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Fair value of assets and liabilities (Tables)

6 Months Ended

Jun. 30, 2024

Fair value of assets and liabilities [abstract]

Summary of valuation adjustment

Valuation adjustment reserves on financial assets and liabilities
in EUR million			30 June 2024			31 December 2023
Deferred Day One Profit or Loss			-105			-90
Own credit adjustments			18			34
Bid/Offer			-135			-154
Model Risk			-27			-26
CVA			-116			-131
DVA			54			55
CollVA			-3			-4
FVA			-52			-68
Total Valuation Adjustments			-366			-385

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			30 June 2024			31 December 2023			30 June 2024			31 December 2023			30 June 2024			31 December 2023			30 June 2024			31 December 2023
Financial Assets
Financial assets at fair value through profit or loss
- Equity securities			23,125			15,438			4			3			127			150			23,256			15,590
- Debt securities			5,913			4,825			6,427			4,081			2,524			3,364			14,864			12,270
- Derivatives			6			39			26,257			27,134			408			535			26,671			27,708
- Loans and receivables			0			0			79,506			63,316			5,281			4,131			84,787			67,446
			29,044			20,302			112,194			94,533			8,341			8,179			149,579			123,015
Financial assets at fair value through other comprehensive income
- Equity securities			2,110			1,622			0			0			254			263			2,364			1,885
- Debt securities			40,891			35,848			1,746			2,433			10			0			42,647			38,281
- Loans and receivables			0			0			855			275			476			676			1,331			951
			43,001			37,470			2,602			2,707			740			938			46,343			41,116
Financial liabilities
Financial liabilities at fair value through profit or loss
–  Debt securities			1,380			1,088			7,965			7,635			14			47			9,359			8,770
–  Deposits			0			0			66,976			57,063			1			13			66,978			57,076
–  Trading securities			2,629			3,604			18			41			0			0			2,648			3,645
–  Derivatives			49			41			23,067			24,437			548			670			23,664			25,148
			4,058			4,733			98,026			89,175			564			729			102,649			94,638

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			30 June 2024			31 December 2023			30 June 2024			31 December 2023									30 June 2024			31 December 2023			30 June 2024			31 December 2023
At fair value through profit or loss
Debt securities			2,524			3,364						0			Price based			Price (%)			0		%	0		%	122		%	122		%
																		Price per share			n.a			97			n.a			236
															Present value techniques			Credit spread (bps)			100			94			100			94
Equity securities			127			150									Price based			Price (price per share)			0			0			5,475			5,457
Loans and advances			1,838			2,298						13			Price based			Price (%)			0		%	0		%	106		%	117		%
															Present value techniques			Credit spread (bps)			n.a			1			n.a.			12
																		Prepayment rate (%)			2		%	n.a			2		%	n.a
																		Interest rate (%)			5		%	n.a			5		%	n.a
															Loan pricing model			Price (%)			99		%	n.a			99		%	n.a
(Reverse) repo's			3,441			1,832									Present value techniques			Interest rate (%)			n.a			n.a			n.a			n.a
Structured notes			2						14			47			Price based			Price (%)			92		%	88		%	104		%	96		%
															Option pricing model			Equity volatility (%)			n.a			9		%	n.a			23		%
																		Equity/Equity correlation			n.a			0.8			n.a			0.9
																		Equity/FX correlation			n.a			-0.2			n.a			0.6
																		Dividend yield (%)			n.a			0		%	n.a			4		%
															Present value techniques			Credit spreads (bps)			100			100			100			101
Derivatives
–  Rates			292			283			300			301			Option pricing model			Interest rate volatility (bps)			n.a.			1			n.a			3
															Present value techniques			Reset spread (%)			2		%	n.a.			2		%	n.a.
																		Prepayment rate (%)			0		%	0		%	0		%	0		%
–  FX			4			2			3			3			Option pricing model			Implied volatility (%)			4		%	3		%	9		%	18		%
–  Credit			87			216			220			343			Present value techniques			Credit spread (bps)			0			3			179			149
															Price based			Price (%)			0		%	0		%	100		%	100		%
–  Equity			12			20			22			17			Option pricing model			Equity volatility (%)			13		%	12		%	76		%	75		%
																		Equity/Equity correlation			0.0			0.2			1.0			1.0
																		Equity/FX correlation			-0.1			-0.5			0.6			1.0
																		Dividend yield (%)			0		%	0		%	20		%	14		%
															Price based			Price (%)			0		%	0		%	21		%	21		%
–  Other			13			14			4			7			Option pricing model			Commodity volatility (%)			13		%	11		%	74		%	94		%
															Present value techniques			Price (%)			68		%	n.a.			68		%	n.a.
At fair value through other comprehensive income
–  Loans and advances			476			676									Present value techniques			Prepayment rate (%)			5		%	n.a.			5		%	n.a.
															Price based			Price (%)			93		%	85		%	100		%	96		%
–  Equity			254			263									Present value techniques			Credit spread (bps)			5.8			5.2			5.8			5.2
																		Interest rate (%)			4		%	4		%	4		%	4		%
																		Payout ratio			70		%	n.a.			90		%	n.a.
															Price based			Price (%)			122		%	122		%	122		%	122		%
–  Debt securities			10
Total			9,081			9,118			564			729

