entire - Deutsche Bank Annual Report 2012

Deutsche Bank 02 – Consolidated Financial Statements 308
Financial Report 2010 Additional Notes
35 – Derivatives
Fair Value Hedge Accounting
The Group enters into fair value hedges, using primarily interest rate swaps and options, in order to protect itself
against movements in the fair value of fixed-rate financial instruments due to movements in market interest rates.
The following table presents the value of derivatives held as fair value hedges.
Assets
Liabilities
Assets
Liabilities
in € m.
2010
2010
2009
2009
Derivatives held as fair value hedges 1 8,447 5,823 6,726 3,240
1 Inclusion of Postbank increased the assets in 2010 by € 0.7 billion and liabilities by € 1.5 billion.
For the years ended December 31, 2010 and 2009, a gain of € 0.7 billion and a loss of € 1.6 billion, respectively,
were recognized on the hedging instruments. For the same periods, the results on the hedged items, which were
attributable to the hedged risk, were a loss of € 0.6 billion and a gain of € 1.5 billion, respectively.
Since consolidation Postbank has reflected a gain of € 0.3 billion within hedging instruments and a loss of
€ 0.3 billion attributable to the hedged risk for the year ended December 31, 2010, which are included within
the above results.
Cash Flow Hedge Accounting
The Group enters into cash flow hedges, using equity futures, interest rate swaps and foreign exchange forwards,
in order to protect itself against exposure to variability in equity indices, interest rates and exchange rates.
The following table presents the value of derivatives held as cash flow hedges.
Assets
Liabilities
Assets
Liabilities
in € m.
2010
2010
2009
2009
Derivatives held as cash flow hedges 1 268 2 197
A schedule indicating the periods when hedged cash flows are expected to occur and when they are expected
to affect the income statement is as follows.
in € m. Within 1 year 1–3 years 3–5 years Over five years
As of December 31, 2010
Cash inflows from assets 47 84 56 254
Cash outflows from liabilities (27) (50) (39) (63)
Net cash flows 20 34 17 191
As of December 31, 2009
Cash inflows from assets 42 79 65 106
Cash outflows from liabilities (40) (58) (27) (140)
Net cash flows 2 21 38 (34)