricing model | Index Forwards, in percent |
|
|
|
|
|
| Market values from derivative financial instruments: |
|
|
|
|
|
| Equity derivatives, significant unobservable input, percent |
|
6.00%
|
[6] |
1.00%
|
[7] |
| Financial Instruments classified in Level 3, Valuation Techniques, Significant unobservable input, Range Top | Option pricing model | Volatility, in percent |
|
|
|
|
|
| Market values from derivative financial instruments: |
|
|
|
|
|
| FX derivatives, significant unobservable input, percent |
|
57.00%
|
[6] |
33.00%
|
[7] |
| Financial Instruments classified in Level 3, Valuation Techniques, Significant unobservable input, Range Top | Option pricing model | Quoted volatility, in percent |
|
|
|
|
|
| Market values from derivative financial instruments: |
|
|
|
|
|
| FX derivatives, significant unobservable input, percent |
|
|
[6] |
0.00%
|
[7] |
| Financial Instruments classified in Level 3, Valuation Techniques, Significant unobservable input, Range Top | Option pricing model | Commodity Correlation, in percent |
|
|
|
|
|
| Market values from derivative financial instruments: |
|
|
|
|
|
| Other derivatives, significant unobservable input, percent |
|
98.00%
|
[6] |
87.00%
|
[7] |
| Financial Instruments classified in Level 3, Valuation Techniques, Significant unobservable input, Range Top | Valuation technique(s) : Correlation pricing model | Credit correlation, in percent |
|
|
|
|
|
| Market values from derivative financial instruments: |
|
|
|
|
|
| Credit derivatives, significant unobservable input, percent |
|
|
[6] |
0.00%
|
[7] |
| Financial Instruments classified in Level 3, Valuation Techniques, Significant unobservable input, Range Bottom | Market comparable companies | Price, in percent |
|
|
|
|
|
| Mortgage and other asset backed
securities held for trading:
|
|
|
|
|
|
| Commercial Mortgage Backed Securities, significant unobservable input, percent |
[7] |
|
|
0.00%
|
|
| Mortgage and other asset-backed securities, significant unobservable input, percent |
[7] |
|
|
0.00%
|
|
| Debt securities and other debt obligations |
|
|
|
|
|
| Debt securities and other debt obligations, significant unobservable input, percent |
[7] |
|
|
0.00%
|
|
| Equity securities |
|
|
|
|
|
| Equity securities, significant unobservable input, percent |
[7] |
|
|
0.00%
|
|
| Loans |
|
|
|
|
|
| Loans, significant unobservable input, percent |
[7] |
|
|
0.00%
|
|
| Financial Instruments classified in Level 3, Valuation Techniques, Significant unobservable input, Range Bottom | Discounted cash flow | Credit spread, in bps |
|
|
|
|
|
| Mortgage and other asset backed
securities held for trading:
|
|
|
|
|
|
| Commercial Mortgage Backed Securities, significant unobservable input, absolute |
[7] |
|
|
0.0167
|
|
| Debt securities and other debt obligations |
|
|
|
|
|
| Debt securities and other debt obligations, significant unobservable input, absolute |
[7] |
|
|
0.0009
|
|
| Loans |
|
|
|
|
|
| Loans, significant unobservable input, absolute |
[7] |
|
|
0.0100
|
|
| Loan commitments, significant unobservable input, absolute |
[7] |
|
|
0.0226
|
|
| Market values from derivative financial instruments: |
|
|
|
|
|
| Credit derivatives, significant unobservable input, absolute |
|
0.0012
|
[6] |
0.0015
|
[7] |
| Other derivatives, significant unobservable input, absolute |
|
0.0201
|
[6] |
0.0286
|
[7] |
| Financial Instruments classified in Level 3, Valuation Techniques, Significant unobservable input, Range Bottom | Discounted cash flow | Recovery Rate, in percent |
|
|
|
|
|
| Mortgage and other asset backed
securities held for trading:
|
|
|
|
|
|
| Mortgage and other asset-backed securities, significant unobservable input, percent |
[7] |
|
|
60.00%
|
|
| Loans |
|
|
|
|
|
| Loans, significant unobservable input, percent |
[7] |
|
|
40.00%
|
|
| Loan commitments, significant unobservable input, percent |
[7] |
|
|
40.00%
|
|
| Market values from derivative financial instruments: |
|
|
|
|
|
| Credit derivatives, significant unobservable input, percent |
|
15.00%
|
[6] |
0.00%
|
[7] |
| Financial Instruments classified in Level 3, Valuation Techniques, Significant unobservable input, Range Bottom | Discounted cash flow | Constant Default Rate, in percent |
|
|
|
|
|
| Mortgage and other asset backed
securities held for trading:
|
|
|
|
|
|
| Mortgage and other asset-backed securities, significant unobservable input, percent |
[7] |
|
|
0.00%
|
|
| Market values from derivative financial instruments: |
|
|
|
|
|
| Interest rates derivatives, significant unobservable input, percent |
|
1.00%
|
[6] |
0.00%
|
[7] |
| Financial Instruments classified in Level 3, Valuation Techniques, Significant unobservable input, Range Bottom | Discounted cash flow | Constant prepayment rate, in percent |
|
|
|
|
|
| Mortgage and other asset backed
securities held for trading:
|
|
|
|
|
|
| Mortgage and other asset-backed securities, significant unobservable input, percent |
[7] |
|
|
4.00%
|
|
| Market values from derivative financial instruments: |
|
|
|
|
|
| Interest rates derivatives, significant unobservable input, percent |
|
2.00%
|
[6] |
4.00%
|
[7] |
| Financial Instruments classified in Level 3, Valuation Techniques, Significant unobservable input, Range Bottom | Discounted cash flow | Weighted average cost of capital, in percent |
|
|
|
|
|
| Equity securities |
|
|
|
|
|
| Equity securities, significant unobservable input, percent |
[7] |
|
|
9.00%
|
|
| Financial Instruments classified in Level 3, Valuation Techniques, Significant unobservable input, Range Bottom | Discounted cash flow | IRR, in percent |
|
|
|
|
|
| Loans |
|
|
|
|
|
| Other financial instruments, significant unobservable input, percent |
[7] |
|
|
7.00%
|
|
| Financial Instruments classified in Level 3, Valuation Techniques, Significant unobservable input, Range Bottom | Discounted cash flow | Repo Rate, in bps |
|
|
|
|
|
| Loans |
|
|
|
|
|
| Other financial instruments, significant unobservable input, absolute |
[7] |
|
|
0.0030
|
|
| Financial Instruments classified in Level 3, Valuation Techniques, Significant unobservable input, Range Bottom | Discounted cash flow | Swap Rate, in bps |
|
|
|
|
|
| Market values from derivative financial instruments: |
|
|
|
|
|
| Interest rates derivatives, significant unobservable input, absolute |
|
(0.0720)
|
[6] |
(0.4176)
|
[7] |
| FX derivatives, significant unobservable input, absolute |
|
(0.0002)
|
[6] |
(0.0003)
|
[7] |
| Financial Instruments classified in Level 3, Valuation Techniques, Significant unobservable input, Range Bottom | Discounted cash flow | Inflation Swap Rate, in percent |
|
|
|
|
|
| Market values from derivative financial instruments: |
|
|
|
|
|
| Interest rates derivatives, significant unobservable input, percent |
|
0.00%
|
[6] |
0.00%
|
[7] |
| Financial Instruments classified in Level 3, Valuation Techniques, Significant unobservable input, Range Bottom | Market approach | Price per net asset value, in percent |
|
|
|
|
|
| Equity securities |
|
|
|
|
|
| Equity securities, significant unobservable input, percent |
[7] |
|
|
0.00%
|
|
| Financial Instruments classified in Level 3, Valuation Techniques, Significant unobservable input, Range Bottom | Market approach | Enterprise value EBITDA, multiple |
