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Fair value of assets and liabilities (Tables) | 12 Months Ended
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Dec. 31, 2023
Fair value of assets and liabilities [abstract] |
Summary of valuation adjustment |
Valuation adjustment reserves on financial assets and liabilities
in EUR million | 2023 | 2022
Deferred Day One Profit or Loss | -90 | -108
Own credit adjustments | 34 | 75
Bid/Offer | -154 | -216
Model Risk | -26 | -13
CVA | -131 | -192
DVA 2 | 55 | 99
CollVA | -4 | -8
FVA | -68 | -78
Total Valuation Adjustments | -385 | -441
Methods applied in determining fair values of financial assets and liabilities | Financial instruments at fair value The fair values of the financial instruments were determined as follows:
Methods applied in determining fair values of financial assets and liabilities (carried at fair value)
| Level 1 | Level 2 | Level 3 | Total
in EUR million | 2023 | 2022 | 2023 | 2022 | 2023 | 2022 | 2023 | 2022
Financial Assets |  |  |  |  |  |  |  |
Financial assets at fair value through profit or loss |  |  |  |  |  |  |  |
- Equity securities | 15,438 | 11,783 | 3 | 2 | 150 | 156 | 15,590 | 11,941
- Debt securities | 4,825 | 1,636 | 4,081 | 5,361 | 3,364 | 3,450 | 12,270 | 10,447
- Derivatives | 39 | 22 | 27,134 | 34,229 | 535 | 483 | 27,708 | 34,734
- Loans and receivables | 0 | 0 | 63,316 | 54,097 | 4,131 | 2,547 | 67,446 | 56,644
| 20,302 | 13,441 | 94,533 | 93,690 | 8,179 | 6,635 | 123,015 | 113,766
Financial assets at fair value through other comprehensive income |  |  |  |  |  |  |  |
- Equity securities | 1,622 | 1,639 | 0 | 0 | 263 | 247 | 1,885 | 1,887
- Debt securities | 35,848 | 25,644 | 2,433 | 3,451 | 0 | 0 | 38,281 | 29,095
- Loans and receivables | 0 | 0 | 275 | 0 | 676 | 643 | 951 | 643
| 37,470 | 27,284 | 2,707 | 3,451 | 938 | 891 | 41,116 | 31,625
Financial liabilities |  |  |  |  |  |  |  |
Financial liabilities at fair value through profit or loss |  |  |  |  |  |  |  |
– Debt securities | 1,088 | 822 | 7,635 | 5,743 | 47 | 53 | 8,770 | 6,619
– Deposits | 0 | 0 | 57,063 | 50,257 | 13 | 0 | 57,076 | 50,257
– Trading securities | 3,604 | 1,952 | 41 | 273 | 0 | 1 | 3,645 | 2,226
– Derivatives | 41 | 40 | 24,437 | 33,200 | 670 | 678 | 25,148 | 33,917
| 4,733 | 2,814 | 89,175 | 89,473 | 729 | 732 | 94,638 | 93,019
Valuation techniques and range of unobservable inputs |
Valuation techniques and range of unobservable inputs (Level 3)
| Assets | Liabilities | Valuation techniques | Significant unobservable inputs | Lower range | Upper range
In EUR million | 2023 | 2022 | 2023 | 2022 |  |  | 2023 | 2022 | 2023 | 2022
At fair value through profit or loss |  |  |  |  |  |  |  |  |  |
Debt securities | 3,364 | 3,447 | 0 | 1 | Price based | Price (%) | 0% | 0% | 122% | 125%
|  |  |  |  |  | Price (price per share) | 97 | 208 | 236 | 208
|  |  |  |  | Present value techniques | Credit spread (bps) | 94 | 60 | 94 | 100
|  |  |  |  |  | Price (%) | n.a. | 97% | n.a. | 100%
Equity securities | 150 | 156 |  |  | Price based | Price (price per share) | 0 | 0 | 5,457 | 5,457
Loans and advances | 2,298 | 1,485 | 13 |  | Price based | Price (%) | 0% | 0% | 117% | 100%
|  |  |  |  | Present value techniques | Credit spread (bps) | 1 | 2 | 12 | 12
(Reverse) repo's | 1,832 | 1,062 |  |  | Present value techniques | Interest rate (%) | n.a. | 3% | n.a. | 5%
Structured notes |  | 3 | 47 | 53 | Price based | Price (%) | 88% | 84% | 96% | 107%
|  |  |  |  | Option pricing model | Equity volatility (%) | 9% | 13% | 23% | 42%
|  |  |  |  |  | Equity/Equity correlation | 0.8 | 0.5 | 0.9 | 1.0
|  |  |  |  |  | Equity/FX correlation | -0.2 | -0.4 | 0.6 | 0.6
|  |  |  |  |  | Dividend yield (%) | 0% | 0% | 4% | 8%
