Company: ADZCF
Filing Date: 2025-03-13
Form Type: 20-F
Source: 0001159508-25-000020
Chunk: 496

Company: DEUTSCHE BANK AKTIENGESELLSCHAFT
Filing Date: 2025-03-13
Form: 20-F
Chunk 496
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,850 |     | Option pricing model     |     | Volatility                                 |     |  (6) % |     |   39% |
|                                                          |     |              |     |             |     |                          |     | Quoted Vol                                 |     |     0% |     |    0% |
|                                                          |     |              |     |             |     | Discounted cash flow     |     | Swap rate (bps)                            |     |     -7 |     |    50 |
| Other derivatives                                        |     |          601 |     |        1301 |     | Discounted cash flow     |     | Credit spread (bps)                        |     |    234 |     |   610 |
|                                                          |     |              |     |             |     | Option pricing model     |     | Index volatility                           |     |     0% |     |  129% |
|                                                          |     |              |     |             |     |                          |     | Price                                      |     |    73% |     |   77% |
|                                                          |     |              |     |             |     |                          |     | Commodity correlation                      |     |     0% |     |   85% |
| Total market values from derivativefinancial instruments |     |        8,203 |     |       7,581 |     |                          |     |                                            |     |        |     |       |

1 Includes derivatives which are embedded in contracts where the host contract is held at amortized cost but for which the embedded derivative is separated

| 253 |

| Deutsche Bank      |
| Annual Report 2024 |

Unrealized gains or losses on Level 3 instruments held or in issue at the reporting date

The unrealized gains or losses on Level 3 instruments are not solely due to unobservable parameters. Many of the parameter inputs to the valuation of instruments in this level of the hierarchy are observable and the gain or loss is partly due to movements in these observable parameters over the period. Many of the positions in this level of the hierarchy are economically hedged by instruments which are categorized in other levels of the fair value hierarchy. The offsetting gains and losses that have been recorded on all such hedges are not included in the table below, which only shows the gains and losses related to the Level 3 classified instruments themselves held at the reporting date in accordance with IFRS 13. The unrealized gains and losses on Level