entire - Deutsche Bank Annual Report 2012

Deutsche Bank 02 – Consolidated Financial Statements 236
Financial Report 2010 Notes to the Consolidated Balance Sheet
12 – Financial Assets/Liabilities at Fair Value through Profit or Loss
The credit risk on the securities purchased under resale agreements and securities borrowed designated under
the fair value option was € 136.8 billion and € 110.0 billion at December 31, 2010 and December 31, 2009
respectively, this credit risk 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 credit
risk on the loans designated under the fair value option of € 23.3 billion and € 13.0 billion as of December 31,
2010 and 2009, respectively, is mitigated in a number of ways. The majority of the drawn loan balance is mitigated
through the purchase of credit default swaps, the remainder is mitigated by the holding of collateral.
The valuation of collateralized loans takes into account the credit enhancement received. Where the instruments
are over-collateralized there is no material movement in valuation during the year or cumulatively due to
movements in counterparty credit risk, rather the fair value movement of the instruments is due to market risk
movements in the value of the collateral and interest rates.
Of the total drawn and undrawn lending facilities designated at fair value, the Group managed counterparty
credit risk by purchasing credit default swap protection on facilities with a notional value of € 57.3 billion and
€ 50.9 billion as of December 31, 2010, and 2009, respectively. The notional value of credit derivatives used
specifically to mitigate the exposure to credit risk on these drawn loans and undrawn irrevocable loan
commitments designated at fair value was € 38.0 billion and € 34.7 billion as of December 31, 2010, and 2009,
respectively.
The changes in fair value attributable to movements in counterparty credit risk for instruments held at the
reporting date are detailed in the table below.
in € m. Loans
Dec 31, 2010 Dec 31, 2009 1
Loan
commitments Loans
Loan
commitments
Changes in fair value of loans and loan commitments
due to credit risk
Cumulative change in the fair value 3 490 143 66
Annual change in the fair value in 2010/2009 – 394 938 1,703
Changes in fair value of credit derivatives specifically used to
mitigate credit risk
Cumulative change in the fair value (9) (151) (47) (82)
Annual change in the fair value in 2010/2009 (27) (230) (1,250) (1,470)
1 Prior year amounts have been adjusted.