|  |  |  |  | Present value techniques | Credit spreads (bps) | 100 | 96 | 101 | 96
Derivatives |  |  |  |  |  |  |  |  |  |
– Rates | 283 | 431 | 301 | 476 | Option pricing model | Interest rate volatility (bps) | 1 | 49 | 3 | 148
|  |  |  |  | Present value techniques | Reset spread (%) | n.a. | 0% | n.a. | 1%
|  |  |  |  |  | Interest rate (%) | n.a. | 2% | n.a. | 2%
|  |  |  |  |  | Prepayment rate (%) | 0% | 5% | 0% | 13%
– FX | 2 | 5 | 3 | 4 | Option pricing model | Implied volatility (%) | 3% | 6% | 18% | 20%
– Credit | 216 | 13 | 343 | 175 | Present value techniques | Credit spread (bps) | 3 | 5 | 149 | 623
|  |  |  |  | Price based | Price (%) | 0% | 0% | 100% | 100%
– Equity | 20 | 33 | 17 | 22 | Option pricing model | Equity volatility (%) | 12% | 0% | 75% | 77%
|  |  |  |  |  | Equity/Equity correlation | 0.2 | 0.5 | 1.0 | 0.9
|  |  |  |  |  | Equity/FX correlation | -0.5 | -0.5 | 1.0 | 0.1
|  |  |  |  |  | Dividend yield (%) | 0% | 1% | 14% | 14%
|  |  |  |  | Price based | Price (%) | 0% | n.a | 21% | n.a
– Other | 14 | 1 | 7 |  | Option pricing model | Commodity volatility (%) | 11% | 0% | 94% | 63%
At fair value through other comprehensive income |  |  |  |  |  |  |  |  |  |
– Loans and advances | 676 | 643 |  |  | Present value techniques | Prepayment rate (%) | n.a. | 6% | n.a. | 6%
|  |  |  |  | Price based | Price (%) | 85% | 67% | 96% | 99%
– Equity | 263 | 247 |  |  | Present value techniques | Credit spread (bps) | 5.2 | 6.7 | 5.2 | 6.7
|  |  |  |  |  | Interest rate (%) | 4% | 4% | 4% | 4%
|  |  |  |  | Price based | Price (%) | 122% | n.a | 122% | n.a
|  |  |  |  | Price based | Other (EUR) | n.a | 70 | n.a | 90
Total | 9,118 | 7,526 | 729 | 732 |  |  |  |  |  |
Changes in level 3 financial assets |
Changes in Level 3 Financial assets
| Trading assets | Non-trading derivatives | Financial assets mandatorily at FVPL | Financial assets designated at FVPL | Financial assets at FVOCI | Total
In EUR million | 2023 | 2022 | 2023 | 2022 | 2023 | 2022 | 2023 | 2022 | 2023 | 2022 | 2023 | 2022
Opening balance as at 1 January | 873 | 822 | 421 | 1 | 1,849 | 1,862 | 3,492 | 2,480 | 891 | 1,063 | 7,526 | 6,228
Realised gain/loss recognised in the statement of profit or loss during the period 1 | 235 | 53 | -142 | 52 | -33 | -57 | -383 | 122 |  | 8 | -322 | 178
Revaluation recognised in other comprehensive income during the period 2 |  |  |  |  |  |  |  |  | -6 | -84 | -6 | -84
Purchase of assets | 1,246 | 694 | 76 | 15 | 2,208 | 1,586 | 873 | 772 | 331 | 221 | 4,735 | 3,288
Sale of assets | -889 | -49 | -55 | -4 | -1,109 | -669 | -138 | -191 | -243 | -275 | -2,433 | -1,187
Maturity/settlement | -1,005 | -511 | -15 | -2 | -576 | -617 | -292 |  | -22 | -59 | -1,910 | -1,188
Reclassifications |  |  |  |  | 723 | -18 |  |  | 5 | 10 | 728 | -8
Transfers into Level 3 | 879 | 288 |  | 474 | 981 | 605 | 1 | 322 |  | -43 | 1,860 | 1,646
Transfers out of Level 3 | -459 | -442 |  | -115 | -534 | -856 |  |  |  |  | -994 | -1,414
Exchange rate differences | -31 | 18 |  |  | -9 | 14 | -9 | -12 | -10 | 49 | -59 | 68
Changes in the composition of the group and other changes |  |  |  |  |  |  | 2 |  | -8 |  | -6 |
Closing balance | 848 | 873 | 286 | 421 | 3,499 | 1,849 | 3,547 | 3,492 | 938 | 891 | 9,118 | 7,526
1 Net gains/losses were recorded as ‘Valuation results and net trading income’ in the statement of profit or loss. The total amounts includes EUR 316 million (2022: EUR -171 million) of unrealised gains and losses recognised in the statement of profit or loss. 2 Revaluation recognised in other comprehensive income is included on the line ‘Net change in fair value of debt instruments at fair value through other comprehensive income’.
