COMMERZBANK AKTIENGESELLSCHAFT

More documents

Recommendations

Info

Group Financial Statements 344 288 Commerzbank Annual Report 2011 (80) Fair value of financial instruments Determination of fair value This note provides more information on the fair values of financial instruments which are not recognised at fair value in the balance sheet, but for which a fair value must be disclosed in accordance with IFRS 7. For the financial instruments reported in the balance sheet at fair value the accounting methodology is set out in the accounting policies (Notes 2 to 30) and in the sections “Measurement of financial instruments” and “Fair value hierarchy” in Note 81. The nominal value of financial instruments that fall due on a daily basis is taken as their fair value. These instruments include the cash reserve as well as overdrafts and demand deposits in the claims on banks and customers or liabilities to banks and customers items. Market prices are not available for loans and deposits as there are no organised markets in which these financial instruments are traded. Fair value is determined for these instruments by using recognised mathematical valuation methods with current market parameters. A discounted cash flow model is used for loans with parameters based on a riskfree yield curve, credit spreads and a fixed premium to cover liquidity spreads, administrative expenses and the cost of capital. A risk-free yield curve is also used to determine the fair value of liabilities, with Commerzbank Aktiengesellschaft’s own credit spread and a premium for administrative costs being incorporated separately. The model also uses market risk premiums for mortgage Pfandbriefe, public-sector Pfandbriefe and loans taken out by the Bank. The fair value of securitised liabilities, subordinated liabilities and hybrid capital is determined on the basis of available market prices. A number of different factors, including current market interest rates and the Group’s credit rating are taken into account in determining fair value. If market prices are not available, the fair values are determined on the basis of mathematical valuation models (e.g. discounted cash flow or option price models), which are in turn based on yield curves, volatilities, own credit spreads etc. Particularly in cases where the Bank has issued structured debt instruments, which are measured at fair value, the Bank’s own credit spread is used in determining fair value.
To our Shareholders Corporate Responsibility Management Report Risk Report Group Financial Statements Further Information 289 345 258 202 Statement of comprehensive income 260 204 Balance sheet 262 206 Statement of changes in equity 264 208 Cash flow statement 266 210 Notes 409 353 Auditors’ report The table below compares the fair values of the balance sheet items with their carrying values: Fair value Carrying amount Difference Assets | €bn 31.12.2011 31.12.2010 31.12.2011 31.12.2010 31.12.2011 31.12.2010 Cash reserve 6.1 8.1 6.1 8.1 – – Claims on banks 87.6 110.5 87.8 110.6 – 0.2 – 0.1 Reverse repos and cash collaterals 51.6 68.7 51.6 68.7 Claims from money market transactions 2.8 6.8 2.8 6.8 Promissory note loans 8.3 9.7 8.5 9.9 – 0.2 – 0.2 Other claims 25.1 25.6 25.1 25.5 0.0 0.1 Loan loss provisions – 0.2 – 0.3 – 0.2 – 0.3 Claims on customers 292.9 327.3 296.6 327.8 – 3.7 – 0.5 Reverse repos and cash collaterals 26.0 30.0 26.0 30.0 Claims from money market transactions 8.0 9.0 8.0 9.0 Promissory note loans Mortgages and other claims 21.1 26.2 21.6 26.6 – 0.5 – 0.4 secured by property charges 115.2 133.5 118.0 134.3 – 2.8 – 0.8 Other claims 130.5 137.7 130.9 137.0 – 0.4 0.7 Loan loss provisions – 7.9 – 9.1 – 7.9 – 9.1 Value adjustment portfolio fair value hedges1 Positive fair values of derivative 0.0 0.0 0.1 0.1 – 0.1 – 0.1 hedging instruments 5.1 5.0 5.1 5.0 – – Trading assets 155.7 167.8 155.7 167.8 – – Financial investments 89.4 113.1 94.5 115.7 – 5.1 – 2.6 Loans and receivables 55.5 67.8 60.6 70.4 – 5.1 – 2.6 Available-for-sale 30.1 41.4 30.1 41.4 Unlisted equity holdings 0.5 0.4 0.5 0.4 At fair value through profit or loss 3.3 3.5 3.3 3.5 Other assets 15.8 19.2 15.8 19.2 – – 1 The fair value adjustments on portfolio fair value hedges are contained in the relevant balance sheet line items of the hedged items. Group Financial Statements
Page 1 and 2:
Fourth Supplement dated April 13, 2
Page 3 and 4:
Financial Statements and Management
Page 5 and 6:
Corporate Responsibility One bank.
Page 7 and 8:
Environment As a financial services
Page 9 and 10:
In a joint initiative by the overal
Page 11 and 12:
Performance-related remuneration Th
Page 13 and 14:
The members of the Board of Managin
Page 15 and 16:
The monthly amount of the retiremen
Page 17 and 18:
tion for the remainder of his term
