SEC Form 20-F - Deutsche Bank Annual Report 2012

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Deutsche Bank Notes to the Consolidated Balance Sheet F-100 Annual Report 2010 on Form 20-F 14 – Financial Instruments carried at Fair Value This disclosure is intended to illustrate the potential impact of the relative uncertainty in the fair value of financial instruments for which valuation is dependent on unobservable input parameters. However, it is unlikely in practice that all unobservable parameters would be simultaneously at the extremes of their ranges of reasonably possible alternatives. Hence, the estimates disclosed above are likely to be greater than the true uncertainty in fair value at the balance sheet date. Furthermore, the disclosure is not predictive or indicative of future movements in fair value. For many of the financial instruments considered here, in particular derivatives, unobservable input parameters represent only a subset of the parameters required to price the financial instrument, the remainder being observable. Hence for these instruments the overall impact of moving the unobservable input parameters to the extremes of their ranges might be relatively small compared with the total fair value of the financial instrument. For other instruments, fair value is determined based on the price of the entire instrument, for example, by adjusting the fair value of a reasonable proxy instrument. In addition, all financial instruments are already carried at fair values which are inclusive of valuation adjustments for the cost to close out that instrument and hence already factor in uncertainty as it reflects itself in market pricing. Any negative impact of uncertainty calculated within this disclosure, then, will be over and above that already included in the fair value contained in the financial statements. The table below provides a breakdown of the sensitivity analysis by type of instrument. Where the exposure to an unobservable parameter is offset across different instruments then only the net impact is disclosed in the table. in € m. Positive fair value movement from using reasonable possible alternatives Dec 31, 2010 Dec 31, 2009 Negative fair value movement from using reasonable possible alternatives Positive fair value movement from using reasonable possible alternatives Negative fair value movement from using reasonable possible alternatives Derivatives: Credit 2,065 2,724 2,585 2,689 Equity 185 103 213 106 Interest Related 143 157 103 117 Hybrid 321 121 342 168 Other 117 69 264 314 Securities: Debt securities 303 282 311 277 Equity securities 91 60 36 28 Mortgage and asset backed 77 59 206 50 Loans: Leveraged loans 3 3 5 5 Commercial loans 51 9 88 88 Traded loans 278 287 136 83 Total 3,634 3,874 4,289 3,925
Deutsche Bank Notes to the Consolidated Balance Sheet F-101 Annual Report 2010 on Form 20-F 14 – Financial Instruments carried at Fair Value Total gains or losses on level 3 instruments held or in issue at the reporting date The total gains or losses are not due solely 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, in accordance with IFRS 7. An analysis of the total gains and losses recorded in profit or loss. Total gains or losses recorded in net gains (losses) on financial instruments at fair value through profit or loss in € m. Financial assets held at fair value: Dec 31, 2010 Dec 31, 2009 Trading securities 943 (433) Positive market values from derivative financial instruments 2,755 (10,325) Other trading assets 150 (404) Financial assets designated at fair value through profit or loss (61) 554 Financial assets available for sale 1 (30) (200) Other financial assets at fair value (31) (8) Total financial assets held at fair value Financial liabilities held at fair value: 3,726 (10,816) Trading securities (109) (15) Negative market values from derivative financial instruments (75) 2,226 Other trading liabilities (4) (35) Financial liabilities designated at fair value through profit or loss (194) 1,121 Other financial liabilities at fair value 29 (197) Total financial liabilities held at fair value (353) 3,100 Total 3,373 (7,716) 1 This amount relates to impairment losses on level 3 financial assets available for sale. Recognition of Trade Date Profit In accordance with the Group’s accounting policy as described in Note 01 “Significant Accounting Policies”, if there are significant unobservable inputs used in a valuation technique, the financial instrument is recognized at the transaction price and any trade date profit is deferred. The table below presents the year-to-year movement of the trade date profits deferred due to significant unobservable parameters for financial instruments classified at fair value through profit or loss. The balance is predominantly related to derivative instruments.
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2011 April 28, 2011 Interim Report
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SEC Form 20-F - Deutsche Bank Annual Report 2012

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