COMMERZBANK AKTIENGESELLSCHAFT

102
Commerzbank AG
The fair value of derivative financial instruments is primarily set
by the performance of the underlying instruments. The
underlying instruments for derivatives are in particular shares,
bonds, foreign currencies, precious metals and commodities,
indices and interest rates. Future expected fluctuations in value
of the underlying transaction and the term of the derivative itself
also have an impact on the fair value.
Where available, the fair value of derivatives shown is based
on prices on active markets, especially stock market prices.
Where no market prices are available on an active market,
fair value is determined by various methods including valuation
models. The valuation models selected and the parameters used
depend on the individual product and are in line with market
standards.
The fair value for forward transactions and swaps is
determined using discounted cash flow methodology taking the
yield curve for the relevant currency.
(35) Employees
Standardised and digital options are generally priced using the
Black-Scholes model. Binomial approaches and Monte Carlo
simulations are used for more complex options. Monte Carlo
simulations are also used for other structured derivatives.
Option premiums received and paid for derivative financial
instruments in the non-trading portfolio are reported under
other assets and other liabilities. A provision for impending
losses for derivative financial instruments in the non-trading
portfolio amounting to €107m was created (previous year:
€342m). Variation margins posted and received for exchangetraded
derivatives amounted to €4,847m (previous year:
€6,028m) and €–4,327m (previous year: €–6,403m) respectively.
They include €78m/€–221m for interest rate transactions;
€3,972m/€–3,569m for equity transactions, €83m/€–1m for
foreign currency transactions and €714m/€–536m for transactions
with other price risks.
On average over the year, Commerzbank Aktiengesellschaft had 40,822 (previous year: 41,614) employees, broken down as follows:
In Germany
Outside of Germany
Total
Total Male Female
FTE Empl. FTE Empl. FTE Empl.
2011 33,952 37,040 18,130 18,446 15,822 18,594
2010 34,932 37,951 18,824 19,038 16,108 18,913
2011 3,678 3,782 2,292 2,356 1,386 1,426
2010 3,597 3,663 2,410 2,454 1,187 1,209
2011 37,630 40,822 20,422 20,802 17,208 20,020
2010 38,529 41,614 21,234 21,492 17,295 20,122
The figures for full-time equivalent (FTE) staff include part-time personnel with their time actually worked. The average time worked
by part-time staff is 60% (previous year: 60%). The part-time staff is included in the number of employees. Trainees are not included.
Trainees Total Male Female
2011 2,147 1,078 1,069
2010 2,205 1,025 1,180