Company: ADZCF
Filing Date: 2025-03-13
Form Type: 20-F
Source: 0001159508-25-000020
Chunk: 485

Company: DEUTSCHE BANK AKTIENGESELLSCHAFT
Filing Date: 2025-03-13
Form: 20-F
Chunk 485
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 separated embedded derivatives are held at fair value on a recurring basis and have been split between the fair value hierarchy classifications

During the year 2024, there were transfers in trading securities and non-trading financial assets from Level 1 to Level 2 amounting to € 14 billion of assets and € 6 billion of liabilities; along with transfers from Level 2 to Level 1 of € 9 billion in assets and € 3 billion in liabilities. The assessment of Level 1 versus Level 2 is based on liquidity testing procedures.

| 243 |

| Deutsche Bank      |
| Annual Report 2024 |

Analysis of financial instruments with fair value derived from valuation techniques containing significant unobservable parameters (Level 3) Some of the financial assets and financial liabilities in Level 3 of the fair value hierarchy have identical or similar offsetting exposures to the unobservable input. However, according to IFRS they are required to be presented gross. Trading securities– Certain illiquid emerging market corporate bonds and illiquid highly structured corporate bonds are included in this level of the hierarchy. In addition, some of the holdings of notes issued by securitization entities, commercial and residential MBS, collateralized debt obligation securities and other ABS are reported here. The decrease in the period is driven by sales, settlements, and net transfers between Level 2 and Level 3 due to changes in the observability of input parameters used to value these instruments, partially offset by purchases and gains. Positive and negative market values from derivative instrumentscategorized in this level of the fair value hierarchy are valued based on one or more significant unobservable parameters. The unobservable parameters may include certain correlations, certain longer-term volatilities, certain prepayment rates, credit spreads and other transaction-specific parameters. Level 3 derivatives include certain options where the volatility is unobservable; certain basket options in which the correlations between the referenced underlying assets are unobservable; longer-term interest rate option derivatives; multi-currency foreign exchange derivatives; and certain credit default swaps for which the credit spread is not observable. The decrease in assets during the period are driven by settlements and net transfers between Level 2 and Level 3 due to changes in the observability of input parameters used to value these instruments, partially offset by gains. The increase in liabilities during the period are driven by losses, net transfers between Level 2 and Level 3 due to changes in the observability of input parameters used to value these instruments, partially offset by settlements. Other trading Instrumentsclassified in Level 3 of the