Changes in level 3 financial liabilities |
Changes in Level 3 Financial liabilities
| Trading liabilities | Non-trading derivatives | Financial liabilities designated as at fair value through profit or loss | Total
in EUR million | 2023 | 2022 | 2023 | 2022 | 2023 | 2022 | 2023 | 2022
Opening balance as at 1 January | 229 | 160 | 449 | 35 | 54 | 135 | 732 | 330
Realised gain/loss recognised in the statement of profit or loss during the period 1 | 224 | 131 | -151 | 59 | -2 | -10 | 72 | 179
Additions | 53 | 124 | 72 | 16 | 18 | 13 | 142 | 153
Redemptions | -102 | -38 | -53 | 0 | -2 | -13 | -156 | -51
Maturity/settlement | -13 | -282 | -16 | -7 | -1 | -71 | -30 | -360
Transfers into Level 3 | 40 | 254 | 0 | 368 | 32 | 88 | 72 | 710
Transfers out of Level 3 | -49 | -117 | 0 | -21 | -54 | -88 | -102 | -226
Exchange rate differences | 0 | -3 | 0 | 0 | 0 | 0 | 0 | -3
Closing balance | 382 | 229 | 301 | 449 | 47 | 54 | 729 | 732
1 Net gains/losses were recorded as ‘Valuation results and net trading income’ in the statement of profit or loss. The total amount includes EUR 72 million (2022: EUR 179 million) of unrealised gains and losses recognised in the statement of profit or loss.
Sensitivity analysis of level 3 instruments | The valuation uncertainty in the table below is broken down by related risk class rather than by product. The possible impact of a change of unobservable inputs in the fair value of financial instruments where unobservable inputs are significant to the valuation is as follows:
Sensitivity analysis of Level 3 instruments
| Positive fair value movements from using reasonable possible alternatives | Negative fair value movements from using reasonable possible alternatives
in EUR million | 2023 | 2022 | 2023 | 2022
Equity (equity derivatives, structured notes) | 18 | 12 | -9 | -6
Interest rates (Rates derivatives, FX derivatives) | 3 | 22 | 0 | -14
Credit (Debt securities, Loans, structured notes, credit derivatives) | 45 | 32 | -54 | -28
Loans and advances | 3 |  | -17 | -32
| 69 | 65 | -80 | -80
Fair value of assets and liabilities at amortised cost | i) Financial instruments not measured at fair value The following table presents the estimated fair values of the financial instruments not measured at fair value in the statement of financial position.
Methods applied in determining fair values of financial assets and liabilities (carried at amortised cost)
| Carrying Amount | Carrying amount presented as fair value 1 | Level 1 | Level 2 | Level 3 | Total fair value
in EUR million | 2023 | 2022 | 2023 | 2022 | 2023 | 2022 | 2023 | 2022 | 2023 | 2022 | 2023 | 2022
Financial Assets |  |  |  |  |  |  |  |  |  |  |  |
Loans and advances to banks | 16,709 | 35,104 | 2,722 | 2,859 |  |  | 11,430 | 29,459 | 2,511 | 2,786 | 16,662 | 35,104
Loans and advances to customers | 647,313 | 644,893 | 15,681 | 19,095 |  |  | 14,602 | 15,264 | 593,098 | 575,805 | 623,381 | 610,164
Securities at amortised cost | 48,313 | 48,160 |  |  | 40,041 | 39,787 | 4,277 | 3,160 | 1,693 | 1,406 | 46,010 | 44,353
| 712,335 | 728,157 | 18,403 | 21,954 | 40,041 | 39,788 | 30,308 | 47,883 | 597,302 | 579,996 | 686,053 | 689,621
Financial liabilities |  |  |  |  |  |  |  |  |  |  |  |
Deposits from banks | 23,257 | 56,632 | 3,764 | 3,696 |  |  | 15,066 | 48,524 | 3,968 | 3,954 | 22,799 | 56,174
Customer deposits | 650,276 | 640,799 | 556,060 | 589,851 |  |  | 52,486 | 35,123 | 41,063 | 15,331 | 649,609 | 640,306
Debt securities in issue | 124,670 | 95,918 |  |  | 62,197 | 43,352 | 42,606 | 35,642 | 20,450 | 17,796 | 125,253 | 96,790
Subordinated loans | 15,401 | 15,786 |  |  | 15,050 | 7,843 | 311 | 7,705 |  |  | 15,361 | 15,548
| 813,603 | 809,135 | 559,824 | 593,547 | 77,248 | 51,194 | 110,469 | 126,995 | 65,482 | 37,082 | 813,022 | 808,818
1 In accordance with IFRS and for the purpose of this disclosure, the carrying amount of financial instruments with an immediate on demand feature is presented as fair value

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