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																																							30 June 2024			31 December 2023			30 June 2024			31 December 2023			30 June 2024			31 December 2023			30 June 2024			31 December 2023			30 June 2024			31 December 2023			30 June 2024			31 December 2023
Opening balance as at 1 January			848			873			286			421			3,499			1,849			3,547			3,492			938			891			9,118			7,526
Realised gain/loss recognised in the statement of profit or loss during the period 1			-188			235			13			-142			248			-33			5			-383			0			0			77			-322
Revaluation recognised in other comprehensive income during the period 2			0			0			0			0			0			0			0			0			-12			-6			-12			-6
Purchase of assets			110			1,246			113			76			2,108			2,208			163			873			118			331			2,612			4,735
Sale of assets			-34			-889			-91			-55			-385			-1,109			-1			-138			-56			-243			-567			-2,433
Maturity/settlement			-11			-1,005			-7			-15			-327			-576			-553			-292			-13			-22			-910			-1,910
Reclassifications			0			0			-20			0			0			723			0			0			0			5			-20			728
Transfers into Level 3			21			879			0			0			395			981			0			1			0			0			416			1,860
Transfers out of Level 3			-566			-459			0			0			-824			-534			0			0			-245			0			-1,635			-994
Exchange rate differences			0			-31			0			0			2			-9			-12			-9			10			-10			-1			-59
Changes in the composition of the group and other changes			0			0			0			0			2			0			1			2			0			-8			2			-6
Closing balance			180			848			293			286			4,718			3,499			3,149			3,547			740			938			9,081			9,118

1Net gains/losses were recorded as ‘Valuation results and net trading income’ in the statement of profit or loss. The total amounts includes EUR -92 million (2023: EUR 316 million) of unrealised gains and losses recognised in the statement of profit or loss.

2Revaluation 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																											30 June 2024			31 December 2023			30 June 2024			31 December 2023			30 June 2024			31 December 2023			30 June 2024			31 December 2023
Opening balance as at 1 January			382			229			301			449			47			54			729			732
Realised gain/loss recognised in the statement of profit or loss during the period1			-129			224			-57			-151			0			-2			-185			72
Additions			28			53			110			72			0			18			138			142
Redemptions			-4			-102			-52			-53			0			-2			-56			-156
Maturity/settlement			-10			-13			-7			-16			-4			-1			-21			-30
Transfers into Level 3			6			40			0			0			2			32			8			72
Transfers out of Level 3			-19			-49			0			0			-30			-54			-49			-102
Exchange rate differences			0			0			0			0			0			0			0			0
Closing balance			253			382			296			301			16			47			564			729

1Net gains/losses were recorded as ‘Valuation results and net trading income’ in the statement of profit or loss. The total amount includes EUR -185 million (31 December 2023: EUR 72 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			30 June 2024			31 December 2023			30 June 2024			31 December 2023
Equity (equity derivatives, structured notes)			20			18			-14			-9
Interest rates (Rates derivatives, FX derivatives)			6			3			-1			0
Credit (Debt securities, Loans, structured notes, credit derivatives)			23			45			-8			-54
Loans and advances			2			3			-3			-17
			50			69			-27			-80

Fair value of assets and liabilities at amortised cost

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 value1						Level 1						Level 2						Level 3						Total fair value
in EUR million			30 June 2024			31 December 2023			30 June 2024			31 December 2023			30 June 2024			31 December 2023			30 June 2024			31 December 2023			30 June 2024			31 December 2023			30 June 2024			31 December 2023
Financial Assets
Loans and advances to banks			27,443			16,709			3,664			2,722									19,981			11,430			3,862			2,511			27,507			16,662
Loans and advances to customers			662,687			647,313			19,876			15,681									14,228			14,602			603,378			593,098			637,482			623,381
Securities at amortised cost			49,537			48,313									42,202			40,041			2,994			4,277			1,954			1,693			47,151			46,010
			739,666			712,335			23,540			18,403			42,202			40,041			37,204			30,308			609,194			597,302			712,140			686,053
Financial liabilities
Deposits from banks			20,496			23,257			4,242			3,764									12,078			15,066			3,837			3,968			20,157			22,799
Customer deposits			692,577			650,276			575,775			556,060									70,600			52,486			45,623			41,063			691,998			649,609
Debt securities in issue			141,175			124,670									74,190			62,197			36,811			42,606			31,214			20,450			142,215			125,253
Subordinated loans			15,933			15,401									15,948			15,050			241			311									16,189			15,361
			870,181			813,603			580,017			559,824			90,138			77,248			119,729			110,469			80,674			65,482			870,558			813,022

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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