|
|
|
|
|
| Equity securities |
|
|
|
|
|
| Equity securities, significant unobservable input, absolute |
[7] |
|
|
5
|
|
| Financial Instruments classified in Level 3, Valuation Techniques, Significant unobservable input, Range Bottom | Valuation technique(s) : Loan pricing model | Utilization, in percent |
|
|
|
|
|
| Loans |
|
|
|
|
|
| Loan commitments, significant unobservable input, percent |
[7] |
|
|
0.00%
|
|
| Financial Instruments classified in Level 3, Valuation Techniques, Significant unobservable input, Range Bottom | Option pricing model | Price, in percent |
|
|
|
|
|
| Market values from derivative financial instruments: |
|
|
|
|
|
| Other derivatives, significant unobservable input, percent |
|
0.00%
|
[6] |
17.00%
|
[7] |
| Financial Instruments classified in Level 3, Valuation Techniques, Significant unobservable input, Range Bottom | Option pricing model | Inflation Volatility, in percent |
|
|
|
|
|
| Market values from derivative financial instruments: |
|
|
|
|
|
| Interest rates derivatives, significant unobservable input, percent |
|
0.00%
|
[6] |
0.00%
|
[7] |
| Financial Instruments classified in Level 3, Valuation Techniques, Significant unobservable input, Range Bottom | Option pricing model | Interest Rate Volatility, in percent |
|
|
|
|
|
| Market values from derivative financial instruments: |
|
|
|
|
|
| Interest rates derivatives, significant unobservable input, percent |
|
0.00%
|
[6] |
0.00%
|
[7] |
| Financial Instruments classified in Level 3, Valuation Techniques, Significant unobservable input, Range Bottom | Option pricing model | IR correlation, in percent |
|
|
|
|
|
| Market values from derivative financial instruments: |
|
|
|
|
|
| Interest rates derivatives, significant unobservable input, percent |
|
(10.00%)
|
[6] |
(10.00%)
|
[7] |
| Financial Instruments classified in Level 3, Valuation Techniques, Significant unobservable input, Range Bottom | Option pricing model | Hybrid correlation, in percent |
|
|
|
|
|
| Market values from derivative financial instruments: |
|
|
|
|
|
| Interest rates derivatives, significant unobservable input, percent |
|
(56.00%)
|
[6] |
(70.00%)
|
[7] |
| Financial Instruments classified in Level 3, Valuation Techniques, Significant unobservable input, Range Bottom | Option pricing model | Credit Volatility, in percent |
|
|
|
|
|
| Market values from derivative financial instruments: |
|
|
|
|
|
| Credit derivatives, significant unobservable input, percent |
[6] |
5.00%
|
|
|
|
| Financial Instruments classified in Level 3, Valuation Techniques, Significant unobservable input, Range Bottom | Option pricing model | Historical volatility for shares, in percent |
|
|
|
|
|
| Market values from derivative financial instruments: |
|
|
|
|
|
| Equity derivatives, significant unobservable input, percent |
|
1.00%
|
[6] |
2.00%
|
[7] |
| Financial Instruments classified in Level 3, Valuation Techniques, Significant unobservable input, Range Bottom | Option pricing model | Index Volatility, in percent |
|
|
|
|
|
| Market values from derivative financial instruments: |
|
|
|
|
|
| Equity derivatives, significant unobservable input, percent |
|
6.00%
|
[6] |
9.00%
|
[7] |
| Other derivatives, significant unobservable input, percent |
|
0.00%
|
[6] |
0.00%
|
[7] |
| Financial Instruments classified in Level 3, Valuation Techniques, Significant unobservable input, Range Bottom | Option pricing model | Index Correlation, in percent |
|
|
|
|
|
| Market values from derivative financial instruments: |
|
|
|
|
|
