SEC Form 20-F - Deutsche Bank Annual Report 2012

Deutsche Bank Notes to the Consolidated Balance Sheet F-96
Annual Report 2010 on Form 20-F 14 – Financial Instruments carried at Fair Value
consolidated vehicles, which may not be quoted in an active market. The fair value of these financial liabilities
is determined by discounting the contractual cash flows using the relevant credit-adjusted yield curve. The
market risk parameters are valued consistently to similar instruments held as assets, for example, any
derivatives embedded within the structured notes are valued using the same methodology discussed in the
“OTC derivative financial instruments” section above.
Where the financial liabilities designated at fair value through profit or loss under the fair value option are
collateralized, such as securities loaned and securities sold under repurchase agreements, the credit
enhancement is factored into the fair valuation of the liability.
Investment Contract Liabilities: Assets which are linked to the investment contract liabilities are owned by the
Group. The investment contract obliges the Group to use these assets to settle these liabilities. Therefore, the
fair value of investment contract liabilities is determined by the fair value of the underlying assets
(i.e., amount payable on surrender of the policies).
Analysis of Financial Instruments with Fair Value Derived from Valuation Techniques Containing
Significant Unobservable Parameters (Level 3)
The table below presents the financial instruments categorized in the third level followed by an analysis and
discussion of the financial instruments so categorized. Some of the instruments in the third level 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 as gross assets and liabilities in the table below.
in € m. Dec 31, 2010 Dec 31, 2009
Financial assets held at fair value:
Trading securities:
Sovereign and quasi-sovereign obligations 576 335
Mortgage and other asset-backed securities 6,302 7,068
Corporate debt securities and other debt obligations 7,406 7,444
Equity securities 577 762
Total trading securities 14,861 15,609
Positive market values from derivative financial instruments 17,843 25,211
Other trading assets 6,067 10,782
Financial assets designated at fair value through profit or loss:
Loans 2,740 2,905
Other financial assets designated at fair value through profit or loss 546 505
Total financial assets designated at fair value through profit or loss 3,286 3,410
Financial assets available for sale 5,222 3,167
Other financial assets at fair value (623) 41
Total financial assets held at fair value 46,656 58,220
Financial liabilities held at fair value:
Trading securities 251 431
Negative market values from derivative financial instruments 10,916 15,591
Other trading liabilities 5 283
Financial liabilities designated at fair value through profit or loss:
Loan commitments 572 447
Long-term debt 1,481 1,723
Other financial liabilities designated at fair value through profit or loss 17 451
Total financial liabilities designated at fair value through profit or loss 2,070 2,621
Other financial liabilities at fair value (239) (757)
Total financial liabilities held at fair value 13,003 18,169