Page 19 and 20:
Loans to members of the Board of Ma
Page 21 and 22:
Other details D&O liability insuran
Page 23 and 24:
Details pursuant to Art. 289 of the
Page 25 and 26:
up to five years effective from the
Page 27 and 28:
The Supervisory Board oversees fina
Page 29 and 30:
• Statements on presentation in t
Page 31 and 32:
Since summer 2011, the environment
Page 33 and 34:
At the beginning of December, Comme
Page 35 and 36:
The changes in the individual earni
Page 37 and 38:
As with the change in other assets
Page 39 and 40:
Report on events after the reportin
Page 41 and 42:
We assume that Germany will fare be
Page 43 and 44:
the resulting impact on financial i
Page 45 and 46:
The Asset Based Finance segment was
Page 47 and 48:
Risk report Risk reporting takes pl
Page 49 and 50:
Risk strategy and risk management T
Page 51 and 52:
Macroeconomic stress tests are also
Page 53 and 54:
Overview of management instruments
Page 55 and 56:
The “reduction” area comprises
Page 57 and 58:
Corporates & Markets This segment c
Page 59 and 60:
Public Finance Commerzbank’s Asse
Page 61 and 62:
Portfolio by region as at 31.12.201
Page 63 and 64:
and Europe (CLOs). The exposure in
Page 65 and 66:
In 2011, provisions in Central & Ea
Page 67 and 68:
of the overdraft starts on the firs
Page 69 and 70:
The year 2011 was mainly affected b
Page 71 and 72:
The adjoining diagram documents the
Page 73 and 74:
Available net liquidity in the comb
Page 75 and 76:
OpRisk events by segment | €m 201
Page 77 and 78:
Reputational risk Reputational risk
Page 79 and 80:
Page 81 and 82:
Page 83 and 84:
Provisions for pensions are calcula
Page 85 and 86:
Notes to the income statement (5) B
Page 87 and 88:
(12) Securities At December 31, 201
Page 89 and 90:
(16) Fiduciary transactions Financi
Page 91 and 92:
(23) Other liabilities Financial St
Page 93 and 94:
(27) Equity Financial Statements an
Page 95 and 96:
c) Retained earnings € Financial
Page 97 and 98:
(30) Non-distributable amounts Fina
Page 99 and 100:
Other notes (33) Off-balance-sheet
Page 101 and 102:
(34) Forward transactions Financial
Page 103 and 104:
(36) Remuneration and loans to boar
Page 105 and 106:
€1,000 LTP Number of participatin
Page 107 and 108:
Name Registered office Share of cap
Page 109 and 110:
Page 111 and 112:
Page 113 and 114:
) Associated companies Name Registe
Page 115 and 116:
Foreign-exchange rates for €1 as
Page 117 and 118:
Members of the Supervisory Board of
Page 119 and 120:
(41) Boards of Commerzbank Aktienge
Page 121 and 122:
Independent Auditor’s Report 1 To
Page 123 and 124:
Significant subsidiaries and associ
Page 125 and 126:
Annual Report 2011 of the Commerzba
Page 127 and 128:
To our Shareholders Corporate Respo
Page 129 and 130:
Page 131 and 132:
Page 133 and 134:
Page 135 and 136:
Page 137 and 138:
Page 139 and 140:
Page 141 and 142:
Page 143 and 144:
Page 145 and 146:
Page 147 and 148:
Page 149 and 150:
Page 151 and 152:
Page 153 and 154:
Page 155 and 156:
Page 157 and 158:
Page 159 and 160:
Page 161 and 162:
Page 163 and 164:
Page 165 and 166:
Page 167 and 168:
Page 169 and 170:
Page 171 and 172:
Page 173 and 174:
Page 175 and 176:
Page 177 and 178:
Page 179 and 180:
Page 181 and 182:
Page 183 and 184:
Page 185 and 186:
Page 187 and 188:
Page 189 and 190:
Page 191 and 192:
Page 193 and 194:
Page 195 and 196:
Page 197 and 198:
Page 199 and 200:
Page 201 and 202:
Page 203 and 204:
Page 205 and 206:
Page 207 and 208:
Page 209 and 210:
Page 211 and 212:
Group Risk Report In the Group Risk
Page 213 and 214:
Page 215 and 216:
Page 217 and 218:
Page 219 and 220:
Page 221 and 222:
Page 223 and 224:
Page 225 and 226:
Page 227 and 228:
Page 229 and 230:
Page 231 and 232:
Page 233 and 234:
Page 235 and 236:
Page 237 and 238:
Page 239 and 240:
Page 241 and 242:
Page 243 and 244:
Page 245 and 246:
Page 247 and 248:
Page 249 and 250:
Page 251 and 252:
Page 253 and 254:
Group Financial Statements Our Grou
Page 255 and 256:
Page 257 and 258:
Page 259 and 260:
Page 261 and 262:
Page 263 and 264:
Page 265 and 266:
Page 267 and 268:
Page 269 and 270:
Page 271 and 272:
Page 273 and 274:
Page 275 and 276:
Page 277 and 278:
Page 279 and 280:
Page 281 and 282:
Page 283 and 284:
Page 285 and 286:
Page 287 and 288:
Page 289 and 290:
Page 291 and 292:
Page 293 and 294: To our Shareholders Corporate Respo
Page 343: To our Shareholders Corporate Respo
Page 395 and 396:
Page 397 and 398:
Page 399 and 400:
Page 401 and 402:
Page 403 and 404:
Page 405 and 406:
Page 407 and 408:
Page 409 and 410:
Page 411 and 412:
Recent developments Optimisation of
Page 413 and 414:
COMMERZBANK AKTIENGESELLSCHAFT Fran
Page 415 and 416:
Jahresabschluss und Lagebericht 201
show all

COMMERZBANK AKTIENGESELLSCHAFT

You also want an ePaper? Increase the reach of your titles

Delete template?

Save as template?