COMMERZBANK AKTIENGESELLSCHAFT

Group Financial Statements
338
282 Commerzbank Annual Report 2011
31.12.2011 Nominal amount
€m
Foreign-currency-based forward
transactions
due on
demand
up to
3 months
3 months to
1 year
Residual terms
1 year to
5 years
more than
5 years
Fair value
Total positive negative
OTC products 5 367,938 192,056 169,590 104,667 834,256 17,891 20,805
Foreign exchange spot and
forward contracts – 304,435 102,508 26,620 683 434,246 7,621 8,250
Interest rate and
currency swaps – 21,507 49,745 125,972 96,200 293,424 7,881 10,306
Currency call options – 19,580 17,747 7,881 3,814 49,022 2,065 –
Currency put options – 22,002 20,255 8,263 3,370 53,890 – 2,078
Other foreign exchange
contracts 5 414 1,801 854 600 3,674 324 171
Exchange-traded products – 547 63 3 – 613 – –
Currency futures – 544 63 1 – 608 – –
Currency options – 3 – 2 – 5 – –
Total 5 368,485 192,119 169,593 104,667 834,869 17,891 20,805
Interest-based forward
transactions
OTC products 7 656,015 2,013,079 2,805,060 2,406,901 7,881,062 296,597 302,788
Forward rate agreements – 84,028 1,017,256 4,886 – 1,106,170 314 318
Interest rate swaps – 565,961 946,942 2,671,066 2,225,766 6,409,735 283,700 289,933
Call options on interest rate
futures – 2,587 25,838 63,043 77,493 168,961 9,824 –
Put options on interest rate
futures – 2,818 19,028 58,601 95,768 176,215 – 10,442
Other interest rate contracts 7 621 4,015 7,464 7,874 19,981 2,759 2,095
Exchange-traded products – 1,406 33,716 2,452 3,902 41,476 – –
Interest rate futures – 1,314 25,602 2,438 3,888 33,242 – –
Interest rate options – 92 8,114 14 14 8,234 – –
Total 7 657,421 2,046,795 2,807,512 2,410,803 7,922,538 296,597 302,788
Other forward transactions
OTC products 698 24,887 44,681 161,952 21,124 253,342 7,812 8,518
Structured equity/
index products 693 12,766 8,976 15,165 1,432 39,032 2,059 1,604
Equity call options – 4,032 6,450 6,029 98 16,609 1,244 –
Equity put options – 3,850 7,882 9,913 1,348 22,993 – 2,109
Credit derivatives – 3,077 19,585 129,066 18,194 169,922 4,145 4,390
Precious metal contracts 3 788 1,001 413 – 2,205 92 121
Other transactions 2 374 787 1,366 52 2,581 272 294
Exchange-traded products – 27,241 30,358 19,179 232 77,010 – –
Equity futures – 6,740 638 3 – 7,381 – –
Equity options – 14,754 20,539 14,740 232 50,265 – –
Other futures – 1,500 1,730 1,060 – 4,290 – –
Other options – 4,247 7,451 3,376 – 15,074 – –
Total 698 52,128 75,039 181,131 21,356 330,352 7,812 8,518
Total pending forward transactions
OTC products 710 1,048,840 2,249,816 3,136,602 2,532,692 8,968,660 322,300 332,111
Exchange-traded products – 29,194 64,137 21,634 4,134 119,099 – –
Total 710 1,078,034 2,313,953 3,158,236 2,536,826 9,087,759 322,300 332,111
Net position in the balance sheet 128,739 137,358