12 – Financial Assets/Liabilities at Fair Value through Profit or Loss


The following are the components of financial assets and liabilities at fair value through profit or loss.

in € m.

31.12.2011

31.12.2010

1

Includes traded loans of € 18,039 million and € 23,080 million at December 31, 2011 and 2010 respectively.

Trading assets:

 

 

Trading securities

214,087

238,283

Other trading assets1

26,837

33,008

Total trading assets

240,924

271,291

Positive market values from derivative financial instruments

859,582

657,780

Financial assets designated at fair value through profit or loss:

 

 

Securities purchased under resale agreements

117,284

108,912

Securities borrowed

27,261

27,887

Loans

24,220

23,254

Other financial assets designated at fair value through profit or loss

11,528

11,873

Total financial assets designated at fair value through profit or loss

180,293

171,926

Total financial assets at fair value through profit or loss

1,280,799

1,100,997

in € m.

Dec 31, 2011

Dec 31, 2010

1

These are investment contracts where the policy terms and conditions result in their redemption value equaling fair value. See Note 40 “Insurance and Investment Contracts”, for more detail on these contracts.

Trading liabilities:

 

 

Trading securities

60,005

65,183

Other trading liabilities

3,881

3,676

Total trading liabilities

63,886

68,859

Negative market values from derivative financial instruments

838,817

647,195

Financial liabilities designated at fair value through profit or loss:

 

 

Securities sold under repurchase agreements

93,606

107,999

Loan commitments

1,192

572

Long-term debt

13,889

15,280

Other financial liabilities designated at fair value through profit or loss

9,631

6,303

Total financial liabilities designated at fair value through profit or loss

118,318

130,154

Investment contract liabilities1

7,426

7,898

Total financial liabilities at fair value through profit or loss

1,028,447

854,106

Loans and Loan Commitments designated at Fair Value through Profit or Loss

The Group has designated various lending relationships at fair value through profit or loss. Lending facilities consist of drawn loan assets and undrawn irrevocable loan commitments. The maximum exposure to credit risk on a drawn loan is its fair value. The Group’s maximum exposure to credit risk on drawn loans, including securities purchased under resale agreements and securities borrowed, was € 169 billion and € 160 billion as of December 31, 2011, and 2010, respectively. Exposure to credit risk also exists for undrawn irrevocable loan commitments and is predominantly counterparty credit risk.

The credit risk on the securities purchased under resale agreements and securities borrowed designated under the fair value option is mitigated by the holding of collateral. The valuation of these instruments takes into account the credit enhancement in the form of the collateral received. As such there is no material movement during the year or cumulatively due to movements in counterparty credit risk on these instruments.

The changes in fair value attributable to movements in counterparty credit risk for loans and loan commitments held at the reporting date are detailed in the table below. This has been determined using valuation models that exclude the fair value impact associated with market risk.

 

Dec 31, 2011

Dec 31, 2010

in € m.

Loans1

Loan commitments

Loans1

Loan commitments

1

Where the loans are over-collateralized there is no material movement in valuation during the year or cumulatively due to movements in counterparty credit risk.

2

Represents financial liability.

3

Changes are attributable to loans and loan commitments held at reporting date, which may differ from those held in prior periods. No adjustments are made to prior year to reflect differences in the underlying population.

4

Prior year amounts have been amended.

Fair value of loans and loan commitments exposed to credit risk

24,220

1,1922

23,254

5722

Changes in fair value of loans and loan commitments due to credit risk

 

 

 

 

Cumulative change in the fair value3

(84)

(236)

3

3874

Annual change in the fair value in 2011/2010

(88)

(611)

3494

Notional value of loans and loan commitments hedged with credit derivatives

5,477

46,185

6,024

50,667

Notional of credit derivatives used to mitigate credit risk

4,055

37,289

3,799

34,223

Changes in fair value of credit derivatives specifically used to mitigate credit risk

 

 

 

 

Cumulative change in the fair value3

55

425

(9)

(151)

Annual change in the fair value in 2011/2010

62

576

(27)

(230)

Financial Liabilities designated at Fair Value through Profit or Loss

The fair value of a financial liability incorporates the credit risk of that financial liability. The changes in fair value of financial liabilities designated at fair value through profit or loss in issue at the year-end attributable to movements in the Group’s credit risk are detailed in the table below. The changes in the fair value of financial liabilities designated at fair value through profit or loss issued by consolidated SPEs have been excluded as this is not related to the Group’s credit risk but to that of the legally isolated SPE, which is dependent on the collateral it holds.

in € m.

Dec 31, 2011

Dec 31, 2010

Cumulative change in the fair value

197

76

Annual change in the fair value in 2011/2010

141

43

For all financial liabilities designated at fair value through profit or loss the amount that the Group would contractually be required to pay at maturity, or drawdown in the case of a loan commitment, was € 45.6 billion and € 50.7 billion more than the carrying amount as of December 31, 2011 and 2010, respectively. The amount contractually required to pay at maturity assumes the liability is extinguished at the earliest contractual maturity that the Group can be required to repay. When the amount payable is not fixed, the amount the Group would contractually be required to pay is determined by reference to the conditions existing at the reporting date.

The majority of the difference between the fair value of financial liabilities designated at fair value through profit or loss and the contractual cash flows which will occur at maturity is attributable to undrawn loan commitments where the contractual cash flow at maturity assumes full drawdown of the facility. The difference between the fair value and the contractual amount repayable at maturity excluding the amount of undrawn loan commitments designated at fair value through profit or loss was € 0.6 billion and € 0.6 billion as of December 31, 2011, and 2010, respectively.

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Deutsche Bank Annual Report 2011

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