SEC Form 20-F - Deutsche Bank Annual Report 2012

Deutsche Bank Notes to the Consolidated Balance Sheet F-87
Annual Report 2010 on Form 20-F 12 – Financial Assets/Liabilities at Fair Value through Profit or Loss
The change in fair value of the loans and loan commitments attributable to movements in the counterparty’s
credit risk is determined as the amount of change in its fair value that is not attributable to changes in market
conditions that give rise to market risk. For collateralized loans, including securities purchased under resale
agreements and securities borrowed, the collateral received acts to mitigate the counterparty credit risk. The
fair value movement due to counterparty credit risk on securities purchased under resale agreements was not
material due to the credit enhancement received.
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, 2010 Dec 31, 2009
Cumulative change in the fair value 76 30
Annual change in the fair value in 2010/2009 43 (264)
The fair value of the debt issued takes into account the credit risk of the Group. Where the instrument is quoted
in an active market, the movement in fair value due to credit risk is calculated as the amount of change in fair
value that is not attributable to changes in market conditions that give rise to market risk. Where the instrument
is not quoted in an active market, the fair value is calculated using a valuation technique that incorporates credit
risk by discounting the contractual cash flows on the debt using a credit-adjusted yield curve which reflects the
level at which the Group could issue similar instruments at the reporting date.
The credit risk on undrawn irrevocable loan commitments is predominantly counterparty credit risk. The change
in fair value due to counterparty credit risk on undrawn irrevocable loan commitments has been disclosed with
the counterparty credit risk on the drawn loans.
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 was € 23.7 billion and € 36.8 billion more than the carrying amount as of
December 31, 2010 and 2009, 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.