COMMERZBANK AKTIENGESELLSCHAFT

Group Financial Statements
340
284 Commerzbank Annual Report 2011
Breakdown of derivatives business by borrower group:
The table below shows the positive and negative fair values of
the Commerzbank Group’s derivative business broken down by
counterparty. The Commerzbank Group conducts derivative
business primarily with counterparties with excellent credit
ratings. A large portion of the fair values is concentrated in
banks and financial institutions based in OECD countries.
Fair value Fair value
positive negative positive negative
€m 31.12.2011 31.12.2010
OECD central governments 2,957 2,723 1,442 1,515
OECD banks 117,508 132,843 113,015 125,386
OECD financial institutions 190,712 190,841 210,674 213,304
Other entities, private individuals 10,020 3,375 9,437 4,642
Non-OECD banks 1,103 2,329 1,224 1,705
Total 322,300 332,111 335,792 346,552
The outstanding volume of the Commerzbank Group’s
transactions as a protection buyer or seller amounted to
€87,796m (previous year: €89,106m) and €82,126m (previous
year: €79,257m) respectively as of the balance sheet date. We
employ these products, which serve to transfer credit risk, in
both trading for arbitrage purposes and in the investment area
for diversifying our loan portfolios. The following table
illustrates our risk structure in terms of the various risk assets
that have been hedged.
Nominal values Nominal values
Buyer of protection Seller of protection Buyer of protection Seller of protection
€m 31.12.2011 31.12.2010
OECD central governments 7,731 6,277 8,126 7,122
OECD banks 8,094 8,108 6,851 7,224
OECD financial institutions 7,883 9,174 7,301 6,002
Other entities, private individuals 62,823 57,638 65,756 58,051
Non-OECD banks 1,265 929 1,072 858
Total 87,796 82,126 89,106 79,257
Details of derivatives in cash flow hedge accounting:
The nominal values of derivatives used for cash flow hedging until this was ended in 2009 (see Note 73) totalled €233bn as at
December 31, 2011 (previous year: €335bn). The table below shows the periods in which these are likely to expire:
€m 31.12.2011 31.12.2010
Up to 3 months 17 17
More than 3 months up to 1 year 31 85
More than 1 year up to 5 years 160 176
More than 5 years 25 57
Underlying hedged transactions existed in each maturity band with at least the same nominal value.