Investor Presentaiton
Level 3 assets and liabilities
As of September 30, 2023, in € bn
Assets: € 26bn
Debt
securities 4
Other
Liabilities: € 12bn
Key highlights
Other
0
4
9
Derivative
Assets
Debt Securities
4
Derivative Liabilities
>
Level 3 is an indicator of valuation uncertainty and
not of asset quality
>
The Group classifies financial instruments as
9
Loans
Movements in balances
5
27
8
Movements in balances
(1)
(5)
2
(0)
26
11
Level 3 if an unobservable element impacts the
fair value by 5% or more
> The movements in Level 3 assets reflect that the
portfolios are not static with significant turnover
during the period
Variety of mitigants to valuation uncertainty:
0
12
>
Uncertain inputs often hedged, e.g. in Level 3
liabilities
>
Exchange of collateral with derivative
counterparties
Prudent Valuation capital deductions³ specific
Dec 31,
2022
Purchases/ Sales/
Issuances¹ Settlements
Others²
Sep 30,
2023
Dec 31, Issuances 1 Settlements Others 2
Sep 30,
2022
2023
Notes: for footnotes refer to slides 44 and 45
Deutsche Bank
Investor Relations
Q3 2023 results
October 25, 2023
to Level 3 balances of ~€ 0.7bn
37View entire presentation