entire - Deutsche Bank Annual Report 2012

Deutsche Bank 02 – Consolidated Financial Statements 248
Financial Report 2010 Notes to the Consolidated Balance Sheet
14 – Financial Instruments carried at Fair Value
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
Trading Securities: Certain illiquid emerging market corporate bonds and illiquid highly structured corporate
bonds are included in this level of the hierarchy. In addition, some of the holdings of notes issued by securitization
entities, commercial and residential mortgage-backed securities, collateralized debt obligation securities and
other asset-backed securities are reported here.
Positive and Negative Market Values from Derivative Instruments: Derivatives categorized in this level of the
fair value hierarchy are valued based on one or more significant unobservable parameters. The unobservable
parameters may include certain correlations, certain longer-term volatilities, certain prepayment rates, credit
spreads and other transaction-specific parameters.
The following derivatives are included within this level of the hierarchy: customized CDO derivatives in which
the underlying reference pool of corporate assets is not closely comparable to regularly market-traded indices;
certain tranched index credit derivatives; certain options where the volatility is unobservable; certain basket
options in which the correlations between the referenced underlying assets are unobservable; longer-term
interest rate option derivatives; multi-currency foreign exchange derivatives; and certain credit default swaps
for which the credit spread is not observable.