| Equity derivatives, significant unobservable input, percent |
|
|
[6] |
0.00%
|
[7] |
| Financial Instruments classified in Level 3, Valuation Techniques, Significant unobservable input, Range Bottom | Option pricing model | Stock Correlation, in percent |
|
|
|
|
|
| Market values from derivative financial instruments: |
|
|
|
|
|
| Equity derivatives, significant unobservable input, percent |
|
|
[6] |
0.00%
|
[7] |
| Financial Instruments classified in Level 3, Valuation Techniques, Significant unobservable input, Range Bottom | Option pricing model | Stock Forwards, in percent |
|
|
|
|
|
| Market values from derivative financial instruments: |
|
|
|
|
|
| Equity derivatives, significant unobservable input, percent |
|
0.00%
|
[6] |
0.00%
|
[7] |
| Financial Instruments classified in Level 3, Valuation Techniques, Significant unobservable input, Range Bottom | Option pricing model | Index Forwards, in percent |
|
|
|
|
|
| Market values from derivative financial instruments: |
|
|
|
|
|
| Equity derivatives, significant unobservable input, percent |
|
0.00%
|
[6] |
0.00%
|
[7] |
| Financial Instruments classified in Level 3, Valuation Techniques, Significant unobservable input, Range Bottom | Option pricing model | Volatility, in percent |
|
|
|
|
|
| Market values from derivative financial instruments: |
|
|
|
|
|
| FX derivatives, significant unobservable input, percent |
|
(9.00%)
|
[6] |
(9.00%)
|
[7] |
| Financial Instruments classified in Level 3, Valuation Techniques, Significant unobservable input, Range Bottom | Option pricing model | Quoted volatility, in percent |
|
|
|
|
|
| Market values from derivative financial instruments: |
|
|
|
|
|
| FX derivatives, significant unobservable input, percent |
|
|
[6] |
0.00%
|
[7] |
| Financial Instruments classified in Level 3, Valuation Techniques, Significant unobservable input, Range Bottom | Option pricing model | Commodity Correlation, in percent |
|
|
|
|
|
| Market values from derivative financial instruments: |
|
|
|
|
|
| Other derivatives, significant unobservable input, percent |
|
(22.00%)
|
[6] |
0.00%
|
[7] |
| Financial Instruments classified in Level 3, Valuation Techniques, Significant unobservable input, Range Bottom | Valuation technique(s) : Correlation pricing model | Credit correlation, in percent |
|
|
|
|
|
| Market values from derivative financial instruments: |
|
|
|
|
|
| Credit derivatives, significant unobservable input, percent |
|
|
[6] |
0.00%
|
[7] |
| Liabilities: Held for Trading | Fair Value Level 3 | Fair Value Level 3 |
|
|
|
|
|
| Mortgage and other asset backed
securities held for trading:
|
|
|
|
|
|
| Commercial mortgage-backed securities |
|
€ 0
|
|
€ 0
|
|
| Mortgage and other asset-backed securities |
|
0
|
|
0
|
|
| Total mortgage- and other asset-backed
securities
|
|
0
|
|
0
|
|
| Debt securities and other debt obligations |
|
|
|
|
|
| Debt securities and other debt obligations |
|
19
|
|
26
|
|
| Equity securities |
|
|
|
|
|
| Equity securities |
|
4
|
|
0
|
|
| Loans |
|
|
|
|
|
| Loans |
|
2
|
|
93
|
|
| Market values from derivative financial instruments: |
|
|
|
|
|
| Interest rate derivatives |
|
|
|
5,207
|
|
| Credit derivatives |
|
|
|
562
|
|
| Equity derivatives |
|
|
|
1,201
|
|
| FX derivatives |
|
|
|
1,470
|
|
| Other derivatives |
[8] |
|
|
254
|
|
| Liabilities: Designated at fair value through profit or loss | Fair Value Level 3 | Fair Value Level 3 |
|
|
|
|
|
| Debt securities and other debt obligations |
|
|
|
|
|
| Debt securities and other debt obligations |
|
5,484
|
|
4,512
|
|
| Loans |
|
|
|
|
|
| Loans |
|
|
|
€ 0
|
|
|
|