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Fair value of assets and liabilities (Tables)
 12 Months Ended
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
1Net 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.
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
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 period1
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
1Net 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 value1
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