entire - Deutsche Bank Annual Report 2012

Deutsche Bank 02 – Consolidated Financial Statements 251
Financial Report 2010 Notes to the Consolidated Balance Sheet
14 – Financial Instruments carried at Fair Value
Dec 31, 2009 Balance,
in € m.
Financial assets held at fair value:
beginning
of year
Total
gains/losses 1
Purchases Sales Issuances 5 Settlements 6
Transfers
into
Level 3
Transfers
out of
Level 3
Balance,
end of year
Trading securities
Positive market values from derivative
17,268 (2,304) 2,883 (5,084) – (1,570) 8,410 (3,994) 15,609
financial instruments 48,792 (15,563) 7
– – – (6,397) 7,510 (9,131) 25,211
Other trading assets
Financial assets designated at fair
13,560 1,832 1,919 (3,057) 246 (3,184) 2,309 (2,843) 10,782
value through profit or loss 5,805 1,507 222 (60) 952 (5,267) 695 (444) 3,410
Financial assets available for sale 1,450 (221) 2
136 (143) – (97) 2,135 (93) 3,167
Other financial assets at fair value 788 70 9 – – – – (826) 41
Total financial assets held at fair value 87,663 (14,679) 3,4
Financial liabilities held at fair value:
5,169 (8,344) 1,198 (16,515) 21,059 (17,331) 58,220
Trading securities
Negative market values from derivative
666 26 – – – 113 186 (560) 431
financial instruments 28,738 (4,374) 7
– – – (5,546) 5,034 (8,261) 15,591
Other trading liabilities
Financial liabilities designated at fair
174 68 – – – 205 – (164) 283
value through profit or loss: 6,030 (1,753) – – 208 (269) 1,443 (3,038) 2,621
Other financial liabilities at fair value (1,249) 649 – – – 93 (253) 3 (757)
Total financial liabilities held at fair value 34,359 (5,384) 3,4
– – 208 (5,404) 6,410 (12,020) 18,169
1 Total gains and losses predominantly relate to net gains (losses) on financial assets/liabilities at fair value through profit or loss reported in the consolidated statement of income.
The balance also includes net gains (losses) on financial assets available for sale reported in the consolidated statement of income and unrealized net gains (losses) on financial assets
available for sale and exchange rate changes reported in other comprehensive income, net of tax.
2 Total gains and losses on available for sale include a gain of € 177 million recognized in other comprehensive income, net of tax, and a loss of € 398 million recognized in the income
statement presented in net gains (losses) on financial assets available for sale.
3 This amount includes the effect of exchange rate changes. For total financial assets held at fair value this effect is a positive € 6.6 billion and for total financial liabilities held at fair value this is
a negative € 2.3 billion. This predominately relates to derivatives. The effect of exchange rate changes is reported in other comprehensive income, net of tax.
4 For assets positive balances represent gains, negative balances represent losses. For liabilities positive balances represent losses, negative balances represent gains.
5 Issuances relate to the cash amount received on the issuance of a liability and the cash amount paid on the primary issuance of a loan to a borrower.
6 Settlements represent cash flows to settle the asset or liability. For debt and loan instruments this includes principal on maturity, principal amortizations and principal repayments.
For derivatives all cash flows are presented in settlements.
7 The gains and losses on derivatives arise as a result of changes to input parameters, in particular tightening of credit spreads.
Sensitivity Analysis of Unobservable Parameters
Where the value of financial instruments is dependent on unobservable parameter inputs, the precise level for
these parameters at the balance sheet date might be drawn from a range of reasonably possible alternatives.
In preparing the financial statements, appropriate levels for these unobservable input parameters are chosen
so that they are consistent with prevailing market evidence and in line with the Group’s approach to valuation
control detailed above. Were the Group to have marked the financial instruments concerned using parameter
values drawn from the extremes of the ranges of reasonably possible alternatives then as of December 31,
2010, it could have increased fair value by as much as € 3.6 billion or decreased fair value by as much as
€ 3.9 billion. As of December 31, 2009, it could have increased fair value by as much as € 4.3 billion or
decreased fair value by as much as € 3.9 billion. In estimating these impacts, the Group either re-valued
certain financial instruments using reasonably possible alternative parameter values, or used an approach
based on its valuation adjustment methodology for bid/offer spread valuation adjustments. Bid/offer spread
valuation adjustments reflect the amount that must be paid in order to close out a holding in an instrument or
component risk and as such they reflect factors such as market illiquidity and uncertainty.